Sökning: "Backtesting"

Visar resultat 1 - 5 av 45 uppsatser innehållade ordet Backtesting.

  1. 1. Retrospective simulations of heating consumption in French dwellings

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)KTH/Farkost och flyg

    Författare :David Glotin; [2018]
    Nyckelord :Energy efficiency; energy insecurity; renovation; fuel switch; backtesting; retrospective simulations; sensitivity analysis.;

    Sammanfattning : Res-IRF is an energy-economy model of heating consumption in French dwellings developed at CIRED and calibrated against 2012. It is meant to project the evolution of the building stock and the heating demand by 2050 in response to socio-economic parameters, such as energy price and population, and public policies, such as thermal regulations or incentives for renovation. LÄS MER

  2. 2. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen; Uppsala universitet/Statistiska institutionen

    Författare :Arvid Nybrant; Henrik Rundberg; [2018]
    Nyckelord :VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

    Sammanfattning : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. LÄS MER

  3. 3. The accuracy of the LSTM model for predicting the S&P 500 index and the difference between prediction and backtesting

    Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS); KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :War Ahmed; Mehrdad Bahador; [2018]
    Nyckelord :;

    Sammanfattning : In this paper the question of the accuracy of the LSTM algorithm for predicting stock prices is being researched. The LSTM algorithm is a form of deep learning algorithm. The algorithm takes in a set of data as inputs and finds a pattern to dissolve an output. LÄS MER

  4. 4. Parametric Value-at-Risk in Leptokurtic Distributions

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Lulu Valevie; Patrik Essunger; [2017]
    Nyckelord :Value-at-Risk; Leptokurtic; Student s t-distribution; Currencies; Commodities;

    Sammanfattning : Value-at-risk offers a quick estimate of the market risk exposure inherent in an asset or portfolio. A wide range of value-at-risk methods exist, which differ slightly in the estimation procedures and their assumptions. LÄS MER

  5. 5. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Johan Röring; [2017]
    Nyckelord :;

    Sammanfattning : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. LÄS MER

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