Sökning: "Extremvärdes upptäckt"

Hittade 2 uppsatser innehållade orden Extremvärdes upptäckt.

1. 1. Market Surveillance Using Empirical Quantile Model and Machine Learning

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Daniel Landberg; [2022]
   Nyckelord :Market surveillance; Outlier detection; Empirical quantiles; Empirical distribution; Isolation forest; Principal Component Analysis; PCA; Finance; Marknadsövervakning; Extremvärdes upptäckt; Empiriska kvantiler; Empirisk distribution; Isolationsskog; Huvudkomponent analys; Finans;

   Sammanfattning : In recent years, financial trading has become more available. This has led to more market participants and more trades taking place each day. The increased activity also implies an increasing number of abusive trades. To detect the abusive trades, market surveillance systems are developed and used. LÄS MER

3. 2. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

   Master-uppsats, KTH/Matematisk statistik

   Författare :Andreas Prastorfer; [2020]
   Nyckelord :Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

   Sammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER