Sökning: "Financial Time Series"

Visar resultat 1 - 5 av 108 uppsatser innehållade orden Financial Time Series.

  1. 1. CATASTROPHE BONDS - An investment analysis of their performance and diversification benefits

    Kandidat-uppsats,

    Författare :Viktor Karlsson; Emelie Karnebäck; [2017-07-03]
    Nyckelord :;

    Sammanfattning : This thesis employs total return indices to investigate if catastrophe bonds are zero-beta assets and how they have performed compared to other assets. We conduct time series regressions and conclude that catastrophe bond returns are correlated with both the return of the equity- and the high yield corporate bond market during the subprime financial crisis, but find no significant correlation after the crisis. LÄS MER

  2. 2. On stock return prediction with LSTM networks

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Magnus Hansson; [2017]
    Nyckelord :artificial neural networks; recurrent networks; LSTM; EMH; Business and Economics;

    Sammanfattning : Artificial neural networks are, again, on the rise. The decreasing costs of computing power and the availability of big data together with advancements of neural network theory have made this possible. LÄS MER

  3. 3. Forecasting Non-Maturing Liabilities

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Adrian Ahmadi-Djam; Sean Belfrage Nordström; [2017]
    Nyckelord :;

    Sammanfattning : With ever increasing regulatory pressure financial institutions are required to carefully monitor their liquidity risk. This Master thesis focuses on asserting the appropriateness of time series models for forecasting deposit volumes by using data from one undisclosed financial institution. LÄS MER

  4. 4. Sequence-to-sequence learning of financial time series in algorithmic trading

    Kandidat-uppsats, Högskolan i Borås/Akademin för bibliotek, information, pedagogik och IT; Högskolan i Borås/Akademin för bibliotek, information, pedagogik och IT

    Författare :Philip Arvidsson; Tobias Ånhed; [2017]
    Nyckelord :deep learning; machine learning; quantitative finance; algorithmic trading; blackbox trading; lstm; rnn; time series forecasting; prediction; tensorflow; keras; forex; neural network; econometrics; finans; algoritmisk handel; tidsserier; prediktion; maskininlärning; forex; neurala nätverk; tensorflow; keras; kvantitativ finans; lstm; rnn; ekonometri;

    Sammanfattning : Predicting the behavior of financial markets is largely an unsolved problem. The problem hasbeen approached with many different methods ranging from binary logic, statisticalcalculations and genetic algorithms. LÄS MER

  5. 5. En utveckling och utvärdering av Piotroskis F_SCORE : Med det icke-finansiella måttet CSR

    Magister-uppsats, Linköpings universitet/FöretagsekonomiLinköpings universitet/Filosofiska fakulteten; Linköpings universitet/FöretagsekonomiLinköpings universitet/Filosofiska fakulteten

    Författare :Frida Hamberg; Daniel Inaeus; [2017]
    Nyckelord :Investments; CSR; EMH; returns; Piotroski; Investering; CSR; EMH; avkastning; Piotroski;

    Sammanfattning : Bakgrund: Allt mer kapital allokeras mot hållbara företag som satsar på CSR, samtidigt som transparensen ökar när företag redovisar om deras hållbarhetsarbete. Det finns tidigare forskning som antyder en koppling mellan CSR och finansiell prestation. LÄS MER

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