Sökning: "Liquidity Horizon"
Visar resultat 6 - 10 av 13 uppsatser innehållade orden Liquidity Horizon.
6. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Momentum or trend following investing refers to trading strategies constructed around the idea that in financial markets, the current trend will, more often then not, prevail. In the context of asset prices, this means that previous returns or the price development of an asset is indicative of similar future returns and price development. LÄS MER
7. The yield curve and its forecasting potential : A review of empirical literature
Kandidat-uppsats, Umeå universitet/NationalekonomiSammanfattning : This paper demonstrates an overview of the empirical literature from the 1960s and onward as to why yield curve inversions are a leading recession forecasting indicator for the two to four-quarter forecasting horizon. This approach establishes a research framework within the delimitations of yield curve analysis and specifically, the effects of practical computational issues. LÄS MER
8. THE IMPACT OF LIQUIDITY ON PROFITABILITY : An explanatory study of the banking sector between 2008 and 2017
Magister-uppsats, Umeå universitet/FöretagsekonomiSammanfattning : The 2007/08 global financial crisis led to significant changes in the financial world especially the banking sector. It led to regulators and governments tightening regulations in banking sector in order to mitigate the aftermath effects of the global crisis as well as prevent a repeat of the mistakes that initially led to the kick-off of the crisis. LÄS MER
9. Forecasting Non-Maturing Liabilities
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
10. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book
Master-uppsats, KTH/Matematisk statistikSammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER