Sökning: "futures contracts"

Visar resultat 1 - 5 av 60 uppsatser innehållade orden futures contracts.

1. 1. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

   Master-uppsats, KTH/Matematisk statistik

   Författare :Kajsa Bjelle; [2023]
   Nyckelord :Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

   Sammanfattning : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. LÄS MER

3. 2. The game of the electricity market : A game theoretical approach to investigate trading strategies in the Nordic electricity futures market

   Kandidat-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

   Författare :Camilla Hytter; [2023]
   Nyckelord :;

   Sammanfattning : With the background of the increasing volatility in the electricity market the recent years this thesis investigates the electricity futures market and the benefit for market participants to perform some trading strategy in order to increase profit or reduce risk. By modeling the market as a stochastic game the trader acts as a player in the game and with two simple models the player can predict the probability that the market moves up or down and take the appropriate position according to the prediction. LÄS MER

4. 3. Powering up profits - Integrating Power Purchase Agreements and Battery Systems for Nordic Power Futures

   Master-uppsats, Lunds universitet/Institutionen för energivetenskaper

   Författare :William Thorwaldson; Ellen Jinglöv; [2023]
   Nyckelord :Power Purchase Agreements; Financial Power Trading; Battery Energy Storage Systems; Power Futures; Technology and Engineering;

   Sammanfattning : This master’s thesis aims to assess the profitability and the factors impacting the profitability of entering a short position in financial derivative contracts on the Nordic power market while procuring electricity through a pay-as-produced power purchase contract and on the day-ahead (DA) market, simultaneously the strategy utilizes a battery storage system to mitigate the effects of price spikes. The research adopted a mixed-method approach by combining quantitative analysis with qualitative findings. LÄS MER

5. 4. Hierarchical Portfolio Allocation with Community Detection

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Kiar Fatah; Taariq Nazar; [2022]
   Nyckelord :Portfolio Allocation; Hierarchical Clustering; Graph Theory; Community Detection; Modern Portfolio Theory; Portföljallokering; Hierarkisk klustring; Grafteori; Community Detection; Modern Portföljteori;

   Sammanfattning : Traditionally, practitioners use modern portfolio theory to invest optimally. Its appeal lies in its mathematical simplicity and elegance. However, despite its beauty, the theory it is plagued with many problems, which are in combination called the Markowitz curse. LÄS MER

7. 5. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Ellen Ek; [2022]
   Nyckelord :Correlation matrix; Hierarchical Principal Component Analysis; Factor Model; Clusters; Portfolio Optimization; Futures Contracts; Mathematics and Statistics;

   Sammanfattning : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. LÄS MER