Sökning: "marknadsregimer"

Hittade 2 uppsatser innehållade ordet marknadsregimer.

1. 1. Modelling regime shifts for foreign exchange market data using hidden Markov models

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Liam Persson; [2021]
   Nyckelord :exchange market data; model selection; hidden Markov model; market regime; correlation; valuta; modellval; dold Markovmodell; marknadsregimer; korrelation;

   Sammanfattning : Financial data is often said to follow different market regimes. These regimes, which not possible to observe directly, are assumed to influence the observable returns. In this thesis such regimes are modeled using hidden Markov models. LÄS MER

3. 2. Deep Scenario Generation of Financial Markets

   Master-uppsats, KTH/Matematisk statistik

   Författare :Filip Carlsson; Philip Lindgren; [2020]
   Nyckelord :Variational Autoencoder; Generative Models; Latent Space; Dimensionality Reduction; Unsupervised Learning; Clustering; VAE-Clustering; Scenario Generation; Market Regime; Variational Autoencoder; generativa modeller; latent rum; dimensionsreducering; klustring; scenario generering;

   Sammanfattning : The goal of this thesis is to explore a new clustering algorithm, VAE-Clustering, and examine if it can be applied to find differences in the distribution of stock returns and augment the distribution of a current portfolio of stocks and see how it performs in different market conditions. The VAE-clustering method is as mentioned a newly introduced method and not widely tested, especially not on time series. LÄS MER