Sökning: "volatility prediction model"

Visar resultat 16 - 20 av 46 uppsatser innehållade orden volatility prediction model.

  1. 16. Optimering av algoritmisk elhandelsstrategi genom prediktiv analys : Datavisualisering, regression, maskin- och djupinlärning

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Jacob Forssell; Erika Staffansdotter; [2022]
    Nyckelord :Power trading; power trading strategy; algorithmic trading; intraday market; regression; machine learning; deep learning; wind power; forecast; regulatory prices; VWAP; Elhandel; elhandelsstrategi; algoritmisk handel; intradagmarknaden; regression; maskininlärning; djupinlärning; vindkraft; prognos; reglerpriser; VWAP;

    Sammanfattning : The world is right now in a global transition from a fossil fuel dependency towards an electrified society based on green and renewable energy. Investments in power grid capacity are therefore needed to meet the increased future demand which this transition implicates. LÄS MER

  3. 17. Using a Hidden Markov Model as a Financial Advisor

    Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Emil Lindqvist; Robert Andersson; [2021]
    Nyckelord :hidden markov models; stock market prediction;

    Sammanfattning : People have been trying to predict the stock marketsince its inception and financial investors have made it theirprofession. What makes predicting the stock market such ahard task is its seemingly random dependency on everythingfrom Elon Musks tweets to future earnings. LÄS MER

  4. 18. Option strategies using hybrid Support Vector Regression - ARIMA

    Master-uppsats, KTH/Matematisk statistik

    Författare :Negin Nayeri; [2020]
    Nyckelord :;

    Sammanfattning : In this thesis, the use of machine learning in option strategies is evaluated with focus on the S&P 500 Index. The first part of the thesis focuses on testing the performance power of the Support Vector Regression (SVR) method for the historical realized volatility with a window of 20 days. LÄS MER

  5. 19. Nowcasting with Dynamic Factor Model and Real-Time Vintage Data: A financial market actor's perspective

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Filip Östlund; Marcel Attar; [2020]
    Nyckelord :Nowcasting; Macroeconomic Prediction; Dynamic Factor Model; DFM; Pseudo Real-Time Vintage data; U.S. GDP Growth Rate; Financial Market Actor; Mathematics and Statistics;

    Sammanfattning : We develop and examine a dynamic factor nowcasting model (DFM) from the perspective of a financial market participant. The first point of analysis is the examination of its performance. Unlike other papers, we evaluate with daily frequency so that the performance metric reflects a continuous nowcasting signal. LÄS MER

  7. 20. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Henning Tansjö; [2020]
    Nyckelord :Jump estimation; Hidden Markov model; financial time series; clustering; unsupervised learning.; Mathematics and Statistics;

    Sammanfattning : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. LÄS MER