Sökning: "ARIMAX model"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden ARIMAX model.

  1. 1. Modelling Non-Maturing Deposits: Examining the Impact of Repo Rates and Volume Dynamics on Valuation Using Regression, Time Series Analysis, and Vasicek Methods

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Alexandra Benckert; My Loft; [2023]
    Nyckelord :Non-maturing deposits; ARIMAX model; Regression analysis; Deposit volume modelling; Vasicek model for short rate; Interest rate sensitivity; Valuation of non-maturing deposits.; Icke tidsbunden inlåning; ARIMAX-modellen; Regressionsanalys; Modellering av inlåningsvolym; Vasicek-modellen för kort ränta; Räntekänslighet; Värdering av icke tidsbunden inlåning.;

    Sammanfattning : This thesis focuses on modelling non-maturing deposits (NMD) and has been written in collaboration with Svenska Handelsbanken. The methodology includes regression analysis and time series analysis, with the Repo rate serving as an exogenous variable in both models. LÄS MER

  3. 2. Day-ahead Grid Loss Forecasting : A study of linear and non-linear models when modelling electrical grid losses

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för systemteknik

    Författare :Alicia Söderlind; [2022]
    Nyckelord :Electrical grid losses; Mathematical modelling; ARIMAX; SARIMAX; Neural Networks;

    Sammanfattning : Accurate day-ahead grid loss forecasts are, among other things, essential to determine the electricity price for the upcoming day. The more accurate forecast, the closer the trading on the 'day-ahead' electricity market can become the actual operation the next day, which dedcrease the need for correcting production on the balancing market. LÄS MER

  4. 3. En studie av hur aktiekursprediktioner för läkemedelsbolag påverkas av patentgodkännande : En kvantitativ analys genom ARIMA och ARIMAX

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Camilla Hill Anderberg; Alice Gustafson; [2021]
    Nyckelord :Efficient market hypothesis; patent approvals; stock price; ARIMA; ARIMAX; Astrazeneca; ARIMA; ARIMAX; hypotesen om effektiva marknader; patentgodkännande; Astrazeneca;

    Sammanfattning : In this thesis we investigate whether the inclusion of an exogenous variable in the form of patentapproval can improve the ARIMA model's predictions for the pharmaceutical companyAstrazeneca. A point of departure for the study is the questioning of the efficient markethypothesis. LÄS MER

  5. 4. Predicting Revenue with Price Indices for Baskets of Spare Parts using Machine Learning

    Master-uppsats, KTH/Matematisk statistik

    Författare :Valery Ivinskiy; Kevin Olsson; [2021]
    Nyckelord :Master Thesis; Predicting revenue using price; Machine Learning; Time Series; Price Index; Examensarbete; Prediktering av omsättning genom pris; Maskininlärning; Tidserier; Prisindex;

    Sammanfattning : Companies in the spare part industry can implement a variety of different pricing techniques, which have traditionally been done through personnel know-how and industry conventions. One such technique is the use of price indices to track sales performance. LÄS MER

  7. 5. Forecasting Daily Supermarkets Sales with Machine Learning

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Daniel Fredén; Hampus Larsson; [2020]
    Nyckelord :Statistics; applied mathematics; machine learning; retail industry; time-series; forecasts; neural network; XGBoost; ARIMA; ARIMAX; Facebook Prophet; Prophet; LSTM; Statistik; tillämpad matematik; maskininlärning; livsmedelsindustrin; prognostisering tidsserier; neurala nätverk; XGBoost; ARIMA; ARIMAX; Facebook Prophet; Prophet; LSTM;

    Sammanfattning : Improved sales forecasts for individual products in retail stores can have a positive effect both environmentally and economically. Historically these forecasts have been done through a combination of statistical measurements and experience. LÄS MER