Sökning: "Alexander Dubois"

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  1. 1. Predicting the Options Expiration Effect Using Machine Learning Models Trained With Gamma Exposure Data

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

    Författare :Alexander Dubois; [2022]
    Nyckelord :AdaBoost; LSTM; Machine learning; Random forests; Stock markets; SVM;

    Sammanfattning : The option expiration effect is a well-studied phenome, however, few studies have implemented machine learning models to predict the effect on the underlying stock market due to options expiration. In this paper four machine learning models, SVM, random forest, AdaBoost, and LSTM, are evaluated on their ability to predict whether the underlying index rises or not on the day of option expiration. LÄS MER