Sökning: "Andreas hild"

Hittade 2 uppsatser innehållade orden Andreas hild.

1. 1. ESTIMATING AND EVALUATING THE PROBABILITY OF DEFAULT – A MACHINE LEARNING APPROACH

   Master-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Andreas Hild; [2021]
   Nyckelord :;

   Sammanfattning : In this thesis, we analyse and evaluate classification models for panel credit risk data. Variables are selected based on results from recursive feature elimination as well as economic reasoning where the probability of default is estimated. LÄS MER

3. 2. Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Mikael Jurvelin Olsson; Andreas Hild; [2019]
   Nyckelord :Cointegration; Statistical arbitrage; Cryptocurrency; Pairs trading; Algorithmic trading;

   Sammanfattning : This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. LÄS MER