Sökning: "EWMA"
Visar resultat 6 - 10 av 39 uppsatser innehållade ordet EWMA.
6. Natural gas storage level forecasting using temperature data
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : Even though the theory of storage is historically a popular view to explain commodity futures prices, many authors focus on the oil price link. Past studies have shown an increased futures price volatility on Mondays and days when natural gas storage levels are released, which could both implicate that storage levels and temperature data are incorporated in the prices. LÄS MER
7. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average? The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. LÄS MER
8. Preprocessing Data: A Study on Testing Transformations for Stationarity of Financial Data
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : In thesis within Industrial Economics and Applied Mathematics in cooperation with Svenska Handelsbanken given transformations was examined in order to assess their ability to make a given time series stationary. In addition, a parameter α belonging to each of the transformation formulas was to be decided. LÄS MER
9. Implementation of Anomaly Detection on a Time-series Temperature Data set
Kandidat-uppsats, Malmö universitet/Fakulteten för teknik och samhälle (TS)Sammanfattning : Aldrig har det varit lika aktuellt med hållbar teknologi som idag. Behovet av bättre miljöpåverkan inom alla områden har snabbt ökat och energikonsumtionen är ett av dem. En enkel lösning för automatisk kontroll av energikonsumtionen i smarta hem är genom mjukvara. LÄS MER
10. Anomaly Detection for Portfolio Risk Management : An evaluation of econometric and machine learning based approaches to detecting anomalous behaviour in portfolio risk measures
Master-uppsats, KTH/NationalekonomiSammanfattning : Financial institutions manage numerous portfolios whose risk must be managed continuously, and the large amounts of data that has to be processed renders this a considerable effort. As such, a system that autonomously detects anomalies in the risk measures of financial portfolios, would be of great value. LÄS MER