Sökning: "Efficient market hypothesis. Random walk"

Visar resultat 1 - 5 av 33 uppsatser innehållade orden Efficient market hypothesis. Random walk.

1. 1. Artificial Neural Networks for Financial Time Series Prediction

   Master-uppsats, Stockholms universitet/Institutionen för data- och systemvetenskap

   Författare :Dana Malas; [2023]
   Nyckelord :artificial neural networks; time series analysis; deep learning; finance; long short-term memory; simple moving average;

   Sammanfattning : Financial market forecasting is a challenging and complex task due to the sensitivity of the market to various factors such as political, economic, and social factors. However, recent advances in machine learning and computation technology have led to an increased interest in using deep learning for forecasting financial data. LÄS MER

3. 2. A Blindfolded Monkey as Portfolio Manager

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Johan Åkerberg; Mattias Olsson; [2022]
   Nyckelord :The Efficient Market Hypothesis EMH ; random walk; intelligent investor; annual portfolio adjustment; Business and Economics;

   Sammanfattning : This study aims to investigate whether chance can beat an actively managed equity fund during a ten-year period on the Swedish stock market. Since the stock market consists of fierce competition among investors, the EMH would suggest that stock price movements should not be far from reflecting all available information. LÄS MER

4. 3. Evaluation regarding the US fund market : A comparison between different US fund risk classes and their performance

   Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Författare :Victor Sjöstrand; Albert Svensson Kanstedt; [2021]
   Nyckelord :Standard deviation; US Equity Funds; S P 500; CAPM; Efficient Market Hypothesis; random walk.;

   Sammanfattning : The intent of this thesis is to investigate how US equity funds performance differ due to their standard deviation. In order to accomplish this study, we collected daily data for 99 US equity funds for the period 2011-2020 and divided the funds into three risk classification groups based on their standard deviation for the year 2011. LÄS MER

5. 4. Uppvisar den svenska aktiemarknaden mean reversion? : En studie om Stockholmsbörsen, dess sektorer och olika marknadsförhållanden

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

   Författare :Oskar Fors Rosén; Stefan Liderfelt; [2021]
   Nyckelord :Den effektiva marknadshypotesen; mean reversion; fraktionell integrering; långsiktigt minne; random walk;

   Sammanfattning : The purpose of this study is to examine whether the returns on the Stockholm Stock Exchange and its different sectors is mean reverting during the period 2003–2019. In addition to the examination of the entire period, the study also examines the periods before, during and after the global financial crisis. LÄS MER

7. 5. Market Efficiency for Bitcoin

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Pirachtha Taechawattananant; Hasan Kashmar; [2021]
   Nyckelord :Bitcoin; Efficiency Market Hypothesis; Adaptive Market Hypothesis; Halving Events; Business and Economics;

   Sammanfattning : The essence of market efficiency has been an interesting area for inspection by investors and scholars. In this study, we investigate the efficiency of a relatively new asset: Bitcoin. This paper examines the efficiency of Bitcoin by studying the impact of Bitcoin’s so-called halving dates. LÄS MER