Sökning: "Financial Econometrics"

Visar resultat 1 - 5 av 85 uppsatser innehållade orden Financial Econometrics.

  1. 1. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing

    Master-uppsats, KTH/Matematisk statistik

    Författare :Hannes Backe; David Rydberg; [2023]
    Nyckelord :Smart Order Routing; Market Microstructure; Statistical Modelling; Survival Analysis; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest; Smart Order Routing; Marknadsmikrostruktur; Statistisk Modellering; Överlevnadsanalys; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest;

    Sammanfattning : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. LÄS MER

  3. 2. Follow the Money : Determinants of Cap Rates in the Stockholm Office Market

    Master-uppsats, KTH/Fastighetsföretagande och finansiella system

    Författare :Henrik Saxton; [2022]
    Nyckelord :Real estate economics; macroeconomy; capitalization rate determinants; foreign investments; unconventional monetary policy; econometrics; dynamic ordinary least squares DOLS regression analysis; Fastighetsekonomi; makroekonomi; bestämningsfaktorer för direktavkastningskrav; utländska investeringar; okonventionell penningpolitik; dynamisk vanliga minstakvadratmetoden DOLS regressionsanalys;

    Sammanfattning : Purpose – In recent decades the inflation- and interest rates have followed a long-termdeclining trend. Followed by central banks starting to use unconventional monetary policiesto cope with financial crises have led to increased amounts of liquidity in the financialsystems and available and looking for investment alternatives on the capital markets. LÄS MER

  4. 3. Sequence-to-sequence learning of financial time series in algorithmic trading

    Kandidat-uppsats, Högskolan i Borås/Akademin för bibliotek, information, pedagogik och IT

    Författare :Philip Arvidsson; Tobias Ånhed; [2017]
    Nyckelord :deep learning; machine learning; quantitative finance; algorithmic trading; blackbox trading; lstm; rnn; time series forecasting; prediction; tensorflow; keras; forex; neural network; econometrics; finans; algoritmisk handel; tidsserier; prediktion; maskininlärning; forex; neurala nätverk; tensorflow; keras; kvantitativ finans; lstm; rnn; ekonometri;

    Sammanfattning : Predicting the behavior of financial markets is largely an unsolved problem. The problem hasbeen approached with many different methods ranging from binary logic, statisticalcalculations and genetic algorithms. LÄS MER

  5. 4. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Författare :George Abo Al Ahad; Denis Gerzic; [2017]
    Nyckelord :Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Sammanfattning : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. LÄS MER

  7. 5. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Jonathan Lindgren; [2017]
    Nyckelord :Error Correction Model; Credit risk; Risk management; Regression; Econometrics; Mathematical analysis; Probability of Default; Loss Given Default; Finance; Mathematical modeling; Kreditrisk; Risk hantering; Finans; Ekonometri; Matematisk modellering; Sannolikhet för Fallissemang; Förlust givet Fallissemang;

    Sammanfattning : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. LÄS MER