Sökning: "Financial Mathematics"

Visar resultat 6 - 10 av 171 uppsatser innehållade orden Financial Mathematics.

  1. 6. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Niclas Wölner-Hanssen; [2023]
    Nyckelord :Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

    Sammanfattning : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. LÄS MER

  3. 7. Hållbarhetsbetyget ESG - är spelreglerna desamma för alla?

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Oscar Båth Viderström; Victor Feilberg; [2023]
    Nyckelord :ESG; Regression; Lasso; Lund University; Data visualization; Business and Economics; Mathematics and Statistics;

    Sammanfattning : The growing expansion of importance amid financial stakeholders regarding sustainability has led to an extended demand and need of reliable reporting amongst sustainability metrics. Previous research and information about ESG reporting and how ESG ratings are calculated are flawed. LÄS MER

  4. 8. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Magnus Borg; Lucas Ternqvist; [2023]
    Nyckelord :ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER

  5. 9. The Predictive Power of Implied Volatility in Option Pricing

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Lovisa Berglund; [2023]
    Nyckelord :Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Sammanfattning : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. LÄS MER

  7. 10. An Artificial Neural Network Approach to Algorithmic Trading

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Timmie Bengtsson; [2023]
    Nyckelord :Financial Markets; Machine Learning; Long Short-Term Memory; Gated Recurrent Unit; Recurrent Neural Networks; Time Series Analysis; Algorithmic Trading; Mathematics and Statistics;

    Sammanfattning : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. LÄS MER