Sökning: "Financial Time Series"

Visar resultat 1 - 5 av 166 uppsatser innehållade orden Financial Time Series.

  1. 1. En analys av volatiliteten på Stockholmbörsen 2007-2009.

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Matilda Sampson; Gabriella Severeus; [2020-07-02]
    Nyckelord :;

    Sammanfattning : This thesis examines the volatility on the Stockholm Stock Exchange during the Great Recession in 2007-2009. In order to examine whether the financial crisis had a larger impact on any sector the report investigate the differences in volatility of returns between three sectors; consumer goods, property and medical firms. LÄS MER

  2. 2. Gold – a hedge, safe haven or a diversifier - A comparison between the Swedish and the American financial market

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Johannes Schmidt; Mikael Westerbäck; [2020-02-21]
    Nyckelord :Efficient frontier; investments strategies; Sharpe Ratio; gold; stocks; bonds; hedge; safe haven; portfolio analysis;

    Sammanfattning : The purpose of this study is to investigate the role of gold as a financial asset and comparing the result between the American and the Swedish financial market. Using time series data for monthly and daily returns of S&P500, OMXS30, American 10-year bonds, Swedish 10-year bonds, oil and gold this study analyzes if gold has been a hedge, safe have or a diversifier for Swedish and American stocks and bonds the last 20 years. LÄS MER

  3. 3. Comparison of Forecasting Models Used by The Swedish Social Insurance Agency.

    Magister-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Ryan Rasoul; [2020]
    Nyckelord :Financial engineering; Forecast; Time series; ARIMA; SES; Analysis and forecasting;

    Sammanfattning : We will compare two different forecasting models with the forecasting model that was used in March 2014 by The Swedish Social Insurance Agency ("Försäkringskassan" in Swedish or "FK") in this degree project. The models are used for forecasting the number of cases. LÄS MER

  4. 4. Forecasting Financial Time Series through Causal and Dilated Convolutional Neural Networks

    Kandidat-uppsats, Linköpings universitet/Institutionen för datavetenskap

    Författare :Lukas Börjesson; [2020]
    Nyckelord :;

    Sammanfattning : In this paper, predictions of future price movements of a major American stock index was made by analysing past movements of the same and other correlated indices. A model that has shown very good results in speech recognition was modified to suit the analysis of financial data and was then compared to a base model, restricted by assumptions made for an efficient market. LÄS MER

  5. 5. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank

    Master-uppsats, KTH/Matematisk statistik

    Författare :Markus Hilmersson; [2020]
    Nyckelord :Financial mathematics; time series analysis; risk management; risk analysis; non-maturing deposits; SARIMA; SARIMAX; BCBS; IRRBB; Finansiell matematik; tidsserieanalys; riskhantering; riskanalys; Icke-tidsbunden inlåning; SARIMA; SARIMAX; BCBS; IRRBB;

    Sammanfattning : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. LÄS MER