Sökning: "Historical volatility"

Visar resultat 1 - 5 av 129 uppsatser innehållade orden Historical volatility.

1. 1. Assessing Electricity Prices and Their Driving Mechanisms in Brazil with Neural Networks

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :Henrique Costabile; [2023]
   Nyckelord :;

   Sammanfattning : In general, electricity prices are very volatile and derive from many external variables. In Brazil, this price is determined by computer models developed and operated by government organizations. The supply and demand relationships are not enough to determine prices in Brazilian submarkets. LÄS MER

3. 2. CryptoCurrency Time Series analysis : Comparative analysis between LSTM and BART Algorithm

   Uppsats för yrkesexamina på grundnivå, Blekinge Tekniska Högskola/Institutionen för datavetenskap

   Författare :Lakshmi Vyshnavi Nerella; Chiranjeevi Ponnada; [2023]
   Nyckelord :;

   Sammanfattning : Background: Cryptocurrency is an innovative digital or virtual form of money thatuses cryptographic techniques for secured financial transactions within a decentralized structure. Due to its high volatility and susceptibility to external factors, itis difficult to understand its behavior which makes accurate predictions challengingfor the investors who are trying to forecast price changes and make profitable investments. LÄS MER

4. 3. Decision support in a volatile electricity market: forecasting and cost optimization

   Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Institutionen för reglerteknik

   Författare :Oscar Andreas Olsson; [2023]
   Nyckelord :Technology and Engineering;

   Sammanfattning : Given the increase in electricity prices in recent years due to two reasons; the rebound effect after the initial corona outbreak and the Russian invasion of Ukraine, the burden of paying the rising monthly expense for electricity has become an unwelcome reality for a significant part of society. The electricity trades on the open market called Nord Pool for the Nordic countries, among others, where buyers and sellers come together to find a market price for electricity each day. LÄS MER

5. 4. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Max Thorendal; [2023]
   Nyckelord :;

   Sammanfattning : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. LÄS MER

7. 5. Does Implied- or Historical Volatility predict Realized Volatility? : An empirical study conducted to find evidence for which out of historical volatility or implied volatility better forecasts the future volatility.

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

   Författare :Gustav Sjöberg; Gustav Oom; [2023]
   Nyckelord :Implied volatility; historical volatility; realized volatility;

   Sammanfattning : This study tests if historical volatility- and implied volatility has significant predictive power over future realized volatility and if so which one of the two is the superior predictor. The study is conducted by using historical volatility of the OMXS30 and implied volatility from OMXS30 call options during the period 2012-2023. LÄS MER