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Hittade 2 uppsatser som matchar ovanstående sökkriterier.

1. 1. Estimating the Market Risk Exposure through a Factor Model with Random Effects

   Master-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Författare :Lukas Börjesson; [2022]
   Nyckelord :Market risk exposure; non-stationary market risk exposure; non-stationary idiosyncratic risk; factor model; linear regression; linear mixed model; random effects; mixture of gaussians.;

   Sammanfattning : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. LÄS MER

3. 2. 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