Sökning: "Market Anomalies"

Visar resultat 6 - 10 av 111 uppsatser innehållade orden Market Anomalies.

  1. 6. Cryptocurrency Market Anomalies: The Day-of-the-week Effect : A study on the existence of the Day-of-the-week effect in cryptocurrencies and crypto portfolios.

    Kandidat-uppsats, Jönköping University/IHH, Nationalekonomi

    Författare :Robin Hinny; Dorottya Kata Szabó; [2022]
    Nyckelord :Cryptocurrency; Day-of-the-week Effect; Cryptocurrency portfolios; Efficient Market Hypothesis; Bitcoin; Market Anomaly; Rolling regressions; The Markowitz model;

    Sammanfattning : This research paper studies the Day-of-the-week effect in the cryptocurrency market. Using multiple regression, we analyze the effect using 12 counterfactual optimized portfolios of the cryptocurrencies, as well as the 10 cryptocurrencies alone. LÄS MER

  3. 7. Root-cause analysis with data-driven methods and machine learning in lithium-ion battery tests : Master's thesis about detecting deviations with PCA

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för systemteknik

    Författare :Frans Rademacher; [2022]
    Nyckelord :Machine learning; Li-ion; batteries; PCA; deviations; anomaly detection; root-cause analysis; differential capacity; feature engineering;

    Sammanfattning : The increased demand of energy storage systems and electric vehicles on the market result in high demand of lithium-ion batteries. As a lithium-ion battery manufacturer, Northvolt runs quality tests on the products to assess their performance, life and safety. LÄS MER

  4. 8. Anomaly or not Anomaly, that is the Question of Uncertainty : Investigating the relation between model uncertainty and anomalies using a recurrent autoencoder approach to market time series

    Master-uppsats, Umeå universitet/Institutionen för datavetenskap

    Författare :Anton Vidmark; [2022]
    Nyckelord :Uncertainty in deep learning; Bayesian; anomaly detection; novelty detection; stock market; time series;

    Sammanfattning : Knowing when one does not know is crucial in decision making. By estimating uncertainties humans can recognize novelty both by intuition and reason, but most AI systems lack this self-reflective ability. In anomaly detection, a common approach is to train a model to learn the distinction between some notion of normal and some notion of anomalies. LÄS MER

  5. 9. Volatility-managed portfolios in the international markets

    Master-uppsats, Stockholms universitet/Finansiering

    Författare :Soroush Hasanpour; Emil Adamsson; [2022]
    Nyckelord :Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

    Sammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER

  7. 10. Return of the SPAC

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Joakim Nilsson; Philip Svensson; [2021-06-30]
    Nyckelord :SPAC; Efficient Market Hypothesis; Market anomalies; Event study; Incomplete information JEL;

    Sammanfattning : Past empirical research on Special Purpose Acquisition Companies has demonstrated long-term negative returns following the merger due to the flawed structure, mainly attributed to incomplete information. This paper examines the return of SPACs in the short-term surrounding two events: target deal announcement and merger completion. LÄS MER