Sökning: "Markov Chain models"

Visar resultat 1 - 5 av 56 uppsatser innehållade orden Markov Chain models.

1. 1. Branching Out with Mixtures: Phylogenetic Inference That’s Not Afraid of a Little Uncertainty

   Master-uppsats, KTH/Matematisk statistik

   Författare :Ricky Molén; [2023]
   Nyckelord :Phylogeny; Bayesian analysis; Markov chain Monte Carlo; Variational inference; Mixture of proposal distributions; Fylogeni; Bayesiansk analys; Markov Chain Monte Carlo; Variationsinferens; Mixturer av förslagsfördelningar;

   Sammanfattning : Phylogeny, the study of evolutionary relationships among species and other taxa, plays a crucial role in understanding the history of life. Bayesian analysis using Markov chain Monte Carlo (MCMC) is a widely used approach for inferring phylogenetic trees, but it suffers from slow convergence in higher dimensions and is slow to converge. LÄS MER

3. 2. Stock market analysis with a Markovian approach: Properties and prediction of OMXS30

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Max Aronsson; Anna Folkesson; [2023]
   Nyckelord :Markov chain; OMXS30; Markov chain properties; voting ensemble model; markovkedja; OMXS30; egenskaper hos markovkedjor; ensemble-modell;

   Sammanfattning : This paper investigates how Markov chain modelling can be applied to the Swedish stock index OMXS30. The investigation is two-fold. Firstly, a Markov chain is based on index data from recent years, where properties such as transition matrix, stationary distribution and hitting time are studied. LÄS MER

4. 3. On Predicting Price Volatility from Limit Order Books

   Master-uppsats, Uppsala universitet/Matematiska institutionen

   Författare :Reza Dadfar; [2023]
   Nyckelord :General Compound Hawkes Process; Limit Order Book LOB ; High- Frequency Trading; Price Volatility; Markov Chain.;

   Sammanfattning : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. LÄS MER

5. 4. Optimal Order Placement Using Markov Models of Limit Order Books

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Max Oliveberg; [2023]
   Nyckelord :Optimal order placement; Limit order book; Markov; Optimal orderläggning; Orderbok; Markov;

   Sammanfattning : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. LÄS MER

7. 5. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

   Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Oskar Fransson; [2023]
   Nyckelord :Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

   Sammanfattning : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. LÄS MER