Sökning: "Markov Process"

Visar resultat 1 - 5 av 136 uppsatser innehållade orden Markov Process.

1. 1. Risk-Averse Multi-Armed Bandit Problem with Multiple Plays

   Master-uppsats, Göteborgs universitet/Institutionen för data- och informationsteknik

   Författare :Siri Dahlgren; Nicholas Marriott; [2023-10-23]
   Nyckelord :MAB; Gittins; Markovian bandit; risk-aversion; policy iteration; multiple plays;

   Sammanfattning : This study aims to construct an efficient heuristic, referred to as RA, for a riskaverse Markovian multi-armed bandit problem (MAB) with multiple plays. The RA incorporates risk-aversion and multiple plays by modifying the Gittins index strategy. LÄS MER

3. 2. 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

4. 3. 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

5. 4. 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

7. 5. Decreasing Training Time of Reinforcement Learning Agents for Remote Tilt Optimization using a Surrogate Neural Network Approximator

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Jiaming Huang; [2023]
   Nyckelord :;

   Sammanfattning : One possible application of reinforcement learning in the telecommunication field is antenna tilt optimization. However, one of key challenges we face is that the use of handcrafted simulators as environments to provide information for agents is often time-consuming regarding training reinforcement learning agents. LÄS MER