Sökning: "Markov modelling"
Visar resultat 1 - 5 av 47 uppsatser innehållade orden Markov modelling.
1. Stock market analysis with a Markovian approach: Properties and prediction of OMXS30
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : 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
2. Optimal Order Placement Using Markov Models of Limit Order Books
Master-uppsats, KTH/Matematik (Avd.)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
3. Dynamic Covariance Modelling Using Generalised Wishart Processes
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. LÄS MER
4. Moving in the dark : Mathematics of complex pedestrian flows
Magister-uppsats, Karlstads universitet/Fakulteten för hälsa, natur- och teknikvetenskap (from 2013)Sammanfattning : The field of mathematical modelling for pedestrian dynamics has attracted significant scientific attention, with various models proposed from perspectives such as kinetic theory, statistical mechanics, game theory and partial differential equations. Often such investigations are seen as being a part of a new branch of study in the domain of applied physics, called sociophysics. LÄS MER
5. Modelling Renewable Energy Generation Forecasts on Luzon : A Minor Field Study on Statistical Inference Methods in the Environmental Sciences
Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)Sammanfattning : This project applies statistical inference methods to energy data from the island of Luzon in the Philippines. The goal of the project is to explore different ways of creating predictive models and to understand the assumptions that are made about reality when a certain model is selected. LÄS MER