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Visar resultat 1 - 5 av 47 uppsatser som matchar ovanstående sökkriterier.

  1. 1. 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

  3. 2. 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

  4. 3. Dynamic Covariance Modelling Using Generalised Wishart Processes

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Fredrik Nilsson; [2023]
    Nyckelord :Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

    Sammanfattning : 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

  5. 4. Moving in the dark : Mathematics of complex pedestrian flows

    Magister-uppsats, Karlstads universitet/Fakulteten för hälsa, natur- och teknikvetenskap (from 2013)

    Författare :Meghashyam Veluvali; [2023]
    Nyckelord :Mathematical modelling of pedestrian dynamics; stochastic systems; evacuation time; random walk method; parabolic equation; finite difference method;

    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

  7. 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)

    Författare :Tufva Linde; [2023]
    Nyckelord :Sustainable development; energy data; Luzon; linear regression; Markov Chain models;

    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