Sökning: "Martingale"
Visar resultat 1 - 5 av 14 uppsatser innehållade ordet Martingale.
1. Are Distributional Variables Useful for Forecasting With the Phillips Curve?
C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomiSammanfattning : Does information on the distribution of wealth and income help us forecast aggregate macroeconomic variables? In this thesis, we study how adding such distributional variables to a standard forecasting model affects the forecast accuracy, in the context of inflation forecasting. Using the simulated inflation forecasting approach of Atkeson and Ohanian (2001), we perform a horse race between a textbook NAIRU Phillips curve to an extension augmented with variables from the wealth and income distributions. LÄS MER
2. The granddaddy of underreaction events: Post-earnings announcement drift and information noisiness on the Swedish market
D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringSammanfattning : This paper aims to answer the question of whether there is an existence of post-earnings announcement drift on the Swedish stock market and to what extent it can be explained by information noisiness. A sample of publicly listed firms on the Swedish stock market from 2002 to 2019 is used and the research design includes four different approaches to estimating earnings surprises which is a crucial step in investigating PEAD. LÄS MER
3. Random curves and their scaling limits
Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)Sammanfattning : We focus on planar Random Walks and some related stochastic processes. The discrete models are introduced and some of their core properties examined. We then turn to the question of continuous analogues, starting with the well-known convergence of the Random Walk to Brownian Motion. LÄS MER
4. Market Efficiency for Bitcoin
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The essence of market efficiency has been an interesting area for inspection by investors and scholars. In this study, we investigate the efficiency of a relatively new asset: Bitcoin. This paper examines the efficiency of Bitcoin by studying the impact of Bitcoin’s so-called halving dates. LÄS MER
5. Optimal Investment with Corporate Tax Payments
Master-uppsats, KTH/Matematisk statistikSammanfattning : This Master's thesis examines the problem of optimal investment when corporate taxes have to be paid on capital gains. Tax payments share a lot of similarities with payoff from a call option where the underlying is the firm's capital. LÄS MER