Sökning: "Multiple-multivariate time-series"

Hittade 2 uppsatser innehållade orden Multiple-multivariate time-series.

1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Simon Wahlberg; [2022]
   Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER

3. 2. Predicting Road Rut with a Multi-time-series LSTM Model

   Kandidat-uppsats, Högskolan Dalarna/Institutionen för information och teknik

   Författare :Henrik Backer-Meurke; Marcus Polland; [2021]
   Nyckelord :Multiple-multivariate time-series; Multi-time-series LSTM model; Recurrent Neural Networks; Machine Learning; Road rut forecasting;

   Sammanfattning : Road ruts are depressions or grooves worn into a road. Increases in rut depth are highly undesirable due to the heightened risk of hydroplaning. Accurately predicting increases in road rut depth is important for maintenance planning within the Swedish Transport Administration. LÄS MER