Sökning: "Multivariate Financial Time Series"

Visar resultat 1 - 5 av 14 uppsatser innehållade orden Multivariate Financial Time Series.

1. 1. Evaluating clustering techniques in financial time series

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för systemteknik

   Författare :Johan Millberg; [2023]
   Nyckelord :clustering; machine learning; financial time series; time series; unsupervised learning; cluster validation; cluster evaluation; klustring; klusteranalys; finansiella tidsserier; maskininlärning; klustervalidering; evalueringsteknik;

   Sammanfattning : This degree project aims to investigate different evaluation strategies for clustering methodsused to cluster multivariate financial time series. Clustering is a type of data mining techniquewith the purpose of partitioning a data set based on similarity to data points in the same cluster,and dissimilarity to data points in other clusters. LÄS MER

3. 2. Machine learning for detecting financial crime from transactional behaviour

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Signaler och system

   Författare :Markus Englund; [2023]
   Nyckelord :machine learning; deep learning; financial crime; time series; time series classification; XGBoost; maskininlärning; djupinlärning; finansiell brottslighet; tidsserier; klassificering av tidsserier; XGBoost;

   Sammanfattning : Banks and other financial institutions are to a certain extent obligated to ensure that their services are not utilized for any type of financial crime. This thesis investigates the possibility of analyzing bank customers' transactional behaviour with machine learning to detect if they are involved in financial crime. LÄS MER

4. 3. 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

5. 4. Forecasting checking account balance : Using supervised machine learning

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för systemteknik

   Författare :Martin Dannelind; [2022]
   Nyckelord :Time series forecasting; account balance forecasting; economic predicition; Python; GRU; LSTM; RNN; XGBoost; prophet; checking account;

   Sammanfattning : The introduction of open banking has made it possible for companies to build the next generation of applications based on transactional data. Enabling economic forecasts which private individuals can use to make responsible financial decisions. This project investigated forecasting account balances using supervised learning. LÄS MER

7. 5. Univariat tidsserieanalys : En fallstudie i riskhantering på logistikavdelningen, Cytiva Umeå

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Martin Trigell; [2021]
   Nyckelord :Supply chain; Risk management; Autoregression; Time series analysis;

   Sammanfattning : There is little room for error when the societally important production must increase in a fast-growing company in the midst of the corona pandemic. In order for production to be able to increase, process flow and an enormous amount of data must be analyzed and described in detail in order to provide a good foundation to be able to create new efficient processes where risks are minimized so that the production can continue without problems. LÄS MER