Sökning: "Ornstein-Uhlenbeck model"

Visar resultat 6 - 10 av 12 uppsatser innehållade orden Ornstein-Uhlenbeck model.

1. 6. The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Jianbo Wang; Jianyang Fang; [2017]
   Nyckelord :statistical arbitrage; Ornstein-Uhlenbeck model; GARCH model; Business and Economics;

   Sammanfattning : Statistical arbitrage is widely used in the quantitative based trading strategies. In this paper, we mainly use Ornstein-Uhlenbeck (O-U) process model and the GARCH model to estimate the parameters and verify trading signals for the statistical arbitrage. In addition, a new model is created through the combination of O-U model and GARCH model. LÄS MER

3. 7. Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments

   Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

   Författare :Richard Ruthberg; Sebastian Wogenius; [2016]
   Nyckelord :Energy investment; investment valuation; renewable energy production; electricity price modeling; long-term; combined heat and power; CHP; balancing power; intermittent renewable energy modeling; Pilipovic model; multi-factor model; sinusoidal regression; Ornstein-Uhlenbeck estimation; electricity price duration prediction; Nord Pool; Sweden electricity market; future energy systems; phasing out nuclear power; energy policy.;

   Sammanfattning : Introducing more intermittent renewable energy sources in the energy system makes the role of balancing power more important. Furthermore, an increased infeed from intermittent renewable energy sources also has the effect of creating lower and more volatile electricity prices. LÄS MER

4. 8. Long Time Integration of Molecular Dynamics at Constant Temperature with the Symplectic Euler Method

   Master-uppsats, KTH/Numerisk analys, NA

   Författare :Jesper Böjeryd; [2015]
   Nyckelord :The symplectic Euler method; Ornstein-Uhlenbeck process; Molecular dynamics; Long time integration; Canonical ensemble; Constant temperature; Symplektisk Euler; Ornstein-Uhlenbeck-process; molekyldynamik; integration över lång tid; kanonisk ensemble; konstant temperatur.;

   Sammanfattning : Simulations of particle systems at constant temperature may be used to estimate several of the system’s physical properties, and some require integration over very long time to be accurate. To achieve sufficient accuracy in finite time the choice of numerical scheme is important and we suggest to use the symplectic Euler method combined with a step in an Ornstein-Uhlenbeck process. LÄS MER

5. 9. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
   Nyckelord :Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

   Sammanfattning : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. LÄS MER

7. 10. Estimating and Testing Risk Approaches: A Technical Analysis using Affine Term Structure Models, Monte Carlo Simulation and GARCH Method

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Daniel Svensson; [2011]
   Nyckelord :Economics; Econometrics; Value-at-Risk; Monte Carlo Simulation; GARCH Method; Business and Economics;

   Sammanfattning : This paper investigates if the Log-Normal Mean-Reverting Ornstein-Uhlenbeck spot price (LNMROU) and the Vasicek (1977) process can forecast Value-at-Risk (VaR) using the Monte Carlo method. The results from LNMROU are validated against Delta-Normal-GARCH (DNG) and Historical Simulation (HS) which are well known approaches for VaR estimations. LÄS MER