Sökning: "Ornstein-Uhlenbeck process"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Ornstein-Uhlenbeck process.

1. 1. Approximating Quasistationary Distributions Using Deep Learning

   Master-uppsats, KTH/Matematisk statistik

   Författare :Björn Wehlin; [2022]
   Nyckelord :Applied Mathematics; Deep Learning; Probability Theory; Stochastic Processes; Ito Diffusions; Quasistationary Distributions; Tillämpad matematik; djupinlärning; sannolikhetsteori; stokastiska processer; Ito-diffusioner; kvasistationära fördelningar;

   Sammanfattning : We study a class of It\={o} diffusion processes on domains with smooth boundary, at which the process is killed. Such a process, when conditioned on non-extinction, gives rise to a stationary state known as a \emph{quasistationary distribution} (QSD). LÄS MER

3. 2. FX Trading Using Gaussian Processes

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Ahmed Daadooch; [2018]
   Nyckelord :Gaussian Process Regression; Trading; FX; Foreign Exchange; Machine Learning; Business and Economics;

   Sammanfattning : Machine learning and its application within finance have gained popularity the last decade. The traditional trading roles are changing rapidly and are being increasingly automated with algorithmic trading strategies, by proprietary trading firms, market makers, and other financial institutions. LÄS MER

4. 3. 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

5. 4. 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

7. 5. 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