Sökning: "Random Walk"

Visar resultat 1 - 5 av 122 uppsatser innehållade orden Random Walk.

  1. 1. Testing the weak form EMH - An empirical study of the Swedish stock market

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Joel Frank; Viktor Öhrström; [2019-07-11]
    Nyckelord :;

    Sammanfattning : This thesis investigates whether the Swedish stock market shows signs of weak form efficiency between January 2012 and January 2019. Weekly data is gathered from the OMXSPI and from three indices of different capitalization segments, namely Large cap, Mid cap and Small cap. LÄS MER

  2. 2. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Peter Johansson; [2019-01-22]
    Nyckelord :Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Sammanfattning : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. LÄS MER

  3. 3. On Pollard's rho method for solving the elliptic curve discrete logarithm problem

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Jenny Falk; [2019]
    Nyckelord :elliptic curves; Pollard s rho method; elliptic curve discrete logarithm problem; cryptography; adding walk; mixed walk; cycle-detecting algorithm; iterating function; random walk;

    Sammanfattning :     Cryptosystems based on elliptic curves are in wide-spread use, they are considered secure because of the difficulty to solve the elliptic curve discrete logarithm problem. Pollard's rho method is regarded as the best method for attacking the logarithm problem to date, yet it is still not efficient enough to break an elliptic curve cryptosystem. LÄS MER

  4. 4. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Rostislav Sibirtsev; [2019]
    Nyckelord :Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Sammanfattning : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. LÄS MER

  5. 5. Värde- och momentuminvestering på den nordiska aktiemarknaden

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Måns Eile; Joel Fransson; [2019]
    Nyckelord :värde; momentum; momentuminvestering; värdeinvestering; nordiska; aktiemarknad; finans; CAPM; jensens alfa; sharpekvot; effektiva marknadshypotesen; Asness; Value and Momentum Everywhere; random walk; portföljvalsteori; diversifiering; Business and Economics;

    Sammanfattning : I detta arbete undersöks faktorinvestering genom en kombination av värde- och momentumfaktorer för aktier listade på OMX Nordic Lage Cap mellan 2007-2018. Asness (1997) samt Asness, Moskowitz och Pedersen (2013) påvisar en signifikant överavkastning genom en kombination av värde- och momentuminvestering för ett flertal finansiella tillgångar och marknader. LÄS MER