Sökning: "Syntetiska tidsserier"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Syntetiska tidsserier.

1. 1. An empirical study of the impact of data dimensionality on the performance of change point detection algorithms

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Léo Noharet; [2023]
   Nyckelord :Time series segmentation; Change point detection; Multivariate time series; Data dimensionality; Tidsserie-segmentering; Förändringspunkts detektering; Mulitvariabla tidsserier; Data dimentionalitet;

   Sammanfattning : When a system is monitored over time, changes can be discovered in the time series of monitored variables. Change Point Detection (CPD) aims at finding the time point where a change occurs in the monitored system. LÄS MER

3. 2. 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

4. 3. Viability Evaluation of the Turtle Trading Rules on Major Market Indexes

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Malkolm Larsson; Johan Lövgren; [2022]
   Nyckelord :The Turtle Trading Rules; Asset Management; Geometric Brownian Motion; Market Index; MSCI Index; Turtle Trading-reglerna; kapitalförvaltning; geometrisk brownsk rörelse; marknadsindex; MSCI-index;

   Sammanfattning : The Turtle Trading Rules was a successful trend-following trading strategy for commodities in the 1980s but has lost recognition in recent days. The strategy revolved around rules for entering and exiting trades as well as position sizing for each trade. LÄS MER

5. 4. Time-series Generative Adversarial Networks for Telecommunications Data Augmentation

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Hamid Dimyati; [2021]
   Nyckelord :Telecommunication; Time- series Forecasting; Data Augmentation; Generative Adversarial Networks; Telekommunikation; Prognoser för Tidsserier; Dataförstoring; Generative Adversarial Networks;

   Sammanfattning : Time- series Generative Adversarial Networks (TimeGAN) is proposed to overcome the GAN model’s insufficiency in producing synthetic samples that inherit the predictive ability of the original timeseries data. TimeGAN combines the unsupervised adversarial loss in the GAN framework with a supervised loss adopted from an autoregressive model. LÄS MER

7. 5. Unsupervised Anomaly Detection on Time Series Data: An Implementation on Electricity Consumption Series

   Master-uppsats, KTH/Matematisk statistik

   Författare :Amelia Lindroth Henriksson; [2021]
   Nyckelord :Unsupervised learning; machine learning; anomaly detection; time series; electricity consumption; synthetic anomalies; DBSCAN; LOF; iForest; OC-SVM; Oövervakad inlärning; maskininlärning; anomalidetektion; tidsserier; elförbrukning; syntetiska anomalier; DBSCAN; LOF; iForest; OC-SVM;

   Sammanfattning : Digitization of the energy industry, introduction of smart grids and increasing regulation of electricity consumption metering have resulted in vast amounts of electricity data. This data presents a unique opportunity to understand the electricity usage and to make it more efficient, reducing electricity consumption and carbon emissions. LÄS MER