Sökning: "William Stocks"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden William Stocks.

  1. 1. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :William Nord-Nilsson; [2023]
    Nyckelord :Extreme Value Theory; Generative Adversarial Networks; Stress Testing; Machine Learning; Convolutional Neural Networks; evtGAN; Extreme Events; Extremvärdesteori; Generativa nätverk; Stresstestning; Maskininlärning; Djupt neuralt nätverk; evtGAN; Extrema händelser;

    Sammanfattning : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. LÄS MER

  3. 2. A Study on the Market and Movements of Cryptocurrencies

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

    Författare :William Isaksson; [2022]
    Nyckelord :Risk management; Portfolio analysis; Cryptocurrency; Nasdaq; Style analysis; PCA; Blockchain.;

    Sammanfattning : There has been much debate among investors on the benefits cryptocurrencies can have for portfolios and how their prices moves in the market. It is not difficult to see that cryptocurrencies are very volatile, yet that does not prevent investors from pouring tons of money in crypto-investments that either generate huge returns or catastrophic losses. LÄS MER

  4. 3. Impact of Transaction costs on dynamic portfolio optimizations : A comparison of active and passive investing in the realm of the Swedish stock market

    Magister-uppsats, Jönköping University/Internationella Handelshögskolan

    Författare :Toma Georgiev; Harbi Kurmakhadov; [2022]
    Nyckelord :Dynamic Optimization; Active Investing; Passive Investing; Transaction Costs; OMX30; Modern Portfolio Theory;

    Sammanfattning : A growing number of studies have been conducted in the sphere of portfolio analysis concerning different approaches for analyzing stocks and outperforming the market. Pioneers in the sphere of portfolio theory like William Sharpe and Harry Markowitz have developed strategies and ratios for portfolio analysis that could generate positive risk-adjusted returns. LÄS MER

  5. 4. By Vice or Virtue: Does it Pay Off to Sin During Market Downturns?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :William Sandell; Albin Lindgren; [2021]
    Nyckelord :Sin stocks; Socially responsible investing; Recession resistance; Alpha; Beta; Business and Economics;

    Sammanfattning : This paper investigates sin stock characteristics through relative return performance compared to the global market index MSCI World, defining stock defensiveness towards market movements (i.e. recession resistance) and abnormal amounts of excess returns. LÄS MER

  7. 5. Using LSTM Neural Networks To Predict Daily Stock Returns

    M1-uppsats, Linnéuniversitetet/Institutionen för datavetenskap och medieteknik (DM)

    Författare :Jon William Cavallie Mester; [2021]
    Nyckelord :LSTM; RNN; stock prediction; deep learning;

    Sammanfattning : Long short-term memory (LSTM) neural networks have been proven to be effective for time series prediction, even in some instances where the data is non-stationary. This lead us to examine their predictive ability of stock market returns, as the development of stock prices and returns tend to be a non-stationary time series. LÄS MER