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Visar resultat 1 - 5 av 18 uppsatser som matchar ovanstående sökkriterier.
1. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing
Master-uppsats, KTH/Matematisk statistikSammanfattning : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. LÄS MER
2. Green Bonds : A study on the signaling effects of issuing green bonds in the Swedish real estate sector
Master-uppsats, KTH/Fastighetsekonomi och finansSammanfattning : Green bonds have rapidly increased in popularity over the past years, and are often seen as afacilitator in achieving the Paris Agreement of limiting global warming to 2°C. The Swedishreal estate sector is one of the most frequent issuers in the Swedish green bond market, as itstands for 49% of the total volume outstanding. LÄS MER
3. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks
Master-uppsats, KTH/Matematik (Avd.)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
4. Nowcasting U.S. inflation using mixed frequency real-time data
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Different models were developed with the aim of nowcasting inflation at a daily basis with high frequency variables, while using real-time data to avoid look ahead bias. Both popular machine learning models such as Random Forest and XGBoost, and more traditional models such as UMIDAS and Almon distributed lag models were used to make the nowcasts. LÄS MER
5. The reallocation of capital towards green investments : A study on the EU Taxonomy Regulations
Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)Sammanfattning : The purpose of this study is to investigate how the introduction of the EU Taxonomy for sustainable activities will affect investors capital allocation towards green investments, and how it will impact the financial market. This master thesis has been conducted with a qualitative approach and semi-structured interviews. LÄS MER