Sökning: "forecasting stock market volatility"

Visar resultat 1 - 5 av 31 uppsatser innehållade orden forecasting stock market volatility.

  1. 1. Aktiemarknadsprognoser: En jämförande studie av LSTM- och SVR-modeller med olika dataset och epoker

    Kandidat-uppsats, Malmö universitet/Fakulteten för teknik och samhälle (TS)

    Författare :Mads Nørklit Johansen; Jagtej Sidhu; [2023]
    Nyckelord :Stock Market Prediction; Long-Short Term Memory; Support Vector Regression; Prediction Accuracy; Financial Investments;

    Sammanfattning : Predicting stock market trends is a complex task due to the inherent volatility and unpredictability of financial markets. Nevertheless, accurate forecasts are of critical importance to investors, financial analysts, and stakeholders, as they directly inform decision-making processes and risk management strategies associated with financial investments. LÄS MER

  3. 2. LSTM-based Directional Stock Price Forecasting for Intraday Quantitative Trading

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

    Författare :Isabella Mustén Ross; [2023]
    Nyckelord :Deep Learning; Long-Short-Term-Memory LSTM ; ARIMA; Financial Time Series Forecasting; Algorithmic Trading; Intraday Trading; Stock Prediction; Djupinlärning; LSTM; ARIMA; finansiella tidsserier; algoritmisk aktiehandel; intradagshandel; aktieprediktion;

    Sammanfattning : Deep learning techniques have exhibited remarkable capabilities in capturing nonlinear patterns and dependencies in time series data. Therefore, this study investigates the application of the Long-Short-Term-Memory (LSTM) algorithm for stock price prediction in intraday quantitative trading using Swedish stocks in the OMXS30 index from February 28, 2013, to March 1, 2023. LÄS MER

  4. 3. Predicting the Future with Stock Market Liquidity: A Study of the Swedish Stock Market Liquidity as a Leading Indicator of the Future Business Cycle

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

    Författare :Sofia Derninger; Anna Hagman; [2022]
    Nyckelord :Stock Market Liquidity; Business Cycle; Forecasting; Recession; Sweden;

    Sammanfattning : Using daily stock data from the Stockholm Stock Exchange, this paper investigates the relationship between stock market liquidity and the real economy. We find restricted support for stock market liquidity containing leading information about real economic growth. LÄS MER

  5. 4. Forecasting the Volatility of an Optimal Portfolio using the GARCH(1,1) Model

    Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Tilemachos Marmaras; Eili Alkar; [2022]
    Nyckelord :Volatility forecasting; Optimal portfolio; GARCH 1; 1 ; Stock market; Investing;

    Sammanfattning : In this thesis, we have built an optimal portfolio using five assets from the Japanese market. We have investigated the use of GARCH(1,1) when forecasting the volatility of our optimal portfolio. Different time periods have been considered for optimizing our results. An equally-weighted portfolio has been used as a benchmark. LÄS MER

  7. 5. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Simon Molin; [2021]
    Nyckelord :;

    Sammanfattning : Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. LÄS MER