Sökning: "liquidity"

Visar resultat 1 - 5 av 371 uppsatser innehållade ordet liquidity.

  1. 1. Modeling of non-maturing deposits

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Fredrik Stavrén; Nikita Domin; [2019]
    Nyckelord :Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

    Sammanfattning : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. LÄS MER

  2. 2. The Next Tick on Nasdaq Stockholm: Predicting Price Direction in Limit Order Books Using Order Imbalance

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

    Författare :Jamil Al-Najjar; Julian Kramer; [2019]
    Nyckelord :high frequency trading; limit order books; order imbalance; price prediction;

    Sammanfattning : We explore complete Level II limit order books for eight stocks listed on Nasdaq Stockholm during 2016 and investigate the use of the imbalance between bid and ask volumes in predicting the direction of price change in an ultra-high-frequency environment. Specifically, we test whether a top-of-the-book (Level I) measure of order imbalance and a deeper-in-the-book (Level II) measure can predict the direction of a change in the mid-price of a security for up to three events before the change occurs. LÄS MER

  3. 3. Capital Structure Volatility: Is capital structure constant or a varying residual?

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

    Författare :Henrik Nilsson; Xiaopeng Hu; [2019]
    Nyckelord :Capital structure; debt flow volatility; cash flow constraint;

    Sammanfattning : This paper examines the phenomenon of capital structure instability among private- and publicly listed firms in Sweden during the years 2000-2016. We observe a high level of capital structure volatility among private firms, while public firms appear to be more stable. LÄS MER

  4. 4. Assessment of using liquidity index for the approximation of undrained shear strength of clay tills in Scania

    Master-uppsats, Lunds universitet/Geologiska institutionen

    Författare :Dagnija Andreasson; [2019]
    Nyckelord :clay till; undrained shear strength; liquidity index; CPT; Earth and Environmental Sciences;

    Sammanfattning : Undrained shear strength is a crucial parameter of the clay-rich sediments commonly used in the design process of geotechnical structures and is determined by several tests. As a considerable part of these tests are cost- and time consuming, it is of interest to investigate the potential relationship with shear strength (cu) with alternative, easily measurable parameters, such as liquidity index (IL). LÄS MER

  5. 5. En omtvistad premie - En studie av likviditetspremien på Stockholmsbörsen

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Helena Schennings; Ludwig Berglund; Linnéa Abrahamsson Svensson; [2019]
    Nyckelord :Likviditetspremie; Illikviditet; Likviditetsmått; Klienteleffekt; Flight-to-liquidity; Effektiva marknader; Stockholmsbörsen; Business and Economics;

    Sammanfattning : Studien syftar till att besvara frågan huruvida en signifikant likviditetspremie kan påvisas på Stockholmsbörsens small-, mid- och large-cap-listor för varje enskilt år under tidsperioden 2005 till och med 2015. Med utgångspunkt i resultaten ämnar studien bidra med en bedömning av huruvida investerare kompenseras för illikviditet på Stockholmsbörsen. LÄS MER