Sökning: "observable market data"
Visar resultat 1 - 5 av 36 uppsatser innehållade orden observable market data.
1. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. LÄS MER
2. AI and Medical Devices – General guidance principles for SMEs to meet the regulatory demands on safety and efficacy in the EU in order to reach the market
Master-uppsats, KTH/Medicinteknik och hälsosystemSammanfattning : Artificial intelligence (AI) is the study of science, engineering, and the development of intelligent machines. AI is based on human intelligence with the exception that it is not restricted by biologically observable limitations. AI has developed rapidly over the past few years and has become important all over the world. LÄS MER
3. Modelling regime shifts for foreign exchange market data using hidden Markov models
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Financial data is often said to follow different market regimes. These regimes, which not possible to observe directly, are assumed to influence the observable returns. In this thesis such regimes are modeled using hidden Markov models. LÄS MER
4. Volatility Forecasting Performance : An evaluation of GARCH-class models
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility is considered among the most vital concepts of the financial market and is frequently used as a rough measure of the total risk of financial assets. Volatility is however not directly observable in practice; it must be estimated. The procedure in estimating and modeling volatility can be performed in numerous ways. LÄS MER
5. Market Microstructure Invariance, Bid-Ask Spreads and Impact Costs in the Swedish Stock Market : A Transaction Cost Analysis for Intraday Trading in Swedish Stocks
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : By studying high-frequency trading data for the Swedish stock market, as proxied by the OMXS30 index, we find that there exists an invariant relationship between transaction cost components and illiquidity. Specifically, we apply the notions of market microstructure and intraday trading invariance to confirm the existence of a proportional relationship between the relative bid-ask spread and an illiquidity measure comprised of observable financial market variables, such as trade volume, price and volatility. LÄS MER