Sökning: "volatility prediction model"
Visar resultat 11 - 15 av 46 uppsatser innehållade orden volatility prediction model.
11. The Influence of Gold Market on Bitcoin Prices : Is there a correlation?
Magister-uppsats, Jönköping University/Internationella HandelshögskolanSammanfattning : Background: This paper analyses the influence of fluctuation in gold market on bitcoin prices. Based on previous studies, in present market conditions, volatility in gold prices have caused price changes in several other major assets in the market, such as crude oil. Gold fluctuations are likely to stimulate uncertainty in some other major assets. LÄS MER
12. Comparison of Indirect Inference and the Two Stage Approach
Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : Parametric models are used to understand dynamical systems and predict its future behavior. It is difficult to estimate the model’s parametric values since there are usually many parameters and they are highly correlated. LÄS MER
13. PORTFOLIO OPTIMIZATION WITH CRYPTO ASSETS : Analyzing the Impact of the Investors' Subjective Views on Portfolio Risk
Master-uppsats, Umeå universitet/FöretagsekonomiSammanfattning : Cryptocurrencies’ population is growing continuously and so is their relevance for portfolio management theory. But as a new asset class with different characteristics and trading patterns, the inclusion of crypto assets to a portfolio brings several difficulties and many professional investors shy away from implementing them. LÄS MER
14. Forecasting Efficiency in Cryptocurrency Markets : A machine learning case study
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : Financial time-series are not uncommon to research in an academic context. This is possibly not only due to its challenging nature with high levels of noise and non-stationary data, but because of the endless possibilities of features and problem formulations it creates. LÄS MER
15. Volatility Forecasting using GARCH Processes with Exogenous Variables
Master-uppsats, KTH/Matematisk statistikSammanfattning : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. LÄS MER