Sökning: "volatility prediction model"

Visar resultat 6 - 10 av 46 uppsatser innehållade orden volatility prediction model.

1. 6. Segmentation and Valuation in  Stockholm Housing Market : Spatial Continuous and Discontinuous Submarkets Evaluating by Hedonic Price Model and XGBoost Model

   Master-uppsats, KTH/Fastighetsekonomi och finans

   Författare :Xianglin Sun; [2023]
   Nyckelord : housing market segmentation ; spatial continuity ; hedonic price model ; XGBoost model ; segmentering av bostadsmarknaden ; rumslig kontinuitet ; hedonisk prismodell ; XGBoost modell ;

   Sammanfattning : The housing market segmentation could provide a reference for more targeted policymaking and investment strategies. Although there have been many studies, there are no consistent submarkets delineating methods because of a lack of theoretical support and subjective evaluation. In this paper, two market segmentation methods are introduced. LÄS MER

3. 7. Development of an investment model for pumped storage hydropower

   Magister-uppsats, Uppsala universitet/Elektricitetslära

   Författare :Pontus Gustavsson; Eric Swanmark; [2023]
   Nyckelord :pumped storage hydropower; investment models; energy storage; grid balancing;

   Sammanfattning : The energy market is evolving, with a prediction of heavily increased consumption and, consequently, increased production. In parallel, EU directives with targets prioritising fossil-free electricity production, reduction of greenhouse gas emissions and becoming climate neutral by 2050, poses a challenge for the current state of electricity production in the Nordics. LÄS MER

4. 8. The game of the electricity market : A game theoretical approach to investigate trading strategies in the Nordic electricity futures market

   Kandidat-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

   Författare :Camilla Hytter; [2023]
   Nyckelord :;

   Sammanfattning : With the background of the increasing volatility in the electricity market the recent years this thesis investigates the electricity futures market and the benefit for market participants to perform some trading strategy in order to increase profit or reduce risk. By modeling the market as a stochastic game the trader acts as a player in the game and with two simple models the player can predict the probability that the market moves up or down and take the appropriate position according to the prediction. LÄS MER

5. 9. 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

7. 10. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study

   Kandidat-uppsats,

   Författare :Isak Meding; Viking Zandhoff Westerlund; [2022-04-07]
   Nyckelord :Option pricing; Black-Scholes; Monte Carlo simulation; Jump Diffusion process;

   Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER