Sökning: "zakris"

Hittade 2 uppsatser innehållade ordet zakris.

  1. 1. Matrix factorization in recommender systems : How sensitive are matrix factorization models to sparsity?

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Zakris Strömqvist; [2018]
    Nyckelord :Recommender systems; Collaborative filtering; Matrix factorization;

    Sammanfattning : One of the most popular methods in recommender systems are matrix factorization (MF) models. In this paper, the sensitivity of sparsity of these models are investigated using a simulation study. Using the MovieLens dataset as a base several dense matrices are created. LÄS MER

  3. 2. Managing the extremes : An application of extreme value theory to financial risk management

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Zakris Strömqvist; Jesper Petersen; [2016]
    Nyckelord :Financial econometrics; Extreme Value Theory; Value-at-Risk; Volatility models; Risk management;

    Sammanfattning : We compare the traditional GARCH models with a semiparametric approach based on extreme value theory and find that the semiparametric approach yields more accurate predictions of Value-at-Risk (VaR). Using traditional parametric approaches based on GARCH and EGARCH to model the conditional volatility, we calculate univariate one-day ahead predictions of Value-at-Risk (VaR) under varying distributional assumptions. LÄS MER