Essays about: "Markov Chain"

Showing result 1 - 5 of 126 essays containing the words Markov Chain.

1. 1. Branching Out with Mixtures: Phylogenetic Inference That’s Not Afraid of a Little Uncertainty

   University essay from KTH/Matematisk statistik

   Author : Ricky Molén; [2023]
   Keywords : Phylogeny; Bayesian analysis; Markov chain Monte Carlo; Variational inference; Mixture of proposal distributions; Fylogeni; Bayesiansk analys; Markov Chain Monte Carlo; Variationsinferens; Mixturer av förslagsfördelningar;

   Abstract : Phylogeny, the study of evolutionary relationships among species and other taxa, plays a crucial role in understanding the history of life. Bayesian analysis using Markov chain Monte Carlo (MCMC) is a widely used approach for inferring phylogenetic trees, but it suffers from slow convergence in higher dimensions and is slow to converge. READ MORE

3. 2. Stock market analysis with a Markovian approach: Properties and prediction of OMXS30

   University essay from KTH/Matematisk statistik

   Author : Max Aronsson; Anna Folkesson; [2023]
   Keywords : Markov chain; OMXS30; Markov chain properties; voting ensemble model; markovkedja; OMXS30; egenskaper hos markovkedjor; ensemble-modell;

   Abstract : This paper investigates how Markov chain modelling can be applied to the Swedish stock index OMXS30. The investigation is two-fold. Firstly, a Markov chain is based on index data from recent years, where properties such as transition matrix, stationary distribution and hitting time are studied. READ MORE

4. 3. On Predicting Price Volatility from Limit Order Books

   University essay from Uppsala universitet/Matematiska institutionen

   Author : Reza Dadfar; [2023]
   Keywords : General Compound Hawkes Process; Limit Order Book LOB ; High- Frequency Trading; Price Volatility; Markov Chain.;

   Abstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE

5. 4. Optimal Order Placement Using Markov Models of Limit Order Books

   University essay from KTH/Matematik (Avd.)

   Author : Max Oliveberg; [2023]
   Keywords : Optimal order placement; Limit order book; Markov; Optimal orderläggning; Orderbok; Markov;

   Abstract : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. READ MORE

6. 5. GPU-Based Path Optimization Algorithm in High-Resolution Cost Map with Kinodynamic Constraints : Using Non-Reversible Parallel Tempering

   University essay from Karlstads universitet/Fakulteten för hälsa, natur- och teknikvetenskap (from 2013)

   Author : Daniel Greenberg; [2023]
   Keywords : ;

   Abstract : This thesis introduces a GPU-accelerated algorithm for path planning under kinodynamic constraints, focusing on navigation of flying vehicles within a high-resolution cost map. The algorithm operates by creating dynamically feasible initial paths, and a non-reversible parallel tempering Markov chain Monte Carlo scheme to optimize the paths while adhering to the nonholonomic kinodynamical constraints. READ MORE