Essays about: "Rolling Forecast"

Showing result 1 - 5 of 22 essays containing the words Rolling Forecast.

1. 1. Can Machine Learning improve inflation forecasting?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Emil Hansson; [2023]
   Keywords : Inflation Forecast; Machine Learning; Rolling Window; Time Series; Business and Economics;

   Abstract : This paper aims to compare and evaluate the performance of inflation forecasting performance for benchmark time series models and machine learning models. The process is performed for both a developed economy, the US, and an emerging economy, Mexico. READ MORE

3. 2. Road De-icing under a Rolling Horizon

   University essay from Uppsala universitet/Institutionen för informationsteknologi

   Author : Petr Binko; [2022]
   Keywords : ;

   Abstract : Road de-icing is part of the winter road maintenance sector, an area of interest to the Uppsala-based company BM System. In order to solve the road de-icing problem, BM System developed an optimisation engine which makes use of a local-search algorithm. READ MORE

4. 3. Inventory control of intermediatestorage in the steel industry:analysis of forecasting accuracyand erroneous products : Case study on SSAB, Oxelösund

   University essay from Karlstads universitet

   Author : Damian Mon Ke; [2022]
   Keywords : forecasting; forecasting accuracy; inventory control; simulation; discrete event simulation; data analysis;

   Abstract : The case study has been carried out at SSAB Oxelösund, where a major project is on the way to improve the system support for substance planning, to ensure that the right products are actually produced. Purpose: The purpose of this thesis is to analyze inventory control in intermediate storage within steel industry with data-driven methods and simulation. READ MORE

5. 4. Value at Risk estimation : A comparison between different models

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mathias Mattsson; [2021]
   Keywords : CAViaR; GARCH; Value at Risk; Backtesting;

   Abstract : In this thesis the performance of the quantile based CAV iaR models is evaluated and compared with GARCH models for predicting the Value at Risk. This is done by one step ahead out of sample prediction. The one step ahead out of sample prediction is done for the 500 observations at the end of the sample. READ MORE

6. 5. Classifying stock returns using high-frequency fundamental factors and convolutional neural networks

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Denis Dvinskikh; Axel Kotnik; [2021]
   Keywords : convolutional neural networks; fundamental factors; technical indicators; high-frequency stock prices; classification;

   Abstract : We evaluate the usefulness of high-frequency fundamental factor exposures of five US equities, between 2013 and 2017, as features for classifying and predicting the binary movements of the same stocks in 5-minute and 20-day intervals using Convolutional Neural Networks (CNN). After plotting rolling factor betas (Market, HML, SMB) and the close price of a given stock in the corresponding intervals, these time series are converted into images as Gramian Angular Difference Fields (GADF) and then concatenated to be fed to the CNN as input. READ MORE