Essays about: "Volatility Scaling"
Showing result 1 - 5 of 9 essays containing the words Volatility Scaling.
-
1. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market
University essay from KTH/Fastighetsföretagande och finansiella systemAbstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE
-
2. Pricing collateralized loan obligation tranches using machine learning : Machine learning applied to financial data
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Machine learning and neural networks have recently become very popular in a large category of domains, partly thanks to their ability to solve complex problems by finding patterns in data, but also due to an increase in computing power and data availability. Successful applications of machine learning include for example image classification, natural language processing, and product recommendation. READ MORE
-
3. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market
University essay from Göteborgs universitet/Graduate SchoolAbstract : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. READ MORE
-
4. Implementation of water electrolysis in Växjö´s combined heat and power plant and the use of excess heat : A techno-economic analysis
University essay from Linnéuniversitetet/Institutionen för byggd miljö och energiteknik (BET)Abstract : Renewable energies are fluctuating and the bigger its share on the Swedish energy market, the more fluctuating are the prices. Therefore, CHP plant operators as VEAB in Växjö, are more and more struggling to be competitive. READ MORE
-
5. HfO2 and ITO Resistive Random-Access Memory
University essay from Lunds universitet/Synkrotronljusfysik; Lunds universitet/Fysiska institutionenAbstract : The purpose of this work is of evaluating the choice of HfO2 and ITO as the dielectric and the top electrode in high performance resistive random-access memory (RRAM), respectively. The study is twofold, as it quantifies performance according to standard figures of merit for this technology, as well as provides insight into the physics of current conduction for this material choice. READ MORE