Essays about: "random walk model"

Showing result 1 - 5 of 62 essays containing the words random walk model.

1. 1. Spatio-temporal analysis of COVID-19 in Västra Götaland, Sweden

   University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

   Author : Natalia Andreeva; [2023-08-23]
   Keywords : ;

   Abstract : Spatio-temporal analysis of COVID-19 data with the two different statistical approaches is the main objective of this thesis. The first classical approach, the Endemic-Epidemic framework (Held et al., 2005) is a class of multivariate time-series models for the incidence counts, obtained from the surveillance systems. READ MORE

3. 2. Does the Level of Swedish Economic Policy Uncertainty Help Forecast Excess Returns on the Swedish Stock Market?

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Gustav Jacobsson; Oscar Klersell; [2023]
   Keywords : Economic Policy Uncertainty EPU ; Excess stock returns; Out-of-sample forecasting; Random walk; Sweden;

   Abstract : This thesis examines whether the level of Swedish economic policy uncertainty (EPU) can predict excess returns on the Swedish stock market. We run out-of-sample forecasting using an EPU-based predictive model constructed with the official Swedish EPU index developed by Armelius et al. (2017). READ MORE

4. 3. Artificial Neural Networks for Financial Time Series Prediction

   University essay from Stockholms universitet/Institutionen för data- och systemvetenskap

   Author : Dana Malas; [2023]
   Keywords : artificial neural networks; time series analysis; deep learning; finance; long short-term memory; simple moving average;

   Abstract : Financial market forecasting is a challenging and complex task due to the sensitivity of the market to various factors such as political, economic, and social factors. However, recent advances in machine learning and computation technology have led to an increased interest in using deep learning for forecasting financial data. READ MORE

5. 4. Portfolio Risk Modelling in Venture Debt

   University essay from KTH/Matematisk statistik

   Author : John Eriksson; Jacob Holmberg; [2023]
   Keywords : Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

   Abstract : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. READ MORE

6. 5. Forecasting Monthly Swedish Air Traveler Volumes

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mark Becker; Peter Jarvis; [2023]
   Keywords : Forecasting; SARIMA; Neural network autoregression; Exponential smoothing; the Prophet model; Random Walk; MAE; MAPE; RMSE;

   Abstract : In this paper we conduct an out-of-sample forecasting exercise for monthly Swedish air traveler volumes. The models considered are multiplicative seasonal ARIMA, Neural network autoregression, Exponential smoothing, the Prophet model and a Random Walk as a benchmark model. READ MORE