Essays about: "stock market indexes"

Showing result 1 - 5 of 48 essays containing the words stock market indexes.

1. 1. Into the Trading Book: Estimating Expected Shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Robin Eric Schmutz; Leonard Schneider; [2023]
   Keywords : Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

   Abstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE

3. 2. Forecasting the Nasdaq-100 index using GRU and ARIMA

   University essay from Uppsala universitet/Statistiska institutionen

   Author : David Cederberg; Daniel Tanta; [2022]
   Keywords : Neural network; GRU; ARIMA; stock market; forecasting; machine learning;

   Abstract : Today, there is an overwhelming amount of data that is being collected when it comes to financial markets. For forecasting stock indexes, many models rely only on historical values of the index itself. One such model is the ARIMA model. Over the last decades, machine learning models have challenged the classical time series models, such as ARIMA. READ MORE

4. 3. Turn-of-the-Month Effect : A study of the existence of a calendar effect on the Swedish stock market  

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : Dena Afshari; Jennifer Bergman; Martin Blomberg; [2022]
   Keywords : Calendar anomaly; Turn-of-the-month ToM effect; Covid-19 pandemic;

   Abstract : This thesis investigates the existence of the turn-of-the-month (ToM) effect on the Swedish stock market and further examines whether this calendar anomaly is persistent but different during the Covid-19 pandemic. The main purpose of this study is to determine if the ToM effect is significant in the Swedish stock market over twelve years, particularly during the Covid-19 pandemic. READ MORE

5. 4. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

   University essay from KTH/Matematik (Avd.)

   Author : Rafael Lavatt; [2022]
   Keywords : Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

   Abstract : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. READ MORE

6. 5. Safe Haven Assets During the COVID-19 Pandemic : a study of safe haven aspects of gold and Bitcoin in U.S. financial markets

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Erik Melin; Albert Pettersson; [2022]
   Keywords : TGARCH; GARCH; ARCH-LM; COVID-19; Gold; Bitcoin; Safe Haven; Hedge; Diversifier;

   Abstract : This paper explores the possibility of gold and Bitcoin acting as safe haven investments during the Corona pandemic. To answer the research question the authors use OLS-, GARCH-, and TGARCH-models. The S&P 500 stock- and S&P U.S. READ MORE