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Showing result 1 - 5 of 20 essays matching the above criteria.

1. 1. Spatial Price Equilibrium in the World Natural Gas Market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Linava Lahoni; Mattias Malmgren; [2023-02-09]
   Keywords : ;

   Abstract : Characteristic for the world natural gas market is that the markets in different continents are not completely integrated. In some cases, this leads to exceptionally large price differences. There are two reasons for this; first the technical difficulties related to shipping natural gas, second the pricing mechanism of the natural gas market. READ MORE

3. 2. Car Dealership Markups

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Philip Svärd; [2022]
   Keywords : Markups; Arbitrage; Dealership; Business and Economics;

   Abstract : The scope of this analysis is to evaluate what may affect the percentage markup on new and used cars sold by dealerships across the United States. The essay will also take into account shocks to market demand and supply as relevant factors that may affect markup. READ MORE

4. 3. Option Modelling by Deep Learning

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Niclas Klausson; Victor Tisell; [2021-02-10]
   Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

   Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

5. 4. Arbitrage Pricing Theory: A study on the Stockholm Stock

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Richard Johansson; Pierre Petersson; [2019-03-01]
   Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

   Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE

6. 5. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Adnan Berberovic; Alexander Eriksson; [2017]
   Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

   Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE