Essays about: "Asset price volatility"

Showing result 1 - 5 of 33 essays containing the words Asset price volatility.

  1. 1. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Aron Andersson; Shabnam Mirkhani; [2020]
    Keywords : Recurrent Neural network RNN ; long short-term memory LSTM ; portfolio optimization; markowitz; exponential moving average; sharpe ratio; heteroskedasticity; Markowitz;

    Abstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE

  2. 2. Do dark pools affect asset price volatility? A Study of the US Equity Market.

    University essay from

    Author : Sara Andersson; Josefin Johansson; [2019-07-08]
    Keywords : Dark pools; Asset price volatility; US equity market; Alternative trading systems; Dark trading;

    Abstract : Recent years there has been an increased usage of dark pools followed by a rise in interest to study the field. During 2018, 14% of the US equity trading was made in dark pools. It is therefore highly relevant to consider dark pools effect on market qualities such as asset price volatility. READ MORE

  3. 3. Does ETF Ownership Increase Stock Volatility?

    University essay from

    Author : Daniel Bysted; John Lundkvist; [2019-07-05]
    Keywords : Exchange Traded Fund; Stock Volatility; EFT ownership; Arbitrage;

    Abstract : Exchange Traded Funds (ETFs) are supposed to be priced equal to the net asset value of their underlying stocks, if not, opportunities of arbitrage occur and are quickly corrected by arbitrageurs. When a demand or liquidity shock hits the ETF market, the price of the underlying stocks are affected due to arbitrage trading. READ MORE

  4. 4. Estimation methods for Asian Quanto Basket options

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : David Adolfsson; Tom Claesson; [2019]
    Keywords : Monte Carlo simulation; Estimation; Option; Taylor expansion; Sensitivities; Price interpolation; Grid;

    Abstract : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. READ MORE

  5. 5. Asymptotic results for American option prices under extended Heston model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Veronica Teri; [2019]
    Keywords : American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility;

    Abstract : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. READ MORE