Essays about: "Exponential Weighted Moving Average"

Showing result 1 - 5 of 6 essays containing the words Exponential Weighted Moving Average.

1. 1. Predicting Cryptocurrency Prices with Machine Learning Algorithms: A Comparative Analysis

   University essay from Blekinge Tekniska Högskola/Institutionen för datavetenskap

   Author : Harsha Nanda Gudavalli; Khetan Venkata Ratnam Kancherla; [2023]
   Keywords : Bitcoin; Cryptocurrency; Machine Learning;

   Abstract : Background: Due to its decentralized nature and opportunity for substantial gains, cryptocurrency has become a popular investment opportunity. However, the highly unpredictable and volatile nature of the cryptocurrency market poses a challenge for investors looking to predict price movements and make profitable investments. READ MORE

3. 2. Risk measurement of cryptocurrencies using value at risk and expected shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Van Cao Thi Hong; [2022]
   Keywords : cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

   Abstract : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). READ MORE

4. 3. Natural gas storage level forecasting using temperature data

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Daniel Sundin; [2020]
   Keywords : Natural gas storage forecasting; Natural gas storage; Natural gas; Storage forecasting; Forecasting; Futures; Futures forecasting; Natural gas futures forecasting; Least squares regression; Regression; Machine learning; Exponential Weighted Moving Average; Moving Average; EWMA; MA; Seasonality; Commodity futures; Optimisation; Inverse problems; Consumption forecasting; Production Forecasting; Residential; Commercial; Industrial; Electric power; NOAA; EIA; Pipelines; Polynomial; Weather stations;

   Abstract : Even though the theory of storage is historically a popular view to explain commodity futures prices, many authors focus on the oil price link. Past studies have shown an increased futures price volatility on Mondays and days when natural gas storage levels are released, which could both implicate that storage levels and temperature data are incorporated in the prices. READ MORE

5. 4. Anomaly Detection in Streaming Data from a Sensor Network

   University essay from KTH/Matematisk statistik

   Author : Egill Vignisson; [2019]
   Keywords : Anomaly Detection; Sequential Data; Semi-supervised Learning; Recurrent Neural Network; Applied Mathematics; Anomalidetektion; sekventiell data; halv-övervakad maskininlärning; återkommande neuralt nätverk; tillämpad matematik.;

   Abstract : In this thesis, the use of unsupervised and semi-supervised machine learning techniques was analyzed as potential tools for anomaly detection in the sensor network that the electrical system in a Scania truck is comprised of. The experimentation was designed to analyse the need for both point and contextual anomaly detection in this setting. READ MORE

6. 5. Can algorithmic trading beat the market? : An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index

   University essay from IHH, Economics, Finance and Statistics; IHH, Nationalekonomi

   Author : Ilya Kiselev; [2012]
   Keywords : Algorithmic trading; high-frequency trading; investment strategy;

   Abstract : The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). READ MORE