Essays about: "Finansiell prognos."

Showing result 1 - 5 of 6 essays containing the words Finansiell prognos..

1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   University essay from KTH/Matematik (Avd.)

   Author : Simon Wahlberg; [2022]
   Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

3. 2. Stock Market Forecasting Using SVM With Price and News Analysis

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Patrik Hansen; Sandi Vojcic; [2020]
   Keywords : Support vector machine; stock market; financialindicators; news; bag-of-words;

   Abstract : Many machine learning approaches have been usedfor financial forecasting to estimate stock trends in the future. Thefocus of this project is to implement a Support Vector Machinewith price and news analysis for companies within the technologysector as inputs to predict if the price of the stock is going torise or fall in the coming days and to observe the impact on theprediction accuracy by adding news to the technical analysis. READ MORE

4. 3. Multiple Time Series Analysis of Freight Rate Indices

   University essay from KTH/Matematisk statistik

   Author : Simon Koller; [2020]
   Keywords : VAR; Vector Autoregression; Impulse Response Function; Forecasting; Freight Rates; Shipping; Seaborne trade; BDI; BDTI.; VAR; Vektor Autoregression; Impulse Response Function; Prognostisering; Fraktrater; Sjöfart; Sjöburen Frakt; BDI; BDTI.;

   Abstract : In this master thesis multiple time series of shipping industry and financial data are analysed in order to create a forecasting model to forecast freight rate indices. The data of main interest which are predicted are the two freight rate indices, BDI and BDTI, from the Baltic Exchange. READ MORE

5. 4. Bankruptcy Distributions and Modelling for Swedish Companies Using Logistic Regression

   University essay from KTH/Matematisk statistik

   Author : Jacob Ewertzh; [2019]
   Keywords : Applied mathematics; Financial mathematics; Statistics; Logistic regression; bankruptcy distribution; bankruptcy models; Forecasting and risk measures; Tillämpad matematik; Finansiell matematik; Statistik; Logistisk regression; konkursfördelning; konkursmodeller; Prognos och riskmått;

   Abstract : This thesis discusses the concept of bankruptcy, or default, for Swedish companies. The actual distribution over time is considered both on aggregate level and within different industries. Several models are constructed to best possible describe the default frequency. READ MORE

6. 5. Forecasting the Business Cycle using Partial Least Squares

   University essay from KTH/Matematisk statistik

   Author : Fredrik Lannsjö; [2014]
   Keywords : Quantitative Forecast; Partial Least Squares; Variable Selection; High-dimensional Regression; Big Data; Business Cycle; Leading Indicators;

   Abstract : Partial Least Squares is both a regression method and a tool for variable selection, that is especially appropriate for models based on numerous (possibly correlated) variables. While being a well established modeling tool in chemometrics, this thesis adapts PLS to financial data to predict the movements of the business cycle represented by the OECD Composite Leading Indicators. READ MORE