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Showing result 21 - 25 of 62 essays matching the above criteria.

  1. 21. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

    University essay from Lunds universitet/Matematisk statistik

    Author : Isabelle Frodé; Viktor Sambergs; [2022]
    Keywords : xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

    Abstract : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. READ MORE

  3. 22. 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. 23. Taskfinder : Comparison of NLP techniques for textclassification within FMCG stores

    University essay from Uppsala universitet/Institutionen för elektroteknik

    Author : Julius Jensen; [2022]
    Keywords : LSTM; GRU; Text classification; RNN; Naive bayes;

    Abstract : Natural language processing has many important applications in today, such as translations, spam filters, and other useful products. To achieve these applications supervised and unsupervised machine learning models, have shown to be successful. The most important aspect of these models is what the model can achieve with different datasets. READ MORE

  5. 24. Scenario Generation For Vehicles Using Deep Learning

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

    Author : Jay Patel; [2022]
    Keywords : Scenario generation; Mixture Density Network; Gaussian Mixture Model; Autonomous driving; Semantic Graph Network; Scenariogenerering; Mixture Density Network; Gaussian Mixture Model; Autonom körning; Semantic Graph Network;

    Abstract : In autonomous driving, scenario generation can play a critical role when it comes to the verification of the autonomous driving software. Since uncertainty is a major component in driving, there cannot be just one right answer to a prediction for the trajectory or the behaviour, and it becomes important to account for and model that uncertainty. READ MORE

  6. 25. Forecasting checking account balance : Using supervised machine learning

    University essay from Uppsala universitet/Avdelningen för systemteknik

    Author : Martin Dannelind; [2022]
    Keywords : Time series forecasting; account balance forecasting; economic predicition; Python; GRU; LSTM; RNN; XGBoost; prophet; checking account;

    Abstract : The introduction of open banking has made it possible for companies to build the next generation of applications based on transactional data. Enabling economic forecasts which private individuals can use to make responsible financial decisions. This project investigated forecasting account balances using supervised learning. READ MORE