Essays about: "Gaussian Process"

Showing result 1 - 5 of 100 essays containing the words Gaussian Process.

  1. 1. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

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

    Author : Christopher Herron; André Zachrisson; [2020]
    Keywords : Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

    Abstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE

  2. 2. Early-Stage Prediction of Lithium-Ion Battery Cycle Life Using Gaussian Process Regression

    University essay from KTH/Matematisk statistik

    Author : Love Wikland; [2020]
    Keywords : Statistical learning; prediction; regression; Gaussian processes; lithium-ion battery; battery health; battery lifetime; Statistisk inlärning; prediction; regression; Gaussiska processer; litiumjonbatteri; batterihälsa; batterilivstid;

    Abstract : Data-driven prediction of battery health has gained increased attention over the past couple of years, in both academia and industry. Accurate early-stage predictions of battery performance would create new opportunities regarding production and use. READ MORE

  3. 3. Applying Machine Learning Algorithms for Anomaly Detection in Electricity Data : Improving the Energy Efficiency of Residential Buildings

    University essay from Uppsala universitet/Byggteknik och byggd miljö; Uppsala universitet/Byggteknik och byggd miljö

    Author : Herman Guss; Linus Rustas; [2020]
    Keywords : Machine learning; anomaly detection; K-means; Gaussian process regression;

    Abstract : The purpose of this thesis is to investigate how data from a residential property owner can be utilized to enable better energy management for their building stock. Specifically, this is done through the development of two machine learning models with the objective of detecting anomalies in the existing data of electricity consumption. READ MORE

  4. 4. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    University essay from Lunds universitet/Statistiska institutionen

    Author : Ludvig Göransson; [2020]
    Keywords : ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Abstract : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. READ MORE

  5. 5. CONSTRUCTION EQUIPMENT FUEL CONSUMPTION DURING IDLING : Characterization using multivariate data analysis at Volvo CE

    University essay from Mälardalens högskola/Akademin för ekonomi, samhälle och teknik

    Author : Mujtaba Hassani; [2020]
    Keywords : Idling condition; environmental effect; diesel fuel; machine learning; multivariate data analysis; partial least square regression; support vector machine regression; principal component analysis; principal component regression; correlation coefficient matrix; artificial neural network; exhaust emission reduction techniques; global warming; emission regulation; CO2 estimation techniques; Gaussian process regression;

    Abstract : Human activities have increased the concentration of CO2 into the atmosphere, thus it has caused global warming. Construction equipment are semi-stationary machines and spend at least 30% of its life time during idling. The majority of the construction equipment is diesel powered and emits toxic emission into the environment. READ MORE