Essays about: "Gustav Furenmo"

Found 2 essays containing the words Gustav Furenmo.

1. 1. Predicting Corporate Takeover Outcomes Using Machine Learning

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Gustav Furenmo; [2020]
   Keywords : Random Forest; LASSO; Logistic Regression; Merger Arbitrage; Takeover Prediction; Business and Economics;

   Abstract : The aim of this thesis is to investigate if the machine learning based classification procedure, Random Forest, provides superior prediction performance compared to a logistic regression model fitted using the LASSO framework, when predicting outcomes in corporate takeover situations. This is done in the context of merger arbitrage, an event-driven investment strategy. READ MORE

3. 2. Are GARCH Models Appropriate for Analysing Volatility Structures in Fundamental Valuations of the OMXS30?

   University essay from Lunds universitet/Statistiska institutionen

   Author : Gustav Furenmo; [2019]
   Keywords : GARCH; OMXS30; financial time series; volatility; heteroscedasticity; stationarity; McLeod-Li test; normal distribution; student-t distribution; skewed student-t distribution; generalised error distribution; skewed generalised error distribution; Mathematics and Statistics;

   Abstract : This thesis investigates the volatility structures found in forward-looking fundamental valuations of the Swedish stock index OMXS30. The evaluated data constitutes daily observations of P/E ratios based on twelve months earnings estimates during the period 2009-01-02 until 2018-10-18. READ MORE