Essays about: "Intraday Markets"

Showing result 1 - 5 of 16 essays containing the words Intraday Markets.

  1. 1. Forecasting Electricity Prices for Intraday Markets with Machine Learning : An exploratory comparison of the state of the art

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

    Author : Panagiotis-Christos Kotsias; [2022]
    Keywords : Electricity Trading; Intraday Market; Price Forecasting; Machine Learning; Elhandel; Intradagsmarknad; Prisprognoser; Maskininlärning;

    Abstract : Electricity needs to be consumed when it is produced, making sure that supply closely meets demand at all times. To account for the rapidly changing operational status and the need for increasing the flexibility of power systems, financial instruments have been put in place creating markets where electricity is traded as a commodity across different time frames; from months or days to minutes before, or even after, planned delivery. READ MORE

  3. 2. Intraday Stock Price Variability Around Quarterly Earnings Announcements: Are markets efficient at interpreting quarterly earnings announcements?

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Anton Ljungnér; [2022]
    Keywords : Efficient Market Hypothesis EHM ; Stock price variability; Earnings announcements; Post-earnings-announcement drift; Daily Price Range DPR ;

    Abstract : This study examines the market reactions to earnings announcements and investigates the relationship between market cap segment and stock price variability around quarterly earnings announcements, on the Nasdaq OMX Stockholm main market during the year of 2021. Consistent with theoretical hypothesis, the empirical analysis shows that in the days surrounding an announcement of earnings, the abnormal intraday price ranges are elevated, and the elevated ranges are sustained for up to eight days following an announcement. READ MORE

  4. 3. An evaluation of Deep Learning for directional electricity price spread forecasting : in the Nord Pool bidding area SE3

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

    Author : Nils Lindberg Odhner; [2021]
    Keywords : Electricity exchange; Price spread forecasting; Deep Learning; Nord Pool; Day-ahead; Intraday; Elbörsen; Prisskillnads prognoser; Djupinlärning; Nord Pool; Day-ahead; Intraday;

    Abstract : Commonly, the day-ahead and intraday market on the electricity exchange are treated separately in academia. However, a model that forecasts the direction of the price spread between these two markets creates an opportunity for a market participant to leverage the price spread. READ MORE

  5. 4. Intraday Volatility Surface Calibration

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Tobias Blomé; Adam Törnqvist; [2020]
    Keywords : ;

    Abstract : On the financial markets, investors search to achieve their economical goals while simultaneously being exposed to minimal risk. Volatility surfaces are used for estimating options' implied volatilities and corresponding option prices, which are used for various risk calculations. READ MORE

  6. 5. Market Reactions to Stock Recommendations in Business Media: An Event Study on Publications by Börsplus

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Lucas Häggström; [2020]
    Keywords : Efficient Market Hypothesis; Price Pressure Hypothesis; Information Hypothesis; Business Media; Stock Recommendations;

    Abstract : The aim of this thesis was to further the understanding of how business media affects stock markets. That was achieved by studying market reactions to the publication of stock recommendations by Börsplus on the Swedish stock market during the minutes and days following the publication of the recommendations. READ MORE