Essays about: "Markov chain properties"

Showing result 1 - 5 of 7 essays containing the words Markov chain properties.

  1. 1. Stock market analysis with a Markovian approach: Properties and prediction of OMXS30

    University essay from KTH/Matematisk statistik

    Author : Max Aronsson; Anna Folkesson; [2023]
    Keywords : Markov chain; OMXS30; Markov chain properties; voting ensemble model; markovkedja; OMXS30; egenskaper hos markovkedjor; ensemble-modell;

    Abstract : This paper investigates how Markov chain modelling can be applied to the Swedish stock index OMXS30. The investigation is two-fold. Firstly, a Markov chain is based on index data from recent years, where properties such as transition matrix, stationary distribution and hitting time are studied. READ MORE

  3. 2. Perron-Frobenius' Theory and Applications

    University essay from Linköpings universitet/Algebra, geometri och diskret matematik; Linköpings universitet/Tekniska fakulteten

    Author : Karl Eriksson; [2023]
    Keywords : Positive matrices; nonnegative matrices; Perron-Frobenius; linear dynamical systems; Leslie matrices; Markov chain; Google s PageRank algorithm; Positiva matriser; icke-negativa matriser; Perron-Frobenius; linjära dynamiska system; Leslie matris; Markov-kedja; Google s PageRank algoritm;

    Abstract : This is a literature study, in linear algebra, about positive and nonnegative matrices and their special properties. We say that a matrix or a vector is positive/nonnegative if all of its entries are positive/nonnegative. First, we study some generalities and become acquainted with two types of nonnegative matrices; irreducible and reducible. READ MORE

  4. 3. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns

    University essay from Lunds universitet/Matematisk statistik

    Author : Sigfrid Forsberg; [2022]
    Keywords : Markov Chain; Finance; Hidden Markov Model; Generalized Autoregressive Score Model; S P-500; Nikkei; Adaptive Model; Volatility; Regime-switching Model; Line-Search Algorithm; Predictor-Corrector; Quasi-Newton; Mathematics and Statistics;

    Abstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE

  5. 4. Optimization of Grid Connection Capacity for Onshore Wind Farms

    University essay from Uppsala universitet/Elektricitetslära

    Author : Patrik Wall; [2022]
    Keywords : icing; optimization; grid capacity; full-performance; power curve; Monte Carlo; Markov chain;

    Abstract : This thesis investigates if the profitability of a wind farm can be increased by reducing itscontracted grid capacity. Two years of SCADA data is cleaned from non- and partialperformance which is used to estimate a wake reduced annual power time series. READ MORE

  6. 5. The Milky Way and its Exoplanets

    University essay from Lunds universitet/Astronomi - Genomgår omorganisation

    Author : Jesper Nielsen; [2021]
    Keywords : Planets and Satellites; Exoplanets; Occurrence Rates; Physics and Astronomy;

    Abstract : The detections of over 4000 exoplanets as of today has shown that they exist in a wide range of different configurations, otherwise known as architectures. Recently, studies have been made trying to link the environment of host stars to the architectures of their planetary systems and have found that the architectures of planetary systems may not necessarily be uniform in the Milky Way. READ MORE