Essays about: "Markovian model"

Showing result 1 - 5 of 13 essays containing the words Markovian model.

  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. On Predicting Price Volatility from Limit Order Books

    University essay from Uppsala universitet/Matematiska institutionen

    Author : Reza Dadfar; [2023]
    Keywords : General Compound Hawkes Process; Limit Order Book LOB ; High- Frequency Trading; Price Volatility; Markov Chain.;

    Abstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE

  4. 3. A Markovian Approach to Financial Market Forecasting

    University essay from KTH/Matematisk statistik

    Author : Kevin Sun Wang; William Borin; [2023]
    Keywords : Markov chain; Markov model; stock market prediction; Laplace smoothing; steady-state; forecasting; trading strategy; stochastic; trading algorithm; Markovkedjor; Markovmodell; prediktion; Laplace-jämning; stationär fördelning; tradingstrategi; stokastisk; trading algoritm;

    Abstract : This thesis aims to investigate the feasibility of using a Markovian approach toforecast short-term stock market movements. To assist traders in making soundtrading decisions, this study proposes a Markovian model using a selection ofthe latest closing prices. READ MORE

  5. 4. Wait Time Estimation in Distributed Multitenant Systems : Using Queuing Theory

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

    Author : Zainab Alsaadi; [2022]
    Keywords : Queue management; Estimated Wait Time; Position in Queue; Multi-tenant architecture; Queuing models; Queuing theory; The theory of mass service; Köhantering; Estimerad väntetid; Plats i kö; Fleranvändarsystem; Betjäningssystem; Köteori; Teorin för masservice;

    Abstract : Queueing theory is widely used in practical queuing applications. It can be applied for specific models of queuing systems, especially the ones that follow the Markovian property. Its purpose is to predict system behaviour in order to be used for performance optimization. READ MORE

  6. 5. Particle-Based Online Bayesian Learning of Static Parameters with Application to Mixture Models

    University essay from KTH/Matematisk statistik

    Author : Rutger Fuglesang; [2020]
    Keywords : Statistics; applied mathematics; sequential monte carlo; SMC; Statistical inference; Statisk; sekventiell monte carlo; SMC; tillämpad matematik;

    Abstract : This thesis investigates the possibility of using Sequential Monte Carlo methods (SMC) to create an online algorithm to infer properties from a dataset, such as unknown model parameters. Statistical inference from data streams tends to be difficult, and this is particularly the case for parametric models, which will be the focus of this paper. READ MORE