Essays about: "Martingale"

Showing result 1 - 5 of 14 essays containing the word Martingale.

  1. 1. Are Distributional Variables Useful for Forecasting With the Phillips Curve?

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Elsa Rosengren; Pippa Johns; [2024]
    Keywords : Distributional Variables; Heterogeneous Agents; Inflation; Phillips Curve; Inequality;

    Abstract : Does information on the distribution of wealth and income help us forecast aggregate macroeconomic variables? In this thesis, we study how adding such distributional variables to a standard forecasting model affects the forecast accuracy, in the context of inflation forecasting. Using the simulated inflation forecasting approach of Atkeson and Ohanian (2001), we perform a horse race between a textbook NAIRU Phillips curve to an extension augmented with variables from the wealth and income distributions. READ MORE

  3. 2. The granddaddy of underreaction events: Post-earnings announcement drift and information noisiness on the Swedish market

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

    Author : Sofia Berlin; Gustav Sandelin; [2023]
    Keywords : Post-earnings announcement drift; market efficiency; earnings surprises; information noisiness; stock price synchronicity;

    Abstract : This paper aims to answer the question of whether there is an existence of post-earnings announcement drift on the Swedish stock market and to what extent it can be explained by information noisiness. A sample of publicly listed firms on the Swedish stock market from 2002 to 2019 is used and the research design includes four different approaches to estimating earnings surprises which is a crucial step in investigating PEAD. READ MORE

  4. 3. Random curves and their scaling limits

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Jonatan Wächter; [2023]
    Keywords : Stochastic processes; Schramm-Loewner-Evolution; Random Walk; Brownian Motion; Harmonic Explorer;

    Abstract : We focus on planar Random Walks and some related stochastic processes. The discrete models are introduced and some of their core properties examined. We then turn to the question of continuous analogues, starting with the well-known convergence of the Random Walk to Brownian Motion. READ MORE

  5. 4. Market Efficiency for Bitcoin

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pirachtha Taechawattananant; Hasan Kashmar; [2021]
    Keywords : Bitcoin; Efficiency Market Hypothesis; Adaptive Market Hypothesis; Halving Events; Business and Economics;

    Abstract : The essence of market efficiency has been an interesting area for inspection by investors and scholars. In this study, we investigate the efficiency of a relatively new asset: Bitcoin. This paper examines the efficiency of Bitcoin by studying the impact of Bitcoin’s so-called halving dates. READ MORE

  6. 5. Optimal Investment with Corporate Tax Payments

    University essay from KTH/Matematisk statistik

    Author : Emil Tingström; [2017]
    Keywords : ;

    Abstract : This Master's thesis examines the problem of optimal investment when corporate taxes have to be paid on capital gains. Tax payments share a lot of similarities with payoff from a call option where the underlying is the firm's capital. READ MORE