Essays about: "Multivariate Financial Time Series"

Showing result 1 - 5 of 11 essays containing the words Multivariate Financial Time Series.

1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   University essay from KTH/Matematik (Avd.)

   Author : Simon Wahlberg; [2022]
   Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

3. 2. Forecasting checking account balance : Using supervised machine learning

   University essay from Uppsala universitet/Avdelningen för systemteknik

   Author : Martin Dannelind; [2022]
   Keywords : Time series forecasting; account balance forecasting; economic predicition; Python; GRU; LSTM; RNN; XGBoost; prophet; checking account;

   Abstract : The introduction of open banking has made it possible for companies to build the next generation of applications based on transactional data. Enabling economic forecasts which private individuals can use to make responsible financial decisions. This project investigated forecasting account balances using supervised learning. READ MORE

4. 3. Multivariate Short-term Electricity Load Forecasting with Deep Learning and exogenous covariates

   University essay from Umeå universitet/Institutionen för tillämpad fysik och elektronik

   Author : Nordström Oscar; [2021]
   Keywords : Machine learning; Time series; Deep learning; Forecasting; Short-term electricity load forecasting; Artificial Neural Network;

   Abstract : Maintaining the electricity balance between supply and demand is a challenge for electricity suppliers. If there is an under or overproduction, it entails financial costs and affects consumers and the climate. To better understand how to maintain the balance, can the suppliers use short-term forecasts of electricity load. READ MORE

5. 4. Scenario Creation for Stress Testing Using Copula Transformation

   University essay from Umeå universitet/Institutionen för fysik

   Author : Gustav Nystedt; [2019]
   Keywords : Stress Testing; Stress Testing Scenarios; Scenario Generation; Copulas; t-copulas; Copula Transformation;

   Abstract : Due to turbulence in the financial market throughout history, stress testing has become a growing part of the risk analysis performed by clearing houses. Events connected to previous crises have increased the demand for prudent risk exposure, and in this thesis we investigate regulators view on how CCPs should construct risk scenarios to meet best practice for stress testing their members’ composite portfolios. READ MORE

6. 5. LSTM Neural Network Models for Market Movement Prediction

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

   Author : Edwin Li; [2018]
   Keywords : Stock Market Analysis; Financial Markets; LSTM; RNN; Artificial Neural Networks; Machine Learning; Forecasting; Prediction;

   Abstract : Interpreting time varying phenomena is a key challenge in the capital markets. Time series analysis using autoregressive methods has been carried out over the last couple of decades, often with reassuring results. READ MORE