Essays about: "Multivariate Financial Time Series"

Showing result 6 - 10 of 11 essays containing the words Multivariate Financial Time Series.

  1. 6. A Multivariate Data Stream Anomaly Detection Framework

    University essay from KTH/Skolan för elektro- och systemteknik (EES)

    Author : Jiakun Jin; [2016]
    Keywords : Multivariate; Stream anomaly detection; PYISC; SVM; LOF; DDM; CUSUM; FCWM; Multivariat; ström anomali detektion; PYISC; SVM; LOF; DDM; CUSUM; FCWM;

    Abstract : High speed stream anomaly detection is an important technology used in many industry applications such as monitoring system health, detecting financial fraud, monitoring customer's unusual behavior and so on. In those scenarios multivariate data arrives in high speed, and needs to be calculated in real-time. READ MORE

  3. 7. Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Markus Andersson; [2015]
    Keywords : Multivariate Financial Time Series; Multivariate Volatility Models; Modern Portfolio Theory MPT ; Tactical Asset Allocation TAA ; Multivariata finansiella tidsserier; Multivariata volatilitets modeller; Modern portföljteori MPT ; Taktisk tillgångsallokering TAA ;

    Abstract : The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. READ MORE

  4. 8. Deep learning for multivariate financial time series

    University essay from KTH/Matematisk statistik

    Author : Bilberto Batres-Estrada; [2015]
    Keywords : ;

    Abstract : Deep learning is a framework for training and modelling neural networks which recently have surpassed all conventional methods in many learning tasks, prominently image and voice recognition. This thesis uses deep learning algorithms to forecast financial data. The deep learning framework is used to train a neural network. READ MORE

  5. 9. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

    University essay from Lunds universitet/Statistiska institutionen

    Author : Wenjing Su; Yiyu Huang; [2010]
    Keywords : Mathematics and Statistics;

    Abstract : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. READ MORE

  6. 10. VaR methods for linear instruments

    University essay from Lunds universitet/Riskhantering (CI); Lunds universitet/Avdelningen för Brandteknik; Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

    Author : Birgir Vidarsson; [2008]
    Keywords : VaR; Covariance; GARCH; EWMA; Market risk; Financial science; Financial time series; Volatility; Finansiering; Technological sciences; Teknik; Business and Economics; Technology and Engineering;

    Abstract : In this thesis various Value-at-Risk models are compared and evaluated towards finding the optimal model for the bank's trading book. The focus is on linear instruments (stocks, indicies and currency) and real market data, both domestic and foreign, is used for the calculations. READ MORE