Essays about: "Ornstein-Uhlenbeck process"

Showing result 1 - 5 of 8 essays containing the words Ornstein-Uhlenbeck process.

1. 1. Approximating Quasistationary Distributions Using Deep Learning

   University essay from KTH/Matematisk statistik

   Author : Björn Wehlin; [2022]
   Keywords : Applied Mathematics; Deep Learning; Probability Theory; Stochastic Processes; Ito Diffusions; Quasistationary Distributions; Tillämpad matematik; djupinlärning; sannolikhetsteori; stokastiska processer; Ito-diffusioner; kvasistationära fördelningar;

   Abstract : We study a class of It\={o} diffusion processes on domains with smooth boundary, at which the process is killed. Such a process, when conditioned on non-extinction, gives rise to a stationary state known as a \emph{quasistationary distribution} (QSD). READ MORE

3. 2. FX Trading Using Gaussian Processes

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ahmed Daadooch; [2018]
   Keywords : Gaussian Process Regression; Trading; FX; Foreign Exchange; Machine Learning; Business and Economics;

   Abstract : Machine learning and its application within finance have gained popularity the last decade. The traditional trading roles are changing rapidly and are being increasingly automated with algorithmic trading strategies, by proprietary trading firms, market makers, and other financial institutions. READ MORE

4. 3. The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jianbo Wang; Jianyang Fang; [2017]
   Keywords : statistical arbitrage; Ornstein-Uhlenbeck model; GARCH model; Business and Economics;

   Abstract : Statistical arbitrage is widely used in the quantitative based trading strategies. In this paper, we mainly use Ornstein-Uhlenbeck (O-U) process model and the GARCH model to estimate the parameters and verify trading signals for the statistical arbitrage. In addition, a new model is created through the combination of O-U model and GARCH model. READ MORE

5. 4. Long Time Integration of Molecular Dynamics at Constant Temperature with the Symplectic Euler Method

   University essay from KTH/Numerisk analys, NA

   Author : Jesper Böjeryd; [2015]
   Keywords : The symplectic Euler method; Ornstein-Uhlenbeck process; Molecular dynamics; Long time integration; Canonical ensemble; Constant temperature; Symplektisk Euler; Ornstein-Uhlenbeck-process; molekyldynamik; integration över lång tid; kanonisk ensemble; konstant temperatur.;

   Abstract : Simulations of particle systems at constant temperature may be used to estimate several of the system’s physical properties, and some require integration over very long time to be accurate. To achieve sufficient accuracy in finite time the choice of numerical scheme is important and we suggest to use the symplectic Euler method combined with a step in an Ornstein-Uhlenbeck process. READ MORE

6. 5. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

   University essay from Göteborgs universitet/Graduate School

   Author : Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
   Keywords : Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

   Abstract : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. READ MORE