Essays about: "Oskar Fransson"

Found 3 essays containing the words Oskar Fransson.

  1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oskar Fransson; [2023]
    Keywords : Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

    Abstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE

  3. 2. Trading Volatility : Trading strategies based on the VIX term structure.

    University essay from Umeå universitet/Företagsekonomi

    Author : Oskar Fransson; Henrik Mark Almqvist; [2020]
    Keywords : Volatility; VIX futures; VIX ETP; VIX ETF; VIX ETN; VIX index; VIX term structure; VIX trading; Volatility trading; Contango; Backwardation; Roll yield; Options; Futures;

    Abstract : This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. READ MORE

  4. 3. Agile Software Development in Sweden : A quantitative study of developers’ satisfaction and their attitude towards agile thinking

    University essay from IHH, Informatik

    Author : Oskar Fransson; Patrick af Klercker; [2005]
    Keywords : Agile software development; Agil systemutveckling;

    Abstract : På senare tid har agila systemutvecklingsmetoder trätt fram på marknaden, metoder som värderar flexibilitet, kundmedverkan och fokus på utvecklingsteamet och fungerande mjukvara snarare än fokus på utvecklingsverktygen och dokumentation. Vi vet dock inte vilken typ av systemutvecklingsmetod som verkligen är bättre än den andra. READ MORE