Essays about: "Proxy model"

Showing result 16 - 20 of 202 essays containing the words Proxy model.

  1. 16. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing

    University essay from KTH/Matematisk statistik

    Author : Hannes Backe; David Rydberg; [2023]
    Keywords : Smart Order Routing; Market Microstructure; Statistical Modelling; Survival Analysis; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest; Smart Order Routing; Marknadsmikrostruktur; Statistisk Modellering; Överlevnadsanalys; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest;

    Abstract : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. READ MORE

  3. 17. Intangible assets and earnings management : An analysis in an EU context

    University essay from Umeå universitet/Företagsekonomi

    Author : Simon Björkmo; Magnus Eriksson; [2023]
    Keywords : Accrual-based earnings management; Earnings Management; European Union; Goodwill; Intangible Assets; Invisible Intangible Assets;

    Abstract : The topic of intangible assets in relation to earnings management has been a debated subject for a long time. Different aspects of intangible assets have been thoroughly examined in relationship to earnings management by scholars over the years whether it’s about goodwill from business acquisition, recognition of intangible assets, timely impairments and so on. READ MORE

  4. 18. Into the Trading Book: Estimating Expected Shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Robin Eric Schmutz; Leonard Schneider; [2023]
    Keywords : Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

    Abstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE

  5. 19. Improving the understanding of photoelectron currents on Solar Orbiter : Utilizing theory and empirical measurements

    University essay from Uppsala universitet/Institutet för rymdfysik, Uppsalaavdelningen

    Author : Melker Marminge; [2023]
    Keywords : Solar Orbiter; Photoelectric Currents; Photoelectric Effect; Thermal Bending; Outgassing; Thermionic Emission; Numerical Approximation; Physical Modeling;

    Abstract : Spacecraft experience electric currents on conductive materials exposed to sunlight, which introduces noise in scientific data. These currents are mainly due to the photoelectric effect and should therefore be proportional to the inverse square heliocentric distance. READ MORE

  6. 20. Predicting Forex Rates using Sentiment Analysis on Financial Articles

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Arvid Gramer; Simon Danielsson; [2023]
    Keywords : Forex; efficient market hypothesis; sentiment analysis; transformer; long-short term memory; Business and Economics;

    Abstract : We develop a deep learning model that uses financial news articles and historical exchange rates to predict the rate for the Euro/US Dollar currency pair one hour ahead. From the articles’ titles and bodies we extract sentiment scores using two different transformer based classifiers – one for short text and one for long text. READ MORE