Essays about: "Realized Volatility"

Showing result 16 - 20 of 59 essays containing the words Realized Volatility.

  1. 16. Option strategies using hybrid Support Vector Regression - ARIMA

    University essay from KTH/Matematisk statistik

    Author : Negin Nayeri; [2020]
    Keywords : ;

    Abstract : In this thesis, the use of machine learning in option strategies is evaluated with focus on the S&P 500 Index. The first part of the thesis focuses on testing the performance power of the Support Vector Regression (SVR) method for the historical realized volatility with a window of 20 days. READ MORE

  3. 17. DATA-DRIVEN DYNAMIC CAPABILITIES An exploration into digital transformation and business strategy building entailed by a dynamic capabilities view

    University essay from Malmö universitet/Fakulteten för teknik och samhälle (TS)

    Author : Andreas Marttila Gaard; Martin Malmgren; [2020]
    Keywords : dynamic capabilities; digital transformation; business model innovation; business strategy; data driven;

    Abstract : The pervasive nature of technological advancements has increased the complexity, and thus the environmental volatility that span well across the borders of industries and na-tions. It could be argued that the need for firms to demonstrate dynamic capabilities are greater than ever before. READ MORE

  4. 18. Can we predict future volatility on the OMXS 30? : A quantative study on historical and implied volatility

    University essay from Umeå universitet/Nationalekonomi

    Author : Martin Hallberg; [2020]
    Keywords : ;

    Abstract : When making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. READ MORE

  5. 19. CAN DEEP LEARNING BEAT TRADITIONAL ECONOMETRICS IN FORECASTING OF REALIZED VOLATILITY?

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Filip Björnsjö; [2020]
    Keywords : Deep Learning; Econometrics; volatility;

    Abstract : Volatility modelling is a field dominated by classic Econometric methods such as the Nobel Prize winning Autoregressive conditional heteroskedasticity (ARCH) model. This paper therefore investigates if the field of Deep Learning can live up to the hype and outperform classic Econometrics in forecasting of realized volatility. READ MORE

  6. 20. An Empirical Evaluation of Improved Volatility-Based Trading Strategies

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Raphael Bierschenk; Stefan Wennemar; [2019]
    Keywords : Volatility-Managed Portfolios; Volatility Timing; Moreira and Muir; Portfolio Choice; Variance Estimation;

    Abstract : In 2017, Moreira and Muir published their paper "Volatility-Managed Portfolios", showing that investors can beat the market, purely by choosing their risk exposure based on the inverse of last month's realized variance. While their results are influential in nature, suggesting, against common belief, investors should take less risk in recessions, they singularly rely on realized variance as a risk measure and a fixed monthly rebalancing period. READ MORE