Essays about: "SARIMA"

Showing result 21 - 25 of 37 essays containing the word SARIMA.

  1. 21. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank

    University essay from KTH/Matematisk statistik

    Author : Markus Hilmersson; [2020]
    Keywords : Financial mathematics; time series analysis; risk management; risk analysis; non-maturing deposits; SARIMA; SARIMAX; BCBS; IRRBB; Finansiell matematik; tidsserieanalys; riskhantering; riskanalys; Icke-tidsbunden inlåning; SARIMA; SARIMAX; BCBS; IRRBB;

    Abstract : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. READ MORE

  3. 22. Long Term Forecasting of Industrial Electricity Consumption Data With GRU, LSTM and Multiple Linear Regression

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Roxana Buzatoiu; [2020]
    Keywords : Time Series Analysis; Recurrent Neural Networks; long-term Forecasting; Exploratory Data Analysis; Multiple Linear Regression; ACF; PACF; Energy Sector; Tidsserieanalys; återkommande neurala nätverk; långtidsprognoser; undersökande dataanalys; multipel linjär regression; ACF; PACF; energisektor;

    Abstract : Accurate long-term energy consumption forecasting of industrial entities is of interest to distribution companies as it can potentially help reduce their churn and offer support in decision making when hedging. This thesis work presents different methods to forecast the energy consumption for industrial entities over a long time prediction horizon of 1 year. READ MORE

  4. 23. Payment Volume Forecasting using Hierarchical Regression with SARIMA Errors : Payment Volume Forecasting using Hierarchical Regression with SARIMA Errors

    University essay from Uppsala universitet/Institutionen för informationsteknologi

    Author : Fredrik Nilsson; [2020]
    Keywords : ;

    Abstract : When forecasting financial transaction volumes in different markets, different markets often exhibit similar seasonality patterns and public holiday behavior. In this thesis, an attempt is made at utilizing these similarities to improve forecasting accuracy as compared to forecasting each market individually. READ MORE

  5. 24. Time series analysis and forecasting : Application to the Swedish Power Grid

    University essay from Linnéuniversitetet/Institutionen för datavetenskap och medieteknik (DM)

    Author : Christian Fagerholm; [2019]
    Keywords : Time Series forecasting; ARIMA; SARIMA; Neural Network; RNN; Power grid; forecasting; smart grid;

    Abstract : n the electrical power grid, the power load is not constant but continuouslychanging. This depends on many different factors, among which the habits of theconsumers, the yearly seasons and the hour of the day. The continuous change inenergy consumption requires the power grid to be flexible. READ MORE

  6. 25. Modeling of non-maturing deposits

    University essay from KTH/Matematisk statistik

    Author : Fredrik Stavrén; Nikita Domin; [2019]
    Keywords : Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

    Abstract : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. READ MORE