Essays about: "Seasonal Anomaly"

Showing result 1 - 5 of 12 essays containing the words Seasonal Anomaly.

  1. 1. The granddaddy of underreaction events: Post-earnings announcement drift and information noisiness on the Swedish market

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Sofia Berlin; Gustav Sandelin; [2023]
    Keywords : Post-earnings announcement drift; market efficiency; earnings surprises; information noisiness; stock price synchronicity;

    Abstract : This paper aims to answer the question of whether there is an existence of post-earnings announcement drift on the Swedish stock market and to what extent it can be explained by information noisiness. A sample of publicly listed firms on the Swedish stock market from 2002 to 2019 is used and the research design includes four different approaches to estimating earnings surprises which is a crucial step in investigating PEAD. READ MORE

  3. 2. Anomaly Detection of Time Series Caused by International Revenue Share Fraud : Additive Model and Autoencoder Applications

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

    Author : Lingxiao Wang; [2023]
    Keywords : Fraud detection; Anomaly detection; Machine learning; Bedrägeriupptäckt; Anomalidetektering; Maskininlärning;

    Abstract : In this paper, we compare the performance of two methods to find the attempts at fraud from the data provided by Sinch (formerly CLX Communications, which is a telecommunications and cloud communications platform as a service (PaaS) company). We consider the problem as finding the anomaly in a time series signal, where we ignore the duration of a single call or other features and only care about the total volume of calls in a certain period. READ MORE

  4. 3. Anomaly Detection on Embedded Sensor Processing Platform

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

    Author : Yichen Cao; [2021]
    Keywords : Anomaly Detection; ARIMA; STL; LSTM; VAR; Avvikelsedetektion; ARIMA; STL; LSTM; VAR;

    Abstract : Embedded platforms are often used as a sensor data processing node to collect data and transmit the data to the remote server. Due to the poor performance and power limitation, data processing was often left to the remote server. READ MORE

  5. 4. Size and Seasonality : Using Enterprise Value and the January effect to Investigate the Size effect on the Swedish stock market 2000-2019 .

    University essay from Jönköping University

    Author : Martin Djerf; August Lundgren; [2020]
    Keywords : Size effect; January effect; Enterprise Value; Market anomalies; Efficient Market Hypothesis; Fama and French three-factor model;

    Abstract : In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. READ MORE

  6. 5. Forecasting anomalies in time series data from online production environments

    University essay from Linköpings universitet/Institutionen för datavetenskap

    Author : Raymond Sseguya; [2020]
    Keywords : Infor Sweden AB; time series forecasting; anomaly detection; ARIMA; neural network autoregression; eXtreme Gradient Boosting package;

    Abstract : Anomaly detection on time series forecasts can be used by many industries in especially forewarning systems that can predict anomalies before they happen. Infor (Sweden) AB is software company that provides Enterprise Resource Planning cloud solutions. READ MORE