Essays about: "Stochastic modeling"

Showing result 1 - 5 of 94 essays containing the words Stochastic modeling.

  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. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Ludvig Ehrenpreis; Eriksson Oscar; [2023]
    Keywords : term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

    Abstract : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. READ MORE

  4. 3. Investigating the Estimation of the infection rate and the fraction of infections leading to death in epidemiological simulation

    University essay from Uppsala universitet/Avdelningen för systemteknik

    Author : Jakob Gölén; [2023]
    Keywords : Epidemics; Compartmental Models; Parameter Inference; Synthetic Bootstrap; Infection Rate;

    Abstract : The main goal of this project is to investigate the behaviors of parameters used when modeling an epidemic. A stochastic SIHDRe model is used to simulate how an epidemic evolves over time. READ MORE

  5. 4. Analysing Regime-Switching and Cointegration with Hamiltonian Monte Carlo

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Jakob Brandt; [2023]
    Keywords : Time Series Econometrics; Regime-Switching; Cointegration; Markov Chain Monte Carlo; Hamiltonian Monte Carlo;

    Abstract : The statistical analysis of cointegration is crucial for inferring shared stochastic trends between variables and is an important area of Econometrics for analyzing long-term equilibriums in the economy. Bayesian inference of cointegration involves the identification of cointegrating vectors that are determined up to arbitrary linear combinations, for which the Gibbs sampler is often used to simulate draws from the posterior distribution. READ MORE

  6. 5. The game of the electricity market : A game theoretical approach to investigate trading strategies in the Nordic electricity futures market

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Camilla Hytter; [2023]
    Keywords : ;

    Abstract : With the background of the increasing volatility in the electricity market the recent years this thesis investigates the electricity futures market and the benefit for market participants to perform some trading strategy in order to increase profit or reduce risk. By modeling the market as a stochastic game the trader acts as a player in the game and with two simple models the player can predict the probability that the market moves up or down and take the appropriate position according to the prediction. READ MORE