Essays about: "applied mathematics"

Showing result 1 - 5 of 136 essays containing the words applied mathematics.

  1. 1. Hierarchical Clustering of Time Series using Gaussian Mixture Models and Variational Autoencoders

    University essay from Lunds universitet/Matematisk statistik

    Author : Per Wilhelmsson; [2019]
    Keywords : Clustering; Deep Learning; Machine Learning; Time Series; Variational Autoencoders; Gaussian Mixture Models; Mathematics and Statistics;

    Abstract : This thesis proposes a hierarchical clustering algorithm for time series, comprised of a variational autoencoder to compress the series and a Gaussian mixture model to merge them into an appropriate cluster hierarchy. This approach is motivated by the autoencoders good results in dimensionality reduction tasks and by the likelihood framework given by the Gaussian mixture model. READ MORE

  3. 2. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rostislav Sibirtsev; [2019]
    Keywords : Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Abstract : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. READ MORE

  4. 3. On the statistics and practical application of the reassignment method for Gabor spectrograms

    University essay from Lunds universitet/Matematisk statistik

    Author : Erik. M Månsson; [2019]
    Keywords : Mathematics and Statistics;

    Abstract : The reassignment method is a technique for improving the concentration of signals in spectrograms and other time-frequency representations (TFR). It achieves this by displacing the points in a TFR according to the reassignment vector for every point. READ MORE

  5. 4. Preprocessing Data: A Study on Testing Transformations for Stationarity of Financial Data

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Sara Barwary; Tina Abazari; [2019]
    Keywords : Bachelor Thesis; financial outcome; transformations; stationarity; tests of hypothesis; EWMA; Kandidatarbete; finansiell avkastning; transformationer; stationäritet; hyoptestest; EWMA;

    Abstract : In thesis within Industrial Economics and Applied Mathematics in cooperation with Svenska Handelsbanken given transformations was examined in order to assess their ability to make a given time series stationary. In addition, a parameter α belonging to each of the transformation formulas was to be decided. READ MORE

  6. 5. Modeling of non-maturing deposits

    University essay from KTH/Matematisk statistik; 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