Essays about: "asset pricing modeling"

Showing result 1 - 5 of 7 essays containing the words asset pricing modeling.

1. 1. Forecasting Stock Prices Using an Auto Regressive Exogenous model

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Måns Hjort; Lukas Andersson; [2023]
   Keywords : Bachelor thesis; Asset pricing; Quantitative finance; ARX model; OMX30; Finance; Stocks; Predictive models; Time series analysis; mathematical optimization theory; Gurobi Optimization Software;

   Abstract : This project aimed to evaluate the effectiveness of the Auto Regressive Exogenous(ARX) model in forecasting stock prices and contribute to research on statisticalmodels in predicting stock prices. An ARX model is a type of linear regression modelused in time series analysis to forecast future values based on past values and externalinput signals. READ MORE

3. 2. Predicting Asset Prices with Machine Learning

   University essay from

   Author : Adam Eklund; Valter Trollius; [2020-06-29]
   Keywords : Machine learning; neural networks; OLS regression; asset pricing; financial forecasting; out-of-sample; predictability;

   Abstract : This study examines whether machine learning techniques such as neural networks contain predictability when modeling asset prices and if they can improve on asset pricing prediction compared to traditional OLS-regressions. This is analyzed through measuring and comparing the out-of-sample R2 to find each models’ predictive power. READ MORE

4. 3. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors

   University essay from Lunds universitet/Statistiska institutionen

   Author : Kristoffer Bergram; Ludvig Göransson; [2019]
   Keywords : asset pricing modeling; time series regression; statistics; Fama French Five Factor model; Carhart Four Factor model; Fama French Three Factor model; Swedish stock market; portfolio theory; behavioral economics; Mathematics and Statistics; Business and Economics;

   Abstract : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. READ MORE

5. 4. Identifying asset pricing bubbles: Testing for explosive behavior in the NASDAQ and STOXX 600 Europe Technology indices

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Tim Smits Van Oyen; Mathias Elmer; [2016]
   Keywords : Asset pricing bubble; explosive behavior; right-tailed ADF; forward recursive regression; Business and Economics;

   Abstract : A forward recursive estimation method is used to examine stock market data on unit root against explosive behavior as an indication of financial exuberance. Through specific dividend-stock pricing modeling, the recursive implementation of a right-tailed ADF test allows for directly testing the price index series on explosive behavior and its corresponding dividend series on non-explosive behavior. READ MORE

6. 5. Pricing of European Options with Subjective Probability : Ambiguity aversion in the options market during the European sovereign debt crisis

   University essay from Umeå universitet/Nationalekonomi

   Author : Simon Edvinsson; [2016]
   Keywords : ;

   Abstract : This essay develops an option pricing formula where the market participantsare assumed to not follow a uniform approach with respect to uncertainty thatarises under extreme market events. By using a continuous Choquet randomwalk for modeling asset dynamics, as well as including marginal utility, an optionprice kernel is obtained- this is opposed to the unique price that arises inthe standard MMBS framework. READ MORE