Essays about: "econometrics thesis"

Showing result 16 - 20 of 172 essays containing the words econometrics thesis.

  1. 16. Sequence-to-sequence learning of financial time series in algorithmic trading

    University essay from Högskolan i Borås/Akademin för bibliotek, information, pedagogik och IT

    Author : Philip Arvidsson; Tobias Ånhed; [2017]
    Keywords : deep learning; machine learning; quantitative finance; algorithmic trading; blackbox trading; lstm; rnn; time series forecasting; prediction; tensorflow; keras; forex; neural network; econometrics; finans; algoritmisk handel; tidsserier; prediktion; maskininlärning; forex; neurala nätverk; tensorflow; keras; kvantitativ finans; lstm; rnn; ekonometri;

    Abstract : Predicting the behavior of financial markets is largely an unsolved problem. The problem hasbeen approached with many different methods ranging from binary logic, statisticalcalculations and genetic algorithms. READ MORE

  3. 17. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Jonathan Lindgren; [2017]
    Keywords : Error Correction Model; Credit risk; Risk management; Regression; Econometrics; Mathematical analysis; Probability of Default; Loss Given Default; Finance; Mathematical modeling; Kreditrisk; Risk hantering; Finans; Ekonometri; Matematisk modellering; Sannolikhet för Fallissemang; Förlust givet Fallissemang;

    Abstract : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. READ MORE

  4. 18. The 2016 US Primary Elections and Twitter: A methodological study of econometrics, machine learning and their intersection

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Adrian Ahmadi-Djam; Robert Hu; [2016]
    Keywords : Big data; Large Data Sets; Statistical Learning; Sentiment Analysis; Machine Learning;

    Abstract : In this thesis modern methods in using social media data from Twitter to predict the 2016 US primary elections are investigated. The collected data is processed via a simplified sentiment analysis and later used in modelling election results with less traditional linear models and methods within statistical learning. READ MORE

  5. 19. Wind Power and Electricity Markets - A study of wind power capacity, trade and prices on the Nordic electricity market.

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anders Haulin; [2015]
    Keywords : Wind Power; Econometrics; Financial Economics; Denmark; Subsidies; Electricity; Energy; Business and Economics;

    Abstract : Global wind power capacity has greatly increased in the last decades and is in certain areas constituting a significant share of generating capacity. This thesis examines wind power production data along with prices and inter-regional trade volumes on the Nordic electricity market Nord Pool Spot to deduce the effects of wind power on the grid. READ MORE

  6. 20. Forecasting limit order book price changes using change point detection

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sebastian Thorburn; [2015]
    Keywords : Change point detection; high frequency finance; limit order book; market microstructure; econometrics; Business and Economics;

    Abstract : The main purpose of this thesis is to propose a method for using a change point detection algorithm to forecast short term limit order book price changes. The idea is to test whether a significant change of the shape of the limit order book contains any information about impending changes to mid market. READ MORE