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Showing result 1 - 5 of 6 essays matching the above criteria.
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1. Modelling Dependency Structure with Application in Financial Markets: Copula-GARCH(1,1) Approach
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : The main objective of this thesis is to examine the dependency structure among different agricultural and energy commodity markets in the United States. For achieving this goal, the paper makes use of the Copula-GARCH(1,1) model to study the financial return volatility and the co-movement between pair of commodities including corn, soybean and gasoline over the pre-COVID 19 pandemic period (from 01-01-2018 to 01-01-2020) and the ongoing COVID 19 pandemic period (from 01-01-2020 to 01-04-2021). READ MORE
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2. Predicting Short-Term ExtremeMovements in FX-markets Using Neural Networks
University essay from KTH/Matematisk statistikAbstract : This thesis applies deep neural networks with complex feature inputs in an attempt to predict extreme price movements of up to 20 seconds in the EUR/USD exchange rate. The results show that neural networks do have predictive power in this application, and could potentially be used in con-junction with other models to predict the movements of the FX-market in ahigh-frequencytrading environment. READ MORE
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3. The Bond Equity Yield Ratio : An investigation of its forecasting ability in Denmark, Finland, Norway and Sweden
University essay from Umeå universitet/FöretagsekonomiAbstract : Scientists and practitioners have for decades attempted to find methods to forecast movements in the capital markets, thereby trying to find a way to outperform the market. The origins of forecasting literature investigated traditional financial and accounting ratios such as the dividend yield (D/P) and the earnings yield (E/P). READ MORE
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4. A Performance Evaluation of Black Swan Investments.
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This thesis evaluates an investment strategy that involves investing in ten out of the 30 most traded stocks listed on the Stockholm Stock Exchange, exploiting the market’s reaction to unpredicted events, so called Black Swans. By investing in ten of the stocks with the largest price change after days with extreme negative returns and ten of the stocks with the least change in price after extreme positive returns, the strategy outperforms the market. READ MORE
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5. Herd Behavior on the Swedish Stock Exchange
University essay from IHH, Redovisning och finansieringAbstract : In this study the Stockholm Stock Exchange in Sweden is examined for herd behavior with a market wide approach. Three models, one created by Christie and Huang (1995) and the others created by Chang, Cheng and Khorana (1999), are applied to detect herd behavior from 1998 to 2009. READ MORE
