Essays about: "finance econometrics"

Showing result 1 - 5 of 16 essays containing the words finance econometrics.

  1. 1. Modeling stock market liquidity using macroeconomic variables: Evidence from Sweden

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Robin Mannoun; David Sjöblom; [2021]
    Keywords : Stock Market Liquidity; Macroeconomy; Nasdaq Stockholm; Empirical Finance; Econometrics; Business and Economics; Mathematics and Statistics;

    Abstract : This paper contributes both to investigating the relationship between the macroeconomic environment and stock market liquidity and to reviewing existing empirical evidence related to this relationship. We develop and examine panel data regression models for stock market liquidity based on macroeconomic factors. READ MORE

  3. 2. The value of personality - Using algorithms and econometrics to analyze CEO conscientiousness and its impact on M&A performance

    University essay from Göteborgs universitet/Graduate School

    Author : Axel Gillmert; Henrik Persson; [2019-08-12]
    Keywords : M A performance; CEO acquisitiveness; Big Five personality traits; Conscientiousness;

    Abstract : Even after years of extensive and rigorous research, there is still a puzzling question relating to why managers keep engaging in M&A activities in spite of their tendency to destroy value for the shareholders of the acquiring firm. By seeking explanations in personality psychology, we examine the relationship between CEO conscientiousness, short-term stock market reactions and CEO acquisitiveness. READ MORE

  4. 3. 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

  5. 4. 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

  6. 5. 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