Essays about: "forecasting volatility thesis"
Showing result 1 - 5 of 60 essays containing the words forecasting volatility thesis.
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1. On Predicting Price Volatility from Limit Order Books
University essay from Uppsala universitet/Matematiska institutionenAbstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE
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2. CryptoCurrency Time Series analysis : Comparative analysis between LSTM and BART Algorithm
University essay from Blekinge Tekniska Högskola/Institutionen för datavetenskapAbstract : Background: Cryptocurrency is an innovative digital or virtual form of money thatuses cryptographic techniques for secured financial transactions within a decentralized structure. Due to its high volatility and susceptibility to external factors, itis difficult to understand its behavior which makes accurate predictions challengingfor the investors who are trying to forecast price changes and make profitable investments. READ MORE
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3. Decision support in a volatile electricity market: forecasting and cost optimization
University essay from Lunds universitet/Institutionen för reglerteknikAbstract : Given the increase in electricity prices in recent years due to two reasons; the rebound effect after the initial corona outbreak and the Russian invasion of Ukraine, the burden of paying the rising monthly expense for electricity has become an unwelcome reality for a significant part of society. The electricity trades on the open market called Nord Pool for the Nordic countries, among others, where buyers and sellers come together to find a market price for electricity each day. READ MORE
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4. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE
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5. Development of an investment model for pumped storage hydropower
University essay from Uppsala universitet/ElektricitetsläraAbstract : The energy market is evolving, with a prediction of heavily increased consumption and, consequently, increased production. In parallel, EU directives with targets prioritising fossil-free electricity production, reduction of greenhouse gas emissions and becoming climate neutral by 2050, poses a challenge for the current state of electricity production in the Nordics. READ MORE