Essays about: "historical volatility"

Showing result 1 - 5 of 108 essays containing the words historical volatility.

  1. 1. Assessing Electricity Prices and Their Driving Mechanisms in Brazil with Neural Networks

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : Henrique Costabile; [2023]
    Keywords : ;

    Abstract : In general, electricity prices are very volatile and derive from many external variables. In Brazil, this price is determined by computer models developed and operated by government organizations. The supply and demand relationships are not enough to determine prices in Brazilian submarkets. READ MORE

  3. 2. CryptoCurrency Time Series analysis : Comparative analysis between LSTM and BART Algorithm

    University essay from Blekinge Tekniska Högskola/Institutionen för datavetenskap

    Author : Lakshmi Vyshnavi Nerella; Chiranjeevi Ponnada; [2023]
    Keywords : ;

    Abstract : 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

  4. 3. Decision support in a volatile electricity market: forecasting and cost optimization

    University essay from Lunds universitet/Institutionen för reglerteknik

    Author : Oscar Andreas Olsson; [2023]
    Keywords : Technology and Engineering;

    Abstract : 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

  5. 4. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

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

    Author : Max Thorendal; [2023]
    Keywords : ;

    Abstract : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. READ MORE

  6. 5. Does Implied- or Historical Volatility predict Realized Volatility? : An empirical study conducted to find evidence for which out of historical volatility or implied volatility better forecasts the future volatility.

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Gustav Sjöberg; Gustav Oom; [2023]
    Keywords : Implied volatility; historical volatility; realized volatility;

    Abstract : This study tests if historical volatility- and implied volatility has significant predictive power over future realized volatility and if so which one of the two is the superior predictor. The study is conducted by using historical volatility of the OMXS30 and implied volatility from OMXS30 call options during the period 2012-2023. READ MORE