Essays about: "intraday returns"

Showing result 1 - 5 of 18 essays containing the words intraday returns.

1. 1. Forecasting Volatility of Electricity Intraday Log Returns with Generalized Autoregressive Score Models

   University essay from Göteborgs universitet/Graduate School

   Author : Gustav Veres; Philip Ahlfridh; [2023-06-29]
   Keywords : ;

   Abstract : We forecast volatility of electricity intraday log returns with Generalized Autoregressive Score (GAS) models. We extend our GAS models with variables representing the difference between the public’s expectation of weather and energy load and the actual outcome using a restricted ARMA(4,4) model. READ MORE

3. 2. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

   University essay from Lunds universitet/Statistiska institutionen

   Author : Niclas Wölner-Hanssen; [2023]
   Keywords : Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

   Abstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE

4. 3. LSTM-based Directional Stock Price Forecasting for Intraday Quantitative Trading

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Isabella Mustén Ross; [2023]
   Keywords : Deep Learning; Long-Short-Term-Memory LSTM ; ARIMA; Financial Time Series Forecasting; Algorithmic Trading; Intraday Trading; Stock Prediction; Djupinlärning; LSTM; ARIMA; finansiella tidsserier; algoritmisk aktiehandel; intradagshandel; aktieprediktion;

   Abstract : Deep learning techniques have exhibited remarkable capabilities in capturing nonlinear patterns and dependencies in time series data. Therefore, this study investigates the application of the Long-Short-Term-Memory (LSTM) algorithm for stock price prediction in intraday quantitative trading using Swedish stocks in the OMXS30 index from February 28, 2013, to March 1, 2023. READ MORE

5. 4. High-Frequency Market Reactions to Unscheduled Stock-Speci c News- An Empirical Analysis of the Intraday Market Dynamics of the Stockholm Stock Exchange

   University essay from Göteborgs universitet/Graduate School

   Author : Olle Ekesryd; Tom Carlson; [2022-06-29]
   Keywords : unscheduled news; intraday; e cient market hypothesis; high-frequency trading; sentiment analysis;

   Abstract : This study examines the e ect of unscheduled stock-speci c news on stock char- acteristics of the Swedish stock market and evaluates the opportunity of con- structing a news trading strategy. It especially focuses on volume and volatility reactions between sixty minutes prior to and after the news releases. READ MORE

6. 5. In the Eye of a Pandemic: An Event Study of the Swedish Stock Market Reactions to the Covid-19 Press Conferences

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Julia Karnermo; Emma Sedolin; [2021]
   Keywords : Sweden; Covid-19; News Announcements; Behavioral Finance; Sentiment;

   Abstract : Using intraday trading data for the Swedish stock market, this paper examines the stock market reactions to The Public Health Agency of Sweden's daily press conferences covering Covid-19. Our results indicate that stock returns immediately drop at the 1% significance level when negative news are announced. READ MORE