Essays about: "linear regression modeling"

Showing result 1 - 5 of 31 essays containing the words linear regression modeling.

  1. 1. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?

    University essay from KTH/Optimeringslära och systemteori; KTH/Optimeringslära och systemteori

    Author : David Hallberg; Erik Renström; [2019]
    Keywords : PC Regression; Vektorautoregression; och Återkopplande Neurala Nätverk: En jämförelse mellan deras förmåga att prognostisera aktieindexavkastning för att konstruera effektiva portföljer; Huvudkomponentregression; vektorautoregression; LSTM; återkopplande neurala nätverk; portföljteori; portföljoptimering; maskininlärning; makroekonomi; finans; aktieavkastning; aktieindex;

    Abstract : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. READ MORE

  2. 2. Modeling Customer Behavior of Non-Maturity Deposits

    University essay from KTH/Matematisk statistik

    Author : Mikaela Jennerot; [2019]
    Keywords : ;

    Abstract : The modeling of non-maturity deposits has become a highly relevant subject in the financial sector since these instruments constitute a significant portion of banks’ funding. A non-maturity deposit may look relatively simple, however, it has features that complicate the handling of these products. READ MORE

  3. 3. Development of a System Identification Tool for Subscale Flight Testing

    University essay from Linköpings universitet/Fluida och mekatroniska system

    Author : Adrian Arustei; [2019]
    Keywords : GFF; Generic Future Fighter; system identification; orthogonal function modeling; equation error method; output error method; aerodynamic derivatives; flight dynamics; flight testing;

    Abstract : Aircraft system identification has been widely used to this day in applications like control law design, building simulators or extending flight envelopes. It can also be utilized for determining flight-mechanical characteristics in the preliminary design phase of a flight vehicle. READ MORE

  4. 4. Modeling time-varying loading docks

    University essay from KTH/Optimeringslära och systemteori

    Author : Carl Flogvall; [2018]
    Keywords : ;

    Abstract : In this paper several Markov models have been created for simulating queues at loading docks with discrete time Markov chains and a optimization algorithm in regard to server capacity has been presented. The queuing systems have been modeled with exponential and Erlang-2 distributed service rate. READ MORE

  5. 5. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Oliver Krek; [2018]
    Keywords : Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

    Abstract : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. READ MORE