Essays about: "multivariate time-series analysis"

Showing result 1 - 5 of 36 essays containing the words multivariate time-series analysis.

  1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    University essay from KTH/Matematik (Avd.)

    Author : Simon Wahlberg; [2022]
    Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

  2. 2. Peacekeepers Protecting Civilians, Under the Threat of Violence : A quantitative cross-national analysis on how the risk of violence towards peacekeepers affects their ability to protect civilians

    University essay from Uppsala universitet/Institutionen för freds- och konfliktforskning

    Author : Emil Lewenhaupt; [2022]
    Keywords : peacekeeping; one-sided violence; risk of violence against peacekeepers; UN;

    Abstract : While peacekeeping operations have been researched for decades, due to a lack of data there are still many aspects of peacekeeping that remain unexplored. However, with the introduction of the Peacemakers at Risk dataset a wide array of dynamics and relationships can now be researched. READ MORE


    University essay from Umeå universitet/Institutionen för datavetenskap

    Author : Marie-Louise Johansson; [2022]
    Keywords : computer science; machine learning; motion analysis; reconstructed ACL; anterior cruciate ligament; time series forest; dynamic time wapring; ACL; multivariate time series clasification; MTSC; time series classification; TSC; euclidean barycentric average; euclidean barycentric averaging; autmentation of time series; augmentation of multivariate time series; data augmentation; augmentation;

    Abstract : This thesis addresses the problem where we want to apply machine learning over a small data set of multivariate time series. A challenge when classifying data is when the data set is small and overfitting is at risk. Augmentation of small data sets might avoid overfitting. READ MORE

  4. 4. Banger for the Buck : Predicting Growth of Music Tracks using Machine Learning

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

    Author : Elliot Nilsson; Liza Wensink; [2022]
    Keywords : Time series classification; Multivariate time series; Music industry; Record label business model.;

    Abstract : The advent of music streaming has made it increasingly important for actors in the music industry to understand if tracks are going to succeed or not. This study investigates if it is possible to accurately classify the growth of the listener base of a music track based on multivariate time series with listener behavior data. READ MORE

  5. 5. Multivariate Time Series Forecasting in MAX IV Electron Accelerator using Predictive Maintenance

    University essay from Malmö universitet/Institutionen för datavetenskap och medieteknik (DVMT)

    Author : Henrik Heinze; Olof Persson; [2022]
    Keywords : ;

    Abstract : There are different approaches to take when it comes to maintenance of certaine quipment in environments such as production factories, manufacturing facilities and research laboratories. No type of equipment that falls in any of these categories are perfect and lack the requirement of preservation in some form. READ MORE