Essays about: "non-stationarity"

Showing result 1 - 5 of 14 essays containing the word non-stationarity.

  1. 1. Identifying Fundamental Characteristics of Shock Nonstationarity using MMS Measurements : Identifying and Distinguishing Non-stationary Behaviour Through the Magnetic Field Gradient in Quasi-perpendicular Shocks

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

    Author : Hannah Wik; [2023]
    Keywords : Space; Space Plasma Physics; Collisionless Shocks; MMS; Non-stationarity; Shock Reformation; Rippling; Bow Shock; Solar Wind; Rymd; Rymdfysik; Kollisionsfria chocker; MMS; Icke-stationär; Reformation; Bogchock; Solvind;

    Abstract : Collisionless shocks are widespread phenomena in the universe, and understanding the mechanisms behind their energy dissipation, with a rare number of collisions between particles, remains a significant unresolved question. The Earth’s bow shock provides an excellent opportunity to study this phenomena in situ. READ MORE

  3. 2. Tackling Non-Stationarity in Reinforcement Learning via Latent Representation : An application to Intraday Foreign Exchange Trading

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

    Author : Adriano Mundo; [2023]
    Keywords : Reinforcement Learning; Latent Representation; VAE; Non-Stationary; FQI; FX Trading; Förstärkningsinlärning; Latent representation; VAE; Icke-stationär; FQI; FX handel;

    Abstract : Reinforcement Learning has applications in various domains, but the typical assumption is of a stationary process. Hence, when this hypothesis does not hold, performance may be sub-optimal. READ MORE

  4. 3. Spectral Portfolio Optimisation with LSTM Stock Price Prediction

    University essay from KTH/Matematisk statistik

    Author : Nancy Wang; [2020]
    Keywords : Artificial Neural Network; LSTM; Spectral factor model; Portfolio optimisation; Stock price prediction; Time series analysis; Risk estimation; Spectral risk; Frequency-specific beta decomposition; Artificiella neurala nätverk; LSTM; Spektralfaktormodell; Portföljoptimering; Aktieprispredikering; Tidsserieranalys; Riskestimering; Spektra risk; Frekvensspecifik beta dekomposition;

    Abstract : Nobel Prize-winning modern portfolio theory (MPT) has been considered to be one of the most important and influential economic theories within finance and investment management. MPT assumes investors to be riskaverse and uses the variance of asset returns as a proxy of risk to maximise the performance of a portfolio. READ MORE

  5. 4. A comparison of FDML and GMM for estimation of dynamic panel models with roots near unity

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Adrian Mehic; [2017]
    Keywords : econometrics; dynamic panel data; Monte Carlo; Business and Economics;

    Abstract : This thesis compares the performance of the first-differenced maximum likelihood estimator (FDML) and the Blundell-Bond continuously-updating system GMM estimator of the autoregressive parameter in an AR(1) dynamic panel model without exogenous covariates, particularly focusing on the close-to-non-stationary case. This case is far from trivial, as a high degree of persistence is the norm rather than the exception in economic panels. READ MORE

  6. 5. Fraud detection in online payments using Spark ML

    University essay from KTH/Skolan för informations- och kommunikationsteknik (ICT)

    Author : Ignacio Amaya de la Pena; [2017]
    Keywords : ;

    Abstract : Frauds in online payments cause billions of dollars in losses every year. To reduce them, traditional fraud detection systems can be enhanced with the latest advances in machine learning, which usually require distributed computing frameworks to handle the big size of the available data. READ MORE