Essays about: "observable market data"

Showing result 1 - 5 of 30 essays containing the words observable market data.

1. 1. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Charles Gyllhamn; Jacob Winberg; [2022]
   Keywords : Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

   Abstract : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. READ MORE

3. 2. AI and Medical Devices – General guidance principles for SMEs to meet the regulatory demands on safety and efficacy in the EU in order to reach the market

   University essay from KTH/Medicinteknik och hälsosystem

   Author : Soziar Bamyr Hanssen; [2022]
   Keywords : SMEs; AI; AI-based medical device; MDR; SaMD; guideline;

   Abstract : Artificial intelligence (AI) is the study of science, engineering, and the development of intelligent machines. AI is based on human intelligence with the exception that it is not restricted by biologically observable limitations. AI has developed rapidly over the past few years and has become important all over the world. READ MORE

4. 3. Modelling regime shifts for foreign exchange market data using hidden Markov models

   University essay from KTH/Matematik (Avd.)

   Author : Liam Persson; [2021]
   Keywords : exchange market data; model selection; hidden Markov model; market regime; correlation; valuta; modellval; dold Markovmodell; marknadsregimer; korrelation;

   Abstract : Financial data is often said to follow different market regimes. These regimes, which not possible to observe directly, are assumed to influence the observable returns. In this thesis such regimes are modeled using hidden Markov models. READ MORE

5. 4. Volatility Forecasting Performance : An evaluation of GARCH-class models

   University essay from Umeå universitet/Nationalekonomi

   Author : Marcus Ryhage; [2021]
   Keywords : ;

   Abstract : Volatility is considered among the most vital concepts of the financial market and is frequently used as a rough measure of the total risk of financial assets. Volatility is however not directly observable in practice; it must be estimated. The procedure in estimating and modeling volatility can be performed in numerous ways. READ MORE

6. 5. Market Microstructure Invariance, Bid-Ask Spreads and Impact Costs in the Swedish Stock Market : A Transaction Cost Analysis for Intraday Trading in Swedish Stocks

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jim Domeij; Oscar Krieg; [2021]
   Keywords : Market Microstructure Invariance; Bid-ask spread; Liquidity; Swedish stock market; Market impact;

   Abstract : By studying high-frequency trading data for the Swedish stock market, as proxied by the OMXS30 index, we find that there exists an invariant relationship between transaction cost components and illiquidity. Specifically, we apply the notions of market microstructure and intraday trading invariance to confirm the existence of a proportional relationship between the relative bid-ask spread and an illiquidity measure comprised of observable financial market variables, such as trade volume, price and volatility. READ MORE