Essays about: "single stocks"
Showing result 1 - 5 of 36 essays containing the words single stocks.
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1. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy
University essay from Lunds universitet/Statistiska institutionenAbstract : 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
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2. Order Matching Optimization : Developing and Evaluating Algorithms for Efficient Order Matching and Transaction Minimization
University essay from Linköpings universitet/ProduktionsekonomiAbstract : This report aimed to develop algorithms for solving the optimization problem of matchingbuy and sell orders in call auctions while minimizing the number of transactions. The developed algorithms were evaluated based on their execution time and solution accuracy. READ MORE
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3. Estimating the Market Risk Exposure through a Factor Model with Random Effects
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. READ MORE
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4. Combining GHG Emissions and Soil Carbon Changes as a Single Metric to Evaluate Agricultural Policy Promoting Biomass for Biofuels
University essay from Lunds universitet/Miljövetenskaplig utbildning; Lunds universitet/Centrum för miljö- och klimatvetenskap (CEC)Abstract : Incorporating a multi-year grass ley into an arable crop rotation can increase soil organic carbon stocks, reduce carbon emissions and provide feedstock for biogas. This thesis set out to study how a policy promoting agricultural biomass for biogas impacts GHG emissions and carbon sequestration on a regional level over a temporal scale of 20 years. READ MORE
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5. The Sensitivity of Banks' Stock Returns to the interest rate risk and exchange rate risk: A Case Study of Germany and South Africa
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this paper is to interrogate the single and joint effect interest and exchange rate movements have on banks’ stock returns. This study also aims to compare the volatility of the banks’ stock returns for countries in different markets using both the short and long-term interest rate and the respective exchange rates. READ MORE