Essays about: "stock return prediction"

Showing result 11 - 15 of 29 essays containing the words stock return prediction.

  1. 11. Effects of Quantitative Easing on the Swedish Real Estate Market, an ARDL Approach

    University essay from KTH/Fastigheter och byggande

    Author : Felix Hallsten; Mikael Valdenström; [2020]
    Keywords : Quantitative Easing; ARDL; Stock Prices; Real Estate; Central Banks; Kvantitativa Lättnader; ARDL; Aktiepriser; Fastigheter; Centralbanker;

    Abstract : Quantitative easing (QE) is an unconventional monetary policy tool used by central banks to stimulate the economy in times when conventional monetary policy is not sufficient. In the wake of covid-19, central banks around the world has announced significant increases in their QE-programs. READ MORE

  3. 12. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz

    University essay from KTH/Matematisk statistik

    Author : Aron Andersson; Shabnam Mirkhani; [2020]
    Keywords : Recurrent Neural network RNN ; long short-term memory LSTM ; portfolio optimization; markowitz; exponential moving average; sharpe ratio; heteroskedasticity; Markowitz;

    Abstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE

  4. 13. Analysing multifactor investing & artificial neural network for modern stock market prediction

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Samuel Roy; Jakob Jönsson; [2019]
    Keywords : Multifactor Investing; Stock Market Prediction; Artificial Neural Network; Regression Analysis;

    Abstract : In this research we investigate the relationship between multifactor investing and Artificial Neural Network (ANN) and contribute to modern stock market prediction. We present the components for multifactor investing i.e. value, quality, size, low volatility & momentum as well as a methodology for ANN which provides the theory for the results. READ MORE

  5. 14. Twitter Sentiment and Stock Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Wolf; Oskar Bergdorf; [2019]
    Keywords : sentiment analysis; Twitter; stock return; volatility; prediction; forecasting; Business and Economics;

    Abstract : This study aims to investigate if the sentiment expressed on Twitter has an effect on individual stock returns. We use a uniquely large data-set consisting of129 million tweets related to 31 companies over a 15-month period. READ MORE

  6. 15. Forecasting High Yield Corporate Bond Industry Excess Return

    University essay from KTH/Matematisk statistik

    Author : Carlos Junior Lopez Vydrin; [2018]
    Keywords : ;

    Abstract : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. READ MORE