Essays about: "tidsserieanalys"

Showing result 1 - 5 of 27 essays containing the word tidsserieanalys.

  1. 1. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank

    University essay from KTH/Matematisk statistik

    Author : Markus Hilmersson; [2020]
    Keywords : Financial mathematics; time series analysis; risk management; risk analysis; non-maturing deposits; SARIMA; SARIMAX; BCBS; IRRBB; Finansiell matematik; tidsserieanalys; riskhantering; riskanalys; Icke-tidsbunden inlåning; SARIMA; SARIMAX; BCBS; IRRBB;

    Abstract : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. READ MORE

  2. 2. Generative Adversarial Networks and Natural Language Processing for Macroeconomic Forecasting

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : David Evholt; Oscar Larsson; [2020]
    Keywords : Machine learning; natural language processing; generative adversarial nets; GAN; LSTM; CNN; macroeconomics; S P500; unemployment; forecasting; Machine learning; natural language processing; generative adversarial nets; GAN; LSTM; CNN; macroeconomics; S P500; unemployment; forecasting;

    Abstract : Macroeconomic forecasting is a classic problem, today most often modeled using time series analysis. Few attempts have been made using machine learning methods, and even fewer incorporating unconventional data, such as that from social media. In this thesis, a Generative Adversarial Network (GAN) is used to predict U.S. READ MORE

  3. 3. Transformation of Time-based Sensor Data to Material Quality Data in Stainless Steel Production

    University essay from Uppsala universitet/Institutionen för informationsteknologi

    Author : Adam Inersjö; [2020]
    Keywords : Time series; Stainless steel; Steel; Sensor data; Digitalization; Aggregation; Continuous production; Outokumpu; Tidsserier; Rostfritt stål; Stål; Sensordata; Digitalisering; Aggregering; Kontinuerlig produktion; Outokumpu;

    Abstract : Quality assurance in the stainless steel production requires large amounts of sensor data to monitor the processing steps. Digitalisation of the production would allow higher levels of control to both evaluate and increase the quality of the end products. READ MORE

  4. 4. Modeling of non-maturing deposits

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Fredrik Stavrén; Nikita Domin; [2019]
    Keywords : Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

    Abstract : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. READ MORE

  5. 5. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect

    University essay from KTH/Matematisk statistik

    Author : Sina Mozayyan Esfahani; [2019]
    Keywords : Option expiration effect; option relevance coefficient; algorithmic trading; time series analysis; GARCH-X.; Effekten av optioners förfall; optionsrelevanskoefficient; algoritmisk handel; tidsserieanalys; GARCH-X.;

    Abstract : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. READ MORE