Essays about: "weighted clustering"

Showing result 21 - 22 of 22 essays containing the words weighted clustering.

  1. 21. The Market Graph : A study of its characteristics, structure & dynamics

    University essay from KTH/Matematisk statistik

    Author : Daniel Budai; David Jallo; [2011]
    Keywords : ;

    Abstract : In this thesis we have considered three different market graphs; one solely based on stock returns, another one based on stock returns with vertices weighted with a liquidity measure and lastly one based on correlations of volume fluctuations. Research is conducted on two different markets; the Swedish and the American stock market. READ MORE

  3. 22. Star Vars: Finding the optimal Value-at-Risk approach for the banking industry

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Björn Eriksson; Olle Billinger; [2009]
    Keywords : Value-at-Risk; VaR; risk management; Backtesting; Basel; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH models for forecasting volatility. READ MORE