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Articles 1 - 8 of 8
Full-Text Articles in Business
Predicting Intraday Financial Market Dynamics Using Takens' Vectors; Incorporating Causality Testing And Machine Learning Techniques, Abubakar-Sadiq Bouda Abdulai
Predicting Intraday Financial Market Dynamics Using Takens' Vectors; Incorporating Causality Testing And Machine Learning Techniques, Abubakar-Sadiq Bouda Abdulai
Electronic Theses and Dissertations
Traditional approaches to predicting financial market dynamics tend to be linear and stationary, whereas financial time series data is increasingly nonlinear and non-stationary. Lately, advances in dynamical systems theory have enabled the extraction of complex dynamics from time series data. These developments include theory of time delay embedding and phase space reconstruction of dynamical systems from a scalar time series. In this thesis, a time delay embedding approach for predicting intraday stock or stock index movement is developed. The approach combines methods of nonlinear time series analysis with those of causality testing, theory of dynamical systems and machine learning (artificial …
The Analysis Of Bdti In Tanker Transport Market, Zhisen Wang
The Analysis Of Bdti In Tanker Transport Market, Zhisen Wang
World Maritime University Dissertations
No abstract provided.
Research On Liner Shipping Schedule Recovery, Xiaye Tang
Research On Liner Shipping Schedule Recovery, Xiaye Tang
World Maritime University Dissertations
No abstract provided.
Two Essays In Financial Economics, Kyle J. Putnam
Two Essays In Financial Economics, Kyle J. Putnam
University of New Orleans Theses and Dissertations
The following dissertation contains two distinct empirical essays which contribute to the overall field of Financial Economics. Chapter 1, entitled “The Determinants of Dynamic Dependence: An Analysis of Commodity Futures and Equity Markets,” examines the determinants of the dynamic equity-commodity return correlations between five commodity futures sub-sectors (energy, foods and fibers, grains and oilseeds, livestock, and precious metals) and a value-weighted equity market index (S&P 500). The study utilizes the traditional DCC model, as well as three time-varying copulas: (i) the normal copula, (ii) the student’s t copula, and (iii) the rotated-gumbel copula as dependence measures. Subsequently, the determinants of …
The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino
The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino
Senior Honors Projects, 2010-2019
The purpose of this thesis is to examine the effects of the Federal Reserve’s recent bond buying programs, specifically Quantitative Easing 1, Quantitative Easing 2, Operation Twist (or the Fed’s Maturity Extension Program), and Quantitative Easing 3. In this study, I provide a picture of the economic landscape leading up to the deployment of the programs, an overview of quantitative easing including each program’s respective objectives, and how and why the Fed decided to implement the programs. Using empirical analysis, I measure each program’s effectiveness by applying four models including a yield curve model, an inflation model, a money supply …
Monte Carlo Methods In Finance, Je Guk Kim
Monte Carlo Methods In Finance, Je Guk Kim
Doctoral Dissertations
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of implementation for complex problems in the field. Among topics of its application to finance, we address two topics: (1) optimal importance sampling for the Laplace transform of exponential Brownian functionals and (2) analysis on the convergence of quasi-regression method for pricing American option. In the first part of this dissertation, we present an asymptotically optimal importance sampling method for Monte Carlo simulation of the Laplace transform of exponential Brownian functionals via Large deviations principle and calculus of variations the closed form …
A Pure-Jump Market-Making Model For High-Frequency Trading, Chi Wai Law
A Pure-Jump Market-Making Model For High-Frequency Trading, Chi Wai Law
Open Access Dissertations
We propose a new market-making model which incorporates a number of realistic features relevant for high-frequency trading. In particular, we model the dependency structure of prices and order arrivals with novel self- and cross-exciting point processes. Furthermore, instead of assuming the bid and ask prices can be adjusted continuously by the market maker, we formulate the market maker's decisions as an optimal switching problem. Moreover, the risk of overtrading has been taken into consideration by allowing each order to have different size, and the market maker can make use of market orders, which are treated as impulse control, to get …
A Customer Choice Modeling Framework For Assortment Planning Of Configurable Products In Automotive Industry, Farah Dubaisi
A Customer Choice Modeling Framework For Assortment Planning Of Configurable Products In Automotive Industry, Farah Dubaisi
Wayne State University Theses
Due to the increased competition in the auto industry, proliferation of the vehicle models and increased customer need for choice and customization, it has become more critical than ever to offer a variety of features and customization flexibility while at the same time restraining and, even better, cutting down the costs. Product complexity, in the automotive industry, can be measured by the size of the assortment offered, i.e., set of vehicle configurations a customer can choose from (e.g., for a given model of a brand). While complexity fosters growth with increased alignment of product characteristics and customer needs, it results …