Sökning: "Intraday"

Visar resultat 6 - 10 av 12 avhandlingar innehållade ordet Intraday.

  1. 6. On the Normal Inverse Gaussian Distribution in Modeling Volatility in the Financial Markets

    Författare :Lars Forsberg; Luc Bauwens; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Volatility modeling; inverse Gaussian; normal inverse Gaussian; realized volatility; GARCH; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

    Sammanfattning : We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial markets. Refining the work of Barndorff-Nielsen (1997) and Andersson (2001), we introduce a new parameterization of the NIG distribution to build the GARCH(p,q)-NIG model. LÄS MER

  3. 7. Essays on Interbank Markets

    Författare :Vanessa Sternbeck Fryxell; Jens Josephson; Yves Zenou; Falko Fecht; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Interbank markets; contagion; economics of networks; interbank reference rates; Economics; nationalekonomi;

    Sammanfattning : This dissertation consists of three self-contained chapters.Price Segmentation on the Interbank Market. Interbank markets are often characterized by a core-periphery structure. The core-banks may hold a favorable position in the short-term unsecured interbank market due to e. LÄS MER

  4. 8. Decomposing the Option Pricing Problem : Estimating the Causal Factors: Interest Rates, Dividends, and Risk-Neutral Probabilities

    Författare :Pontus Söderbäck; Jörgen Blomvall; Martin Singull; Stein-Erik Fleten; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : The financial markets have an essential role in society. Further, these markets are constantly evolving. Therefore, models and methods have to be developed and adapted to the new market conditions to be useful for decisions. LÄS MER

  5. 9. Energy Storage Systems in Electrical Distribution Grids : Analysis and implementations of use cases for service stacking

    Författare :Johannes Hjalmarsson; Cecilia Boström; Karin Thomas; Louise Ödlund; Uppsala universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; ancillary services; congestion management; distribution grids; energy storage systems; scheduling optimization; service stacking.;

    Sammanfattning : This Ph.D. thesis investigates the possibility of using energy storage systems for multiple services by implementing service stacking, with special emphasis on congestion management in distribution grids. LÄS MER

  7. 10. On the returns of trend-following trading strategies

    Författare :Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Commodity Trading Advisor funds; Contraction-Expansion principle; Crude oil futures; Futures trading; Opening Range Breakout strategies; S P 500 futures; Technical analysis; Time series momentum; Time-varying market inefficiency; nationalekonomi; Economics;

    Sammanfattning : Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. LÄS MER