Sökning: "bootstrap"

Visar resultat 21 - 25 av 113 avhandlingar innehållade ordet bootstrap.

  1. 21. 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

  3. 22. On the profitability of momentum strategies and optimal leverage rules

    Författare :Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

    Sammanfattning : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. LÄS MER

  4. 23. Learning local predictive accuracy for expert evaluation and forecast combination

    Författare :Oscar Oelrich; Mattias Villani; Francesco Ravazzolo; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Bayesian; forecast combination; predictive density; Gaussian process; bootstrap; Bayes factors; model selection; Bayesian predictive synthesis; nonparametric methods; power transformation; expected log predictive density; variable selection; statistik; Statistics;

    Sammanfattning : This thesis consists of four papers that study several topics related to expert evaluation and aggregation. Paper I explores the properties of Bayes factors. Bayes factors, which are used for Bayesian hypothesis testing as well as to aggregate models using Bayesian model averaging, are sometimes observed to behave erratically. LÄS MER

  5. 24. Antenna robustness modelling

    Författare :Torbjörn Olsson; Hans-Erik Nilsson; Manos Tentzeris; Mittuniversitetet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; antenna; robust; Monte Carlo; methodology; bootstrap; Electronics; Elektronik;

    Sammanfattning : .... LÄS MER

  7. 25. Modelling of antenna robustness

    Författare :Torbjörn Olsson; Hans-Erik Nilsson; Andrei Koptioug; Mittuniversitetet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Antenna; robust; Monte Carlo; methodology; bootstrap; Electrical engineering; electronics and photonics; Elektroteknik; elektronik och fotonik;

    Sammanfattning : .... LÄS MER