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Stochastic Model Identification and Model Metrics with Deep Learning Applications
Mälardalen University, School of Education, Culture and Communication.
2020 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Each economic event has a dynamic effect on the market due to decision complexity for agents valuating rare events. The more complex is the event, the more it takes for the markets to incorporate the new information. The goal of this thesis is to explore the dynamic effects of economic events on equity returns and statistical indicators. Furthermore we use train artificial neural networks to classify price run-ups around economic events. Applications will allow explanation of the effects of a economic events on equity returns and its statistical properties.

Place, publisher, year, edition, pages
2020. , p. 73
Keywords [en]
Event study, Abnormal Returns, ARIMA, Kalman Filter, Deep Learning
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:mdh:diva-46887OAI: oai:DiVA.org:mdh-46887DiVA, id: diva2:1389430
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2020-02-17 Created: 2020-01-29 Last updated: 2020-02-17Bibliographically approved

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Thesis(2120 kB)36 downloads
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File name FULLTEXT01.pdfFile size 2120 kBChecksum SHA-512
e1db56d2bb7036c6072c764adcfff0f9ca860278fd78c0de4a6b01fddbac80c8634596fafc6c200e7ec2ab8a409cd8026f21f6971383765fe6b2ea57b98327cd
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School of Education, Culture and Communication
Mathematical Analysis

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CiteExportLink to record
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Citation style
  • apa
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  • de-DE
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
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