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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
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Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Showing 21 to 30 of 53 (0.054 seconds)Spelling suggestions: "subject:"aktieindex.""
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Volatility prediction with mixture density networksSchittenkopf, Christian, Dorffner, Georg, Dockner, Engelbert J. January 1998 (has links) (PDF)
Despite the lack of a precise definition of volatility in finance, the estimation of volatility and its prediction is an important problem. In this paper we compare the performance of standard volatility models and the performance of a class of neural models, i.e. mixture density networks (MDNs). First experimental results indicate the importance of long-term memory of the models as well as the benefit of using non-gaussian probability densities for practical applications. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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A symbolic dynamics approach to volatility predictionTino, Peter, Schittenkopf, Christian, Dorffner, Georg, Dockner, Engelbert J. January 1998 (has links) (PDF)
We consider the problem of predicting the direction of daily volatility changes in the Dow Jones Industrial Average (DJIA). This is accomplished by quantizing a series of historic volatility changes into a symbolic stream over 2 or 4 symbols. We compare predictive performance of the classical fixed-order Markov models with that of a novel approach to variable memory length prediction (called prediction fractal machine, or PFM) which is able to select very specific deep prediction contexts (whenever there is a sufficient support for such contexts in the training data). We learn that daily volatility changes of the DJIA only exhibit rather shallow finite memory structure. On the other hand, a careful selection of quantization cut values can strongly enhance predictive power of symbolic schemes. Results on 12 non-overlapping epochs of the DJIA strongly suggest that PFMs can outperform both traditional Markov models and (continuous-valued) GARCH models in the task of predicting volatility one time-step ahead. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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Optimale Kapitalstruktur und Market-Timing : empirische Analyse börsennotierter deutscher Unternehmen /Hermanns, Julia. January 2006 (has links)
Zugl.: Wuppertal, University, Diss., 2006.
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Volatilitätsschwankungen und DAX-Optionen : Auswirkungen auf Bewertung und Risikomanagement /Bolek, Adam. January 1999 (has links) (PDF)
Diss. Univ. Hamburg, 1998.
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Option pricing models and volatility surfacesDuan, Fangjing. January 2005 (has links) (PDF)
Master-Arbeit Univ. St. Gallen, 2005.
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Kapitalmarktorientierte Regionalindizes : ein Beitrag zur Regionalökonomie /Viehweg, Gabriele. January 2004 (has links)
Thesis (doctoral)--Techn. Universiẗat, Chemnitz, 2004.
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Der Zusammenhang zwischen Wirtschaftswachstum und finanzwirtschaftlicher Rendite eine weltweite Sektorenbetrachtung /Esser, Florian. January 2008 (has links) (PDF)
Bachelor-Arbeit Univ. St. Gallen, 2008.
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Neustrukturierung der Schweizer Aktienindizes 2007 Preis- und Volumeneffekte /Albers-Schönberg, Philipp. January 2008 (has links) (PDF)
Bachelor-Arbeit Univ. St. Gallen, 2008.
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Die Rentabilität von Stilrotation am Schweizer Aktienmarkt Umsetzung mit Momentum-Strategien und Logit-Regressionsmodellen /Lim, Serei. January 2008 (has links) (PDF)
Master-Arbeit Univ. St. Gallen, 2008.
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Interdependenzen zwischen amerikanischen und europäischen AktienindizesSeissl, Stephan. January 2004 (has links) (PDF)
Bachelor-Arbeit Univ. St. Gallen, 2004.
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