Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 152 for “"Market Data"”.
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Exploring Information Leakage in Historical Stock Market Data
… to execute large orders without affecting the market price. In this paper, we explore the sources and effects of information leakage in historical stock market data using various methods and metrics. We first define information leakage as a pattern caused by a trader that would otherwise not …
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Calibrating a Latent Order Book Model to Market Data
We investigate the formulation of the Latent Order Book (LOB) as a reaction diffusion Partial Differential Equation (PDE) and its subsequent numerical solution through an explicit method based on discrete stochastic processes. The numerical solution is calibrated using likelihood-free methods, …
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Using Directional Change for Information Extraction in Financial Market Data
… change (DC) is a new concept for summarizing market dynamics. Instead of sampling the financial market at fixed intervals as in the traditional time series analysis, by contrast, DC is data-driven: the price change itself dictates when a price is recorded. DC provides us with a complementary …
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Competitive definitions in emergent markets: The case of market-data systems
… and a large survey to buyers and suppliers of market-data systems. The dissertation uses a cognitive perspective on market structuring, competitive definitions, and rivalry.
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Theory-consistent formal risk measures : using financial market data from a middle income context
Includes bibliographical references (leaves 26-29).
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Farmland Values in an Urban Fringe: An Analysis of Market Data From Will County, Illinois
Made available in DSpace on 2014-12-13T19:23:29Z (GMT). No. of bitstreams: 1 8009001.pdf: 8227063 bytes, checksum: 41ed96db62e967f9c141cf2af37738a7 (MD5) Previous issue date: 1979
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Mixed Monte Carlo in the foreign exchange market
… Reisinger (2015), to both model-generated and market data. Profit and loss analysis of hedging FX derivatives using the mixed Monte Carlo method is conducted when hedging against both model-generated and market data .
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Herd behavior index for bespoke baskets: approximation via convex ordering
… stocks. The calculation of the HIX requires the market data of option on each component stock and option on the basket. However, for bespoke baskets, there are only vanilla options but not basket options traded in the market. Hence, in order to calculate its HIX, we need an approach for efficient …
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Design Study to Visualize Stock Market Bubble Formations and Bursts
The stock market is a very complex and continuously changing environment in which many varying factors shape its growth and decline. Studying interesting trends and analyzing the intricate movements of the market, while ignoring distracting and uninteresting patterns has the potential to save large …
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Pricing multi-asset options in exponential levy models
… (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods are also compared: a closed-form (analytical) approximation of the price, derived by Linders and Stassen (2016) …
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Portfolio optimisation with quantitative and qualitative views
… and made intuitively accessible with real market data examples. Methodology is developed using the two models to transport alpha across benchmarks.
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Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
… experiments are conducted on South African market data from traded options and the fitted models are compared across the calibration methods used. The results of our numerical experiments are used to justify the nature of rough volatility in the South African options market and …
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Dynamic modeling of Shenzhen's real estate market : understanding the oscillation and trend
This thesis studies the causes of long term market oscillations in real estate markets. It tries to answer the question whether Shenzhen's real estate property prices are driven by speculation and will experience "chronic cyclical instability" as seen in many other markets (Sterman, 2000). The real …
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Relationship between mutual fund flow and fund performance : a study in China
Use publically available data set on Chinese stock oriented mutual funds, examine whether the fund flow within one period depends on the past performance of this individual fund, and if there's a relationship, then what the detailed linkage between the past performance and the current period fund …
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THREE ESSAYS IN LABOR FINANCE
… investigates how public policy and financial market conditions influence corporate decisions related to intangible capital. I exploit large-scale labor market data to study firm-level human capital along multiple dimensions. Chapter one examines corporate hiring sensitivities to a sudden tax …
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A generic optimisation framework for reinforcement learning in the foreign exchange market
… application of algorithmic trading in financial markets has grown considerably in recent years, with deep reinforcement learning emerging as a prominent technique for developing autonomous trading agents. The success of such agents is, however, often hindered by the non-stationary nature of …
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A phenomenological study on decision-making under uncertainty in real estate investments in sub-Saharan Africa
… was due to unreliable and outdated economic and market data. The phenomenological study was an investigation of the investment decision phenomenon on how real estate investment decisions were made under uncertainty in sub-Saharan Africa. Firstly, through reflection on the phenomenon and research …
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Betriebswirtschaftliche Ansätze zur Reduktion negativer Auswirkungen von Anreizsystemen auf Consensus-Mechanismen im Interbankenmarkt unter Berücksichtigung der Bereiche Markt, Effizienz, Regulatorik und Strategie
This thesis investigates the market data sourcing of investment banks for non-observable parameters using a Consensus Service mechanism. The results of this mechanism are widely used to calibrate financial pricing models in investment banking companies, influencing the pricing of various financial …
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Using Multiple Data Sources for Customer Satisfaction Analyzing: A Sentimental Approach
<p>The effectiveness of data and data providers in marketing has created a hype in the marketing world. Businesses often face a divided approach because of the increasing volume of data collected through a variety of data channels. This results in marketers often facing problems in acquiring …
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