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  • 1.
    Ackland, Marcus
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Wargentin, Robin
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    How prices of condominiums vary with respect to distance from the city center in 20 major cities in Sweden2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This report will examine how condominium prices vary with respect to the distance from the city center in 20 major cities in Sweden. With regression analysis three models are construct-ed for each city to predict the price of a condominium in the city with a known set of variables such as area, monthly fee and distance from city center. The three models each depend on the distance parameter in different ways; linearly, exponentially, and exponentially with a higher degree polynomial as an exponent. The models are then examined statistically between cities to determine if there is any correlation between price function with regards to distance and population size. Results show that prices do decline substantially when distance to city center increases in all observed cities. There is a significant correlation between price function of distance and population size, but the relation is not enough to, by itself, explain the differ-ences between cities.

  • 2.
    Adelstrand, Carl
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Gavefalk, Sofia
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    In times of regional geopolitical turmoil – Why do some equity funds performbetter than others?2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    In times of regional geopolitical turmoil – why do some investment portfolios, equity funds, perform better than others? Is it simply luck, the effects of systematic risk or do factors such as investment styles and managerial skills play a significant part in the performance of a fund?

    As financial markets often reflect the macro environment, much of the previous year’s fluctuations of Eastern European stocks can be seen to derive from a number of geopolitical events; from the 2013 summer clashes between the Turkish police and opposing parties to the current issue concerning Russia and Ukraine. Needless to say, these events have affected return on equity in their regions and created a distressed environment for investors and equity fund managers investing in Eastern Europe.

    This thesis aims to explore how the aforementioned macroeconomic events impact the market and thus the portfolios of asset managers. The thesis also intends to provide aspects of eventual investment strategies that are more preferable than others under such circumstances, in order to mitigate the subsequent risks.

  • 3.
    Ahlgren, Markus
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Internal Market Risk Modelling for Power Trading Companies2015Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Since the financial crisis of 2008, the risk awareness has increased in the -financial sector. Companies are regulated with regards to risk exposure. These regulations are driven by the Basel Committee that formulates broad supervisory standards, guidelines and recommends statements of best practice in banking supervision. In these regulations companies are regulated with own funds requirements for market risks.

    This thesis constructs an internal model for risk management that, according to the "Capital Requirements Regulation" (CRR) respectively the "Fundamental Review of the Trading Book" (FRTB), computes the regulatory capital requirements for market risks. The capital requirements according to CRR and FRTB are compared to show how the suggested move to an expected shortfall (ES) based model in FRTB will affect the capital requirements. All computations are performed with data that have been provided from a power trading company to make the results fit reality. In the results, when comparing the risk capital requirements according to CRR and FRTB for a power portfolio with only linear assets, it shows that the risk capital is higher using the value-at-risk (VaR) based model. This study shows that the changes in risk capital mainly depend on the different methods of calculating the risk capital according to CRR and FRTB respectively and minor on the change of risk measure.

  • 4.
    Ahlin, Filip
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Internal model for spread risk under Solvency II2017Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    In May 2009 the European Commission decided on new regulations regarding solvency among insurance firms, the Solvency II Directive. The directive aims to strengthen the connection between the requirement of solvency and risks for insurance firms. The directive partly consists of a market risk module, in which a credit spread risk is a sub category.

    In this thesis a model for credit spread risk is implemented. The model is an extended version of the Jarrow, Lando and Turnbull model (A Markov Model for theTerm Structure of Credit Risk Spreads, 1997) as proposed by Dubrana (A Stochastic Model for Credit Spreads under a Risk-Neutral Framework through the use of an Extended Version of the Jarrow, Lando and Turnbull Model, 2011). The implementation includes the calibration of a stochastic credit risk driver as well as a simulation of bond returns with the allowance of credit transitions and defaults.

    The modeling will be made with the requirements of the Solvency II Directive in mind. Finally, the result will be compared with the Solvency II standard formula for the spread risk sub-module.

  • 5.
    Ahmadi-Djam, Adrian
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Belfrage Nordström, Sean
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Forecasting Non-Maturing Liabilities2017Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    With ever increasing regulatory pressure financial institutions are required to carefully monitor their liquidity risk. This Master thesis focuses on asserting the appropriateness of time series models for forecasting deposit volumes by using data from one undisclosed financial institution. Holt-Winters, Stochastic Factor, ARIMA and ARIMAX models are considered with the latter being the one with best out-of-sample performance. The ARIMAX model is appropriate for forecasting deposit volumes on a 3 to 6 month horizon with seasonality accounted for through monthly dummy variables. Explanatory variables such as market volatility and interest rates do improve model accuracy but vastly increases complexity due to the simulations needed for forecasting.

  • 6.
    Ahmed, Ilyas
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Importance Sampling for Least-Square Monte Carlo Methods2016Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Pricing American style options is challenging due to early exercise opportunities. The conditional expectation in the Snell envelope, known as the continuation value is approximated by basis functions in the Least-Square Monte Carlo-algorithm, giving robust estimation for the options price. By change of measure in the underlying Geometric Brownain motion using Importance Sampling, the variance of the option price can be reduced up to 9 times. Finding the optimal estimator that gives the minimal variance requires careful consideration on the reference price without adding bias in the estimator. A stochastic algorithm is used to find the optimal drift that minimizes the second moment in the expression of the variance after change of measure. The usage of Importance Sampling shows significant variance reduction in comparison with the standard Least-Square Monte Carlo. However, Importance Sampling method may be a better alternative for more complex instruments with early exercise opportunity.

  • 7.
    Alam, Amit
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Inas, Yakub
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analys av reporäntans påverkan på prissättningen av bostäder: Slår reporänteförändringar lika mycket på bostäder av olika storlek?2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The aim of this study is to investigate whether changes of the repo rate has diverse effects on apartments of different sizes, targeting specific areas in Stockholm. A conclusion, that the effect of the repo rate differs for apartments of different sizes, was made based on regression analysis and hypothesis testing. The housing market is characterized by vast shifts and the repo rate has reached a historical low-point of -0.25 per cent. It is reflected upon how the central bank’s steering interest rate actually impacts the prices on the housing market and whether it has distinct effects on apartments of different sizes. Apartments sold between years 2005-2015 have been analyzed where the gravity of the repo rate has been taken into consideration and if its significance varies amongst apartments of different sizes. Important parameters concerning apartment prices have been utilized in the constructed model.

  • 8. Alger, Ingela
    et al.
    Weibull, Jörgen W.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics. Toulouse Sch Econ, France.
    Evolution and Kantian morality2016In: Games and Economic Behavior, ISSN 0899-8256, E-ISSN 1090-2473, Vol. 98, 56-67 p.Article in journal (Refereed)
    Abstract [en]

    What kind of preferences should one expect evolution to favor? We propose a definition of evolutionary stability of preferences in interactions in groups of arbitrary finite size. Groups are formed under random matching that may be assortative. Individuals' preferences are their private information. The set of potential preferences are all those that can be represented by continuous functions. We show that a certain class of such preferences, that combine self-interest with morality of a Kantian flavor, are evolutionarily stable, and that preferences resulting in other behaviors are evolutionarily unstable. We also establish a connection between evolutionary stability of preferences and a generalized version of Maynard Smith's and Price's (1973) notion of evolutionary stability of strategies.

  • 9.
    Ali, Dana
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Kap, Goran
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Statistical Analysis of Computer Network Security2013Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    In this thesis it isshown how to measure the annual loss expectancy of computer networks due to therisk of cyber attacks. With the development of metrics for measuring theexploitation difficulty of identified software vulnerabilities, it is possibleto make a measurement of the annual loss expectancy for computer networks usingBayesian networks. To enable the computations, computer net-work vulnerabilitydata in the form of vulnerability model descriptions, vulnerable dataconnectivity relations and intrusion detection system measurements aretransformed into vector based numerical form. This data is then used to generatea probabilistic attack graph which is a Bayesian network of an attack graph.The probabilistic attack graph forms the basis for computing the annualizedloss expectancy of a computer network. Further, it is shown how to compute anoptimized order of vulnerability patching to mitigate the annual lossexpectancy. An example of computation of the annual loss expectancy is providedfor a small invented example network

  • 10.
    Alic, Almedina
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Emilsson, Caroline
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Att modellera utfallen i en fotbollsmatch: med multinomial respektive ordinal logistisk regression2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This study examines how well multinomial and ordinal logistic regressions predict the outcome of football games. The two models have been used for comparison, since the multinomial logistic model treats the outcome as nominal while the ordinal model treats the outcome as ordered variables, 1 > X > 2. The outcome of the game is affected by quantitative explanatory variables, based on data from Premier League 2015/2016, which describe the teams form and performance. 

    The multinomial model has a prediction measure of 53.4 % and the ordinal model has a prediction measure of 43.8 %. Furthermore, most of the explanatory variables have small and unexpected influence. The conclusion is that modeling with solely historical data is a good basis, but can be improved. In future research the number of observations should be increased and the model should be tested on data different from the one used to develop the model. Furthermore, the goal difference could be used as the response variable, to examine if the prediction measure improves.

    The mathematical study is completed with an industrial management approach, which consists of an analysis of the betting industry with Porters Five Forces and suggestions of establishment strategies with focus on marketing. Because of the Swedish gambling monopoly, the competition from local operators is limited, but foreign network operators increase their market shares. A new foreign network operator must thus use digital distribution channels to reach the Swedish betting market. The Swedish consumer is price sensitive, why transaction marketing with focus on 4P, above all price, is preferable towards these.

  • 11.
    Al-Khalaf, Adnan
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Gustafsson, Steve Oskar
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Valuing Patents with Linear Regression: Identifying value indicators and using a linear regression model to value  patents2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis consist of two parts. The first part of the thesis will conduct a multiple regression on a data-set obtained from the Ocean Tomo’s auction results between 2006 to 2008 with the purpose to identify key value indicators and investigate to what extent it is possible to predict the value of a patent. The final regression model consist of the following covariates Average number of citings per year, share of active family members, age of the patent, average invested USD per year, and nine CPC’s as dummy variables. The second part of the thesis will investigate why it is difficult to value a patent and the different factors and changes that have contributed to a growing importance of patent valuation by applying theories from knowledge-based economy and industrial change. This is done by conducting a literature review and interviews.

    The results of this thesis states that it is only possible to construct a model that has an explanation degree of 50.21%. The complexity of a patents value derives from uncertainties about future context of the patent and non-quantifiable parameters of the patent. Furthermore we find evidence of a shift from tangible assets to intangible assets in industrial nations which motivates the growing importance of patent valuation.

  • 12.
    Alm, Jonas
    et al.
    Chalmers.
    Lindskog, Filip
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Foreign-currency interest-rate swaps in asset-liability management for insurers2013In: European Actuarial Journal, ISSN 2190-9733, E-ISSN 2190-9741, Vol. 3, no 1, 133-158 p.Article in journal (Refereed)
    Abstract [en]

    We consider an insurer with purely domestic business whose liabilities towards its policy holders have long durations. The relative shortage of domestic government bonds with long maturities makes the insurer’s net asset value sensitive to fluctuations in the zero rates used for liability valuation. Therefore, in order to increase the duration of the insurer’s assets, it is common practice for insurers to take a position as the fixed-rate receiver in an interest-rate swap. We assume that this is not possible in the domestic currency but in a foreign currency supporting a larger market of interest-rate swaps. Monthly data over 16 years are used as the basis for investigating the risks to the future net asset value of the insurer from using foreign-currency interest-rate swaps as a proxy for domestic ones in asset–liability management. We find that although a suitable position in swaps may reduce the standard deviation of the future net asset value it may significantly increase the exposure to tail risk that has a substantial effect on the estimation of the solvency capital requirements.

  • 13.
    Almgren, Lars
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Evaluation of HYDRA - A risk model for hydropower plants2016Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Vattenfall Hydro AB has more than 50 large scale power plants. In these power plants there are over 130 power generating units. The planning of renewals of these units is important to minimize the risk of having big breakdowns which inflict long downtime. Because all power plants are different Vattenfall Hydro AB started using a self developed risk model in 2003 to improve the comparisons between power plants. Since then the model has been used without larger improvements or validation.

    The purpose of this study is to evaluate and analyse how well the risk model has performed and is performing. This thesis is divided into five subsections where analyses are made on the input to the model, adverse events used in the model, the probabilities used in the model, risk forecasts from the model and finally trends for the periods the model has been used. In each subsection different statistical methods are used for the analyses.

    From the analyses it is clear that the low number of adverse events in power plants makes the usage of statistical methods for evaluating performance of Vattenfall Hydro AB’s risk model imprecise. Based on the results of this thesis the conclusion is made that if the risk model is to be used in the future it needs further improvements to generate more accurate results.

  • 14.
    Amundsson, Karl
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Approximate Bayesian Learning of Partition Directed Acyclic Graphs2016Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Partition directed acyclic graphs (PDAGs) is a model whereby the conditional probability tables (CPTs) are partitioned into parts with equal probability. In this way, the number of parameters that need to be learned can be significantly reduced so that some problems become more computationally feasible. PDAGs have been shown to be connected to labeled DAGs (LDAGs) and the connection is summarized here. Furthermore, a clustering algorithm is compared to an exact algorithm for determining a PDAG. To evaluate the algorithm, we use it on simulated data where the expected result is known.

  • 15.
    Andersson, Alexandra
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Smart Beta Investering Baserad på Makroekonomiska Indikatorer2015Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    This thesis examines the possibility to find a relationship between the Nasdaq Nordea Smart Beta Indices and a series of macroeconomic indicators. This relationship will be used as a signal-value and implemented in a portfolio consisting of all six smart beta indices. To investigate the impact of the signal-value on the portfolio performance, three portfolio strategies are examined with the equally weighted portfolio as a benchmark. The portfolio weights will be re-evaluated monthly and the portfolios examined are the mean-variance portfolio, the mean-variance portfolio based on the signal-value and the equally weighted portfolio based on the signal-value.

    In order to forecast the performance of the portfolio, a multivariate GARCH model with time-varying correlations is fitted to the data and three different error-distributions are considered. The performances of the portfolios are studied both in- and out-of-sample and the analysis is based on the Sharpe ratio.

    The results indicate that a mean-variance portfolio based on the relationship with the macroeconomic indicators outperforms the other portfolios for the in-sample period, with respect to the Sharpe ratio. In the out-of-sample period however, none of the portfolio strategies has Sharpe ratios that are statistically different from that of an equally weighted portfolio.

  • 16.
    Andersson, Daniel
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A mixed relaxed singular maximum principle for linear SDEs with random coefficientsArticle in journal (Refereed)
    Abstract [en]

    We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary conditions for optimality in the form of a mixed relaxed-singular maximum principle in a global form. A motivating example is given in the form of an optimal investment and consumption problem with transaction costs, where we consider a portfolio with a continuum of bonds and where the portfolio weights are modeled as measure-valued processes on the set of times to maturity.

  • 17.
    Andersson, Daniel
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    The relaxed general maximum principle for singular optimal control of diffusions2009In: Systems & control letters (Print), ISSN 0167-6911, E-ISSN 1872-7956, ISSN 01676911, Vol. 58, no 1, 76-82 p.Article in journal (Refereed)
    Abstract [en]

    In this paper we study optimality in stochastic control problems where the state process is a stochastic differential equation (SDE) and the control variable has two components, the first being absolutely continuous and the second singular. A control is defined as a solution to the corresponding martingale problem. To obtain existence of an optimal control Haussmann and Suo [U.G. Haussmann, W. Suo, Singular optimal stochastic controls I: Existence, SIAM J. Control Optim. 33 (3) (1995) 916-936] relaxed the martingale problem by extending the absolutely continuous control to the space of probability measures on the control set. Bahlali et al. [S. Bahlali, B. Djehiche, B. Mezerdi, The relaxed stochastic maximum principle in singular optimal control of diffusions, SIAM J. Control Optim. 46 (2) (2007) 427-444] established a maximum principle for relaxed singular control problems with uncontrolled diffusion coefficient. The main goal of this paper is to extend their results to the case where the control enters the diffusion coefficient. The proof is based on necessary conditions for near optimality of a sequence of ordinary controls which approximate the optimal relaxed control. The necessary conditions for near optimality are obtained by Ekeland's variational principle and the general maximum principle for (strict) singular control problems obtained in Bahlali and Mezerdi [S. Bahlali, B. Mezerdi, A general stochastic maximum principle for singular control problems, Electron J. Probab. 10 (2005) 988-1004. Paper no 30]. © 2008 Elsevier B.V. All rights reserved.

  • 18.
    Andersson, Daniel
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Djehiche, Boualem
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization2010In: Mathematical Methods of Operations Research, ISSN 1432-2994, E-ISSN 1432-5217, Vol. 72, no 2, 273-310 p.Article in journal (Refereed)
    Abstract [en]

    We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and necessary conditions for optimality in the form of a relaxed maximum principle. The main motivation is an optimal bond portfolio problem in a market where there exists a continuum of bonds and the portfolio weights are modeled as measure-valued processes on the set of times to maturity.

  • 19.
    Andersson, Daniel
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Djehiche, Boualem
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A maximum principle for SDEs of mean-field type2011In: Applied mathematics and optimization, ISSN 0095-4616, E-ISSN 1432-0606, Vol. 63, no 3, 341-356 p.Article in journal (Refereed)
    Abstract [en]

    We study the optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state of the process. Moreover the cost functional is also of mean-field type, which makes the control problem time inconsistent in the sense that the Bellman optimality principle does not hold. Under the assumption of a convex action space a maximum principle of local form is derived, specifying the necessary conditions for optimality. These are also shown to be sufficient under additional assumptions. This maximum principle differs from the classical one, where the adjoint equation is a linear backward SDE, since here the adjoint equation turns out to be a linear mean-field backward SDE. As an illustration, we apply the result to the mean-variance portfolio selection problem.

  • 20.
    Andersson, Gabriella
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Karlsson, Louise
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Factors affecting the proportion of smartphone usage at Flygresor.se2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Digitization has changed the way people access the internet. Smartphones is soon to be the preferred internet access device leading us into a new generation of e-commerce, namely mobile commerce or m-commerce. The on-going transition, from desktop to smartphone has led to an uprising problem for companies within the area of e-commerce. Visitors coming from a smartphone device tend to not go through with the purchase. With this transition in mind, the thesis aimed to identify the factors that affect the proportion of smartphone visitors on a website, more specifically at the flight comparison site Flygresor.se. The method used was multiple linear regression analysis. To see whether the chosen factors affected the proportion of smartphone transactions or just the proportion of smartphone sessions two regression were performed. One with response variable Sessions and one with response variable Transactions, where Sessions refer to the number of visitors on the website and Transactions refer to the number of visitors moving on to the final booking website. The explanatory variables used were divided into four categories; Marketing, Channels, Season and Other, where the category Other contained the variables Total number of visitors and Amount of MB used per smartphone subscription. The study showed that all categories contained variables with significant impact on both of the response variables. There was only one variable that had different impact on the models, namely the Total number of visitors. The result indicates that smartphone users tend to, in comparison with desktop users, to a less extent continue to the final booking website. Since there were no other variables that only had an impact on Transactions it was assumed that there exist other factors which have a greater impact on smartphone users tendency to finalize a booking.

  • 21.
    Andersson, Joacim
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Falk, Henrik
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Missing Data in Value-at-Risk Analysis: Conditional Imputation in Optimal Portfolios Using Regression2013Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    A regression-based method is presented in order toregenerate missing data points in stock return time series. The method usesonly complete time series of assets in optimal portfolios, in which the returnsof the underlying tend to correlate inadequately with each other. The studyshows that the method is able to replicate empirical VaR-backtesting resultswhere all data are available, even when up to 90% of the time series in half ofthe assets in the portfolios have been removed.

  • 22.
    Andersson, Johan
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Locating Multiple Change-Points Using a Combination of Methods2014Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    The aim of this study is to find a method that is able to locate multiple change-points in a time series with unknown properties. The methods that are investigated are the CUSUM and CUSUM of squares test, the CUSUM test with OLS residuals, the Mann-Whitney test and Quandt’s log likelihood ratio. Since all methods are detecting single change-points, the binary segmentation technique is used to find multiple change-points. The study shows that the CUSUM test with OLS residuals, Mann-Whitney test and Quandt’s log likelihood ratio work well on most samples while the CUSUM and CUSUM of squares are not able to detect the location of the change-points. Furthermore the study shows that the binary segmentation technique works well with all methods and is able to detect multiple change-points in most circumstances. The study also shows that the results can, most of the time, be improved by using a combination of the methods.

  • 23.
    Andersson, Markus
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation2015Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. The idea in this thesis is to find the connection between the components in macroeconomic environment and portfolios consisting of assets from OMX Stockholm 30 and use these relationships to perform Tactical Asset Allocation (TAA). The more specific aim of the project is to prove that dynamic modelling techniques outperform static models in portfolio theory.

  • 24.
    Andersson, Markus
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Singh, Nirankar
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    EN UNDERSÖKNING KRING PRISPÅVERKAN VID INRÄTTANDE AV EN NYBYGGNATION.2013Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This report is aimed at building companies and brokers who are interested to

    see how the trends in prices are on older buildings, near a new construction

    project. It may be that it is easier for construction companies to get through

    the planning permission if it can be shown that the new construction projects

    have a positive impact on the price of existing adjacent buildings. The

    study may be viewed as a pilot project where this kind of reports are rare

    and probably not done before in Sweden. The model must be extended to

    more areas in order to ensure the result of higher significance.

    The conclusion about the study is that it is an indication of positive price

    impact, but the modeling and the approach has been the central focus of the

    study. It is likely to assume that in order to make a better model, even more

    factors have be taken into account. For example, it is possible that when a

    construction project is built, it can be improved communications to the area,

    new stores can be built or similar improvements, so even such aspects would

    be needed for a more rigorous study.

  • 25.
    Andersson, Nicole
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Söderberg, Petra
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A study of the most important volume drivers for sparkling wine in Sweden2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This paper examines the factors that affect volume of sparkling wine sold at licensed Swedish liquor stores. Regression analysis is used to model the relationship between the identified parameters believed to have an impact on the volume sold.

    Social sustainability is also covered, and will be examined in the context of a deregulated alcohol market in the future. A 5C analysis and an analysis based on both WACOSS Social Sustainability framework and Social Life’s framework have been conducted.

    Results from the regression analysis show that the parameters which affected the volume sold fell into three categories: Country, what kind of grape, and price. Most parameters affected the volume sold in a positive way; except for wines from New Zealand and higher priced wine which reduce the volume sold.

    This thesis arrives at the conclusion that a regulated alcohol market is favorable in Sweden since the aim is to keep the alcohol consumption low and the overall public health high. 

  • 26.
    André, Léo
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Prediction of French day-ahead electricity prices: Comparison between a deterministic and a stochastic approach2015Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    This thesis deals with the new flow-based computation method used in the Central Western Europe Area. This is done on the financial side. The main aim is to produce some robust methods for predicting. Two approaches are used: the first one is based on a deterministic and algorithmic method involving the study of the interaction between the fundamentals and the prices. The other one is a more statistical approach based on a time series modeling of the French flow-based prices. Both approaches have advantages and disadvantages which will be discussed in the following. The work is mainly based on global simulated data provided by CASC in their implementation phase of the flow-base in Western Europe.

  • 27.
    Arbegard, Fredrik
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Inflyttning i Stockholmsområdet - En regressionsanalys av variabler som påverkar inflyttningen i Stockholmskommunerna.2012Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [sv]

    Undersökningen handlade om att ta fram en modell med variabler för att avgöra om det finns några variabler som påverkar inflyttningen till en kommun i Stockholmsområdet och i så fall vilka dessa är.

    Undersökningen gjordes med hjälp av regressionsanalys av variablerna och metoden som användes var stepwise regression.

    På så sätt erhölls koefficienterna till modellen och med hjälp utav dessa kunde man tolka om variablerna hade positiv eller negativ inverkan samt testa huruvida väntevärdet skulle kunna vara negativt eller positivt med hjälp av hypotestest med konfidensintervall.

    Vid tolkning av variablerna så erhöll man att dem flesta variablerna betedde sig enligt dem hypoteserna man slagit fast vid tidigare.

    Det visade sig att dem flesta utav variablernas väntevärde vid 95% konfidens intervall faktiskt låg inom ett område där det kunde anta både positivt och negativt tecken.

    Dessutom gjordes residualplottar för att undersöka hur bra modellen var och om det förekom några mönster i variansen, det slogs fast vid observation att inga mönster förekom i plottarna.

    Slutsatsen man kom fram till att även om vissa variabler betedde sig enligt dem uppskattade hypoteserna så tar modellen inte hänsyn till en del faktorer som kan ändra inflyttningen, samt att det finns fler variabler som kan ha större betydelse för hur folk väljer sin hemkommun.

  • 28. Aro, Helena
    et al.
    Djehiche, Boualem
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Löfdahl, Björn
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Stochastic modelling of disability insurance in a multi-period framework2015In: Scandinavian Actuarial Journal, ISSN 0346-1238, E-ISSN 1651-2030, no 1, 88-106 p.Article in journal (Refereed)
    Abstract [en]

    We propose a stochastic semi-Markovian framework for disability modelling in a multi-period discrete-time setting. The logistic transforms of disability inception and recovery probabilities are modelled by means of stochastic risk factors and basis functions, using counting processes and generalized linear models. The model for disability inception also takes IBNR claims into consideration. We fit various versions of the models into Swedish disability claims data.

  • 29. Asmussen, Sören
    et al.
    Rydén, Tobias
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A Note on Skewness in Regenerative Simulation2011In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 40, no 1, 45-57 p.Article in journal (Refereed)
    Abstract [en]

    The purpose of this article is to show, empirically and theoretically, that performance evaluation by means of regenerative simulation often involves random variables with distributions that are heavy tailed and heavily skewed. This, in turn, leads to the variance of estimators being poorly estimated, and confidence intervals having actual coverage quite different from (typically lower than) the nominal one. We illustrate these general ideas by estimating the mean occupancy and tail probabilities in M/G/1 queues, comparing confidence intervals computed from batch means to various intervals computed from regenerative cycles. In addition, we provide theoretical results on skewness to support the empirical findings.

  • 30.
    Aurell, Alexander
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    The SVI implied volatility model and its calibration2014Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    The SVI implied volatility model is a parametric model for stochastic implied volatility.The SVI is interesting because of the possibility to state explicit conditions on its parameters so that the model does not generate prices where static arbitrage opportunities can occur. Calibration of the SVI model to real market data requires non-linear optimization algorithms and can be quite time consuming. In recent years, methods to calibrate the SVI model that use its inherent structure to reduce the dimensions of the optimization problem have been invented in order to speed up the calibration. The ?first aim of this thesis is to justify the use of the model and the no static arbitrage conditions from a theoretic point of view. Important theorems by Kellerer and Lee and their proofs are discussed in detail and the conditions are carefully derived. The second aim is to implement the model so that it can be calibrated to real market implied volatility data. A calibration method is presented and the outcome of two numerical experiments validate it. The performance of the calibration method introduced in this thesis is measured in how big a fraction of the total market volume the method manages to ?t within the market spread. Tests show that the model manages to ?t most of the market volume inside the spread, even for options with short time to maturity. Further tests show that the model is capable to recalibrate an SVI parameter set that allows for static arbitrage opportunities into an SVI parameter set that does not.

  • 31.
    Axelsson, Rebecca
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Källsbo, Rebecca
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analys av variabler som påverkar lönsamheten i gymbranschen med multipel linjär regression2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis combines mathematical statistics with industrial economics and management to examine the profitability of the fitness industry in Sweden. The study was conducted with a dozen fitness businesses and the data mainly consisted of the companies’ annual reports from 2009 to 2014. The operating margin is the measure for profitability used in the calculations. A survey was conducted with multiple linear regressions to identify explanatory variables that affect the profitability and the extent of influence by these variables. The results of the regression analysis are discussed from economic aspects. This thesis contributes with strategic conclusions to the development of a business model for new and existing fitness businesses that aim to maximize profitability. The thesis can also be used as a tool in strategic development and give insight to how companies should approach the market. It includes an analysis of the competitive forces and external factors that may affect companies in the industry. Risk factors and growth opportunities are taken into account in the discussion about how companies can finance their operations. The regression analysis concludes that it is primarily the factors that affect the companies’ revenues and costs that have a significant impact on profitability. However, the results of the thesis also indicate that qualitative factors have a major impact on profitability.

  • 32.
    Back, Alexander
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Keith, William
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Valuation of Contingent Convertible Bonds2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Contingent convertible bonds are hybrid capital instruments, contingent on some form of indicator of financial distress of the issuing bank. Following the financial crisis, these instruments are proposed as a solution to the moral hazard issue of banks too big to fail. With the increased capital requirements of the Basel III directive, contingent capital enables banks to increase their capitalization without issuing expensive equity. Also, in times of historically low interest rates, these instruments might be interesting for investors in search of higher yields, as well as long term investors wanting to implement countercyclical investment strategies. However, due to the high complexity of these instruments, valuation has proven diffcult. The purpose of this thesis is to value instruments contingent on the bank's common equity tier 1 to risk-weighted assets ratio. We build our model upon the work of Glasserman & Nouri (2012), and extend it to include contingency on risk-weighted assets, instant non-continuous conversion to equity, and a combination of fixed imposed loss and fixed conversion price as terms of conversion. We use a capital structure model in continuous time to define asset dynamics, asset claims and the event of conversion and liquidation of the bank. Thereafter we use two important results from Glasserman & Nouri (2012) to value the discounted cash flows to holders of debt and contingent debt. From this, we arrive at closed form solutions for the coupon rates of these securities.

  • 33.
    Backman, Fredrik
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Dependence Modelling and Risk Analysis in a Joint Credit-Equity Framework2015Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    This thesis is set in the intersection between separate types of financial markets, with emphasis on joint risk modelling. Relying on empirical findings pointing toward the ex- istence of dependence across equity and corporate debt markets, a simulation framework intended to capture this property is developed. A few different types of models form building blocks of the framework, including stochastic processes describing the evolution of equity and credit risk factors in continuous time, as well as a credit rating based model, providing a mechanism for imposing dependent credit migrations and defaults for firms participating in the market. A flexible modelling framework results, proving capable of generating dependence of varying strength and shape, across as well as within studied markets. Particular focus is given to the way markets interact in the tails of the distributions. By means of simulation, it is highlighted that dependence as produced by the model tends to spread asymmetrically with simultaneously extreme outcomes occurring more frequently in lower than in upper tails. Attempts to fit the model to observed market data featuring historical stock index and corporate bond index values are promising as both marginal distributions and dependence connecting the investigated asset types appear largely replicable, although we conclude further validation remains.

  • 34. Bahlali, K.
    et al.
    Chighoub, F.
    Djehiche, Boualem
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Mezerdi, B.
    Optimality necessary conditions in singular stochastic control problems with nonsmooth data2009In: Journal of Mathematical Analysis and Applications, ISSN 0022-247X, E-ISSN 1096-0813, Vol. 355, no 2, 479-494 p.Article in journal (Refereed)
    Abstract [en]

    The present paper studies the stochastic maximum principle in singular optimal control, where the state is governed by a stochastic differential equation With nonsmooth coefficients, allowing both classical control and singular control. The proof of the main result is based oil the approximation of the initial problem, by a sequence of control problems with smooth coefficients. We, then apply Ekeland's variational principle for this approximating sequence of control problems, in order to establish necessary conditions satisfied by a sequence of near optimal controls. Finally, we prove the convergence of the scheme, using Krylov's inequality in the nondegenerate case and the Bouleau-Hirsch now property in the degenerate one. The adjoint process obtained is given by means of distributional derivatives of the coefficients.

  • 35. Bahlali, Khaled
    et al.
    Djehiche, Boualem
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Mezerdi, Brahim
    On the stochastic maximum principle in optimal control of degenerate diffusions with lipschitz coefficients2007In: Applied mathematics and optimization, ISSN 0095-4616, E-ISSN 1432-0606, Vol. 56, no 3, 364-378 p.Article in journal (Refereed)
    Abstract [en]

    We establish a stochastic maximum principle in optimal control of a general class of degenerate diffusion processes with global Lipschitz coefficients, generalizing the existing results on stochastic control of diffusion processes. We use distributional derivatives of the coefficients and the Bouleau Hirsh flow property, in order to define the adjoint process on an extension of the initial probability space.

  • 36. Bahlali, Seid
    et al.
    Djehiche, Boualem
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Mezerdi, Brahim
    The relaxed stochastic maximum principle in singular optimal control of diffusions2007In: SIAM Journal of Control and Optimization, ISSN 0363-0129, E-ISSN 1095-7138, Vol. 46, no 2, 427-444 p.Article in journal (Refereed)
    Abstract [en]

    This paper studies optimal control of systems driven by stochastic differential equations, where the control variable has two components, the first being absolutely continuous and the second singular. Our main result is a stochastic maximum principle for relaxed controls, where the first part of the control is a measure valued process. To achieve this result, we establish first order optimality necessary conditions for strict controls by using strong perturbation on the absolutely continuous component of the control and a convex perturbation on the singular one. The proof of the main result is based on the strict maximum principle, Ekeland's variational principle, and some stability properties of the trajectories and adjoint processes with respect to the control variable.

  • 37. Bao, Z.
    et al.
    Erdős, L.
    Schnelli, Kevin
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Local Law of Addition of Random Matrices on Optimal Scale2017In: Communications in Mathematical Physics, ISSN 0010-3616, E-ISSN 1432-0916, Vol. 349, no 3, 947-990 p.Article in journal (Refereed)
    Abstract [en]

    The eigenvalue distribution of the sum of two large Hermitian matrices, when one of them is conjugated by a Haar distributed unitary matrix, is asymptotically given by the free convolution of their spectral distributions. We prove that this convergence also holds locally in the bulk of the spectrum, down to the optimal scales larger than the eigenvalue spacing. The corresponding eigenvectors are fully delocalized. Similar results hold for the sum of two real symmetric matrices, when one is conjugated by Haar orthogonal matrix.

  • 38. Bao, Zhigang
    et al.
    Erdos, Laszlo
    Schnelli, Kevin
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Convergence rate for spectral distribution of addition of random matrices2017In: Advances in Mathematics, ISSN 0001-8708, E-ISSN 1090-2082, Vol. 319, 251-291 p.Article in journal (Refereed)
  • 39.
    Barbouche, Tarek
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Extreme Value Theory Applied to Securitizations Rating Methodology2017Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    One of today’s financial trends is securitization. Evaluating Securitization risk requires some strong quantitative skills and a deep understanding of both credit and market risk. For international securitization programs it is mandatory to take into account the exchange-rates-related risks. We will see the di˙erent methods to evaluate extreme variations of the exchange rates using the Extreme Value Theory and Monte Carlo simulations.

  • 40.
    Bartold, Martina
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Modelling of Private Infrastructure Debt in a Risk  Factor Model2017Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Allocation to private infrastructure debt investments has increased in the recent years [15]. For managers of multi-asset portfolios, it is important to be able to assess the risk of the total portfolio and the contribution to risk of the various holdings in the portfolio. This includes being able to explain the risk of having private infrastructure debt investments in the portfolio.

    The modelling of private infrastructure debt face many challenges, such as the lack of private data and public indices for private infrastructure debt. In this thesis, two approaches for modelling private infrastructure debt in a parametric risk factor model are proposed. Both approaches aim to incorporate revenue risk, which is the risk occurring from the type of revenue model in the infrastructure project or company.

    Revenue risk is categorised into three revenue models; merchant, contracted and regulated, as spread level differences can be distinguished for private infrastructure debt investments using this categorisation. The difference in spread levels between the categories are used to estimate β coefficients for the two modelling approaches. The spread levels are obtained from a data set and from a previous study.

    In the first modelling approach, the systematic risk factor approach, three systematic risk factors are introduced where each factor represent infrastructure debt investments with a certain revenue model. The risk or the volatility for each of these factors is the volatility of a general infrastructure debt index adjusted with one of the β coefficients.

    In the second modelling approach, the idiosyncratic risk term approach, three constant risk terms for the revenue models are added in order to capture the revenue risk for private infrastructure debt investments. These constant risk terms are estimated with the β coefficients and the historical volatility of a infrastructure debt index.

    For each modelling approach, the commonly used risk measures standalone risk and risk contribution are presented for the entire block of the infrastructure debt specific factors and for each of the individual factors within this block.

    Both modelling approaches should enable for better explanation of risk in private infrastructure debt investments by introducing revenue risk. However, the modelling approaches have not been backtested and therefore no conclusion can be made in regards to whether one of the proposed modelling approaches actually is better than current modelling approaches for private infrastructure debt.

  • 41.
    Bartold, Martina
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Wachtmeister, Caroline
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Studie av korrelation mellan valutapar relaterade till Skandinavien2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Is there a correlation between exchange rates for currency pairs related to Scandinavia? How can this information be used in foreign exchange trading?

    This Bachelor’s thesis in Mathematical Statistics and Industrial Management aims to investigate the correlation between prices for currency pairs on the Scandinavian market. The problem formulation for the mathematical part has been designed in cooperation with Pär Hellström, a Senior Quant Trader at the electronic foreign exchange trading department at SEB. Pärs main responsibilities is to manage and develop models that are used for algorithmic currency trading. The result of the correlation study is supposed to contribute additional knowledge about the correlation on the Scandinavian currency market.

    The Bachelor’s thesis is divided into several parts. The purpose of the first part is to give a background about currency trading, electronic foreign exchange trading and algorithmic trading.

    In the subsequent part in Mathematical Statistics the correlation study is conducted. The study of correlation is made for a long time interval and for a number of shorter time intervals over the same time period in order to determine if there are periods when the correlation of the studied currency pairs change drastically. Data for the currency pairs are modified and a simple linear regression is performed for two currency pairs at a time. Based on the regressions, correlation coefficients and their significance is calculated. The correlation study shows that for the longer time interval there is a significant and strong or very strong correlation or anticorrelation between several of the currency pairs related to Scandinavia. Furthermore, the correlation study shows that the correlation is dependent on the studied time interval and that all combinations of currency pairs exhibit correlation changes over time. The changes in correlation between two currency pairs are primarily due

    to a large price change for one or both of the currency pairs.

    The Bachelor’s thesis concludes with a discussion about why correlation should be taken into account in currency trading and whether correlation should be used in algorithmic currency trading. Based on articles and theories of behavioral finance it is also discussed what differentiates a traditional currency trader and algorithmic foreign exchange trading. We have come to the conclusion that correlation should be considered in algorithmic currency trading. The behavioral aspect of a traditional trader is the trader’s emotional reactions and the psychological factors when trading, while the behavioral aspect of a trading algorithm is the construction of the trading algorithm by humans.

  • 42.
    Batres-Estrada, Bilberto
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Deep learning for multivariate financial time series2015Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    Deep learning is a framework for training and modelling neural networks which recently have surpassed all conventional methods in many learning tasks, prominently image and voice recognition. This thesis uses deep learning algorithms to forecast financial data. The deep learning framework is used to train a neural network. The deep neural network is a Deep Belief Network (DBN) coupled to a Multilayer Perceptron (MLP). It is used to choose stocks to form portfolios. The portfolios have better returns than the median of the stocks forming the list. The stocks forming the S&P 500 are included in the study. The results obtained from the deep neural network are compared to benchmarks from a logistic regression network, a multilayer perceptron and a naive benchmark. The results obtained from the deep neural network are better and more stable than the benchmarks. The findings support that deep learning methods will find their way in finance due to their reliability and good performance.

  • 43. Bauso, Dario
    et al.
    Dia, Ben Mansour
    Djehiche, Boualem
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Tembine, Hamidou
    Tempone, Raul
    Mean-Field Games for Marriage2014In: PLoS ONE, ISSN 1932-6203, E-ISSN 1932-6203, Vol. 9, no 5, e94933- p.Article in journal (Refereed)
    Abstract [en]

    This article examines mean-field games for marriage. The results support the argument that optimizing the long-term wellbeing through effort and social feeling state distribution (mean-field) will help to stabilize marriage. However, if the cost of effort is very high, the couple fluctuates in a bad feeling state or the marriage breaks down. We then examine the influence of society on a couple using mean-field sentimental games. We show that, in mean-field equilibrium, the optimal effort is always higher than the one-shot optimal effort. We illustrate numerically the influence of the couple's network on their feeling states and their well-being.

  • 44.
    Belfrage, Sean
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Ahmadi, Adrian
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Investigating the Accuracy of Analyst Consensus for Earnings per Share of S&P 100 companies2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This study investigated what affects how accurately financial analysts can predict the earnings per share of companies included in the Standard & Poor’s 100 index. To achieve this goal data on earnings forecasts was gathered for the years 2000 through 2013. Further this study investigated if there are any differences in the accuracy of optimistic respectively pessimistic earnings consensus forecasts. Multiple linear regressions were used in order to answer the imposed questions. The factors found, in this study, to affect the forecast accuracy were consensus dispersion, company size, net margin, which exchange a company is listed on and, to some extent, a company’s industry classification. Further, the result of the study implies that there is no difference in the accuracy of optimistic respectively pessimistic earnings consensus forecasts. In this study the models utilised, and the factors investigated, could only explain a limited part of what affects the earnings forecast accuracy. Lastly, a concluding qualitative attempt was made to find factors which affect the accuracy but which were hard to incorporate in this quantitative study.

  • 45.
    Berg, Edvin
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Orrsveden, Magnus
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A regression analysis of the factors affecting the ticket price in thetravel industry2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This bachelor thesis in applied mathematics and industrial engineering and management investigates which factors that affect the price of tickets in the travel industry. This has been done by performing different multiple linear regression analyses based on the theory from mathematical statistics and econometrics. The analyses has been made with data that has been provided by MTR Express, containing data of departures of 2016 for the main operators in the railway and airline industry. The route that has been analysed is Stockholm - Gothenburg since this is the route where MTR Express has established its business in the railway market in Sweden. The results of the linear regression analysis show that the variables "Days before departure" and the weekday of travel have the most significant impact on the prices for both train and flight tickets. The final models have an explanation

    degree of 50% for the railway and 51% for the airline industry. The results show many similarities and correlations between the railway and airline industries. Furthermore, some interesting differences between these subindustries appeared in the final regression models and these have been one of the aspects in the discussion. The conclusion of the thesis is that there are several different aspects affecting the price in the travel industry

  • 46.
    Berglund, André
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Hellgren, Erik
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Bolåneräntor i Sverige: Enanalys av individuella räntor med multipel linjär regression2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This report investigates how a number of customer-specific factors affect individual interest rates for Swedish home mortgages. The method used is multiple linear regression with transformations of the explanatory variables. Transformations that we employ are log-linear, linear-log, log-log and piecewise linear. The dataset consists of approximately 7000 Swedish home mortgages with floating interest rates from July 2013. Loan to value ratio, loan size and the the choice of mortgage lender are identified as the most important factors that influence individual interest rates. We find that large loans in combination with low loan to value ratio tend to lead to lower interest rates. There are also significant differences in interest rates depending on the mortgage lender.

  • 47.
    Berglund, André
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Svensson, Carl
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    On the risk relation between Economic Value of Equity and Net Interest Income2017Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. These risk measures have previously been studied separately but few models have been proposed to investigate the relationship between them. Based on previous research we assume that parts of the banking book can be approximated using a portfolio strategy of rolling bonds and propose a model for relating the connection between the portfolio maturity structure, EVE risk and NII risk. By simulating from both single- and multi-factor Vasicek models and measuring risk as Expected Shortfall we illustrate the resulting risk profiles. We also show how altering certain theoretical assumptions seem to have little effect on these risk profiles.

  • 48.
    Berglund, Pontus
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Jagermark, Oskar
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Prognostisering av försäljning på andrahandsmarkaden för bilar: En tidsserieanalys2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Forecasting is an essential tool for business desicion making in several areas. Capacity planning is one of these, and in this project we have analyzed how the company KVD Kvarndammen AB should use their forecasts in order to optimize their strategy regarding capacity planning. We have also applied several models in the field of time series analysis, specifically AR, MA and ARMA to create a forecast of the total amount of sales on the used-car market in Sweden.

    The results of the application show that modelling with an ARMA-based time series model is feasible and suggests that a forecast can be improved upon with the use of such a model compared to one not based on time series analysis. The largest differences between the quality of the applied models were not found between the AR, MA or ARMA models themselves, but rather depended on how the data was preprocessed, where differencing achieved the best results. We also concluded that KVD should use a chase demand-attitude and more specifically a match demand-strategy to optimize their capacity planning.

  • 49.
    Bergroth, Magnus
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Carlsson, Anders
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Estimation of a Liquidity Premium for Swedish Inflation Linked Bonds2014Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    It is well known that the inflation linked breakeven inflation, defined as the difference between a nominal yield and an inflation linked yield, sometimes is used as an approximation of the market’s inflation expectation. D’Amico et al. (2009, [5]) show that this is a poor approximation for the US market. Based on their work, this thesis shows that the approximation also is poor for the Swedish bond market. This is done by modelling the Swedish bond market using a five-factor latent variable model, where an inflation linked bond specific premium is introduced. Latent variables and parameters are estimated using a Kalman filter and a maximum likelihood estimation. The conclusion is drawn that the modelling was successful and that the model implied outputs gave plausible results.

  • 50.
    Berlin, Daniel
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Multi-class Supervised Classification Techniques for High-dimensional Data: Applications to Vehicle Maintenance at Scania2017Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
    Abstract [en]

    In vehicle repairs, many times locating the cause of error could turn out more time consuming than the reparation itself. Hence a systematic way to accurately predict a fault causing part would constitute a valuable tool especially for errors difficult to diagnose. This thesis explores the predictive ability of Diagnostic Trouble Codes (DTC’s), produced by the electronic system on Scania vehicles, as indicators for fault causing parts. The statistical analysis is based on about 18800 observations of vehicles where both DTC’s and replaced parts could be identified during the period march 2016 - march 2017. Two different approaches of forming classes is evaluated. Many classes had only few observations and, to give the classifiers a fair chance, it is decided to omit observations of classes based on their frequency in data. After processing, the resulting data could comprise 1547 observations on 4168 features, demonstrating very high dimensionality and making it impossible to apply standard methods of large-sample statistical inference. Two procedures of supervised statistical learning, that are able to cope with high dimensionality and multiple classes, Support Vector Machines and Neural Networks are exploited and evaluated. The analysis showed that on data with 1547 observations of 4168 features (unique DTC’s) and 7 classes SVM yielded an average prediction accuracy of 79.4% compared to 75.4% using NN.The conclusion of the analysis is that DTC’s holds potential to be used as indicators for fault causing parts in a predictive model, but in order to increase prediction accuracy learning data needs improvements. Scope for future research to improve and expand the model, along with practical suggestions for exploiting supervised classifiers at Scania is provided. keywords: Statistical learning, Machine learning, Neural networks, Deep learning, Supervised learning, High dimensionality

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