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A Model for Estimating Short Interest
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2021 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
En modell för att estimera mängden blankningar (Swedish)
Abstract [en]

The hefty price increases in heavily shorted stocks in the beginning of 2021 indicates that short interest might be an underrated yet important key figure for investors when deciding on whether to take on an investment strategy or not. Most stock exchanges release information regarding the short interest only once a month leaving investors having to make decisions on outdated information. No previous research was found on whether there exists a linear relationship between some variables to estimate the short interest. Through the collection of mostly financial data and some regression analysis, a large­sample linear regression model was constructed. Although the problem complexity may seem of higher degree than linear, this study suggest that there exists a linear relationship between the variables studied when estimating short interest. These results suggest that one can use the mathematical model presented in this study for estimation and also get a better understanding of which underlying variables that impact short interest the most. The final model consisted of 6 variables, number of outstanding shares, average trading volume, stock price, volatility, equity andaverage weighted cost of capital.

Abstract [sv]

De kraftiga prisökningarna på kraftigt blankade aktier i början av 2021 indikerar att mängden blankade aktier kan vara ett underskattat men ändå viktigt nyckeltal för investerare när de beslutar om den investeringsstrategi som skall användas. De flesta börser släpper information om mängden blankningar en gång i månaden, vilket gör att investerare måste fatta beslut på föråldrad information. Ingen tidigare forskning hittades på om det finns ett linjärt samband mellan vissa variabler för att uppskatta antalet blankningar. Genom insamlingen av mestadels finansiell data och med hjälp av regressionsanalys konstruerades en regressionsmodell baserat på ett stort urval. Även om problemkomplexiteten kan verka av högre grad än linjär tyder denna studie på att det finns ett linjärt samband mellan de studerade variablerna. Dessa resultat tyder på att man kan använda den matematiska modellen som presenteras i denna studie för uppskattning och också få en bättre förståelse för vilka underliggande variabler som påverkar mest. Den slutliga modellen bestod av 6 variabler, antal utestående aktier, genomsnittlig handelsvolym, aktiekurs, volatilitet, eget kapital och genomsnittlig viktad kapitalkostnad.

Place, publisher, year, edition, pages
2021.
Series
TRITA-SCI-GRU ; 2021:313
Keywords [en]
Statistics, applied mathematics, regression, finance, short interest, stock market
Keywords [sv]
Statistik, tillämpad matematik, regression, finans, korta positioner, aktiemarknaden
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-311739OAI: oai:DiVA.org:kth-311739DiVA, id: diva2:1655643
Subject / course
Applied Mathematics and Industrial Economics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2022-05-03 Created: 2022-05-03 Last updated: 2022-10-27

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CiteExportLink to record
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Citation style
  • apa
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