Search for dissertations about: "statistical finance"

Showing result 1 - 5 of 14 swedish dissertations containing the words statistical finance.

  2. 1. Probabilistic modeling in sports, finance and weather

    Author : Jan Lennartsson; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical modelling; Game theory; Team sport tactics; Modern portfolio theory; Gaussian fields; Team sport tactics;

    Abstract : In this thesis, we build mathematical and statistical models for a wide variety of real world applications. The mathematical models include applications in team sport tactics and optimal portfolio selection, while the statistical modeling concerns weather and specifically precipitation. READ MORE

  4. 2. Interacting particle systems in varying environment, stochastic domination in statistical mechanics and optimal pairs trading in finance

    Author : Marcus M J Warfheimer; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Interacting particle systems; contact process; randomly evolving environment; spin systems; Ising model; fuzzy Potts model; pairs trading; optimal stopping; contact process;

    Abstract : In this thesis we first consider the contact process in a randomly evolving environment, introduced by Erik Broman. This process is a generalization of the contact process where the recovery rate can vary between two values. The rate which it chooses is determined by a background process, which evolves independently at different sites. READ MORE

  5. 3. Univariate and Multivariate Surveillance of Outbreaks

    Author : Linus Schiöler; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; change-points; expected delay; exponential family; false alarms; generalised likelihood; inference principles; influenza; MEWMA; monitoring; multivariate; ordered regression; performance metrics; outbreak; predictive value; subjective judgment; spatial; statistical models; surveillance; tularemia;

    Abstract : In many areas there is a need to monitor observations in order to detect changes in the underlying processes as quickly as possible. The theory of statistical surveillance provides the possibility of making optimal decisions about whether a change has occurred or not based on the data available at the time of the decision. READ MORE

  6. 4. Assessing Distributional Properties of High-Dimensional Data

    Author : Rashid Mansoor; Holgersson Thomas; Ghazi Shukur; Helgi Tomason; Jönköping University; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This doctoral thesis consists of five papers in the field of multivariate statistical analysis of high-dimensional data. Because of the wide application and methodological scope, the individual papers in the thesis necessarily target a number of different statistical issues. READ MORE

  7. 5. Issues of incompleteness, outliers and asymptotics in high dimensional data

    Author : Peter S. Karlsson; Thomas Holgersson; Ghazi Shukur; Åke E. Andersson; Jönköping University; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Business and economics; Ekonomi;

    Abstract : This thesis consists of four individual essays and an introduction chapter. The essays are in the field of multivariate statistical analysis of High dimensional data. The first essay presents the issue of estimating the inverse covariance matrix alone and when it is used within the Mahalanobis distance in High-dimensional data. READ MORE