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Dissertations / Theses on the topic 'Prices – Statistical methods'

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Published: 4 June 2021

Last updated: 19 February 2022

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1

Xin, Ling, and 辛聆. "The statistical properties and effectiveness of filter trading rule." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hdl.handle.net/10722/196092.

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Filter trading rule is a technical trading strategy that was very popular amongst practitioners and has been used a lot for testing market efficiency. It has been shown that the filter trading rule is mathematically equivalent to the CUSUM quality control test as both are based on change point detection theory via sequential probability ratio tests (SPRT). To study the operating characteristics of the filter trading rule, many results from the CUSUM literature can be applied. However, some interesting operating characteristics of a technical trading rule such as expected profit per day may not

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2

任漢全 and Hon-chuen Yam. "Statistical analysis of some technical trading rules in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31213819.

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3

Ma, Po-yee Pauline, and 馬寶兒. "The heteroscedastic structure of some Hong Kong price series." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1989. http://hub.hku.hk/bib/B31976062.

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4

Shen, Rujun, and 沈汝君. "Mining optimal technical trading rules with genetic algorithms." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B47870011.

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In recent years technical trading rules are widely known by more and more people, not only the academics many investors also learn to apply them in financial markets. One approach of constructing technical trading rules is to use technical indicators, such as moving average(MA) and filter rules. These trading rules are widely used possibly because the technical indicators are simple to compute and can be programmed easily. An alternative approach of constructing technical trading rules is to rely on some chart patterns. However, the patterns and signals detected by these rules are oft

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5

Li, Chun-wah, and 李振華. "Spatial autocorrelation and liquidity in Hong Kong's real estate market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B47278006.

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Spatial autocorrelation is commonly found in the Hedonic Pricing model for real estate prices, but little attention has been paid to identify the causes behind. The primary objective of this research is to examine the causes of spatial autocorrelation in housing prices. Observed autocorrelation is often attributable to the omission of important location characteristics in the modelling process. Since it is practically impossible to exhaustively include all location characteristics, some variables may eventually be omitted, leaving spatially autocorrelated residuals in the Hedonic Pricin

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6

Ren, JinJuan, and 任錦娟. "Investigating the role of accounting earnings in explaining increasingidiosyncratic volatility." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B29851051.

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7

Mohammadi, Limaei Soleiman. "Economically optimal values and decisions in Iranian forest management /." Umeå : Dept. of Forest Economics, Swedish University of Agricultural Sciences, 2006. http://epsilon.slu.se/200691.pdf.

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8

Lawrence, Gerald D. "Stumpage price expectations: an empirical analysis of nonindustrial private landowners in the Mid-Atlantic states." Thesis, Virginia Polytechnic Institute and State University, 1985. http://hdl.handle.net/10919/51894.

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Numerous empirical studies outside of forestry have analyzed the role of price expectations in different decision processes. Empirical studies using price expectations in forestry research is a relatively new field of endeavor. Past studies have typically ignored or given cursory treatment to the role of price expectations. This study provides a review of studies in forestry that have attempted to incorporate price expectations into model formulations. Models are then developed to explain the short-run harvest, and long-run regeneration expenditure decisions by the non-industrial private for

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9

Du, Toit Cornel. "Non-parametric volatility measurements and volatility forecasting models." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50401.

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Assignment (MComm)--Stellenbosch University, 2005.<br>ENGLISH ABSTRACT: Volatilty was originally seen to be constant and deterministic, but it was later realised that return series are non-stationary. Owing to this non-stationarity nature of returns, there were no reliable ex-post volatility measurements. Subsequently, researchers focussed on ex-ante volatility models. It was only then realised that before good volatility models can be created, reliable ex-post volatility measuremetns need to be defined. In this study we examine non-parametric ex-post volatility measurements in order to

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10

Lee, Yee-nin, and 李綺年. "On a double smooth transition time series model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31215555.

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11

Dagdelen, Derya. "The Effects Of Exchange Rates, Oil Prices, Global Risk Perceptions And Global Warming On Food Prices." Thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614969/index.pdf.

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This thesis examines the relationship between food prices, oil prices, carbon emission prices, exchange rates and global risk perception. To obtain the effects of these variables on the food prices, Toda and Yamamoto procedure is employed for 5-day week daily time series covering the period February 27, 2008 and March 21, 2011. The empirical results indicate that only volatility index Granger causes food prices. Furthermore, according to results of generalized impulse response plots food prices respond to all variables in the short run.

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12

Hamell, Clara. "Statistical Methods for Analysis of the Homeowner's Impact on Property Valuation and Its Relation to the Mortgage Portfolio." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-288498.

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The current method for house valuations in mortgage portfolio models corresponds to applying a residential property price index (RPPI) to the purchasing price (or last known valuation). This thesis introduces an alternative house valuation method, which combines the current one with the bank's customer data. This approach shows that the gap between the actual house value and the current estimated house value can to some extent be explained by customer attributes, especially for houses where the homeowner is a defaulted customer. The inclusion of customer attributes can either reduce false over

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13

Revend, War. "Predicting House Prices on the Countryside using Boosted Decision Trees." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-279849.

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This thesis intends to evaluate the feasibility of supervised learning models for predicting house prices on the countryside of South Sweden. It is essential for mortgage lenders to have accurate housing valuation algorithms and the current model offered by Booli is not accurate enough when evaluating residence prices on the countryside. Different types of boosted decision trees were implemented to address this issue and their performances were compared to traditional machine learning methods. These different types of supervised learning models were implemented in order to find the best model

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14

Otunuga, Olusegun Michael. "Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes." Scholar Commons, 2014. https://scholarcommons.usf.edu/etd/5289.

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Supply and demand in the World oil market are balanced through responses to price movement with considerable complexity in the evolution of underlying supply-demand expectation process. In order to be able to understand the price balancing process, it is important to know the economic forces and the behavior of energy commodity spot price processes. The relationship between the different energy sources and its utility together with uncertainty also play a role in many important energy issues. The qualitative and quantitative behavior of energy commodities in which the trend in price of one com

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15

Liu, Xiaodong. "Econometrics on interactions-based models methods and applications /." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1180283230.

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16

Bunger, R. C. (Robert Charles). "Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of Time." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330882/.

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In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means. The density functions allow stock market participants trading index options and futures contracts on the S & P 1

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17

Kiefer, Hua. "Essays on applied spatial econometrics and housing economics." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1180467420.

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18

Achuo, George. "Partner satisfaction and renewal likelihood in consumer supported agriculture (CSA) : a case study of The Equiterre CSA network." Thesis, McGill University, 2003. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=19555.

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19

Kubheka, Sihle. "Long range dependence in South African Platinum prices under heavy tailed error distributions." Diss., 2016. http://hdl.handle.net/10500/22283.

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South Africa is rich in platinum group metals (PGMs) and these metals are important in providing jobs as well as investments some of which have been seen in the Johannesburg Securities Exchange (JSE). In this country this sector has experienced some setbacks in recent times. The most notable ones are the 2008/2009 global nancial crisis and the 2012 major nationwide labour unrest. Worrisomely, these setbacks keep simmering. These events usually introduce jumps and breaks in data which changes the structure of the underlying information thereby inducing spurious long memory (long range dependen

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20

Liu, Ming-Yeh, and 劉明燁. "A study of the impact of neighboring roads on land prices by statistical methods - Taking Taoyuan District as an example." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/6e27wz.

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碩士<br>國立臺灣大學<br>統計碩士學位學程<br>105<br>Since August 1, 2012, the Taiwan government announced the implementation of the " national system for registering the actual prices of property transactions ", referred to as the Actual Prices Registration System, expect through the transparent trading information flat the rising house prices, help to improve the buyers and the vast number of housing market in the "information unequal" situation. In recent years, countries around the world tend to open the government information, and this study aims to use the open data to study the possible factor on the imp

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21

"Exact simulation of SDE: a closed form approximation approach." 2010. http://library.cuhk.edu.hk/record=b5894499.

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Chan, Tsz Him.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.<br>Includes bibliographical references (p. 94-96).<br>Abstracts in English and Chinese.<br>Abstract --- p.i<br>Acknowledgement --- p.iii<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Monte Carlo method in Finance --- p.6<br>Chapter 2.1 --- Principle of MC and pricing theory --- p.6<br>Chapter 2.2 --- An illustrative example --- p.9<br>Chapter 3 --- Discretization method --- p.15<br>Chapter 3.1 --- The Euler scheme and Milstein scheme --- p.16<br>Chapter 3.2 --- Convergence of Mean Square Error --- p.19

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22

Ivancic, Lorraine Economics Australian School of Business UNSW. "Scanner data and the construction of price indices." 2007. http://handle.unsw.edu.au/1959.4/40782.

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This thesis explores whether scanner data can be used to inform Consumer Price Index (CPI) construction, with particular reference to the issues of substitution bias and choice of aggregation dimensions. The potential costs and benefits of using scanner data are reviewed. Existing estimates of substitution bias are found to show considerable variation. An Australian scanner data set is used to estimate substitution bias for six different aggregation methods and for fixed base and superlative indexes. Direct and chained indexes are also calculated. Estimates of substitution bias are found to b

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23

Chen, Ko-Shan, and 陳國玄. "The Study of the Classification and the Forecasting of the Stock Prices for the Electronic Industry in Taiwan by Using Artificial Neural Networks and Statistical Methods." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/99785920928232192305.

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碩士<br>國立成功大學<br>統計學系碩博士班<br>92<br>This paper is to study the application of artificial neural network and statistical method in forecasting tendency of stock market price index and analysis of inner characteristic of stock price trend by using major influence factor of stock price index. According to statistical data that is derived from Taiwan Stock Exchange Corporation, the electronics industry is mainstream industry. For this reason, electronics industry Stock price index is our research target. However, in past research and paper, little is consider about the stock price index by complete

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24

"Barrier option pricing with nonparametric ACE methods." 2013. http://library.cuhk.edu.hk/record=b5549265.

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有各式各樣的參數與非參數期貨定價模型被廣泛應用於金融領域。其中一些模型的組合能顯著提升期貨定價的準確性。更具體的說，可以先通過參數模型擬合數據，再使用非參數模型學習並修正誤差估價誤差。本論文作為范和Mancini(2009) 結果的延伸，將市場交易的歐式期權價格作為輸入數據，運用「有參數模型指導的非參數定價方法」對障礙期權進行估價。「自動誤差修正估價法」運用非參數方法對由參數估價法產生的誤差進行修正，使得障礙期權的非參數定價模型可以被視為一系列的歐式期權定價的組合。在整個障礙期權的估價過程中，本論文同時提供了一種分數階快速傅裡葉變換的應用，可通過由非參數方法獲得的標的資產對數的存活函數計算標的資產對數最大值分佈的特徵函數。<br>There are a variety of parametric and nonparametric option pricing models commonly used in Finance. A combination of them can enhance the pricing performance significantly. Specifically, one proposes to fit the data with a parametric method and then correct the pricing errors empi

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25

Huang, Wen-ChI, and 黃文奇. "A Research of Housing Market Prices and Court Auction House Prices Applying Spatial Statistics Method-Example Taichung City." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/78601915271822655855.

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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>94<br>The continuous decline in macro-economic conditions has contributed to a slump in real estate market cycle. As a result, there has been a steady increase in mortgage arrears. A large number of mortgage arrears have been released to the court auction housing market. Spatial parameters of data proposed by Pace and Gilley (1997) are used to improve the Simultaneous Autoregression Model (SAR Model for short) of estimated results and enhance accuracy of appraisals for an empirical study in this research. . Information on court auction houses determined by

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26

"Nonparametric regression-based pattern recognition method for stock price movements." 2011. http://library.cuhk.edu.hk/record=b5896684.

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Poon, Ka Ho.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.<br>Includes bibliographical references (leaves 62-63).<br>Abstracts in English and Chinese.<br>Abstract of the thesis entitled --- p.ii<br>摘要 --- p.iii<br>Acknowledgements --- p.iv<br>Chapter Section 1. --- Introduction --- p.1<br>Chapter Section 2. --- Review of Useful Concepts --- p.4<br>Chapter 2.1 --- Terms and Methodologies - Pattern Recognition --- p.4<br>Chapter 2.1.1 --- Rolling Windows --- p.4<br>Chapter 2.1.2 --- Smoothing Function - Kernel Regression --- p.5<br>Chapter 2.1.3 --- Filtering Function ´ؤ Se

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27

Peterson, David John. "Essays on strategic trading, asymmetric information, and asset pricing." Thesis, 1999. http://hdl.handle.net/2429/9910.

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This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric information. In the first model, a risk averse investor with private information about dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The informed investor trades strategically in equilibrium. The second model also involves an infinite time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive behavior is exogenously specified; price takers trade shares with a strategic investor who accounts for the effect

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28

(9160868), Jinho Jung. "ESSAYS ON SPATIAL DIFFERENTIATION AND IMPERFECT COMPETITION IN AGRICULTURAL PROCUREMENT MARKETS." Thesis, 2020.

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<div> <p>First Essay: We study the effect of entry of ethanol plants on the spatial pattern of corn prices. We use pre- and post-entry data from corn elevators to implement a clean identification strategy that allows us to quantify how price effects vary with the size of the entrant (relative to local corn production) and with distance from the elevator to the entrant. We estimate Difference-In-Difference (DID) and DID-matching models with linear and non-linear distance specifications. We find that the average-sized entrant causes an increase in corn price that ranges from 10 to 15 cents per

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29

Ferrero, Eduardo Ezequiel. "Dinámica de relajación del modelo de Potts de q estados bidimensional: una contribución a la descripción de propiedades de no-equilibrio en transiciones de fase de primer orden." Doctoral thesis, 2011. http://hdl.handle.net/11086/163.

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Tesis (Doctor en Física)--Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física, 2011.<br>Estudiamos el modelo de Potts de q estados bidimensional, que presenta transiciones de fase magnéticas con temperatura de primer (q > 4) y segundo orden (q = 4). Trabajamos con simulaciones tipo Monte Carlo para las cuales implementamos distintas técnicas algorítmicas, incluyendo una implementación en GPUs. No obstante, presentamos también algunos resultados analíticos. Analizamos la Dinámica de Tiempos Cortos en la aproximación de Campo Medio del modelo de Potts con q=2 resolviendo

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