Gundermann, M Wandrille (2024) Kernels Methods applied to financial time series forecasting PRE - Research Project, ENSTA.
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Abstract
Studies on the behaviour of financial markets very often utilize regressions in the analysis process. However, the vast majority of these are linear regressions. For example, a firm’s excess returns are calculated by taking the difference between the actual return and the expected return, which has itself been calculated using linear regression via the CAPM method. All these econometric variables are modelled using a linear combination of time series, but there is no theoretical guarantee of a linear relationship between them and their parameters. It is therefore relevant to wonder whether non-linear models – which are therefore more complex to implement – are able to approximate these variables better in order to increase the accuracy of the findings of these studies on the behaviour of financial markets.
Item Type: | Thesis (PRE - Research Project) |
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Uncontrolled Keywords: | Forecast Returns |
Subjects: | Sciences of Economy, Management and Society Mathematics and Applications |
ID Code: | 10103 |
Deposited By: | Wandrille GUNDERMANN |
Deposited On: | 03 sept. 2024 09:56 |
Dernière modification: | 03 sept. 2024 09:56 |
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