For the degree of Master of Science (Financial Engineering). A minimum of six credit hours is required for the thesis.
In this thesis we use high-frequency financial data and multidimensional liquidity measures to formulate multiple methodologies for detection and analysis of rare events....More
Because the side effects of the LIBOR have strongly influenced the global market after the financial crash in 2008, many countries focused on finding a substitution for LIBOR. After comparing different possible rates, SOFR has been selected in the US to replace LIBOR...More
News articles can be a powerful source for many financial time series predictions. However, extracting useful information from a large amount of unstructured data and representing the features in a rather small dimensionality remain a big challenge for researchers....More
Stock prediction is critical in quantitative trading for creating an efficient trading strategy that yields a high return. ...More
Investing in bonds is becoming more popular among investors due to the increasing uncertainty of the financial world. This research investigates the out-of-sample predictability of corporate bond yield using BVAL curve values for the period April 2011 to June 2020 for three ...More
This thesis analyzes the lead-lag relationship in the Chinese market based on the daily closing transaction data of the CSI 300 index and CSI 300 index futures. ...More
In this thesis, we implement the discrete wavelet transform (DWT) to categorize mortgages based on the payment history. The wavelet transform is applied to the time series of payments to perform a multiresolution analysis. ...More
Exchange rates are used by almost every business. How they move and what affect them are questions that have been asked for a long time. In this thesis, we take a look at where the BEER model came from and how it can be used to estimate equilibrium ...More
Liquidity describes the degree to which an asset or security can be quickly bought or sold in the market without affecting the asset’s price. Evaluating market liquidity levels and analyzing liquidity measures are valuable....More
In this thesis we test the impact of dimensionality reduction techniques on trading strategies based on machine learning. The dimensionality reduction is either performed by Feature Selection alone or by combining Feature Selection and Feature Extraction....More
High frequency trading algorithms are purpose built to produce Buy/Sell signals at specific volume based on predefined rules. These signals are then converted to market or limit orders and routed to exchanges. The rules to come up with the Buy / Sell signal are often static and are designed ...More
In real-world tasks, there is a trade-off between performance and interpretability. Machine learning applications have shown to be able to greatly increase learning performance, but its models are often termed as a black box....More
In this thesis we model the asset price using jump diffusion with a log mixed Gaussian distribution as the jump size. This jump diffusion model follows a Partial Integro Differential Equation (PIDE). ...More
Default probability prediction is a crucial topic because it is an influential factor in assessing listed corporations' credit risk in the financial market. While previous studies have focused on structural...More
We propose an approximation method to value volatility options. This method is based on choosing models with closed form solution as an auxiliary model, and derive a mis-pricing formula between the true price and the auxiliary one,...More
We describe an optimization driven Funds Transfer Pricing (“FTP”) framework for a Financial Institution subject to TLAC, NSFR, LCR1, and other regulatory and total asset constraints. After deriving the optimal asset and funding ...More
Along with the increase in popularity of Exchange Traded Funds(ETFs), the concern of mispricing is raising as well, especially during intraday trading. In this dis sertation we will verify this by constructing a synthetic...More
Recent studies have provided some evidence showing the existence of effects between the VIX index and the cryptocurrency market. Inspired by these earlier f indings, we implement bipower variation to detect jumps in the VIX index and Bitcoin. ...More
In this thesis, we develop a simple model to explore the likelihood of a prof itable acquisition in a standard oligopolistic market framework. We show that with out costs synergy any acquisition is unprofitable....More
This thesis investigates the development, implementation, and evaluation of ad vanced option pricing models, focusing on a Stochastic Liquidity model to address the limitations of the traditional Black-Scholes-Merton framework....More