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DOI: 10.5445/IR/1000021622

Enhanced Forecasting Methods, Fat Tails, and their Applications in Finance

Scherrer, Christian

Abstract:
This dissertation consists of two parts. The first part introduces a neural network approach that is used to forecast the conditional probability density function of asset returns. The model is unified with the idea of Arbitrage Pricing Theory (APT). In the second part, an algorithm called "individualized semi-linear regression" is discussed. The algorithm is an improvement of a linear regression, but slope and intercept may depend non-linearly on an arbitrary amount of exogenous variables.


Zugehörige Institution(en) am KIT Institut für Wirtschaftstheorie und Statistik (ETS)
Publikationstyp Hochschulschrift
Jahr 2010
Sprache Deutsch
Identifikator URN: urn:nbn:de:swb:90-216220
KITopen-ID: 1000021622
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Wirtschaftstheorie und Statistik (ETS)
Prüfungsdaten 20.12.2010
Referent/Betreuer Prof. S. Rachev
Schlagworte neural network, time series, Arbitrage Pricing Theory, linear regression
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