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Preprocessing Data: A Study on Testing Transformations for Stationarity of Financial Data
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Förbehandling av data: En studie som testar transformationer för stationaritet av finansiell data (Swedish)
Abstract [en]

In thesis within Industrial Economics and Applied Mathematics in cooperation with Svenska Handelsbanken given transformations was examined in order to assess their ability to make a given time series stationary. In addition, a parameter α belonging to each of the transformation formulas was to be decided. To do this an extensive study of previous research was conducted and two different tests of hypothesis where obtained to confirm output. A result was concluded where a value or interval for α was chosen for each transformation. Moreover, the first difference transformation is proven to have a positive effect on stationarity of financial data.

Abstract [sv]

Det här kandidatexamensarbetet inom Industriell Ekonomi och tillämpad matematik i samarbete med Handelsbanken undersöker givna transformationer för att bedöma deras förmåga att göra givna tidsserier stationära. Dessutom skulle en parameter α tillhörande varje transformations formel bestämmas. För att göra detta utfördes en omfattande studie av tidigare forskning och två olika hypotestester gjordes för att bekräfta output. Ett resultat sammanställdes där ett värde eller ett intervall för α valdes till varje transformation. Dessutom visade det sig att "first difference" transformationen är bra för stationäritet av finansiell data.

Place, publisher, year, edition, pages
2019.
Series
TRITA-SCI-GRU ; 2019:270
Keywords [en]
Bachelor Thesis, financial outcome, transformations, stationarity, tests of hypothesis, EWMA
Keywords [sv]
Kandidatarbete, finansiell avkastning, transformationer, stationäritet, hyoptestest, EWMA
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-254301OAI: oai:DiVA.org:kth-254301DiVA, id: diva2:1334843
External cooperation
Handelsbanken
Subject / course
Applied Mathematics and Industrial Economics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2019-07-03 Created: 2019-07-03 Last updated: 2019-07-03Bibliographically approved

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Citation style
  • apa
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  • Other locale
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Output format
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