Finanšu risku pārvaldība, izmantojot slēpto Markova modeli
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Latvijas Universitāte
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lav
Abstract
Bakalaura darbā pamatā tika apskatīts slēptais Markova modelis (SMM), kas tiek izmantots dažādās nozarēs, kā piemēram, matemātikā, fizikā, medicīnā un citur. Vēstures apraksts sniedz informāciju par Markova modeļa pirmsākumiem un pielietojumiem. Savukārt Markova process ir pamats slēptajam Markova modelim. Slēptais Markova modelis galvenokārt saskaras ar trīs galvenajām problēmām, kurām tiks sniegts risinājums. Svarīgi ir zināt SMM teorētisko pielietojumu akciju tirgum, lai pārvaldītu finanšu riskus. Bakalaura darba praktiskā daļa ir veidota uz reāliem, publiski pieejamiem Baltijas akciju tirgus cenu datiem. Atslēgvārdi: Markova process, slēptais Markova modelis (SMM), Forward, Backward, Viterbi, Baum- Welch, risku pārvaldība, akciju tirgus.
The base of Bachelor's thesis was the hidden Markov model (HMM), which is used in various sectors, for example in math, physics, medicine, etc. The history provides information on the origin of Markov model and its applications. While the Markov process, on the other hand, is the basis for the hidden Markov model. The Hidden Markov model is mainly faced with three major challenges, for whom will be provided solution. It’s important to know that SMM theoretical application to the stock market, to manage financial risks. Bachelor thesis practical part is built on a realistic, accessible to the public in the Baltic stock market price data. Keywords: Markov process, hidden Markov model (HMM), Forward, Backward, Viterbi, Baum- Welch, risk management, stock market.
The base of Bachelor's thesis was the hidden Markov model (HMM), which is used in various sectors, for example in math, physics, medicine, etc. The history provides information on the origin of Markov model and its applications. While the Markov process, on the other hand, is the basis for the hidden Markov model. The Hidden Markov model is mainly faced with three major challenges, for whom will be provided solution. It’s important to know that SMM theoretical application to the stock market, to manage financial risks. Bachelor thesis practical part is built on a realistic, accessible to the public in the Baltic stock market price data. Keywords: Markov process, hidden Markov model (HMM), Forward, Backward, Viterbi, Baum- Welch, risk management, stock market.