Statistical testing of claims related to high-frequency stock market data

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dc.contributor.advisorKangro, Raul, juhendaja
dc.contributor.authorFahradyan, Gegham
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.date.accessioned2020-05-04T09:28:54Z
dc.date.available2020-05-04T09:28:54Z
dc.date.issued2020
dc.descriptionNowadays one can find a number of sources, presenting their views on possible stock price behavior patterns. The objective of this thesis is to interpret some claims regarding stock price fluctuations into mathematical formulations. The latter are further tested through relevant statistical tests in two stages. The first stage includes running the test on the dataset of one trading day per financial instrument. The second stage considers running a statistical test on the outcomes of the first stage in order to finally approve or reject the claim. Trading simulations will be run through the datasets of confirmed claims. The main value of the thesis is the demonstration of various possibilities to interpret the imprecise claims into mathematical formulations and then verify them by scientific approach.en
dc.description.abstractNowadays one can find a number of sources, presenting their views on possible stock price behavior patterns. The objective of this thesis is to interpret some claims regarding stock price fluctuations into mathematical formulations. The latter are further tested through relevant statistical tests in two stages. The first stage includes running the test on the dataset of one trading day per financial instrument. The second stage considers running a statistical test on the outcomes of the first stage in order to finally approve or reject the claim. Trading simulations will be run through the datasets of confirmed claims. The main value of the thesis is the demonstration of various possibilities to interpret the imprecise claims into mathematical formulations and then verify them by scientific approach.en
dc.identifier.urihttp://hdl.handle.net/10062/67342
dc.language.isoenget
dc.rightsopenAccesset
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectaktsiaturu hindade käitumismustridet
dc.subjectpatterns of stock price behavioren
dc.subjectkõrgsageduslikud päevasisesed aktsiaandmedet
dc.subjecthigh-frequency intra-day stock dataen
dc.subjectstatistiline testimineet
dc.subjectstatistical testingen
dc.subjectsimulatsioonidet
dc.subjectsimulationsen
dc.subject.otherkauplemineet
dc.subject.othertradingen
dc.titleStatistical testing of claims related to high-frequency stock market dataen
dc.typeinfo:eu-repo/semantics/masterThesiset

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