Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza ManhattanIEEE Service Center, 1995 - 192 páginas |
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Página 141
... components instead of independent components , the reconstructed price does not resemble the original one . The technique of ICA is shown to be a potentially powerful method to analyze and understand driving mechanisms in financial time ...
... components instead of independent components , the reconstructed price does not resemble the original one . The technique of ICA is shown to be a potentially powerful method to analyze and understand driving mechanisms in financial time ...
Página 143
... Component Analysis ICA denotes the process of taking a set of observed signal vectors , x , and extracting from them a ( new ) set of statistically independent vectors , y , called the independent components ( ICs ) or the sources ...
... Component Analysis ICA denotes the process of taking a set of observed signal vectors , x , and extracting from them a ( new ) set of statistically independent vectors , y , called the independent components ( ICs ) or the sources ...
Página 166
... component ; the description presented here closely follows that presented in [ 4 ] . Let It denote the tth element of a coupled time series and it denote the μth component of It . If the time series has k components and each component ...
... component ; the description presented here closely follows that presented in [ 4 ] . Let It denote the tth element of a coupled time series and it denote the μth component of It . If the time series has k components and each component ...
Contenido
Outliers Influence Functions and Robust Portfolio Optimization | 1 |
tacting BlackScholes to a NonBlackSchcies Environment 137 | 4 |
A Theory of Price Formation in A Market with Short Sale Prohibition | 15 |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
agents analysis ASPID Banco Bank of Tokyo-Mitsubishi behavior Black-Scholes cash flow mapping catastrophe losses CatLoss cointegration computational correlation covariance matrix data mining data set database deposit closings derivative distribution dynamics Easley and O'Hara efficient frontier error estimate evaluation expected FDIC Figure financial ratios FINANZIA fuzzy set Genetic genetic algorithm given growth rates h₁ implied variance independent component analysis Influence function informed traders instruments with means insured deposit Journal learning linear market maker Markov models method minimum variance portfolio multinomial Neural Networks neutral mapping option pricing overall parameter predict pricing algorithms probability problem rate of convergence ratio reinsurance risk neutral risk-neutral rules selection sell short sale short sale prohibition simulation specification standard deviations statistical stochastic stock price stock returns t₁ tangency portfolio techniques theta trading volume uncertainty underwriting uninformed V₁ V₂ variables vector volatility weighted