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 30
... denote the outcome of a trade event at time t ( i.e. Q , e [ B , S , N ] ) and Q as a vector of past sequential ... denote by p the conditional probability at the beginning of period t , given the history of previous trades Q that the ...
... denote the outcome of a trade event at time t ( i.e. Q , e [ B , S , N ] ) and Q as a vector of past sequential ... denote by p the conditional probability at the beginning of period t , given the history of previous trades Q that the ...
Página 165
... denote the state of the system by i̟ , and the possible states as it E { 1 , 2 , ... , n } . Let a ( it | it - 1 , it − 2 , . . . , it - k ) denote the transition probability for a model of order k ; this transition probability is the ...
... denote the state of the system by i̟ , and the possible states as it E { 1 , 2 , ... , n } . Let a ( it | it - 1 , it − 2 , . . . , it - k ) denote the transition probability for a model of order k ; this transition probability is the ...
Página 166
... denotes the state at time t and i denotes the uth component of It . Mixed memory Markov models [ 4 ] overcome this ... denote the μth component of It . If the time series has k components and each component can have n values , the ...
... denotes the state at time t and i denotes the uth component of It . Mixed memory Markov models [ 4 ] overcome this ... denote the μth component of It . If the time series has k components and each component can have n values , the ...
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