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 58
... determine the Min . { I p1 ( PH ) . I p1 ( Po ) } is equivalent to determine the minimum of the first term in ( 1 ) and ( 2 ) since the second terms are identical . Thus , I have I ‚ 1 ( Po ) = P1 ( S ) In [ P1 ( S ) / P ° ( S ) ] + P1 ...
... determine the Min . { I p1 ( PH ) . I p1 ( Po ) } is equivalent to determine the minimum of the first term in ( 1 ) and ( 2 ) since the second terms are identical . Thus , I have I ‚ 1 ( Po ) = P1 ( S ) In [ P1 ( S ) / P ° ( S ) ] + P1 ...
Página 157
... determine the rank of the matrix π . This method solves the problem of the first approach . However , we need to build up a VAR model , which is again not so easy , especially we need to determine the order p for the VAR first . In Sec ...
... determine the rank of the matrix π . This method solves the problem of the first approach . However , we need to build up a VAR model , which is again not so easy , especially we need to determine the order p for the VAR first . In Sec ...
Página 175
... determined based on a weighted average of two out of the three information sources : • Fundamental agents receive a ... determine for each agent by drawing a random value from a uniform distribution , U ( 0,1 ) . The first component of ...
... determined based on a weighted average of two out of the three information sources : • Fundamental agents receive a ... determine for each agent by drawing a random value from a uniform distribution , U ( 0,1 ) . The first component of ...
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