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 192
... fitness function should evaluate the dynamical information given by a particular set of parameter values . i.e. the fitness function should measure the power of the parameter set . Lets consider a three - dimensional model with 3 ...
... fitness function should evaluate the dynamical information given by a particular set of parameter values . i.e. the fitness function should measure the power of the parameter set . Lets consider a three - dimensional model with 3 ...
Página 199
... fitness measure according to how well it solves the problem in question . In our case we assign higher fitness to individuals which exhibit smaller mispricing for the training data set . spun Selection is performed : a ' roulette wheel ...
... fitness measure according to how well it solves the problem in question . In our case we assign higher fitness to individuals which exhibit smaller mispricing for the training data set . spun Selection is performed : a ' roulette wheel ...
Página 207
... the Genetic Programming algorithm training parameters used . Sum of absolute dollar and percentage errors Fitness Criterion Population Size 5,000 Number of Generations 10 Table 2 : Pricing Errors Comparison of the average errors 207.
... the Genetic Programming algorithm training parameters used . Sum of absolute dollar and percentage errors Fitness Criterion Population Size 5,000 Number of Generations 10 Table 2 : Pricing Errors Comparison of the average errors 207.
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