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 32
... indicates bad news to the market maker . Corollary 1 : For all parameter values , the relative probability of low to high signal a ) increases if there is no trade , i.e. N N [ PLt + 1 / P Ht + 1 ] > [ Plt / PH.t ] b ) increases if ...
... indicates bad news to the market maker . Corollary 1 : For all parameter values , the relative probability of low to high signal a ) increases if there is no trade , i.e. N N [ PLt + 1 / P Ht + 1 ] > [ Plt / PH.t ] b ) increases if ...
Página 167
... indicating which component of It - 1 determines the transition matrix for i . 3 Experimental Results We apply the ... indicates strong first order dependency and a small mixture coefficient points to very little dependency . Table 1 ...
... indicating which component of It - 1 determines the transition matrix for i . 3 Experimental Results We apply the ... indicates strong first order dependency and a small mixture coefficient points to very little dependency . Table 1 ...
Página 218
... indicates a value of optimal topography σopt between σ = 0.4 and σ = 0.5 , while another measure ( Spearman's p [ 8 ] , for a comparison and review of such measures see [ 9 ] ) indicates σopt = 1.0 . Following these suggestions would ...
... indicates a value of optimal topography σopt between σ = 0.4 and σ = 0.5 , while another measure ( Spearman's p [ 8 ] , for a comparison and review of such measures see [ 9 ] ) indicates σopt = 1.0 . Following these suggestions would ...
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