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 144
... matrix is chosen such that the covariance matrix of the resulting signals is diagonal : PCA decorrelates by minimizing the second order moments . It does not consider higher order moments . Higher order moments , however , do contribute ...
... matrix is chosen such that the covariance matrix of the resulting signals is diagonal : PCA decorrelates by minimizing the second order moments . It does not consider higher order moments . Higher order moments , however , do contribute ...
Página 145
... matrix to increase the independence of the outputs . While there is no separation into two distinct stages as in the off - line case , the resulting demixing matrix can be interpreted as the product of two such stages . Cardoso and ...
... matrix to increase the independence of the outputs . While there is no separation into two distinct stages as in the off - line case , the resulting demixing matrix can be interpreted as the product of two such stages . Cardoso and ...
Página 150
... matrix . N is the number of observed vectors , and each vector has n components ( usually N » n ) . A singular value decomposition on the data matrix gives X = USV ' ( 10 ) where U is an N x n column orthogonal matrix , S is an n x n ...
... matrix . N is the number of observed vectors , and each vector has n components ( usually N » n ) . A singular value decomposition on the data matrix gives X = USV ' ( 10 ) where U is an N x n column orthogonal matrix , S is an n x n ...
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