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 24
... occur at some time t = -1 , or prior to the start of trading . Following the release of the signal , if any , trade occurs throughout the trading day , which is divided into n equal discrete time intervals denoted as t = 1,2 , ... n ...
... occur at some time t = -1 , or prior to the start of trading . Following the release of the signal , if any , trade occurs throughout the trading day , which is divided into n equal discrete time intervals denoted as t = 1,2 , ... n ...
Página 45
... occurs . A trade event occurs as either buy or sell . t = { B , S } . Ν τ V1 The total trading volume of the traded asset up to time t . v , = ẞ , + s ,. B1 The total buying volume of the traded asset up to time t . St The total selling ...
... occurs . A trade event occurs as either buy or sell . t = { B , S } . Ν τ V1 The total trading volume of the traded asset up to time t . v , = ẞ , + s ,. B1 The total buying volume of the traded asset up to time t . St The total selling ...
Página 174
... occur in the market . A trade occurs when two agents are randomly paired and one asks a price for a share of the stock , while the other bids for the stock . The sale price occurs at the mid - point of the bid and ask . We used 240 ...
... occur in the market . A trade occurs when two agents are randomly paired and one asks a price for a share of the stock , while the other bids for the stock . The sale price occurs at the mid - point of the bid and ask . We used 240 ...
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 |
Derechos de autor | |
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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