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 26
... probability ( 1 - μ ) , the liquidity trader arrives at the market place , and chooses to sell or buy randomly , with probabilities y and ( 1 - y ) facing a short sale prohibition , if he wishes to sell and has no stock , he will elect ...
... probability ( 1 - μ ) , the liquidity trader arrives at the market place , and chooses to sell or buy randomly , with probabilities y and ( 1 - y ) facing a short sale prohibition , if he wishes to sell and has no stock , he will elect ...
Página 30
... probability that the price is V1 , or his revised conditional expectation for the value . Let me denote by p the conditional probability at the beginning of period t , given the history of previous trades Q that the signal we [ H , L ...
... probability that the price is V1 , or his revised conditional expectation for the value . Let me denote by p the conditional probability at the beginning of period t , given the history of previous trades Q that the signal we [ H , L ...
Página 45
... probability of an information event occurs . 0 < a < 1 . δ The probability of a low signal , Y = L occurs . 0 < 8 < 1 . The probability that an uninformed trader wants to sell . 0 < y < 1 . γ μ The probability that a given trader is ...
... probability of an information event occurs . 0 < a < 1 . δ The probability of a low signal , Y = L occurs . 0 < 8 < 1 . The probability that an uninformed trader wants to sell . 0 < y < 1 . γ μ The probability that a given trader is ...
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