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 |
Dentro del libro
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Página 22
... profit rather than expected utility , especially by the informed traders and the market maker in a competitive market . First , informed traders maximize expected profits on the private information of ' good ' or ' bad ' news . Apart ...
... profit rather than expected utility , especially by the informed traders and the market maker in a competitive market . First , informed traders maximize expected profits on the private information of ' good ' or ' bad ' news . Apart ...
Página 23
... profit from each trade at their quotes . Note that the zero expected profit condition follows the assumptions of competitive market and risk neutrality . This simplification allows me to focus on the short sale constraints and ...
... profit from each trade at their quotes . Note that the zero expected profit condition follows the assumptions of competitive market and risk neutrality . This simplification allows me to focus on the short sale constraints and ...
Página 254
... profit margin , and the quantitative issue of deciding by how much the margin should be altered . For reasons discussed in detail by Cliff [ 2 ] , each ZIP trader makes the qualitative decision of when to alter its margin on the basis ...
... profit margin , and the quantitative issue of deciding by how much the margin should be altered . For reasons discussed in detail by Cliff [ 2 ] , each ZIP trader makes the qualitative decision of when to alter its margin on the basis ...
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