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Página 18
Significantly , they also document that the first daily autocorrelation of stock returns is lower on high ( relative ) volume days than on low ( relative ) volume days . On the other hand , the Harris and Raviv [ 1993 ] model ...
Significantly , they also document that the first daily autocorrelation of stock returns is lower on high ( relative ) volume days than on low ( relative ) volume days . On the other hand , the Harris and Raviv [ 1993 ] model ...
Página 35
The relative entropy is defined as a measure of a ' distance ' between two probability distributions . Mathematically , the relative entropy of P " under P " is defined as : Ip " ( P ' ) = Σ_P " ( Q ) ln [ Po ( Q ) / Po ( Q ) ] Q ...
The relative entropy is defined as a measure of a ' distance ' between two probability distributions . Mathematically , the relative entropy of P " under P " is defined as : Ip " ( P ' ) = Σ_P " ( Q ) ln [ Po ( Q ) / Po ( Q ) ] Q ...
Página 115
Additionally , the analyst can change the weight scheme selected to reflect relative ratio importance as well as the accuracy of weight steps ( by restating the value of h ) to examine their effects on the results . IV .
Additionally , the analyst can change the weight scheme selected to reflect relative ratio importance as well as the accuracy of weight steps ( by restating the value of h ) to examine their effects on the results . IV .
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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
actual agents algorithm analysis applied approach asset assumed average banks cash flow catastrophe closings components computational condition considered consistent convergence correlation dependent deposit derivative described determine distribution effect efficient error estimate evaluation event example exchange expected Figure function future fuzzy given growth h₁ implied increases independent indicates industry Influence function informed traders insured interest International Journal learning losses mapping market maker matrix mean measure method neutral objects observed obtained occurs option parameter performance period portfolio positive possible predict present probability problem ratio relation relative respect returns risk rules selection sell short sale shows signal simulation specification standard statistical structure Table techniques term trade uninformed University V₁ variables variance vector volatility volume weighted
Información bibliográfica
| Título | Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza Manhattan |
| Colaboradores | IEEE Computer Society, IEEE Neural Networks Council, International Association of Financial Engineers |
| Editor | IEEE Service Center, 1995 |
| Procedencia del original | Universidad de Michigan |
| Digitalizado | 10 Ene. 2008 |
| ISBN | 0780321464, 9780780321465 |
| Largo | 192 páginas |
| Exportar cita | BiBTeX EndNote RefMan |