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 18
... returns as the level of volume rises . 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 ...
... returns as the level of volume rises . 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 ...
Página 163
... return from February 4 , 1991 to February 3 , 1992. The strong correlation between large growth rates and high returns was expected , since these returns were observed over the period that the high growth rates were seen . When projected ...
... return from February 4 , 1991 to February 3 , 1992. The strong correlation between large growth rates and high returns was expected , since these returns were observed over the period that the high growth rates were seen . When projected ...
Página 164
... returns , and it peaked for moderate returns ) . However , since the database had fewer low return than high return stocks , there was a statistically significant negative correlation between uncertainty and current yield . This ...
... returns , and it peaked for moderate returns ) . However , since the database had fewer low return than high return stocks , there was a statistically significant negative correlation between uncertainty and current yield . This ...
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