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 157
... square regres- sion based cointegration approach and have demon- strated the advantages of our approach . 1. Introduction Cointegration relationship can be found in many financial time series and is very useful for financial analysis ...
... square regres- sion based cointegration approach and have demon- strated the advantages of our approach . 1. Introduction Cointegration relationship can be found in many financial time series and is very useful for financial analysis ...
Página 159
... square regression assumes noises in the re- gressors only . Thus , five more equations are required to relate other variables as SWF * = -0.2068 + 0.8773DEM – 0.0083FRN- -- 0.2116CAD + 0.2141 AUD + 0.0020JAP , FRN * = 0.4468 + 3.2723DEM ...
... square regression assumes noises in the re- gressors only . Thus , five more equations are required to relate other variables as SWF * = -0.2068 + 0.8773DEM – 0.0083FRN- -- 0.2116CAD + 0.2141 AUD + 0.0020JAP , FRN * = 0.4468 + 3.2723DEM ...
Página 230
... square root stochastic volatility . The dynamics of the spot exchange rate and the variance are dS = μSdt + √V ( t ) Sdz , ( t ) dV ( t ) = k ( 0 − V ( t ) ) dt + o , √√V ( t ) dz , ( t ) ( 1 ) ( 2 ) where dz ,, dz , are Wiener ...
... square root stochastic volatility . The dynamics of the spot exchange rate and the variance are dS = μSdt + √V ( t ) Sdz , ( t ) dV ( t ) = k ( 0 − V ( t ) ) dt + o , √√V ( t ) dz , ( t ) ( 1 ) ( 2 ) where dz ,, dz , are Wiener ...
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