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 24
... trade the risky asset for exogenous non- informational reasons or portfolio considerations , such as immediate ... trade occurs throughout the trading day , which is divided into n equal discrete time intervals denoted as t = 1,2 , ... n ...
... trade the risky asset for exogenous non- informational reasons or portfolio considerations , such as immediate ... trade occurs throughout the trading day , which is divided into n equal discrete time intervals denoted as t = 1,2 , ... n ...
Página 32
... trade . Specifically , if all informed traders own the stock in a bad news case , every informed trader will sell ; hence , no trade will decrease the likelihood of bad news . Again , as h , decreases the inequality can be reversed ...
... trade . Specifically , if all informed traders own the stock in a bad news case , every informed trader will sell ; hence , no trade will decrease the likelihood of bad news . Again , as h , decreases the inequality can be reversed ...
Página 40
... trade size or block trade effect can be expanded into the current framework . Separating and pooling equilibrium may be conjectured as a means to study the determination of the price - trade size relationship along with trading volume ...
... trade size or block trade effect can be expanded into the current framework . Separating and pooling equilibrium may be conjectured as a means to study the determination of the price - trade size relationship along with trading volume ...
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