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
Resultados 1-3 de 20
Página 24
... uninformed about the future value of the risky asset . They trade the risky asset for exogenous non- informational reasons or portfolio considerations , such as immediate consumption needs , tax planning , and alternate outside ...
... uninformed about the future value of the risky asset . They trade the risky asset for exogenous non- informational reasons or portfolio considerations , such as immediate consumption needs , tax planning , and alternate outside ...
Página 37
... uninformed trader . From Proposition 4 , the rate of convergence , I p1 ( Po ) , in bad news case is faster than I ... uninformed traders owning the stock are equal . This is not likely the case . The informed ownership fraction is ...
... uninformed trader . From Proposition 4 , the rate of convergence , I p1 ( Po ) , in bad news case is faster than I ... uninformed traders owning the stock are equal . This is not likely the case . The informed ownership fraction is ...
Página 38
... uninformed traders , or vice versa , this maximises the speed at which the market maker recognises the bad information . In the first case , increased sales by insiders and increased no - trades by uninformed investors ( in lieu of ...
... uninformed traders , or vice versa , this maximises the speed at which the market maker recognises the bad information . In the first case , increased sales by insiders and increased no - trades by uninformed investors ( in lieu of ...
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 |
Derechos de autor | |
Otras 9 secciones no mostradas
Otras ediciones - Ver todas
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