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
... vector autoregression model for rank based analysis , this approach conducts cointe- gration analysis directly based on the linear combi- nation of the instantaneous values of nonstationary variables via an eigen - analysis ...
... vector autoregression model for rank based analysis , this approach conducts cointe- gration analysis directly based on the linear combi- nation of the instantaneous values of nonstationary variables via an eigen - analysis ...
Página 188
... vectors v1 and v2 , respectively . The difference vector v2 - v1 points from the tip of v1 to the tip of v2 . Thus a vector vo = v1 + a ( v2 − v1 ) will point from the origin to the line connecting the tips of v1 and v2 for 0 < a < 1 ...
... vectors v1 and v2 , respectively . The difference vector v2 - v1 points from the tip of v1 to the tip of v2 . Thus a vector vo = v1 + a ( v2 − v1 ) will point from the origin to the line connecting the tips of v1 and v2 for 0 < a < 1 ...
Página 213
... vector estimates for returns . The influence function , which is well - known in the statistics literature ( see for example , Hampel , 1974 and Hampel et . al . , 1986 ) , has a number of important properties . The one that is ...
... vector estimates for returns . The influence function , which is well - known in the statistics literature ( see for example , Hampel , 1974 and Hampel et . al . , 1986 ) , has a number of important properties . The one that is ...
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