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 32
Página 18
... volume and stock return relationship , results are far from conclusive . Karpoff [ 1987 ] gives a survey of earlier studies on U.S. data , which reveal the positive contemporaneous relationship between return and volume and the positive ...
... volume and stock return relationship , results are far from conclusive . Karpoff [ 1987 ] gives a survey of earlier studies on U.S. data , which reveal the positive contemporaneous relationship between return and volume and the positive ...
Página 19
... volume is not necessarily high when the variance of the price change is high , which is consistent with the results of the study we present . Diamond and Verrecchia [ 1987 ] have extended from Glosten and Milgrom's [ 1985 ] sequential ...
... volume is not necessarily high when the variance of the price change is high , which is consistent with the results of the study we present . Diamond and Verrecchia [ 1987 ] have extended from Glosten and Milgrom's [ 1985 ] sequential ...
Página 33
... volume given the existence of a low signal is less than the expected volume given the existence of a high signal , i.e. , E [ v , │y = L ] < E [ v , │y = H ] b ) the expected volume given the absence of a signal is less than the expected ...
... volume given the existence of a low signal is less than the expected volume given the existence of a high signal , i.e. , E [ v , │y = L ] < E [ v , │y = H ] b ) the expected volume given the absence of a signal is less than the expected ...
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