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 30
Página 250
... actual returns over time behave as a bi - variate normal distribution : στ ( -10 % , *** ' ) ] fi o } ( 1 ) In ( 1 ) , σ , and of denote the standard deviation of the actual returns and the forecasts respectively , and p is the IC . The ...
... actual returns over time behave as a bi - variate normal distribution : στ ( -10 % , *** ' ) ] fi o } ( 1 ) In ( 1 ) , σ , and of denote the standard deviation of the actual returns and the forecasts respectively , and p is the IC . The ...
Página 251
... actual returns is provided by a multivariate normal distribution . We denote the forecasts by vectors f , and the actual returns by vectors 7 , respectively . Their joint distribution can be written as r μ Err Σή - 0 Σfr Σ f rr ( 9 ) ...
... actual returns is provided by a multivariate normal distribution . We denote the forecasts by vectors f , and the actual returns by vectors 7 , respectively . Their joint distribution can be written as r μ Err Σή - 0 Σfr Σ f rr ( 9 ) ...
Página 321
... actual values . The best results in all types of SVMs are given in Tables 3. From the table , it can be observed ... actual RDP + 5 C - ASVMS SVMs C - RSVMs 40 50 60 70 80 The number of data patterns 1 0.8 0.6 0.4 0.2 0 -0.2 -0.4 -0.6 ...
... actual values . The best results in all types of SVMs are given in Tables 3. From the table , it can be observed ... actual RDP + 5 C - ASVMS SVMs C - RSVMs 40 50 60 70 80 The number of data patterns 1 0.8 0.6 0.4 0.2 0 -0.2 -0.4 -0.6 ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
Derechos de autor | |
Otras 6 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
AANN agents American put American put options analysis applied approach approximation arbitrage barrier option Black-Scholes bond calculated call option coefficients computed convertible bond correlation covariance currency data points data set decision defined delta hedge denote derived distribution dynamics Econometrics Economics equation error estimated evaluation exchange rate Figure financial time series forecast formula function fuzzy genetic algorithm given Heston model Hong Kong hypothesis implied volatility indicators input interest rate Journal of Finance kernel kurtosis linear matrix method momentum moving average neural network nonlinear normal normal distribution observations option pricing p-value pair-wise paper parameters performance period portfolio prediction problem Programming put options random ratio regression reset returns risk sample sequences Sharpe Ratio simulation standard deviation statistical stochastic volatility stock price strike price support vector machines SVMs Table tion trading rules training data trend variables variance wavelets