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 320
... closing price ( EMA15 ) which is obtained by subtracting a 15 - day exponential moving average from the closing price . The subtraction is performed to eliminate the trend in price . The output variable RDP + 5 is obtained by ...
... closing price ( EMA15 ) which is obtained by subtracting a 15 - day exponential moving average from the closing price . The subtraction is performed to eliminate the trend in price . The output variable RDP + 5 is obtained by ...
Página 327
... closing prices are used as the data set . The original closing price is transformed into a five- day relative difference in percentage of price ( RDP ) . The advantages of applying this transformation are described in [ 15 ] . The input ...
... closing prices are used as the data set . The original closing price is transformed into a five- day relative difference in percentage of price ( RDP ) . The advantages of applying this transformation are described in [ 15 ] . The input ...
Página 404
... closing price moving averages of different lengths to identify the trend of prices in different periods . The ... closing prices over that duration . 112 SMA ( m , n ) = - Cm - i ( 1 ) where c ; is the closing price at the ith day . In ...
... closing price moving averages of different lengths to identify the trend of prices in different periods . The ... closing prices over that duration . 112 SMA ( m , n ) = - Cm - i ( 1 ) where c ; is the closing price at the ith day . In ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
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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
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