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 89
... correlation between the asset return and its volatility is -0.4644 . The negative correlation reflects the so called " leverage effects " phenomenon observed in the equity market , which means that the market reacts more to bad news ...
... correlation between the asset return and its volatility is -0.4644 . The negative correlation reflects the so called " leverage effects " phenomenon observed in the equity market , which means that the market reacts more to bad news ...
Página 119
... Correlation parameters Correlation of S and rd 0.35 Psd that There are four state variables : S , X , rd , and influence the value of an ECB . As the setting of basis functions , we use the first three power terms of these four state ...
... Correlation parameters Correlation of S and rd 0.35 Psd that There are four state variables : S , X , rd , and influence the value of an ECB . As the setting of basis functions , we use the first three power terms of these four state ...
Página 342
... correlation . This is achieved by shuffling the data . In exactly the same way , financial time series are often ... correlation integral to take if the data was IID . One then compares this with the actual correlation integral . 7 For ...
... correlation . This is achieved by shuffling the data . In exactly the same way , financial time series are often ... correlation integral to take if the data was IID . One then compares this with the actual correlation integral . 7 For ...
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