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 342
... described by Theiler [ 12 ] are more advanced and have no direct analogue within the finance literature [ 4 ] . Algorithm 1 surrogates preserve the power spectrum ( and therefore autocorrelation charac- teristic ) of the data but ...
... described by Theiler [ 12 ] are more advanced and have no direct analogue within the finance literature [ 4 ] . Algorithm 1 surrogates preserve the power spectrum ( and therefore autocorrelation charac- teristic ) of the data but ...
Página 358
... described above . 3.1 Evaluation Since we do not have an explicit probabilistic model of how exchange rates evolve , we adopt the familiar approach of dividing our data series into an in - sample region , over which we optimize the ...
... described above . 3.1 Evaluation Since we do not have an explicit probabilistic model of how exchange rates evolve , we adopt the familiar approach of dividing our data series into an in - sample region , over which we optimize the ...
Página 364
... described in [ 4 ] we can approximate the exact batch learning procedure described by ( 7 ) with an approximate on - line update : dUt Δωι = ρ- P dwt dUt dRt dFt dR1 dFi - 1 } ( 8 ) ~ PdRt dFt dwt { + dFt - 1 dwt - 1 For the ...
... described in [ 4 ] we can approximate the exact batch learning procedure described by ( 7 ) with an approximate on - line update : dUt Δωι = ρ- P dwt dUt dRt dFt dR1 dFi - 1 } ( 8 ) ~ PdRt dFt dwt { + dFt - 1 dwt - 1 For the ...
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