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 73
... indicates the opposite . The mean square optimal hedge , by its construction , will always have a mean error equal to zero , implying that on average it is correctly funded . The plot in the upper right hand corner of figure 1 shows the ...
... indicates the opposite . The mean square optimal hedge , by its construction , will always have a mean error equal to zero , implying that on average it is correctly funded . The plot in the upper right hand corner of figure 1 shows the ...
Página 187
... indicates a superior predictive power in com- parison to the benchmark AR ( 1 ) . 3 ) The confusion rate CR is below 0,5 in most cases indicating that more changes in inflation were correctly predicted than falsely . However , the ...
... indicates a superior predictive power in com- parison to the benchmark AR ( 1 ) . 3 ) The confusion rate CR is below 0,5 in most cases indicating that more changes in inflation were correctly predicted than falsely . However , the ...
Página 239
... indicates the probability of P ( 100 ) , PO1 indicates the probability of P ( 101 ) , P10 indicates the probability of P ( 1 | 10 ) , P11 indicates the probability of P ( 111 ) , where { up , down } motion is represented by { 1,0 } ...
... indicates the probability of P ( 100 ) , PO1 indicates the probability of P ( 101 ) , P10 indicates the probability of P ( 1 | 10 ) , P11 indicates the probability of P ( 111 ) , where { up , down } motion is represented by { 1,0 } ...
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