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 254
... measuring the quality of the forecasts . We show that IC is only a good measure for a strategy between one risky asset and a risk - free asset , but it is not a good measure for strategies involving multiple risky assets . The measure ...
... measuring the quality of the forecasts . We show that IC is only a good measure for a strategy between one risky asset and a risk - free asset , but it is not a good measure for strategies involving multiple risky assets . The measure ...
Página 335
... measures that are almost 20 % larger . measure , For each combination of DGP and performance we perform an ANOVA procedure to determine if there exists statistically significant difference among the four approaches in out - of - sample ...
... measures that are almost 20 % larger . measure , For each combination of DGP and performance we perform an ANOVA procedure to determine if there exists statistically significant difference among the four approaches in out - of - sample ...
Página 429
... measuring volatility is in itself more of an art than science . There is no clear agreement as to what measure of volatility should be used as an input to the options pricing formulæ . A simple rule of thumb [ 6 ] is to take a standard ...
... measuring volatility is in itself more of an art than science . There is no clear agreement as to what measure of volatility should be used as an input to the options pricing formulæ . A simple rule of thumb [ 6 ] is to take a standard ...
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