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 339
... nonlinear dynamics in financial time series data Michael Small and Chi K. Tse Department of Electronic and Information Engineering , The Hong Kong Polytechnic University , Hung Hom , Kowloon , Hong Kong SAR Emails : ensmall@polyu.edu.hk ...
... nonlinear dynamics in financial time series data Michael Small and Chi K. Tse Department of Electronic and Information Engineering , The Hong Kong Polytechnic University , Hung Hom , Kowloon , Hong Kong SAR Emails : ensmall@polyu.edu.hk ...
Página 340
... nonlinear transformation of a linear noise process ? • Is the data consistent with some state dependent noise process ? • Is the data consistent with a noise driven nonlinear pe- riodic orbit ? In each case , the data we examine ...
... nonlinear transformation of a linear noise process ? • Is the data consistent with some state dependent noise process ? • Is the data consistent with a noise driven nonlinear pe- riodic orbit ? In each case , the data we examine ...
Página 345
... nonlinear structure in this data . This raises two questions , do the nonlinear models mimic the observed dynamics better than the linear meth- ods , and do they provide superior predictive ability ? In both cases the answer is negative ...
... nonlinear structure in this data . This raises two questions , do the nonlinear models mimic the observed dynamics better than the linear meth- ods , and do they provide superior predictive ability ? In both cases the answer is negative ...
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