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 127
... parameters were drawn randomly based on uniform distributions . In accor- dance with the literature as well as realistic circumstances we defined the parameter domains as shown in Table 1 . The parameter a describes the moneyness of the ...
... parameters were drawn randomly based on uniform distributions . In accor- dance with the literature as well as realistic circumstances we defined the parameter domains as shown in Table 1 . The parameter a describes the moneyness of the ...
Página 218
... parameter seems to increase with the length of selection period ( except for some slight deviations from this rule for the mostly fixed Chinese Yuan and the Hong Kong dollar ) . Most scale parameters are significantly different from ...
... parameter seems to increase with the length of selection period ( except for some slight deviations from this rule for the mostly fixed Chinese Yuan and the Hong Kong dollar ) . Most scale parameters are significantly different from ...
Página 314
... parameter estimates for segment lengths of 212 We assume the slope process is exponentially correlated . On letting l denote its correlation length , and of its variance , and we have Cp ( i , j ) = E { ( hi – E { h1 } ) ( h3 — E { h3 } ...
... parameter estimates for segment lengths of 212 We assume the slope process is exponentially correlated . On letting l denote its correlation length , and of its variance , and we have Cp ( i , j ) = E { ( hi – E { h1 } ) ( h3 — E { h3 } ...
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