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 |
Dentro del libro
Resultados 1-3 de 36
Página 66
... positions with the to- tal number of hedging position || * || 1 of a portfolio up to O ( 107 ) . Secondly , under the assumption that the im- plied volatility at t is the same as that at t = 0 , optimal portfolios produced by the risk ...
... positions with the to- tal number of hedging position || * || 1 of a portfolio up to O ( 107 ) . Secondly , under the assumption that the im- plied volatility at t is the same as that at t = 0 , optimal portfolios produced by the risk ...
Página 369
... positions , winning positions , and losing positions . P % = Overall percent of trades which are profitable . Optimal Trade Execution of Equities in a Limit Order Market. AUD - USD זיזיד GBP - USD H Hiong Hshort Hshort Hwin Hlose P Plong ...
... positions , winning positions , and losing positions . P % = Overall percent of trades which are profitable . Optimal Trade Execution of Equities in a Limit Order Market. AUD - USD זיזיד GBP - USD H Hiong Hshort Hshort Hwin Hlose P Plong ...
Página 379
... positions in past winners and short positions in past losers . We show that the return spreads between past winners and losers in the first year are driven primarily by high volatility stocks . Momentum investment strategies , which buy ...
... positions in past winners and short positions in past losers . We show that the return spreads between past winners and losers in the first year are driven primarily by high volatility stocks . Momentum investment strategies , which buy ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
Derechos de autor | |
Otras 6 secciones no mostradas
Otras ediciones - Ver todas
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