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
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Página 98
... relative error as a compar- ison metric , RM Srel = Σ √NE ( PER ) " . Pi ( 38 ) where P ; is the true price , and P is the predicted price . From the investor's perspective , one is usually interested in the percentage return , hence ...
... relative error as a compar- ison metric , RM Srel = Σ √NE ( PER ) " . Pi ( 38 ) where P ; is the true price , and P is the predicted price . From the investor's perspective , one is usually interested in the percentage return , hence ...
Página 99
... Relative Errors 1 - Pt Bound 2 - Pt Bound , 50 Iterations -15 -5 -10 Relative Error ( × 10-4 ) ( a ) Lower bounds . Histogram of Relative Errors -4 -3 -2 -1 0 1 2 Relative Error ( × 10−4 ) 3 4 5 ( b ) 1500 step binomial tree . Figure 3 ...
... Relative Errors 1 - Pt Bound 2 - Pt Bound , 50 Iterations -15 -5 -10 Relative Error ( × 10-4 ) ( a ) Lower bounds . Histogram of Relative Errors -4 -3 -2 -1 0 1 2 Relative Error ( × 10−4 ) 3 4 5 ( b ) 1500 step binomial tree . Figure 3 ...
Página 304
... relative to the benchmark would yield the naive " p - value " . The SPA , p - values controls for the full model space . The SPA , and SPA , provide a lower and upper bound for the true p - values respectively , whereas the SPA , p ...
... relative to the benchmark would yield the naive " p - value " . The SPA , p - values controls for the full model space . The SPA , and SPA , provide a lower and upper bound for the true p - values respectively , whereas the SPA , p ...
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 | |
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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