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 141
... Step 1 Rt Step 2 -1 Step 3 Calculate the mean retum R by Α Σ Rt . Subtract R from Rt to get the zero - mean t = 1 return . Step 4 Let the result of above transformation be the ŷt -1 Step 1 Estimate yt via ŷt by maximum likelihood = [ A ...
... Step 1 Rt Step 2 -1 Step 3 Calculate the mean retum R by Α Σ Rt . Subtract R from Rt to get the zero - mean t = 1 return . Step 4 Let the result of above transformation be the ŷt -1 Step 1 Estimate yt via ŷt by maximum likelihood = [ A ...
Página 187
... step ahead forecasts Table 4 : Predictive power of various inflation forecasting models. MSE RMSE MAE Model MAPE Theil's U ATheil's U CR x2 ( 1 ) x2Yates AR ( 1 ) 1,011 1,005 0,854 0,963 1 1,078 0,667 0,434 0,632 ygap_trend 0,781 0,884 ...
... step ahead forecasts Table 4 : Predictive power of various inflation forecasting models. MSE RMSE MAE Model MAPE Theil's U ATheil's U CR x2 ( 1 ) x2Yates AR ( 1 ) 1,011 1,005 0,854 0,963 1 1,078 0,667 0,434 0,632 ygap_trend 0,781 0,884 ...
Página 431
... step ahead forecast of the particular wavelet coefficient . After training each network is fast - forwarded in time N steps by feeding its own one - step ahead forecasts back to the input layer . The Figure 2 schematically represents ...
... step ahead forecast of the particular wavelet coefficient . After training each network is fast - forwarded in time N steps by feeding its own one - step ahead forecasts back to the input layer . The Figure 2 schematically represents ...
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