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 267
... stop the process for adjustment ( rebalancing ) when a control limit is reached . In this approach rebalancing oc- curs at random stopping times . Consider the random time variable : Tw ( Xwt ) = first passage time to wealth level w ...
... stop the process for adjustment ( rebalancing ) when a control limit is reached . In this approach rebalancing oc- curs at random stopping times . Consider the random time variable : Tw ( Xwt ) = first passage time to wealth level w ...
Página 418
... stop to manage A stop loss is employed with a threshold , the investment risk . Three stop loss methods were used in these experiments . 72.6 △ Down Trend 72.4 @ 72.2 72 -71.8 71.6 CIFER'03 HONG KONG 418.
... stop to manage A stop loss is employed with a threshold , the investment risk . Three stop loss methods were used in these experiments . 72.6 △ Down Trend 72.4 @ 72.2 72 -71.8 71.6 CIFER'03 HONG KONG 418.
Página 419
... stop loss level set on the basis of a minute before the price . The Entry Losscut ( ELC ) means the stop loss level set on the basis of the entry price . The High - TPE Losscut ( HLC ) means the stop loss level set on the basis of the ...
... stop loss level set on the basis of a minute before the price . The Entry Losscut ( ELC ) means the stop loss level set on the basis of the entry price . The High - TPE Losscut ( HLC ) means the stop loss level set on the basis of the ...
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