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 271
... technique based on the symmetric assumption on the distribution of the return process is proposed . This in- creases the statistical efficiency by more than a factor of two in comparison with usual sample quantiles . In addition , the ...
... technique based on the symmetric assumption on the distribution of the return process is proposed . This in- creases the statistical efficiency by more than a factor of two in comparison with usual sample quantiles . In addition , the ...
Página 339
... technique is employed to demonstrate that conditional heteroskedastic models are also insufficient to model this data . We conclude that the most likely model of the data is a nonlinear dynamical sys- tem driven by high dimensional ...
... technique is employed to demonstrate that conditional heteroskedastic models are also insufficient to model this data . We conclude that the most likely model of the data is a nonlinear dynamical sys- tem driven by high dimensional ...
Página 348
... technique . This technique favors sinusoidal type time sequences . In many application domains , time sequences are generated by stochastic processes . As such , classical time series analysis techniques are more suitable . However ...
... technique . This technique favors sinusoidal type time sequences . In many application domains , time sequences are generated by stochastic processes . As such , classical time series analysis techniques are more suitable . However ...
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