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 76
... loss 1 , if the wrong category was chosen . The class O finally to be chosen is determined using : d ( X ) = 0 % if lxf¿ ( X ) > l , ƒ { ( X ) ¥ i + k The loss value allows an emphasis on decisions in extreme cases . For the stock index ...
... loss 1 , if the wrong category was chosen . The class O finally to be chosen is determined using : d ( X ) = 0 % if lxf¿ ( X ) > l , ƒ { ( X ) ¥ i + k The loss value allows an emphasis on decisions in extreme cases . For the stock index ...
Página 77
... loss values , the only parameter to choose is the spread constant o . Figure 6 shows the same testing set as in Figure 5 , this time using a PNN with o = 0.25 . It is noticeable that the network detects almost all major losses of the ...
... loss values , the only parameter to choose is the spread constant o . Figure 6 shows the same testing set as in Figure 5 , this time using a PNN with o = 0.25 . It is noticeable that the network detects almost all major losses of the ...
Página 146
... loss , and for the last point of testing set , we will balance the transaction regardless of gain or loss . Figure 2 and 3 show the performance of the Adaptive RPCL - CLP ( architectural parameter d = 3 ) and RPCL - CLP ( architectural ...
... loss , and for the last point of testing set , we will balance the transaction regardless of gain or loss . Figure 2 and 3 show the performance of the Adaptive RPCL - CLP ( architectural parameter d = 3 ) and RPCL - CLP ( architectural ...
Contenido
Solving Robust Optimization Models in Finance | 1 |
FINANCIAL COMPUTING ENVIRONMENTS | 14 |
MARKET BEHAVIOR MODELS | 27 |
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
Adaptive RPCL-CLP analysis applications approach Artificial Neural Networks attributes average Black/Scholes bootstrap calculated call market classification cluster companies computed correlation dimension currency data set days to expiration decision defined described determine deterministic distribution dynamical systems economic efficient equation estimate evaluation example exchange rate factors Figure financial ratios financial time series forecasting future futures contracts fuzzy set GEMGA Genetic Algorithms IEEE implementation implied volatilities Index Prices indices input interest rate Journal Kalman filter layer linear linear regression local volatility MACD mathematical models Mean-Filtered measure method Moneyness neural network node nonlinear open-to-open optimization option prices option valuation output paper patterns performance prediction private ECU problem random Recon regression model residual returns RMSVE rules sample selection simulation standard deviation statistical stochastic Stock Exchange stock market stock market index structure techniques University variables vector volatility function