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 138
... shows a scatterplot of the long and short portfolio returns in each quarter . Since the net return is the long port- folio return minus the short portfolio return ( since we sell these stocks short ) , we profit whenever points are ...
... shows a scatterplot of the long and short portfolio returns in each quarter . Since the net return is the long port- folio return minus the short portfolio return ( since we sell these stocks short ) , we profit whenever points are ...
Página 212
... shows the valuation errors ( i.e. , model values less bid / ask midpoints ) of Model O for call options with 40 to 70 days to expiration . Also shown are normalized bid / ask spreads ( i.e. , the bid / ask prices less the bid / ask ...
... shows the valuation errors ( i.e. , model values less bid / ask midpoints ) of Model O for call options with 40 to 70 days to expiration . Also shown are normalized bid / ask spreads ( i.e. , the bid / ask prices less the bid / ask ...
Página 257
... shows that new stores are at a significant disadvantage , but being at a location more than the average does not confer a further advantage . It is interesting that sales volume and competition show an inverse relationship with ...
... shows that new stores are at a significant disadvantage , but being at a location more than the average does not confer a further advantage . It is interesting that sales volume and competition show an inverse relationship with ...
Contenido
Solving Robust Optimization Models in Finance | 1 |
FINANCIAL COMPUTING ENVIRONMENTS | 14 |
MARKET BEHAVIOR MODELS | 27 |
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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