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 111
... calculated for all of the tests above , and for both log and non - log transformed versions of the data . Kendall's rank correlation tau was used for significance testing , and a robust estimate of correlations was calculated after trim ...
... calculated for all of the tests above , and for both log and non - log transformed versions of the data . Kendall's rank correlation tau was used for significance testing , and a robust estimate of correlations was calculated after trim ...
Página 246
... calculated through the recursive procedure : a¦ = áb¦ and a¦ + 1 = [ [ 1 a¦a ;; ] ; + 1 . This is called the forward procedure . Similarly , we can define the backward variable = P ( y + 1 , yt + 2 , ... yT | st , X ) . With the ...
... calculated through the recursive procedure : a¦ = áb¦ and a¦ + 1 = [ [ 1 a¦a ;; ] ; + 1 . This is called the forward procedure . Similarly , we can define the backward variable = P ( y + 1 , yt + 2 , ... yT | st , X ) . With the ...
Página 291
... calculating m ( r ) only for one special r could result in very similar values for the original and the surrogate data ... calculated . This preprocesssing was done to make the time series more stationary since the DAX increased during ...
... calculating m ( r ) only for one special r could result in very similar values for the original and the surrogate data ... calculated . This preprocesssing was done to make the time series more stationary since the DAX increased during ...
Contenido
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Genetic Regression | 1 |
Review Papers | 4 |
High Performance Algorithms for Latticebased Derivative Pricing Models W Li University | 7 |
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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
A.M. Best abstract payoff analysis approximation autocorrelation average backpropagation barrier option Bermudan call and put coefficients companies components Computer data mining data set database decision delta-hedging denote derivative distribution dynamics equation error estimate evaluate example exchange rate expert filter financial time series forecasting foreign exchange market FOREIGN EXCHANGE OPTION fraudulent function future fuzzy G G G GARCH Gaussian Genetic Algorithms hedging implied volatility input Journal Kelvin transform kurtosis layer linear mathematical models mean measure method neural network nodes nonlinear operator optimization option pricing output parameters performance period polynomial portfolio prediction predictor price change problem profit put options ratio regression returns risk management sample SCINAPSE Sharpe ratio simulation skewness specific statistical stochastic strategy techniques template test set ticks time-scales training set transaction costs transform tree modeling trigonometric polynomial true price underlying validation set variables variance vector volatility wavelet zero