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 51
... closings . Denoting the logarithm of these data points by s , and taking the difference of successive data points we get 02 0161 -0 16 S - s ́ = s ' -s ' = log t t - l St - 1 ( 1 ) -0 26 2000 4000 6000 0000 +0000 12000 14000 14000 10000 ...
... closings . Denoting the logarithm of these data points by s , and taking the difference of successive data points we get 02 0161 -0 16 S - s ́ = s ' -s ' = log t t - l St - 1 ( 1 ) -0 26 2000 4000 6000 0000 +0000 12000 14000 14000 10000 ...
Página 71
... closing price . This resulted in approximately 261,000 training samples and 67,000 test samples . The objectives of this article are to analyze the competition time series , to establish accuracy lower bounds for reasonable nonlinear ...
... closing price . This resulted in approximately 261,000 training samples and 67,000 test samples . The objectives of this article are to analyze the competition time series , to establish accuracy lower bounds for reasonable nonlinear ...
Página 185
... closing price of one day and the opening price of the next . aijk = Cijk Σr = 1 Cijr ( 5 ) Hence , given that we know the past two price ratios , the next price ratio is a random variable whose value ( actually , the state in which the ...
... closing price of one day and the opening price of the next . aijk = Cijk Σr = 1 Cijr ( 5 ) Hence , given that we know the past two price ratios , the next price ratio is a random variable whose value ( actually , the state in which the ...
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 |
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
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