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 147
... conditional expected duration . They applied their autoregressive conditional duration model ( ACD ) to IBM transaction data from TORQ data set . For my data I found a better performance in fitting using the following non linear ...
... conditional expected duration . They applied their autoregressive conditional duration model ( ACD ) to IBM transaction data from TORQ data set . For my data I found a better performance in fitting using the following non linear ...
Página 178
... conditional ex- pectation value ŷ ( t ) , the time - dependent variance , i.e. the conditional variance h ( t ) can be determined by a neural network . This means that the network is supposed learn not only the first moment , but also ...
... conditional ex- pectation value ŷ ( t ) , the time - dependent variance , i.e. the conditional variance h ( t ) can be determined by a neural network . This means that the network is supposed learn not only the first moment , but also ...
Página 272
... conditional heteroskedasticity . Journal of Econometrics Bollerslev , T. ( 1986 ) . Generalized autoregressive conditional heteroske- dasticity . Journal of Econometrics 31 , 307-327 . Bollerslev , T. and Mikkelsen , H.O.A. ( 1996 ) ...
... conditional heteroskedasticity . Journal of Econometrics Bollerslev , T. ( 1986 ) . Generalized autoregressive conditional heteroske- dasticity . Journal of Econometrics 31 , 307-327 . Bollerslev , T. and Mikkelsen , H.O.A. ( 1996 ) ...
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