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 178
... dependent volatility . The results of the GARCH model and the neu- ral network are compared with each other . The compari- son shows that for the timeseries of the German Bund Fu- ture the neural network models the volatility better ...
... dependent volatility . The results of the GARCH model and the neu- ral network are compared with each other . The compari- son shows that for the timeseries of the German Bund Fu- ture the neural network models the volatility better ...
Página 293
... dependent stochastic processes ; standardizing each observation of the transactions data ( and we call the resulting sequence a standardized time series ) ; 2 ) Using a standardization ( or studentization ) that implies every ...
... dependent stochastic processes ; standardizing each observation of the transactions data ( and we call the resulting sequence a standardized time series ) ; 2 ) Using a standardization ( or studentization ) that implies every ...
Página 301
... dependent . Optimal trading decisions when the effects of transactions costs , market impact , and taxes2 are included require knowledge of the current system state . Including information related to past decisions in the inputs to a ...
... dependent . Optimal trading decisions when the effects of transactions costs , market impact , and taxes2 are included require knowledge of the current system state . Including information related to past decisions in the inputs to a ...
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