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 80
... exchange rate time series . This data is not sampled at constant time intervals . The sampling rate is based on a variable time interval that reflects a constant amount of market activity between samples . This time interval is referred ...
... exchange rate time series . This data is not sampled at constant time intervals . The sampling rate is based on a variable time interval that reflects a constant amount of market activity between samples . This time interval is referred ...
Página 164
... EXCHANGE OPTION SYMMETRY BASED ON DOMESTIC - FOREIGN PAYOFF INVARIANCE ... rate between currency d and currency ƒ at time t , and where Bd and Bƒ are ... exchange rate between currency f and currency d at time t . We assume throughout ...
... EXCHANGE OPTION SYMMETRY BASED ON DOMESTIC - FOREIGN PAYOFF INVARIANCE ... rate between currency d and currency ƒ at time t , and where Bd and Bƒ are ... exchange rate between currency f and currency d at time t . We assume throughout ...
Página 182
... exchange rate . To accomplish this , we show that a Markov model can find regularities in certain local regions of the data and can be used to predict the direction of the next tick . Predictability seems to decrease in more recent ...
... exchange rate . To accomplish this , we show that a Markov model can find regularities in certain local regions of the data and can be used to predict the direction of the next tick . Predictability seems to decrease in more recent ...
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