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 52
... increase of the index volatility in excess of 16.5 % . The same set contains input vectors , which precede absolute change less than , or equal , to 16.5 % , and the down set contains input vectors , which pre- cede a decrease in ...
... increase of the index volatility in excess of 16.5 % . The same set contains input vectors , which precede absolute change less than , or equal , to 16.5 % , and the down set contains input vectors , which pre- cede a decrease in ...
Página 185
... increase - = Similarly for decreases , if the sum of the probability values for a¡j3 and a¡j4 are greater than H ... increases with higher rule thresholds , but the number of predictions that the model makes decreases as the threshold ...
... increase - = Similarly for decreases , if the sum of the probability values for a¡j3 and a¡j4 are greater than H ... increases with higher rule thresholds , but the number of predictions that the model makes decreases as the threshold ...
Página 187
... increases and decreases for each prediction period ; baseline guessing accuracy may differ from 50 % . This test is related to ... increase and decrease predictions for the Markov model and reversal strategy for each of the three periods ...
... increases and decreases for each prediction period ; baseline guessing accuracy may differ from 50 % . This test is related to ... increase and decrease predictions for the Markov model and reversal strategy for each of the three periods ...
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