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 195
... indicators explain a significant part of the cross- sectional variation in future returns . Generally , the unconditional impact of the indicators seem to be unstable over time . However , for some of the indicators we map a clear ...
... indicators explain a significant part of the cross- sectional variation in future returns . Generally , the unconditional impact of the indicators seem to be unstable over time . However , for some of the indicators we map a clear ...
Página 196
... indicator . We present interesting results indicating return predictability on the individual stocks contained in the S & P500 index based on the information contained in the level / ratios financial market indicators as well as their ...
... indicator . We present interesting results indicating return predictability on the individual stocks contained in the S & P500 index based on the information contained in the level / ratios financial market indicators as well as their ...
Página 200
... indicators : CFP , RKMC , and RKPE , the switch of sign of their impact seems to occur at a level of market return that is clearly above zero . In order to check the robustness of this pattern corresponding analyses are performed for ...
... indicators : CFP , RKMC , and RKPE , the switch of sign of their impact seems to occur at a level of market return that is clearly above zero . In order to check the robustness of this pattern corresponding analyses are performed for ...
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 |
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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