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 148
... influences the volatility . The model intrinsically takes account of the irregularly spaced in the data set , so , it is a model for irregularly spaced time series analysis . I extend the Nelson's EGARCH model in the following way : Ino ...
... influences the volatility . The model intrinsically takes account of the irregularly spaced in the data set , so , it is a model for irregularly spaced time series analysis . I extend the Nelson's EGARCH model in the following way : Ino ...
Página 191
... influence , etc. ) . The " Translators " menu is used to convert all the selected raw data into the network ; while the " Neural Network " menu is used to process the converted data under different models . These two menus allow the ...
... influence , etc. ) . The " Translators " menu is used to convert all the selected raw data into the network ; while the " Neural Network " menu is used to process the converted data under different models . These two menus allow the ...
Página 304
... influence on the Sharpe ratio of the return at time t . With the running or moving Sharpe ratios defined above , we can derive Differential Sharpe Ratios for on - line optimization of trading system performance . It is advantageous to ...
... influence on the Sharpe ratio of the return at time t . With the running or moving Sharpe ratios defined above , we can derive Differential Sharpe Ratios for on - line optimization of trading system performance . It is advantageous to ...
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