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 61
... mean of these 5 trials . This table shows that mean absolute error was usually the best performing error measure for stopping criteria . # of Inputs Stopping Criteria Mean Profit ( % ) Standard Dev . 8 mean abs err 1.2342 .0601 mean ...
... mean of these 5 trials . This table shows that mean absolute error was usually the best performing error measure for stopping criteria . # of Inputs Stopping Criteria Mean Profit ( % ) Standard Dev . 8 mean abs err 1.2342 .0601 mean ...
Página 73
... mean predictors . The random walk predictor considers a future prediction to be equal to the last available process value , whereas the mean predictor generates future predictions as being equal to the mean of the training data samples ...
... mean predictors . The random walk predictor considers a future prediction to be equal to the last available process value , whereas the mean predictor generates future predictions as being equal to the mean of the training data samples ...
Página 296
... mean and variance , and all cumulants of order three and greater are equal to zero . We use bispectrum- and trispectum - based tests of gaussianity to access the deviations from gaussianity ( Dalle Molle and Hinich ( 1995 ) ) . The ...
... mean and variance , and all cumulants of order three and greater are equal to zero . We use bispectrum- and trispectum - based tests of gaussianity to access the deviations from gaussianity ( Dalle Molle and Hinich ( 1995 ) ) . The ...
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