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 89
... moving average technique is employed . A short term moving averages , usually three to six transactions , reflects the current movement of the measure and adjusts the current value by smoothing it with the last several transactions . A ...
... moving average technique is employed . A short term moving averages , usually three to six transactions , reflects the current movement of the measure and adjusts the current value by smoothing it with the last several transactions . A ...
Página 90
... Moving Averages Selected for Each Measure Measure Moving Averages Measure 1 . Long Short Moving Averages Short Long ... average . If Measure 11 is to difficult to calculate , Measure 1 which requires no calculations or prior transaction ...
... Moving Averages Selected for Each Measure Measure Moving Averages Measure 1 . Long Short Moving Averages Short Long ... average . If Measure 11 is to difficult to calculate , Measure 1 which requires no calculations or prior transaction ...
Página 304
... moving average Sharpe ratio on time scale n1 by making use of moving average estimates of the first and second moments of the returns distributions : with Sn ( t ) : = An ( t ) Kn ( Bn ( t ) - A ( t ) ) 1/2 ( 17 ) B „ ( t ) = nR2 + ( 1 ...
... moving average Sharpe ratio on time scale n1 by making use of moving average estimates of the first and second moments of the returns distributions : with Sn ( t ) : = An ( t ) Kn ( Bn ( t ) - A ( t ) ) 1/2 ( 17 ) B „ ( t ) = nR2 + ( 1 ...
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