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 150
... observed structures , we propose state space models for financial time series in which the observed price is a noisy version of an unobserved , less - noisy " true price " process . The " true prices " in our models are stochastic ...
... observed structures , we propose state space models for financial time series in which the observed price is a noisy version of an unobserved , less - noisy " true price " process . The " true prices " in our models are stochastic ...
Página 155
... observed price series , estimated true price series , and white noise can be easily perceived by playing the price changes through a sound generator . The results are quite striking . In particular , the true prices for the FX markets ...
... observed price series , estimated true price series , and white noise can be easily perceived by playing the price changes through a sound generator . The results are quite striking . In particular , the true prices for the FX markets ...
Página 293
... observations ) . The classes of recursive functions we are using include simple arithmetic , linear , and exponential moving averages . This approach allows us to incorporate the empirically observed increased fluctuations in futures ...
... observations ) . The classes of recursive functions we are using include simple arithmetic , linear , and exponential moving averages . This approach allows us to incorporate the empirically observed increased fluctuations in futures ...
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