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 39
... position is positive ) . However , any number of cash position categories could be incorporated possibly corresponding to a stepwise simplification of the decision - makers utility function . For each cash position category the ...
... position is positive ) . However , any number of cash position categories could be incorporated possibly corresponding to a stepwise simplification of the decision - makers utility function . For each cash position category the ...
Página 62
... position is changed . If we decide to change from a long to a short position , or vice versa , we assume that there is a penalty , which is modeled as a set percentage of the capital being transferred . If we keep the same position ...
... position is changed . If we decide to change from a long to a short position , or vice versa , we assume that there is a penalty , which is modeled as a set percentage of the capital being transferred . If we keep the same position ...
Página 301
... Position Size In this section , we consider trading objective functions for trading systems that trade a single security with price series Zt . The trader is assumed to take only long , neutral , or short positions F E { -1,0 , 1 } of ...
... Position Size In this section , we consider trading objective functions for trading systems that trade a single security with price series Zt . The trader is assumed to take only long , neutral , or short positions F E { -1,0 , 1 } of ...
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