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 41
... position category . The constraints in ( 1b ) define cash positions at the end of each time period in the planning horizon for each cashflow category . Constraints in ( 1c ) force the liquidation of the portfolio at time T so ending ...
... position category . The constraints in ( 1b ) define cash positions at the end of each time period in the planning horizon for each cashflow category . Constraints in ( 1c ) force the liquidation of the portfolio at time T so ending ...
Página 62
... position which we had on the preceding day , no penalty is incurred . Thus , every time we change positions , we remove a percentage of our capital at that time . To explore the impact of these transaction costs on our model we chose to ...
... position which we had on the preceding day , no penalty is incurred . Thus , every time we change positions , we remove a percentage of our capital at that time . To explore the impact of these transaction costs on our model we chose to ...
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 |
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