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
... profit over the validation set . All three of these possibilities were tested on various different models . Table 2 ... Profit ( % ) Standard Dev . 8 mean abs err 1.2342 .0601 mean squared err .9517 .0579 profit .6033 .042 9 mean abs err ...
... profit over the validation set . All three of these possibilities were tested on various different models . Table 2 ... Profit ( % ) Standard Dev . 8 mean abs err 1.2342 .0601 mean squared err .9517 .0579 profit .6033 .042 9 mean abs err ...
Página 62
... profit 2.5 2.3 2.1 1.9 1.7 + 1.5 1.3 1.1 28 0.7 0.9 0.5 20 20 40 50 50 60 70 80 90 100 110 120 validation length 8 inputs 11 inputs 15 inputs Figure 3. Comparison of differing validation periods on three different network models . Profit ...
... profit 2.5 2.3 2.1 1.9 1.7 + 1.5 1.3 1.1 28 0.7 0.9 0.5 20 20 40 50 50 60 70 80 90 100 110 120 validation length 8 inputs 11 inputs 15 inputs Figure 3. Comparison of differing validation periods on three different network models . Profit ...
Página 260
... profit / loss distri- bution . This integration was represented as a cumulative profit / loss distribution . Constraints : The statistical variables used in the Monte - Carlo analysis were the market rates used in the option pricing ...
... profit / loss distri- bution . This integration was represented as a cumulative profit / loss distribution . Constraints : The statistical variables used in the Monte - Carlo analysis were the market rates used in the option pricing ...
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