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 60
... profits or losses . Table 1 details the output from one experimental trial . Each row represents the output from one network , which was trained for 10,000 passes on the training data . Row 3 shows an example where the network did not ...
... profits or losses . Table 1 details the output from one experimental trial . Each row represents the output from one network , which was trained for 10,000 passes on the training data . Row 3 shows an example where the network did not ...
Página 62
... profit of 145 % over the seven year forecast period . In fact , the model only incurred 278 changes of position over this period , making the transaction losses an acceptable amount . Table 3 details the final capital and profits for ...
... profit of 145 % over the seven year forecast period . In fact , the model only incurred 278 changes of position over this period , making the transaction losses an acceptable amount . Table 3 details the final capital and profits for ...
Página 301
... profit / loss ( for capturing capital gains tax effects ) , past positions F- , and past profits and losses ( in analogy with the moving average components of ARIMA models ) , and other factors . F1 = F ( 01 ; F1 - 1 , It ) with It ...
... profit / loss ( for capturing capital gains tax effects ) , past positions F- , and past profits and losses ( in analogy with the moving average components of ARIMA models ) , and other factors . F1 = F ( 01 ; F1 - 1 , It ) with It ...
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