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 74
... respect to the nRMSE measure . The decrease in modDS for the mean predictor was due to the fact that for the price change prediction , c is a function of three consecutive price values instead of two for the price prediction , thus ...
... respect to the nRMSE measure . The decrease in modDS for the mean predictor was due to the fact that for the price change prediction , c is a function of three consecutive price values instead of two for the price prediction , thus ...
Página 180
... respect to new events on the market . The neural network used for the GARCH estimation had 5 ( determined empirically ) units in each of its two hidden layers . As inputs , the returns with the lag 1 , the squared residuals with a lag ...
... respect to new events on the market . The neural network used for the GARCH estimation had 5 ( determined empirically ) units in each of its two hidden layers . As inputs , the returns with the lag 1 , the squared residuals with a lag ...
Página 229
... respect to the previous clean rate . In addition , filters exist which view the rate with respect to the previous clean rate and the previous dirty rate should one have occurred since the clean rate . 3.1 Consistency Filters This filter ...
... respect to the previous clean rate . In addition , filters exist which view the rate with respect to the previous clean rate and the previous dirty rate should one have occurred since the clean rate . 3.1 Consistency Filters This filter ...
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