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 31
... returns and yet retain the possibility for gain . - The hedging function is f ( i ) = | S ( t ; ) – S ( ti − 1 ) | - p ( i ) and the hedging rule is given in step 7. The genetic algorithm computes the optimal set of parameters for the ...
... returns and yet retain the possibility for gain . - The hedging function is f ( i ) = | S ( t ; ) – S ( ti − 1 ) | - p ( i ) and the hedging rule is given in step 7. The genetic algorithm computes the optimal set of parameters for the ...
Página 195
... returns . Secondly , we are interested in the relation between the predictive impact of the indicators and the state of the market at the time the predictions are made . Using monthly financial market information on the individual ...
... returns . Secondly , we are interested in the relation between the predictive impact of the indicators and the state of the market at the time the predictions are made . Using monthly financial market information on the individual ...
Página 201
... returns . This relationship was especially strong for the impact of ranked volatility . References.- Ball , R. ( 1978 ) , " Anomalies in relationships between securities yields and yield- surrogates " . Journal of Financial Economics ...
... returns . This relationship was especially strong for the impact of ranked volatility . References.- Ball , R. ( 1978 ) , " Anomalies in relationships between securities yields and yield- surrogates " . Journal of Financial Economics ...
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