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 140
... sample size . TABLE 1 : Cosine Map . Average A C.O. Sample size 100 200 300 300 0.125 0.76 0.77 0.79 0.93 1.00 1.00 Noise 0.250 0.58 0.62 0.63 0.94 1.00 1.00 0.500 0.34 0.36 0.37 0.22 0.63 0.75 100 | 200 Next , we examine two real data ...
... sample size . TABLE 1 : Cosine Map . Average A C.O. Sample size 100 200 300 300 0.125 0.76 0.77 0.79 0.93 1.00 1.00 Noise 0.250 0.58 0.62 0.63 0.94 1.00 1.00 0.500 0.34 0.36 0.37 0.22 0.63 0.75 100 | 200 Next , we examine two real data ...
Página 141
... Sample Size 200 0.032 * 0.028 ** 300 3 Group 2 0.030 0.014 0.010 2 Group 3 0.023 0.010 0.008 Group 4 0.026 1 0.016 0.009 Group 5 0 All 0 0.019 0.006 0.029 0.015 0.001 0.011 20 40 60 80 100 120 140 160 # of subseries Reading the table by ...
... Sample Size 200 0.032 * 0.028 ** 300 3 Group 2 0.030 0.014 0.010 2 Group 3 0.023 0.010 0.008 Group 4 0.026 1 0.016 0.009 Group 5 0 All 0 0.019 0.006 0.029 0.015 0.001 0.011 20 40 60 80 100 120 140 160 # of subseries Reading the table by ...
Página 142
... sample size is used . If a bigger sample size is considered , often the BDS rate is considerably higher than LLA one . A reason for the bigger rejection rate of BDS statistic when large sample size is used is due to its broader power ...
... sample size is used . If a bigger sample size is considered , often the BDS rate is considerably higher than LLA one . A reason for the bigger rejection rate of BDS statistic when large sample size is used is due to its broader power ...
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