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 44
... similar input time series should produce similar output time series and that intra - day fluctuations can be ignored . We also assume that the stock market has finite memory , so that inputs far enough in the past have no current ...
... similar input time series should produce similar output time series and that intra - day fluctuations can be ignored . We also assume that the stock market has finite memory , so that inputs far enough in the past have no current ...
Página 72
... similar analysis on price changes indicated the histograms of the interpolated data sets to be signifi- cantly more leptokurtic ( pointed ) than the corresponding histograms of the un - interpolated data sets ( see Figs . 3 and 4 ) ...
... similar analysis on price changes indicated the histograms of the interpolated data sets to be signifi- cantly more leptokurtic ( pointed ) than the corresponding histograms of the un - interpolated data sets ( see Figs . 3 and 4 ) ...
Página 232
... similar risk . During the process of trading a pool of mortgages , a seller might be able to obtain a higher price by publishing the risk group composition of the pool , allowing buyers to better estimate the effect that adding the pool ...
... similar risk . During the process of trading a pool of mortgages , a seller might be able to obtain a higher price by publishing the risk group composition of the pool , allowing buyers to better estimate the effect that adding the pool ...
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