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 38
... Over - funded Scenarios No STOP New Portfolio Plan ? Expected Model Expected Model Parameters When Parameters When Under - funded Over - funded OPTIMIZATION MODEL In the first stage of the proposed portfolio selection process 38.
... Over - funded Scenarios No STOP New Portfolio Plan ? Expected Model Expected Model Parameters When Parameters When Under - funded Over - funded OPTIMIZATION MODEL In the first stage of the proposed portfolio selection process 38.
Página 59
... stop training , then the model has been tainted , since it has already ' seen ' the forecast set . To ensure a completely blind forecast , the model must never use the forecast data in any aspect of its construction , but only after the ...
... stop training , then the model has been tainted , since it has already ' seen ' the forecast set . To ensure a completely blind forecast , the model must never use the forecast data in any aspect of its construction , but only after the ...
Página 61
... stop training . After each training pass on the training data , the network forecasts the data in the validation set . When forecasting error on this validation set reaches a minimum , we stop the training . Since the error is a measure ...
... stop training . After each training pass on the training data , the network forecasts the data in the validation set . When forecasting error on this validation set reaches a minimum , we stop the training . Since the error is a measure ...
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