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 57
... structure and inputs , data segmentation , error measures for training , error measures for validation , and optimizing validation set lengths . These techniques are applied in this paper with respect to the aim of forecasting the price ...
... structure and inputs , data segmentation , error measures for training , error measures for validation , and optimizing validation set lengths . These techniques are applied in this paper with respect to the aim of forecasting the price ...
Página 150
... structures in tick - by - tick interbank foreign exchange ( FX ) price series on various time scales . These structures ... structure of tick - by - tick FX data : ( 1 ) Negative correlations in successive tick - by - tick price changes ...
... structures in tick - by - tick interbank foreign exchange ( FX ) price series on various time scales . These structures ... structure of tick - by - tick FX data : ( 1 ) Negative correlations in successive tick - by - tick price changes ...
Página 171
... structure is governed by a non - normal probability structure characterized by a mean , standard deviation ( volatility ) , skewness , and kurtosis . The non - normal probability structure is derived from a normal probability structure ...
... structure is governed by a non - normal probability structure characterized by a mean , standard deviation ( volatility ) , skewness , and kurtosis . The non - normal probability structure is derived from a normal probability structure ...
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