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 197
... Trading Ranges Paul E Lynch and Nigel M Allinson * lyh@sound.ee.umist.ac.uk Abstract This article considers the dynamics of speculative trading ranges . Daily trading ranges provide good estimates of the level of speculative volatility ...
... Trading Ranges Paul E Lynch and Nigel M Allinson * lyh@sound.ee.umist.ac.uk Abstract This article considers the dynamics of speculative trading ranges . Daily trading ranges provide good estimates of the level of speculative volatility ...
Página 198
... trading activity , and , therefore no trading range so a constant was added to all markets . To remove non ... Ranges For Corn Futures 1968-1999 218 ) Hurst Analysis Rescaled range analysis , or Hurst analysis is a technique pioneered by ...
... trading activity , and , therefore no trading range so a constant was added to all markets . To remove non ... Ranges For Corn Futures 1968-1999 218 ) Hurst Analysis Rescaled range analysis , or Hurst analysis is a technique pioneered by ...
Página 205
... trading ranges are a mean - reverting process , in other words the system has a central tendency towards equilibrium . After an excessively large trading range , the negative autocorrelation will di- rect the magnitude of the daily range ...
... trading ranges are a mean - reverting process , in other words the system has a central tendency towards equilibrium . After an excessively large trading range , the negative autocorrelation will di- rect the magnitude of the daily range ...
Contenido
Portfolio Management Session | 11 |
A Reprise | 12 |
A Fuzzy eNegotiation Agents System | 26 |
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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
algorithm ANFIS applied approach approximation asset attractor behavior Black-Scholes Brownian motion calculated callable bond companies computational constraints CVaR decision defined delta denotes distribution dividend yield downside risk drift model dynamical system economic efficient frontier equation error estimation evaluate evolutionary algorithm example expected regret expected return expected shortfall exponential factors feature Figure financial engineering forecasting formulation fund exchange fuzzy logic Hurst exponent implied volatility input variables interest rate investors Journal Lazy Learning learning linear programming loss mathematical MaxLoss measure method methodology minimization Monte Carlo Neural Networks nonlinear normal obtained Operational Research optimization option pricing output P₁ paper parameters payoff performance PMRS portfolio prediction price derivatives probability problem profit random ratio risk management risk-neutral sample scenarios selection simulation skewed-t skewness solution statistical stochastic stock price Taylor series technique Technology term structure trading ranges variance vector vega volatility function volatility smile