標題: Titlebook: Decision Technologies for Computational Finance; Proceedings of the f Apostolos-Paul N. Refenes,Andrew N. Burgess,John E Conference proceed [打印本頁] 作者: Nonchalant 時間: 2025-3-21 17:20
書目名稱Decision Technologies for Computational Finance影響因子(影響力)
書目名稱Decision Technologies for Computational Finance影響因子(影響力)學科排名
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書目名稱Decision Technologies for Computational Finance網(wǎng)絡公開度學科排名
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書目名稱Decision Technologies for Computational Finance被引頻次學科排名
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書目名稱Decision Technologies for Computational Finance年度引用學科排名
書目名稱Decision Technologies for Computational Finance讀者反饋
書目名稱Decision Technologies for Computational Finance讀者反饋學科排名
作者: Amylase 時間: 2025-3-22 00:06 作者: obnoxious 時間: 2025-3-22 00:55
https://doi.org/10.1007/978-3-319-57363-2, and that at any rate much of the potential of EVT remains latent. We substantiate this claim by sketching a number of pitfalls associated with use of EVT techniques. More constructively, we show how certain of the pitfalls can be avoided, and we sketch a number of explicit research directions that will help the potential of EVT to be realized作者: 凝結劑 時間: 2025-3-22 08:09 作者: 木訥 時間: 2025-3-22 11:00
Patrick Oloko,Michaela Ott,Clarissa Vierkest traders, the dynamics looks similar to noisy low-dimensional chaos. By introducing traders memory and/or feedback between global and individual wealth fluctuations, one obtains auto-correlations in the time evolution of the “volatility” as well as market booms and crashes.作者: Spangle 時間: 2025-3-22 13:40
https://doi.org/10.1057/978-1-349-93358-7s empirical illustrations we consider the term structure of interest rates and the relationship between common and preferred stock prices. It turns out that for this applications there is only weak evidence for a nonlinear long run relationship.作者: Spangle 時間: 2025-3-22 19:40
Stability Analysis and Forecasting Implicationse relationship is shown. There are gains in the forecast performance when considering the empirical model for the rolling estimators, jointly with the initial structural model. .: Recursive Estimators, Rolling Estimators, Recursive Sequential Test, Monte Carlo Methods, Campbell-Grossman-Wang model.作者: 咒語 時間: 2025-3-22 22:10
Stochastic Lotka-Volterra Systems of Competing Auto-Catalytic Agents Lead Generically to Truncated Pst traders, the dynamics looks similar to noisy low-dimensional chaos. By introducing traders memory and/or feedback between global and individual wealth fluctuations, one obtains auto-correlations in the time evolution of the “volatility” as well as market booms and crashes.作者: 創(chuàng)造性 時間: 2025-3-23 01:54
Nonparametric Tests for Nonlinear Cointegrations empirical illustrations we consider the term structure of interest rates and the relationship between common and preferred stock prices. It turns out that for this applications there is only weak evidence for a nonlinear long run relationship.作者: Injunction 時間: 2025-3-23 08:32
Conference proceedings 1998December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision techn作者: VAN 時間: 2025-3-23 10:14 作者: padding 時間: 2025-3-23 15:53 作者: MAL 時間: 2025-3-23 18:38 作者: 欲望小妹 時間: 2025-3-24 00:06 作者: abracadabra 時間: 2025-3-24 03:14
Forecasting High Frequency Exchange Rates Using Cross-Bicorrelations in spite of significant in-sample cross-bicorrelation statistics, although it does seem to be able to predict the signs of the returns well in certain cases. A number of explanations for this apparent paradox are proposed.作者: DECRY 時間: 2025-3-24 07:21
Comments on “A Nonparametric Test For Nonlinear Cointegration” By J?rg Breitung ..(..) ?..(..) is the difference in ranks. More sophisticated statistics are proposed, based on standardizing in reasonable ways, but it suffices for the present discussion to limit attention to these straightforward statistics.作者: Cardiac 時間: 2025-3-24 11:39 作者: Innovative 時間: 2025-3-24 15:50
An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategiesres to more traditional model selection methods. The bootstrap methodology also allows more general objective functions than usual least squares since it can estimate the in sample bias for any function. Some of these will be compared with traditional least squares based estimates in dynamic trading settings with foreign exchange series.作者: Dawdle 時間: 2025-3-24 22:08 作者: crescendo 時間: 2025-3-25 01:26 作者: pacifist 時間: 2025-3-25 06:13 作者: intrigue 時間: 2025-3-25 08:29 作者: 改良 時間: 2025-3-25 12:32
https://doi.org/10.1057/978-1-349-93358-7erfectly correlated, thus motivating the use of a population-based algorithm which jointly optimises a portfolio of decorrelated models. We describe an application of this methodology to trading statistical arbitrage between equity index futures and present empirical results, before concluding with 作者: Detonate 時間: 2025-3-25 18:16 作者: 錯 時間: 2025-3-25 23:27 作者: nitroglycerin 時間: 2025-3-26 01:33 作者: 協(xié)議 時間: 2025-3-26 04:43 作者: Electrolysis 時間: 2025-3-26 08:32 作者: antidepressant 時間: 2025-3-26 14:35
Controlling Nonstationarity in Statistical Arbitrage Using a Portfolio of Cointegration Modelserfectly correlated, thus motivating the use of a population-based algorithm which jointly optimises a portfolio of decorrelated models. We describe an application of this methodology to trading statistical arbitrage between equity index futures and present empirical results, before concluding with 作者: interlude 時間: 2025-3-26 17:38
Multi-Task Learning in a Neural Vector Error Correction Approach for Exchange Rate Forecastingerent, yet related, tasks simultaneously, underlying interdependencies between the various learning outputs can be exploited. The paper presents a neural Vector Error Correction approach with multiple output units as a Multi-Task Learning methodology of practical use in finance. By focusing on forec作者: Overthrow 時間: 2025-3-26 21:19
Selecting Relative-Value Stocks with Non Linear Cointegrationtributed to the fact that market imperfections such as trading costs are not incorporated within the cointegration relationship and the forecasting model. We are introducing some preliminary ideas on the problem of incorporating market imperfections in the modeling process and the need for tests and作者: 外形 時間: 2025-3-27 04:49 作者: 加強防衛(wèi) 時間: 2025-3-27 06:35
https://doi.org/10.1007/978-3-319-57363-2ities of financial asset returns, and hence holds promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated作者: 禁止,切斷 時間: 2025-3-27 12:53
Terufumi Fujiwara,Eugenia Chiappey forecast exercise, it is convenient to first verify the sequential significance of the relationship, and then its stability. This paper studies recursive and rolling estimators, and related sequential tests to test for significant and constant coefficients. If constancy is rejected, the estimation作者: infarct 時間: 2025-3-27 15:06
https://doi.org/10.1007/978-1-349-22381-7iable discount rates and expected returns, this paper uses Hansen-Jagannathan bounds to estimate valid stochastic discount factors under certain conditions. Thus we differentiate stochastic discount factors estimated on individual asset returns and stochastic discount factors using portfolio returns作者: glans-penis 時間: 2025-3-27 21:43 作者: 變量 時間: 2025-3-28 01:51 作者: 可轉變 時間: 2025-3-28 05:26 作者: Expediency 時間: 2025-3-28 07:00
https://doi.org/10.1057/978-1-349-93358-7ic transformations such that the normalized series can asymptotically be represented by independent Brownian motions. Rank test procedures based on the difference between the sequences of ranks are suggested. If there is no cointegration between the time series, the sequences of ranks tend to diverg作者: vector 時間: 2025-3-28 11:27
https://doi.org/10.1057/978-1-349-93358-7ll often reject the null of cointegration in the presence of nonlinear cointegration. Unlike previous work on nonlinear cointegration (e.g. Granger and Ter?svirta, 1993; Granger, 1995; Granger, Inoue, and Morin, 1997; Swanson, Corradi, and White, 1997), the test is based on ranks. For a time series 作者: 固定某物 時間: 2025-3-28 17:34 作者: 創(chuàng)造性 時間: 2025-3-28 18:51
Raimundo Barreto,Roberto Sirventapping and cross validation are used as a general framework for estimating objectives out of sample by redrawing subsets from a training sample. Evolution is used to search the large space of potential network architectures. The combination of these two methods creates a network estimation and selec作者: 分開如此和諧 時間: 2025-3-29 00:11 作者: 敲詐 時間: 2025-3-29 06:00
Raimundo Barreto,Roberto Sirvent-linear dynamics. This paper describes a methodology for selecting relative value stocks using the principle of non linear cointegration. The forecast of the cointegration residuals is being made using neural networks in order to capture any short-run dynamics in the estimation process. The trading 作者: 多產(chǎn)魚 時間: 2025-3-29 10:16 作者: inhibit 時間: 2025-3-29 13:59
Shose Kessi,Shahnaaz Suffla,Mohamed Seedatp GARCH(1,1) processes and construct bootstrap QML estimators. It is shown that this bootstrap procedure “works” in the sense that it is consistent. Simulation results demonstrate the small sample behaviour of the proposed bootstrap method.作者: 小淡水魚 時間: 2025-3-29 17:31 作者: Insubordinate 時間: 2025-3-29 23:24
978-0-7923-8309-3Springer Science+Business Media Dordrecht 1998作者: 飛行員 時間: 2025-3-30 03:28
The Codes of Overt AdvertisementsThe question of dependence of returns has been investigated in many ways. This paper proposes a matrix that sheds some light on many of these dependencies. In particular, overreaction and shock persistence and delayed reaction seem to play important roles and could well explain the presence of nonlinearities in the return series.作者: arbovirus 時間: 2025-3-30 06:28
https://doi.org/10.1007/978-3-030-24166-7This note summarizes the remarks as discussant of Blake LeBaron’s paper . at NNCM/CF97 in London. First, the main contributions of the paper are placed in a general modeling framework. Second, some ideas for further analysis are given. Third, possible relationships between minimal architectures and poor local minima are discussed.作者: 真 時間: 2025-3-30 11:36
A Data Matrix to Investigate Independence, Overreaction and/or Shock Persistence in Financial DataThe question of dependence of returns has been investigated in many ways. This paper proposes a matrix that sheds some light on many of these dependencies. In particular, overreaction and shock persistence and delayed reaction seem to play important roles and could well explain the presence of nonlinearities in the return series.作者: hypotension 時間: 2025-3-30 14:23 作者: cuticle 時間: 2025-3-30 18:56
Decision Technologies for Computational Finance978-1-4615-5625-1Series ISSN 1388-4301 作者: 上下倒置 時間: 2025-3-31 00:43 作者: Obsessed 時間: 2025-3-31 03:06 作者: 枕墊 時間: 2025-3-31 08:41
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Managementities of financial asset returns, and hence holds promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated作者: 撫育 時間: 2025-3-31 12:37
