Decision technologies for computational finance: proceedings of the Fifth International Conference Computational Finance
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Dordrecht [u.a.]
Kluwer Acad. Publ.
1998
|
| Series: | Advances in computational management science
2 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 478 S. graph. Darst |
| ISBN: | 0792383087 |
Staff View
MARC
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| 245 | 1 | 0 | |a Decision technologies for computational finance |b proceedings of the Fifth International Conference Computational Finance |c ed. by Apostolos-Paul N. Refenes ... |
| 264 | 1 | |a Dordrecht [u.a.] |b Kluwer Acad. Publ. |c 1998 | |
| 300 | |a XI, 478 S. |b graph. Darst | ||
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| 490 | 1 | |a Advances in computational management science |v 2 | |
| 650 | 4 | |a Congresses | |
| 650 | 4 | |a Finance - Mathematical models | |
| 650 | 4 | |a Finance - Statistical models | |
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
PART 1: MARKET DYNAMICS AND RISK
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
F. X. Diebold, T. Schuermann, J. D. Stroughair 3
Stability Analysis and Forecasting Implications
J. del Hoyo, J. G. Llorente 13
Time Varying Risk Premia
M. Steiner, S. Schneider 25
A Data Matrix to Investigate Independence, Over Reaction and/or Shock Persistence in Financial
Data
R. Dacco, S.E. Satchell 49
Forecasting High Frequency Exchange Rates Using Cross Bicorrelations
C. Brooks, M. Hinich 61
Stochastic Lotka Volterra Systems of Competing Auto Catalytic Agents Lead Generically to
Truncated Pareto Power Wealth Distribution, Truncated Levy Stable Intermittent Market Returns,
Clustered Volatility, Booms and Crashes
S. Solomon 73
PART 2: TRADING AND ARBITRAGE STRATEGIES
Controlling Nonstationarity in Statistical Arbitrage Using a Portfolio of Cointegration Models
A. N. Burgess 89
Nonparametric Tests for Nonlinear Cointegration
J. Breitung 109
Comments on A Nonparametric test for nonlinear cointegration
H. White 125
Reinforcement Learning for Trading Systems and Portfolios: Immediate vs Future Rewards
J.E. Moody, M. Saffell, Y. Liao, L. Wu 129
An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategies
B. LcBaron 141
Discussion of An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategies
A. S. Weigend 161
Multi Task Learning in a Neural Vector Error Correction Approach for Exchange Rate
Forecasting
F. A. Rauscher 165
Selecting Relative Value Stocks with Nonlinear Cointegration
C. Kollias, K. Metaxas 181
ix
X
PART 3: VOLATILITY MODELING AND OPTION PRICING
Option Pricing with Neural Networks and a Homogeneity Hint
R. Garcia, R. Gencay 195
Bootstrapping GARCH(1,1) Models
G. Maercker 207
Using Illiquid Option Prices to Recover Probability Distributions
F. Gonzalez Miranda, A. N. Burgess 219
Modeling Financial Time Series Using State Space Models
J. Timmer, A. S. Weigend 233
Forecasting Properties of Neural Network Generated Volatility Estimates
P. Ahmed, S. Swidler 247
Interest Rates Structure Dynamics: A Non Parametric Approach
M. Cornell, E. De Bodt, P. Gregoire 259
State Space ARCH: Forecasting Volatility with a Stochastic Coefficient Model
A. Veiga, M. C. Medeiros, C. Fernandes 267
PART 4: TERM STRUCTURE AND FACTOR MODELS
Empirical Analysis of the Australian and Canadian Money Market Yield Curves: Results Using
Panel Data
S.H. Babbs, K. B Nowman 277
Time Varying Factor Sensitivities in Equity Investment Management
Y. Bentz, J. T. Connor 291
Discovering Structure in Finance Using Independent Component Analysis
AD Back, A. S. Weigend 309
Fitting No Arbitrage Term Structure Models Using a Regularisation Term
N. Towers, J. T. Connor 323
Quantification of Sector Allocation at the German Stock Market
E. Steurer 333
PART 5: CORPORATE DISTRESS MODELS
Predicting Corporate Financial Distress Using Quantitative and Qualitative Data: A Comparison
of Standard and Collapsible Neural Networks
Q. Booker, R E. Dorsey, J. D. Johnson 355
Credit Assessment Using Evolutionary MLP Networks
E.F.F. Mendes, A. Carvalho, A.B. Matias 365
Exploring Corporate Bankruptcy with Two Level Self Organizing Map
K. Kiviluoto, P. Bergius 373
The Ex Ante Classification of Takeover Targets Using Neural Networks
D. Fair dough, J. Hunter 381
PART 6: ADVANCES ON METHODOLOGY SHORT NOTES
Forecasting Non Stationary Financial Data with OIIR Filters and Composed Threshold Models
M. Wildi 391
Portfolio Optimisation with Cap Weight Restrictions
N. F. Wagner 403
Are Neural Network and Econometric Forecasts Good for Trading ? Stochastic Variance Models
as a Filter Rule
R. Bramante, R. Colombo, G. Gabbi 417
Incorporating Prior Knowledge about Financial Markets through Neural Multitask Learning
K. Bartlmae, S. Gutjahr, G. Nakhaeizadeh 425
Predicting Time Series with a Committee of Independent Experts Based on Fuzzy Rules
M. Rast 433
Multiscale Analysis of Time Series Based on A Neuro Fuzzy Chaos Methodology Applied to
Financial Data
N. K. Kasabov, R. Kozma 439
On the Market Timing Ability of Neural Networks: An Empirical Study Testing the Forecasting
Performance
T. H. Harm, J. Hofmeister 451
Currency Forecasting Using Recurrent RBF Networks Optimized by Genetic Algorithms
A. Adamopoulos et al. 461
Exchange Rate Trading Using a Fast Retraining Procedure for Generalised RBF Networks
D. R. Dersch, B.G. Flower, S. J. Pickard 471
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| genre_facet | Konferenzschrift 1997 London |
| id | DE-604.BV012390282 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:26:44Z |
| institution | BVB |
| isbn | 0792383087 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008404181 |
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| physical | XI, 478 S. graph. Darst |
| publishDate | 1998 |
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| publisher | Kluwer Acad. Publ. |
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| series | Advances in computational management science |
| series2 | Advances in computational management science |
| spelling | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance ed. by Apostolos-Paul N. Refenes ... Dordrecht [u.a.] Kluwer Acad. Publ. 1998 XI, 478 S. graph. Darst txt rdacontent n rdamedia nc rdacarrier Advances in computational management science 2 Congresses Finance - Mathematical models Finance - Statistical models Mathematisches Modell Finance -- Statistical models -- Congresses Finance -- Mathematical models -- Congresses Entscheidungsunterstützungssystem (DE-588)4191815-0 gnd rswk-swf Financial Engineering (DE-588)4208404-0 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 1997 London gnd-content Financial Engineering (DE-588)4208404-0 s Entscheidungsunterstützungssystem (DE-588)4191815-0 s DE-604 Refenes, Apostolos-Paul N. Sonstige oth Advances in computational management science 2 (DE-604)BV012138998 2 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008404181&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance Advances in computational management science Congresses Finance - Mathematical models Finance - Statistical models Mathematisches Modell Finance -- Statistical models -- Congresses Finance -- Mathematical models -- Congresses Entscheidungsunterstützungssystem (DE-588)4191815-0 gnd Financial Engineering (DE-588)4208404-0 gnd |
| subject_GND | (DE-588)4191815-0 (DE-588)4208404-0 (DE-588)1071861417 |
| title | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance |
| title_auth | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance |
| title_exact_search | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance |
| title_full | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance ed. by Apostolos-Paul N. Refenes ... |
| title_fullStr | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance ed. by Apostolos-Paul N. Refenes ... |
| title_full_unstemmed | Decision technologies for computational finance proceedings of the Fifth International Conference Computational Finance ed. by Apostolos-Paul N. Refenes ... |
| title_short | Decision technologies for computational finance |
| title_sort | decision technologies for computational finance proceedings of the fifth international conference computational finance |
| title_sub | proceedings of the Fifth International Conference Computational Finance |
| topic | Congresses Finance - Mathematical models Finance - Statistical models Mathematisches Modell Finance -- Statistical models -- Congresses Finance -- Mathematical models -- Congresses Entscheidungsunterstützungssystem (DE-588)4191815-0 gnd Financial Engineering (DE-588)4208404-0 gnd |
| topic_facet | Congresses Finance - Mathematical models Finance - Statistical models Mathematisches Modell Finance -- Statistical models -- Congresses Finance -- Mathematical models -- Congresses Entscheidungsunterstützungssystem Financial Engineering Konferenzschrift 1997 London |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008404181&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012138998 |
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