[Brief an Joachim Jungerman]: vom 06.07.1590
Gespeichert in:
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| Format: | Manuskript Buch |
| Sprache: | Italian |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Autograph Katalogisat nach: Schmidt-Herrling, Eleonore: Die Briefsammlung des Nürnberger Arztes Christoph Jacob Trew (1695-1769) in der Universitätsbibliothek Erlangen Kurzaufnahme eines Autographen der Universitätsbibliothek Erlangen-Nürnberg |
| Beschreibung: | 2 Seiten 31,8 x 22,5 cm |
| Format: | kostenfrei |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804177585268064256 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
PARTI INTRODUCTION 1 MOTIVATION 3
2 ANALYTICAL OUTLOOK 7
2.1 FOREIGN EXCHANGE MARKET PREDICTABILITY 7
2.2 EXCHANGE RATE FORECASTING WITH SUPPORT VECTOR MACHINES 8 2.3
EXCHANGE RATE HEDGING IN A SIMULATION/OPTIMIZATION FRAMEWORK 10
PART N FOREIGN EXCHANGE MARKET PREDICTABILITY
3 EQUILIBRIUM RELATIONSHIPS 15
3.1 PURCHASING POWER PARITY THEOREM 15
3.1.1 ABSOLUTE PPP 15
3.1.2 RELATIVE PPP 16
3.1.3 EMPIRICAL EVIDENCE 17
3.1.4 EXPLANATIONS FOR DEVIATIONS FROM PPP 19
3.2 INTEREST RATE PARITY (IRP) THEOREM 21
3.2.1 COVERED INTEREST RATE PARITY (CIP) 21
3.2.2 UNCOVERED COVERED INTEREST RATE PARITY (UIP) 22 3.2.3 EMPIRICAL
EVIDENCE 22
3.2.4 EXPLANATIONS FOR DEVIATIONS FROM IRP 24
4 MARKET EFFICIENCY CONCEPTS 27
4.1 INFORMATIONAL EFFICIENCY 27
4.2 SPECULATIVE EFFICIENCY 28
5 VIEWS FROM COMPLEXITY THEORY 29
5.1 INTRODUCTION 29
5.2 CALCULATING FIXED POINT MARKET EQUILIBRIUM 32
5.2.1 COMPUTATIONAL COMPLEXITY OF CENTRALIZED EQUILIBRIUM 32
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/992498708
DIGITALISIERT DURCH
IMAGE 2
XIV CONTENTS
5.2.2 COMPUTATIONAL COMPLEXITY OF DECENTRALIZED EQUILIBRIUM... 33 5.2.3
ADAPTIVE/INDUCTIVE LEARNING OF RATIONAL EXPECTATIONS EQUILIBRIA 34
5.3 COMPUTATIONAL DIFFICULTIES WITH EFFICIENCY 35
5.3.1 INFORMATION INTERPRETATION 35
5.3.2 COMPUTATIONAL COMPLEXITY OF ARBITRAGE 37
6 CONCLUSIONS 39
PART III EXCHANGE RATE FORECASTING WITH SUPPORT VECTOR MACHINES
7 INTRODUCTION 43
8 STATISTICAL ANALYSIS OF DAILY EXCHANGE RATE DATA 47
8.1 TIME SERIES PREDICTABILITY 47
8.2 EMPIRICAL ANALYSIS 47
8.2.1 STATIONARITY 50
8.2.2 NORMAL DISTRIBUTION 53
8.2.3 LINEARITY 54
8.2.4 HETEROSKEDASTICITY 57
8.2.5 NONLINEARITY 61
8.2.6 RESULTS 63
9 SUPPORT VECTOR CLASSIFICATION 65
9.1 BINARY CLASSIFICATION PROBLEM (BCP) 65
9.2 ON THE COMPUTATIONAL COMPLEXITY OF THE BCP 65
9.3 SUPERVISED LEARNING 67
9.4 STRUCTURAL RISK MINIMIZATION 69
9.5 SUPPORT VECTOR MACHINES 71
9.5.1 LEARNING IN FEATURE SPACE 71
9.5.2 KERNEL FUNCTIONS 72
9.5.3 OPTIMAL SEPARATING HYPERPLANE 73
9.5.4 GENERALIZED OPTIMAL SEPARATING HYPERPLANE 79
9.5.5 GENERALIZATION IN HIGH DIMENSIONAL FEATURE SPACE 81
10 DESCRIPTION OF EMPIRICAL STUDY AND RESULTS 83
10.1 EXPLANATORY DATASET 83
10.1.1 PHASE ONE: INPUT DATA SELECTION 84
10.1.2 PHASE TWO: DIMENSIONALITY REDUCTION 84
10.2 SVM MODEL 89
10.3 SEQUENTIAL MINIMIZATION OPTIMIZATION (SMO) ALGORITHM 89 10.4 KERNEL
SELECTION 91
10.5 CROSS VALIDATION 94
10.6 BENCHMARK MODELS 95
IMAGE 3
CONTENTS XV
10.7 EVALUATION PROCEDURE 97
10.7.1 STATISTICAL EVALUATION 97
10.7.2 OPERATIONAL EVALUATION 98
10.8 NUMERICAL RESULTS AND DISCUSSION 99
PART IV EXCHANGE RATE HEDGING IN A SIMULATION/OPTIMIZATION FRAMEWORK
11 INTRODUCTION 107
12 PREFERENCES OVER PROBABILITY DISTRIBUTIONS 117
12.1 CURRENCY HEDGING INSTRUMENTS 117
12.1.1 FORWARD 117
12.1.2 PLAIN VANILLA OPTION 119
12.1.3 STRADDLE 121
12.2 FORMAL RELATIONSHIP BETWEEN FIRM AND CAPITAL MARKET EXPECTATIONS
122
12.3 SPECIFICATION OF PROBABILITY DISTRIBUTION FUNCTION 123 12.4
EXPECTED UTILITY MAXIMIZATION AND THREE-MOMENTS RANKING 124 12.4.1
PREFERENCE STRUCTURES OVER LOTTERIES 124
12.4.2 PREFERENCE STRUCTURES OVER UTILITY FUNCTIONS 126 12.4.3 EXPECTED
UTILITY MAXIMIZATION 126
12.4.4 INCREASING WEALTH PREFERENCE 127
12.4.5 RISK AVERSION PREFERENCE 127
12.4.6 RUIN AVERSION PREFERENCE 128
12.5 SPECIFICATION OF UTILITY FUNCTION 129
13 PROBLEM STATEMENT AND COMPUTATIONAL COMPLEXITY 133 13.1 PROBLEM
STATEMENT 133
13.2 COMPUTATIONAL COMPLEXITY CONSIDERATIONS 135
13.2.1 COMPLEXITY OF DETERMINISTIC COMBINATORIAL OPTIMIZATION ..135
13.2.2 COMPLEXITY OF STOCHASTIC COMBINATORIAL OPTIMIZATION 137 13.2.3
OBJECTIVE FUNCTION CHARACTERISTICS 139
14 MODEL IMPLEMENTATION 141
14.1 SIMULATION/OPTIMIZATION 141
14.2 SIMULATION MODEL 142
14.2.1 DATASETS 142
14.2.2 COMPONENT 1 : EQUILIBRIUM 143
14.2.3 COMPONENT 2: NONLINEAR MEAN REVERSION 145 14.2.4 COMPONENT 3:
GAUSSIAN RANDOM WALK 148
14.2.5 AGGREGATION OF COMPONENTS 150
14.2.6 CALIBRATION OF PARAMETERS 151
14.3 OPTIMIZATION MODEL 152
14.3.1 SOLUTION CONSTRUCTION ALGORITHM 152
14.3.2 SCATTER SEARCH AND PATH RELINKING 154
IMAGE 4
XVI CONTENTS
15 SIMULATION/OPTIMIZATION EXPERIMENTS 163
15.1 PRACTICAL MOTIVATION 163
15.2 MODEL BACKTESTING 163
15.2.1 OVERVIEW 163
15.2.2 DATA INPUTS AND PARAMETERS 164
15.2.3 EVALUATION PROCEDURE 170
15.3 RESULTS 173
15.3.1 EX ANTE PERFORMANCE 173
15.3.2 EX POST PERFORMANCE 176
PARTV CONTRIBUTIONS OF THE DISSERTATION
16 EXCHANGE RATE FORECASTING WITH SUPPORT VECTOR MACHINES 183
17 EXCHANGE RATE HEDGING IN A SIMULATION/OPTIMIZATION FRAMEWORK .. 185
PART VI REFERENCES
REFERENCES 191
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| spelling | Pona, Giovanni 1565-1630 Verfasser (DE-588)124789684 aut [Brief an Joachim Jungerman] vom 06.07.1590 Giovanni Pona Verona 6 di Iuglio M.D.LXXXX. 2 Seiten 31,8 x 22,5 cm txt rdacontent n rdamedia nb rdacarrier Autograph Katalogisat nach: Schmidt-Herrling, Eleonore: Die Briefsammlung des Nürnberger Arztes Christoph Jacob Trew (1695-1769) in der Universitätsbibliothek Erlangen Kurzaufnahme eines Autographen der Universitätsbibliothek Erlangen-Nürnberg kostenfrei (DE-588)4135952-5 Quelle gnd-content Jungermann, Joachim 1561-1591 (DE-588)117238325 rcp Verona (DE-588)4063110-2 gnd prp DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029750157&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pona, Giovanni 1565-1630 [Brief an Joachim Jungerman] vom 06.07.1590 |
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| title | [Brief an Joachim Jungerman] vom 06.07.1590 |
| title_auth | [Brief an Joachim Jungerman] vom 06.07.1590 |
| title_exact_search | [Brief an Joachim Jungerman] vom 06.07.1590 |
| title_full | [Brief an Joachim Jungerman] vom 06.07.1590 Giovanni Pona |
| title_fullStr | [Brief an Joachim Jungerman] vom 06.07.1590 Giovanni Pona |
| title_full_unstemmed | [Brief an Joachim Jungerman] vom 06.07.1590 Giovanni Pona |
| title_short | [Brief an Joachim Jungerman] |
| title_sort | brief an joachim jungerman vom 06 07 1590 |
| title_sub | vom 06.07.1590 |
| topic_facet | Quelle |
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