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Author: Yaser Abu-mostafa Publisher: World Scientific ISBN: 9814546216 Category : Business & Economics Languages : en Pages : 442
Book Description
This volume selects the best contributions from the Fourth International Conference on Neural Networks in the Capital Markets (NNCM). The conference brought together academics from several disciplines with strategists and decision makers from the financial industries.The various chapters present and compare new techniques from many areas including data mining, information systems, machine learning, and statistical artificial intelligence. The volume focuses on evaluating their usefulness for problems in computational finance and financial engineering.Applications — risk management; asset allocation; dynamic trading and hedging; forecasting; trading cost control. Markets — equity; foreign exchange; bond; commodity; derivatives; Approaches — data mining; statistical AI; machine learning; Monte Carlo simulation; bootstrapping; genetic algorithms; nonparametric methods; fuzzy logic.The chapters emphasizes in-depth and comparative evaluation with established approaches.
Author: Yaser Abu-mostafa Publisher: World Scientific ISBN: 9814546216 Category : Business & Economics Languages : en Pages : 442
Book Description
This volume selects the best contributions from the Fourth International Conference on Neural Networks in the Capital Markets (NNCM). The conference brought together academics from several disciplines with strategists and decision makers from the financial industries.The various chapters present and compare new techniques from many areas including data mining, information systems, machine learning, and statistical artificial intelligence. The volume focuses on evaluating their usefulness for problems in computational finance and financial engineering.Applications — risk management; asset allocation; dynamic trading and hedging; forecasting; trading cost control. Markets — equity; foreign exchange; bond; commodity; derivatives; Approaches — data mining; statistical AI; machine learning; Monte Carlo simulation; bootstrapping; genetic algorithms; nonparametric methods; fuzzy logic.The chapters emphasizes in-depth and comparative evaluation with established approaches.
Author: Apostolos-Paul N. Refenes Publisher: Springer Science & Business Media ISBN: 1461556252 Category : Business & Economics Languages : en Pages : 472
Book Description
This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 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 technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.
Author: Constantin Zopounidis Publisher: Springer Science & Business Media ISBN: 146154663X Category : Computers Languages : en Pages : 230
Book Description
This book provides a new point of view on the field of financial engineering, through the application of multicriteria intelligent decision aiding systems. The aim of the book is to provide a review of the research in the area and to explore the adequacy of the tools and systems developed according to this innovative approach in addressing complex financial decision problems, encountered within the field of financial engineering. Audience: Researchers and professionals such as financial managers, financial engineers, investors, operations research specialists, computer scientists, management scientists and economists.
Author: Kwong S. Leung Publisher: Springer ISBN: 3540444912 Category : Computers Languages : en Pages : 576
Book Description
X Table of Contents Table of Contents XI XII Table of Contents Table of Contents XIII XIV Table of Contents Table of Contents XV XVI Table of Contents K.S. Leung, L.-W. Chan, and H. Meng (Eds.): IDEAL 2000, LNCS 1983, pp. 3›8, 2000. Springer-Verlag Berlin Heidelberg 2000 4 J. Sinkkonen and S. Kaski Clustering by Similarity in an Auxiliary Space 5 6 J. Sinkkonen and S. Kaski Clustering by Similarity in an Auxiliary Space 7 0.6 1.5 0.4 1 0.2 0.5 0 0 10 100 1000 10000 10 100 1000 Mutual information (bits) Mutual information (bits) 8 J. Sinkkonen and S. Kaski 20 10 0 0.1 0.3 0.5 0.7 Mutual information (mbits) Analyses on the Generalised Lotto-Type Competitive Learning Andrew Luk St B&P Neural Investments Pty Limited, Australia Abstract, In generalised lotto-type competitive learning algorithm more than one winner exist. The winners are divided into a number of tiers (or divisions), with each tier being rewarded differently. All the losers are penalised (which can be equally or differently). In order to study the various properties of the generalised lotto-type competitive learning, a set of equations, which governs its operations, is formulated. This is then used to analyse the stability and other dynamic properties of the generalised lotto-type competitive learning.
Author: Robert Kosowski Publisher: Academic Press ISBN: 0123870070 Category : Business & Economics Languages : en Pages : 893
Book Description
Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. - The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics - Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act - The solutions manual enhances the text by presenting additional cases and solutions to exercises
Author: Jimmy Shadbolt Publisher: Springer Science & Business Media ISBN: 1447101510 Category : Computers Languages : en Pages : 266
Book Description
This volume looks at financial prediction from a broad range of perspectives. It covers: - the economic arguments - the practicalities of the markets - how predictions are used - how predictions are made - how predictions are turned into something usable (asset locations) It combines a discussion of standard theory with state-of-the-art material on a wide range of information processing techniques as applied to cutting-edge financial problems. All the techniques are demonstrated with real examples using actual market data, and show that it is possible to extract information from very noisy, sparse data sets. Aimed primarily at researchers in financial prediction, time series analysis and information processing, this book will also be of interest to quantitative fund managers and other professionals involved in financial prediction.
Author: Ireneusz Czarnowski Publisher: Springer Nature ISBN: 9811559252 Category : Technology & Engineering Languages : en Pages : 525
Book Description
This book gathers selected papers from the KES-IDT-2020 Conference, held as a Virtual Conference on June 17–19, 2020. The aim of the annual conference was to present and discuss the latest research results, and to generate new ideas in the field of intelligent decision-making. However, the range of topics discussed during the conference was definitely broader and covered methods in e.g. classification, prediction, data analysis, big data, data science, decision support, knowledge engineering, and modeling in such diverse areas as finance, cybersecurity, economics, health, management and transportation. The Problems in Industry 4.0 and IoT are also addressed. The book contains several sections devoted to specific topics, such as Intelligent Data Processing and its Applications High-Dimensional Data Analysis and its Applications Multi-Criteria Decision Analysis – Theory and Applications Large-Scale Systems for Intelligent Decision-Making and Knowledge Engineering Decision Technologies and Related Topics in Big Data Analysis of Social and Financial Issues Decision-Making Theory for Economics
Author: Vasile Palade Publisher: Springer Science & Business Media ISBN: 3540408037 Category : Business & Economics Languages : en Pages : 1532
Book Description
The two volumes LNAI 2773 and LNAI 2774 constitute the refereed proceedings of the 7th International Conference on Knowledge-Based Intelligent Information and Engineering Systems, KES 2003, held in Oxford, UK in September 2003. The 390 revised papers and poster papers presented were carefully reviewed and selected from numerous submissions. Among the areas covered are knowledge-based systems, neural computing, fuzzy logic, uncertainty, machine learning, soft computing, agent systems, intelligent agents, data mining, knowledge discovery, hybrid intelligent systems, natural language processing, information retrieval, Web applications, case-based reasoning, evolutionary computing, signal processing, ontologies, decision making, human-computer interaction, intelligent user interfaces, neuroscience, intelligent agents, biocomputing, etc.
Author: Yaser S. Abu-Mostafa Publisher: MIT Press ISBN: 9780262511070 Category : Business & Economics Languages : en Pages : 744
Book Description
This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.
Author: Robert J. Howlett Publisher: Springer Science & Business Media ISBN: 3540288945 Category : Business & Economics Languages : en Pages : 1396
Book Description
Annotation The four volume set LNAI 3681, LNAI 3682, LNAI 3683, and LNAI 3684 constitute the refereed proceedings of the 9th International Conference on Knowledge-Based Intelligent Information and Engineering Systems, KES 2005, held in Melbourne, Australia in September 2005. The 716 revised papers presented were carefully reviewed and selected from nearly 1400 submissions. The papers present a wealth of original research results from the field of intelligent information processing in the broadest sense; topics covered in the first volume are intelligent design support systems, data engineering, knowledge engineering and ontologies, knowledge discovery and data mining, advanced network application, approaches and methods of security engineering, chance discovery, information hiding and multimedia signal processing, soft computing techniques and their applications, intelligent agent technology and applications, smart systems, knowledge - based interface systems, intelligent information processing for remote sensing, intelligent human computer€ interaction systems, experience management and knowledge management, network (security) real-time and fault tolerant systems, advanced network application and real-time systems, and intelligent watermarking algorithms.
Author: Yaser Abu-mostafa
Author: Yaser Abu-mostafa
Author: Apostolos-Paul N. Refenes
Author: Constantin Zopounidis
Author: Kwong S. Leung
Author: Robert Kosowski
Author: Jimmy Shadbolt
Author: Ireneusz Czarnowski
Author: Vasile Palade
Author: Yaser S. Abu-Mostafa
Author: Robert J. Howlett