Decision Technologies for Financial Engineering

by International Conference on Neural Networks in the Capital Markets 199; Abu-Mostafa, Yaser S.; Refenes, Apostolos-Paul

• ISBN13: 9789810231231
• ISBN10: 9810231237
• eBook ISBN(s): 9789814529822
• Format: Hardcover
• Copyright: 1998-03-01
• Publisher: WORLD SCIENTIFIC PUB CO INC
• More Book Details
• Purchase Benefits

Summary

The areas of the papers in this volume include price forecasting for stocks, bonds, commodities, & foreign exchange; asset collection & risk management; volatility analysis & pricing deriva- tives, cointegration, correlation, & multivariate data analysis; credit assessment & economic forecasting; statistical methods, learning techniques, and hybrid systems

Table of Contents

Foreword	v	(2)
Y.S. Abu-Mostafa
Introducing the Volume	vii	(4)
A. S. Weigend
Y. S. Abu-Mostafa
A-P.N. Refenes
Organizing Committee of NNCM '96	xi
Part 1: DECISION TECHNOLOGIES	3	(122)
Nonlinear Trading Models Through Sharpe Ratio Maximization	3	(20)
M. Choey
A. S. Weigend
Optimization of Trading Systems And Portfolios	23	(13)
J. E. Moody
L. Z. Wu
Training A Neural Network with a Financial Criterion Rather than a Prediction Criterion	36	(13)
Y. Bengio
A Hybrid Classification Approach to Predicting Mean and Volatility of Stock and FX Data and Performance Quantification Using an Optimality Score	49	(16)
D. H. Kil
F. B. Shin
Nonlinear versus Linear Techniques for Selecting Individual Stocks	65	(11)
S. Mahfoud
G. Mani
S. Reigel
Design of Time-Variable Stop Losses and Profit Objectives Using Neural Networks	76	(8)
A. Atiya
Soft Prediction of Stock Behavior	84	(11)
Y. Baram
Application of Genetic Algorithms in Stock Market Prediction	95	(9)
K. Y. Szeto
K. O. Chan
K. H. Cheung
Improving Neural Prediction Systems by Building Independent Committees	104	(7)
S. Gutjahr
Market-Time and Short-Term Forecasting of Foreign Exchange Rates	111	(14)
M. E. Levitt
Part 2: RISK MANAGEMENT	125	(76)
Systematic Underprediction of Volatility In Maximum Likelihood Methods	125	(13)
M. Magdon-Ismail
Y. S. Abu-Mostafa
Validating a Connectionist Model of Financial Diagnosis	138	(13)
P. E. Pedersen
Credit Risk Scoring: Results of Different Network Structures, Preprocessing and Self-organized Clustering	151	(11)
D. Bassi
C. Hernandez
Simulating Interest Rate Structure Evolution on a Long Term Horizon--A Kohonen Map Application	162	(13)
M. Cottrell
E. de Bodt
E. F. Henrion
P. Gregoire
Neural Networks for Risk Analysis in Stock Price Forecasts	175	(13)
M. Klenin
Optimizing Neural Network Classifiers for Bond Rating	188	(13)
A. N. Skurikhin
A. J. Surkan
Part 3: STATISTICAL LEARNING FOR FINANCIAL PROBLEMS	201	(132)
A Comparison of Non-parametric Regression Techniques for the Pricing of Options Using an Optimal Implied Volatility	201	(13)
P. Lajbcygier
A. Flitman
Forecasting Volatility Mispricing	214	(11)
P. J. Bolland
A. N. Burgess
Intraday Modeling of the Term Structure of Interest Rates	225	(8)
J. T. Connor
P. J. Bolland
P. Lajbcygier
Application of Stochastic Differential Geometry to the Term Structure of Interest Rates in Developed Markets	233	(10)
Y. Taranenko
C. Barnes
Neural Model Identification, Variable Selection and Model Adequacy	243	(19)
A-P. N. Refenes
A. D. Zapranis
J. Utans
Specification Tests for Neural Networks: a Case Study in Tactical Asset Allocation	262	(14)
A. D. Zapranis
J. Utans
A-P. N. Refenes
Asset Allocation Across European Equity Indices using a Portfolio of Dynamic Cointegration Models	276	(13)
A. N. Burgess
Representing Dynamical Systems in Feed-Forward Networks: A Six Layer Architecture	289	(18)
H. G. Zimmermann
A. S. Weigend
Modeling of Nonstationary Financial Time Series by Nonparametric Data Selection	307	(11)
G. Deco
R. Neuneier
B. Schuermann
Neural Network Compatible Memory With Controlled Depth And Resolution For Financial Temporal Forecasting Data	318	(15)
J. M. Mason
A. Badii
Part 4: FOREIGN EXCHANGE TRADING AND ANALYSIS	333	(66)
Symbolic Conversion, Grammatical Inference and Rule Extraction for Foreign Exchange Rate Prediction	333	(13)
S. Lawrence
C. L. Giles
A. C. Tsoi
What Is The "True Price"? State Space Models for High Frequency FX Data	346	(13)
J. E. Moody
L. Z. Wu
Principal Components Analysis for Modeling Multi-Currency Portfolios	359	(10)
J. Utans
W. T. Holt
A-P. N. Refenes
Testing for Nonlinearity with Neural Networks--A Study for Daily USD/DEM Exchange Rates	369	(10)
U. Anders
T. H. Hann
G. Nakaheizadeh
Quantization Effects and Cluster Analysis on Foreign Exchange Rates	379	(10)
W. M. Leung
Y. M. Cheung
L. Xu
A Computer Simulation of Currency Market Participants	389	(10)
M. de la Maza
APPENDIX Data Mining in Finance--Report from the Post-NNCM-96 Workshop on Teaching Computer Intensive Methods for Financial Modeling and Data Analysis	399	(14)
A. S. Weigend
Author Index and Contact Information	413	(2)
Keyword Index	415