05138nam 22007454a 450 991095863940332120200520144314.0978026229179802622917979780262266741026226674197805853789850585378983(CKB)111035898479386(EBL)3338459(SSID)ssj0000380122(PQKBManifestationID)12127509(PQKBTitleCode)TC0000380122(PQKBWorkID)10372097(PQKB)10490118(MiAaPQ)EBC3338459(Au-PeEL)EBL3338459(CaPaEBR)ebr10015357(OCoLC)923250243(PPN)170247473(FR-PaCSA)88800190(FRCYB88800190)88800190(EXLCZ)9911103589847938619990527d2000 uy 0engur|n|---|||||txtccrComputational finance 1999 /edited by Yaser S. Abu-Mostafa ... [et al.]1st ed.Cambridge, Mass. MIT Pressc20001 online resource (732 p.)Description based upon print version of record.9780262511070 026251107X 9780262011785 0262011786 Includes bibliographical references and index.""Contents""; ""Preface""; ""Contributors""; ""Introduction""; ""Risk Management and Portfolio Optimization""; ""Importance Sampling and StratiEcation for Value-at-Risk""; ""ConEdence Intervals and Hypothesis Testing for the""; ""Sharpe and Treynor Performance Measures:""; ""A Bootstrap Approach""; ""Conditional Value at Risk""; ""Advances in Importance Sampling""; ""Arbitrage and the APTZA Note""; ""Bayesian Network Models of Portfolio Risk and Return""; ""Volatility""; ""Change of Measure in Monte Carlo Integration""; ""via Gibbs Sampling with an Application to""""Stochastic VolatilityModels""""Comparing Models of Intra daySeasonal Volatility""; ""in the Foreign Exchange Market""; ""A Symbolic Dynamics Approach to Volatility Prediction""; ""Does Volatility Timing Matter?""; ""Time Series Methods""; ""Goodness of FitG Stability and Data Mining""; ""A Bayesian Approach to Estimating Mutual Fund Returns""; ""Independent Component Ordering in ICS Snalysis""; ""of Financial Data""; ""Curved Gaussian Models with Spplication to Modeling""; ""Foreign Exchange Rates""; ""Nonparametric EJciency Testing of Ssian""; ""Foreign Exchange Markets""""Term Structure of Interactions of Foreign Exchange Rates""""Exchange Rates and Fundamentals� Evidence from""; ""Out(of(Sample Forecasting Using Neural Networks""; ""Dynamic Trading Strategies""; ""Trading Models as Specimcation Tools""; ""Statistical Arbitrage Models of the FTSE JDD""; ""Implementing Trading Strategies for Forecasting Models""; ""Using Nonlinear Neurogenetic Models with Prokt Related""; ""Objective Functions to Trade the US THbond Future""; ""Parameter Tuning in Trading Algorithms Using ASTA""; ""Hedge Funds Styles""""Optimization ofTechnical Trading Strategy Using Split""""Search Genetic Algorithms""; ""Trading Mutual Funds with PieceMwise Constant Models""; ""Minimizing Downside Risk via Stochastic""; ""Dynamic Programming""; ""jn Optimal VinaryPredictor for an Investor""; ""in Futures Market""; ""jn Introduction to Risk Neutral Forecasting""; ""TemporalyDiyerence Learning and jpplications""; ""in Finance""; ""Heterogeneous Agents""; ""Technical Trading Creates a PrisonerCs DilemmaK""; ""Results from an Agent�Based Model""; ""Cycles of Market Stability and Instability Due to""""Endogenous Use of Technical Trading Rules""""Relative Performance of Incentive Mechanisms in""; ""Delegated InvestmentsK A Computational Study""; ""Credit Risk""; ""Rules Extractions from BanksP Bankrupt Data Using""; ""Connectionist and Symbolic Learning Algorithms""; ""Evaluating Bank Lending Policy and Consumer""; ""Credit Risk""; ""Loan Duration and Bank Lending Policy""; ""Option Pricing""; ""Estimation of Stochastic Volatility Models for the Purpose""; ""of Option Pricing""; ""Option Pricing via Genetic Programming""; ""Nonparametric Testing of ARCH for Option Pricing""""A Computational Framework for Contingent Claim""This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation.Computational finance nineteen ninety nineFinanceData processingCongressesFinanceMathematical modelsCongressesFinanceData processingFinanceMathematical models332/.0285Abu-Mostafa Yaser S.1957-790665MiAaPQMiAaPQMiAaPQBOOK9910958639403321Computational finance 19994340766UNINA