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ORCIDCIFEr 2003: Hong Kong
- 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003, Hong Kong, March 20-23, 2003. IEEE 2003, ISBN 0-7803-7654-4
- Richard Coggins, Adam Blazejewski, Michael Aitken
:
Optimal trade execution of equities in a limit order market. - Tony Van Gestel, Bart Baesens, Johan A. K. Suykens, Marcelo Espinoza, Dirk-Emma Baestaens, Jan Vanthienen, Bart De Moor:
Bankruptcy prediction with least squares support vector machine classifiers. 1-8 - Cho-Hoi Hui, Edward Chi-Fai Lo, Nicole Ming-Xi Huang:
Estimation of default probability by three-factor structural model. 9-15 - Hirofumi Suto, James Alleman, Paul Rappoport:
Simple decision making criterion as real options. 17-24 - Jinwoo Baek, Sungzoon Cho:
Bankruptcy prediction for credit risk using an auto-associative neural network in Korean firms. 25-29 - Filippo Neri, Massimo G. Noro, Ettore Piccirillo:
Including life-time and options in residual income indicators. 31-37 - Janette F. Walde:
The predictive power of dividend yields analyzed by methods preserving time-dependent structures. 39-45 - Zheng Rong Yang:
Support vector machines for company failure prediction. 47-54 - Tian-Shyr Dai, I-Yuan Chen, Yuh-Yuan Fang, Yuh-Dauh Lyuu:
Analytics and algorithms for geometric average trigger reset options. 55-62 - Katharyn A. Boyle, Thomas F. Coleman, Yuying Li:
Hedging a portfolio of derivatives by modeling cost. 63-70 - James A. Primbs, Yuji Yamada:
A moment based analysis of hedging under discrete trading. 71-76 - Matthias G. Schuster:
A multiobjective genetic programming approach for pricing and hedging derivative securities. 77-84 - Jin E. Zhang, Jinghong Shu:
Pricing S&P 500 index options with Heston's model. 85-92 - Malik Magdon-Ismail:
Pricing the American put using a new class of tight lower bounds. 93-100 - Steve A. K. Metwally, Amir F. Atiya:
Fast Monte Carlo valuation of barrier options for jump diffusion processes. 101-107 - Ka Wo Lau, Yue Kuen Kwok:
Optimal calling policies in convertible bonds. 109-114 - Chung-Gee Lin, Chuang-Chang Chang, Min-Teh Yu:
The valuation of a Euro-Convertible Bond. 115-122 - Christian Keber, Matthias G. Schuster:
Generalized ant programming in option pricing: determining implied volatilities based on American put options. 123-130 - Yuji Yamada, James A. Primbs:
Mean square optimal hedges using higher order moments. 131-137 - Kai Chun Chiu, Lei Xu:
On generalized arbitrage pricing theory analysis: empirical investigation of the macroeconomics modulated independent state-space model. 139-144 - Paul McNelis:
Nonlinear phillips curves in the Euro area and USA? Evidence from linear and neural network models. 145-149 - Angelo Alessandri, Cristiano Cervellera, Filippo Aldo Grassia:
Application of neural control to economic growth problems. 151-157 - Xiaorong Chen:
Co-evolutionary multi-agent-based modeling of artificial stock market by using the GP approach. 159-165 - Dave Cliff, Vibhu Walia, Andrew Byde:
Evolved hybrid auction mechanisms in non-ZIP trader marketplaces. 167-174 - Edward Jimenez:
Attrition and preemption in credit/debit cards incentives: models and experiments. 175-182 - Stefan Kooths, Timo Mitze, Eric Ringhut:
Inflation forecasting - a comparison between econometric methods and a computational approach based on genetic-neural fuzzy rule-bases. 183-190 - Roy Cerqueti, Giulia Rotundo:
Microeconomic modeling of financial time series with long term memory. 191-198 - Barbara Chizzolini, Bruno Sitzia:
Risk related non linearities in exchange rates: A comparison of parametric and semiparametric estimates. 199-206 - Thomas Lux, Sascha Schornstein:
Genetic learning as an explanation of stylized facts of foreign exchange markets. 207-214 - Raj Aggarwal, Min Qi:
The behavior of large changes in Asian exchange rates. 215-222 - David Basterfield, Thomas Bundt, Grattan Murphy:
Statistical properties of African FX rates: An application of the Stable Paretian Hypothesis. 223-229 - Mona R. El Shazly:
An artificial neural network framework for dual interest rate parity. 231-235 - Mieko Tanaka-Yamawaki, Shinya Komaki, Tsuyoshi Itabashi:
Arbitrage chances and the non-Gaussian features of financial data. 237-242 - Malik Magdon-Ismail, Amir F. Atiya, Amrit Pratap, Yaser S. Abu-Mostafa:
The maximum drawdown of the Brownian motion. 243-247 - Edward Qian:
Mean-variance optimization and pair-wise strategies. 249-255 - Rahul Desai, Tanmay Lele, Frederi Viens:
A Monte-Carlo method for portfolio optimization under partially observed stochastic volatility. 257-263 - Leonard C. MacLean, Yonggan Zhao, William T. Ziemba:
A process control approach to investment risk. 265-270 - Jianqing Fan, Juan Gu:
Data-analytic approaches to the estimation of Value-at-Risk. 271-277 - Paul Lajbcygier, Mei Yong Ong:
Estimating the number of mutual fund styles using the generalized style classification approach and the GAP statistic. 279-284 - Alexandre X. Carvalho, Martin A. Tanner:
Hypothesis testing in mixtures-of-experts of generalized linear time series. 285-292 - Gopal K. Basak, Ngai Hang Chan, Philip P. K. Lee:
Order selection of continuous time models: Applications to estimation of risk premiums. 293-300 - Peter Reinhard Hansen, Asger Lunde:
Does anything beat a GARCH(1, 1)? A comparison based on test for superior predictive ability. 301-307 - Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar:
Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets. 309-316 - Lijuan Cao, Kok Seng Chua, Lim Kian Guan:
c-ascending support vector machines for financial time series forecasting. 317-323 - Lijuan Cao, Kok Seng Chua, Lim Kian Guan:
Combining KPCA with support vector machine for time series forecasting. 325-329 - Min Qi, G. Peter Zhang:
Trend time series modeling and forecasting with neural networks. 331-337 - Michael Small, Chi Kong Tse:
Evidence for deterministic nonlinear dynamics in financial time series data. 339-346 - Jessica K. Ting, Michael K. Ng, Hongqiang Rong, Joshua Zhexue Huang:
Statistical models for time sequences data mining. 347-354 - R. Graham Bates, Michael A. H. Dempster, Yazann S. Romahi:
Evolutionary reinforcement learning in FX order book and order flow analysis. 355-362 - Carl Gold:
FX trading via recurrent reinforcement learning. 363-370 - Yue Fang, Sakae Wada, John E. Moody:
Stock returns: momentum, volatility and interest rates. 379-385 - Chueh-Yung Tsao, Shu-Heng Chen:
Self-organizing maps as a foundation for charting or geometric pattern recognition in financial time series. 387-394 - Gabriel Pui Cheong Fung, Jeffrey Xu Yu, Wai Lam:
Stock prediction: Integrating text mining approach using real-time news. 395-402 - Rui Jiang, Kwok Yip Szeto:
Extraction of investment strategies based on moving averages: A genetic algorithm approach. 403-410 - Yoshinori Kawasaki, Shigeru Tachiki, Hideo Udaka, Tomoaki Hirano:
A characterization of long-short trading strategies based on cointegration. 411-416 - Jun-Myung Lee, Sungzoon Cho, Jinwoo Baek:
Trend detection using auto-associative neural networks: Intraday KOSPI 200 futures. 417-420 - H. S. Ng, K. P. Lam, S. S. Lam:
Incremental genetic fuzzy expert trading system for derivatives market timing. 421-427 - Christopher Zapart:
Statistical arbitrage trading with wavelets and artificial neural networks. 429-435
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