Research Catalog

Details

Additional authors

1. Institute of Electrical and Electronics Engineers.
2. IEEE Neural Networks Society.

Description

1. x, 436, 2 p. : ill.; 30 cm.

Subject

1. Computational intelligence > Congresses
2. Financial engineering > Congresses

Contents

1. Bankruptcy Prediction with Least Squares Support Vector Machine Classifiers / Tony Van Gestel, Johan Suykens, Marcelo Espinoza, Bart De Moor, Bart Baesens, Jan Vanthienen and Dirk-Emma Baestaens -- Estimation of Default Probability by Three-Factor Structural Model / C. H. Hui, M. X. Huang and C. F. Lo -- Simple Decision Making Criterion as Real Options / Hirofumi Suto, James Alleman and Paul Rappoport -- Bankruptcy Prediction for Credit Risk Using an Auto-Associative Neural Network in Korean Firms / Jinwoo Baek and Sungzoon Cho -- Including Life-Time and Options in Residual Income Indicators / F. Neri, M. G. Noro and E. Piccirillo -- The Predictive Power of Dividend Yields Analyzed by Methods Preserving Time-Dependent Structures / Janette F. Walde -- Support Vector Machines for Company Failure Prediction / Zheng Rong Yang -- Analytics and Algorithms for Geometric Average Trigger Reset Options / Tian-Shyr Dai, I-Yuan Chen, Yuh-Dauh Lyuu and Yuh-Yuan Fang -- Hedging a Portfolio of Derivatives by Modeling Cost / Katharyn A. Boyle, Thomas F. Coleman and Yuying Li -- A Moment Based Analysis of Hedging Under Discrete Trading / James A. Primbs and Yuji Yamada -- A Multiobjective Genetic Programming Approach for Pricing and Hedging Derivative Securities / Matthias G. Schuster -- Pricing S&P 500 Index Options with Heston's Model / Jin E. Zhang and Jinghong Shu -- Pricing the American Put Using a New Class of Tight Lower Bounds / Malik Magdon-Ismail -- Fast Monte Carlo Valuation of Barrier Options for Jump Diffusion Processes / Steve A. K. Metwally and Amir F. Atiya -- Optimal Calling Policies in Convertible Bonds / Ka Wo Lau and Yue Kuen Kwok -- The Valuation of a Euro-Convertible Bond / Chung-Gee Lin, Chuang-Chang Chang and Min-Teh Yu -- Generalized Ant Programming in Option Pricing: Determining Implied Volatilities Based on American Put Options / Christian Keber and Matthias G. Schuster -- Mean Square Optimal Hedges Using Higher Order Moments / Yuji Yamada and James A. Primbs -- On Generalized Arbitrage Pricing Theory Analysis: Empirical Investigation of the Macroeconomics Modulated Independent State-Space Model / Kai-Chun Chiu and Lei Xu -- Nonlinear Phillips Curves in the Euro Area and USA? Evidence from Linear and Neural Network Models / Paul D. McNelis -- Application of Neural Control to Economic Growth Problems / Angelo Alessandri, Cristiano Cervellera and Filippo Grassia -- Co-Evolutionary Multi-Agent-Based Modeling of Artificial Stock Market by Using the GP Approach / Xiaorong Chen -- Evolved Hybrid Auction Mechanisms in Non-Zip Trader Marketplaces / Dave Cliff, Andrew Byde and Vibhu Walia -- Attrition and Preemption in Credit/Debit Cards Incentives: Models and Experiments / Edward Jimenez -- Inflation Forecasting - A Comparison Between Econometric Methods and a Computational Approach Based on Genetic-Neural Fuzzy Rule-Bases / Stefan Kooths, Eric Ringhut and Timo Mitze -- Microeconomic Modeling of Financial Time Series with Long Term Memory / Roy Cerqueti and Giulia Rotundo -- Risk Related Non Linearities in Exchange Rates: A Comparison of Parametric and Semiparametric Estimates / Barbara Chizzolini and Bruno Sitzia -- Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets / Thomas Lux and Sascha Schornstein -- The Behavior of Large Changes in Asian Exchange Rates / Raj Aggarwal and Min Qi -- Statistical Properties of African FX Rates: An Application of the Stable Paretian Hypothesis / David Basterfield, Thomas Bundt and Grattan Murphy -- An Artificial Neural Network Framework for Dual Interest Rate Parity / Mona R. El Shazly -- Arbitrage Chances and the Non-Gaussian Features of Financial Data / Mieko Tanaka-Yamawaki, Shinya Komaki and Tsuyoshi Itabashi -- The Maximum Drawdown of the Brownian Motion / Malik Magdon-Ismail, Amir Atiya, Amrit Pratap and Yaser Abu-Mostafa -- Mean-Variance Optimization and Pair-Wise Strategies / Edward Qian -- A Monte-Carlo Method for Portfolio Optimization Under Partially Observed Stochastic Volatility / Rahul Desai, Tanmay Lele and Frederi Viens -- A Process Control Approach to Investment Risk / Leonard MacLean, Yonggan Zhao and William Ziemba -- Data-Analytic Approaches to the Estimation of Value-at-Risk / Jianqing Fan and Juan Gu -- Estimating the Number of Mutual Fund Styles Using the Generalized Style Classification Approach and the Gap Statistic / Paul Lajbcygier and Mei Yong Ong -- Hypothesis Testing in Mixtures-of-Experts of Generalized Linear Time Series / Alexandre X. Carvalho and Martin A. Tanner -- Order Selection of Continuous Time Models: Applications to Estimation of Risk Premiums / Gopal Basak, Ngai Hang Chan and Philip P. K. Lee -- Does Anything Beat a Garch(1,1)? A Comparison Based on Test for Superior Predictive Ability / Peter Reinhard Hansen and Asger Lunde -- Efficient Estimation of the Hurst Parameter in High Frequency Financial Data with Seasonalities Using Wavelets / Erhan Bayraktar, H. Vincent Poor and K. Ronnie Sircar -- C-Ascending Support Vector Machines for Financial Time Series Forecasting / Li Juan Cao, Kok Seng Chua and Lim Kian Guan -- Combining KPCA with Support Vector Machine for Time Series Forecasting / Li Juan Cao, Kok Seng Chua and Lim Kian Guan -- Trend Time Series Modeling and Forecasting with Neural Networks / Min Qi and G. Peter Zhang -- Evidence for Deterministic Nonlinear Dynamics in Financial Time Series Data / Michael Small and Chi K. Tse -- Statistical Models for Time Sequences Data Mining / Jessica K. Ting, Hongqiang Rong, Joshua Z. Huang and Michael K. Ng -- Evolutionary Reinforcement Learning in FX Order Book and Order Flow Analysis / R. G. Bates, M. A. H. Dempster and Y. S. Romahi -- FX Trading via Recurrent Reinforcement Learning / Carl Gold -- Optimal Trade Execution of Equities in a Limit Order Market / Richard Coggins, Adam Blazejewski and Michael Aitken -- Stock Returns: Momentum, Volatility and Interest Rates / Yue Fang, Sakae Wada and John Moody -- Self-Organizing Maps as a Foundation for Charting or Geometric Pattern Recognition in Financial Time Series / Cheuh-Yung Tsao and Shu-Heng Chen -- Stock Prediction: Integrating Text Mining Approach Using Real-Time News / Gabriel Pui Cheong Fung, Jeffrey Xu Yu and Wai Lam -- Extraction of Investment Strategies Based on Moving Averages: A Genetic Algorithm Approach / Rui Jiang and K. Y. Szeto -- A Characterization of Long-Short Trading Strategies Based on Cointegration / Yoshinori Kawasaki, Shigeru Tachiki, Hideo Udaka and Tomoaki Hirano -- Trend Detection Using Auto-Associative Neural Networks: Intraday KOSPI 200 Futures / Junmyung Lee, Sungzoon Cho and Jinwoo Baek -- Incremental Genetic Fuzzy Expert Trading System for Derivatives Market Timing / H. S. Ng, K. P. Lam and S. S. Lam -- Statistical Arbitrage Trading with Wavelets and Artificial Neural Networks / Christopher Zapart.

Owning institution

1. Columbia University Libraries

Note

1. "Organized by computational finance technical committee; sponsored by the Institute of Electrical and Electronics Engineers, Neural Networks Society (NNS)."

Bibliography (note)

1. Includes bibliographical references and index.

Additional formats (note)

1. Also available via the World Wide Web with additional title: Computational intelligence for financial engineering, 2003, proceedings, 2003 IEEE International Conference on.