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Crashes Panics and Frenzies
Time Series in European Options Pricing
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92 call option algorithm applications approach April 92 call ARIMA backpropagation Bank behaviour benchmark call option cent classification companies computed cross-validation dataset decision Efficient Market Hypothesis epochs estimation exercise price factors failure feed-forward financial markets financial ratios forecast function generalisation hidden layer hidden units implied volatility indicates inﬂuence input variables input vector interest rate International investment lagged linear linear regression logistic map mapping MBPN Mean Square Error methods moving average MSCI neural nets neural networks neuron non-linear optimisation option price option series out-of-sample output node output unit overfitting parameters patterns performance portfolio prediction problem procedure random reﬂect regression regression analysis risk RMSE sample series analysis sigmoid signal statistical stock market stock price structure Table target variable techniques test set tion trading training set transaction Type II errors underlying stock validation set values variable contributions weight vector