附註: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 FundamentalsÂ? 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""
摘要:Annotation Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.
