dblp: CIFEr 1996 (original) (raw)

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CIFEr 1996: New York City, NY, USA

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  • Financial Computing Environments
  • Chaos and Time Series for Financial Systems
  • Fuzzy Logic for Financial Applications
  • Simulation Techniques for Derivatives Pricing
  • Financial Time Series Prediction II
  • Financial Market Volatility
  • Poster Papers

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  Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, CIFEr 1996, New York City, USA, March 24-26, 1996. IEEE 1996, ISBN 0-7803-3236-9

Financial Computing Environments

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    John M. Mulvey:
    Solving robust optimization models in finance. 1-13
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    Roy S. Freedman, Rinaldo Digiorgio:
    New computational architectures for pricing derivatives. 14-19
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    Roil Even, Bud Mishra:
    CAFE': a Complex Adaptive Financial Environment. 20-25

Market Behavior Models

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    Thomas Ankenbrand, Marco Tomassini:
    Predicting multivariate financial time series using neural networks: the Swiss bond case. 27-33
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    Shu-Heng Chen, Chia-Hsuan Yeh:
    Bridging the gap between nonlinearity tests and the efficient market hypothesis by genetic programming. 34-40
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    Samuel J. Leven:
    Models of market behavior: bringing realistic games to market. 41-48

Chaos and Time Series for Financial Systems

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    Monzurul Hoque:
    Impetus for future growth in the globalization of stock investments: an evidence from joint time series and chaos analyses. 49-57
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    Paul J. Werbos:
    Finding time series among the chaos: stochastics, deseasonalization, and texture-detection using neural nets. 58
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    Ronald R. Yager:
    Fuzzy set methods for uncertainty representation in risky financial decisions. 59-65

Neural Nets for Financial Applications

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    Dirk Ormoneit, Ralph Neuneier:
    Experiments in predicting the German stock index DAX with density estimating neural networks. 66-71
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    Karsten Schierholt, Cihan H. Dagli:
    Stock market prediction using different neural network classification architectures. 72-78
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    Yves Bentz, Laurence Boone, Jerome Connor:
    Modelling stock return sensitivities to economic factors with the Kalman filter and neural networks. 79-82

Fuzzy Logic for Financial Applications

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    Stephan Schwarze, Matthias Lechner, Michael Jensen:
    Computer supported determination of bank credit conditions. 83-89
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    Teresa Rubinson, Ronald R. Yager:
    Fuzzy logic and genetic algorithms for financial risk management. 90-95
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    Sabyasachi Ghoshray:
    Foreign exchange rate prediction by fuzzy inferencing on deterministic chaos. 96-102

Financial Data Mining

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    Robert L. Grossman, H. Vincent Poor:
    Optimization driven data mining and credit scoring. 104-110
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    Mohamed L. Hambaba:
    Intelligent hybrid system for data mining. 111

Simulation Techniques for Derivatives Pricing

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    Miloje S. Makivic:
    Path integral Monte Carlo method and maximum entropy: a complete solution for the derivative valuation problem. 112-113
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    John W. Dalle Molle, Fernando Zapatero:
    Problems with Monte Carlo simulation in the pricing of contingent claims. 114-119

Financial Time Series Prediction I

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    Oscar Castillo, Patricia Melin:
    Automated mathematical modelling for financial time series prediction using fuzzy logic, dynamical systems and fractal theory. 120-126
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    Erik Ordentlich, Thomas M. Cover:
    Max-min optimal investing. 127-133
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    George H. John, Peter Miller:
    Building long/short portfolios using rule induction. 134-140

Financial Time Series Prediction II

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    Yiu-ming Cheung, Helen Z. H. Lai, Lei Xu:
    Adaptive Rival Penalized Competitive Learning and Combined Linear Predictor with application to financial investment. 141-147
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    Seng-cho Timothy Chou, Chau-Chen Yang, Chi-Huang Chan, Feipei Lai:
    A rule-based neural stock trading decision support system. 148-154
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    Hillol Kargupta, Kevin Buescher:
    The gene expression messy genetic algorithm for financial applications. 155-161

Term Structure Modeling

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    Marie Cottrell, Eric de Bodt, Philippe Grégoire:
    Analyzing shocks on the interest rate structure with Kohonen map. 162-167
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    Ramaprasad Bhar, Carl Chiarella:
    Interest rate futures: estimation of volatility parameters in an arbitrage-free framework. 168-182
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    Takeaki Kariya, Hiroshi Tsuda:
    Prediction of individual JG bond prices via the TDM model. 183-189

Financial Market Volatility

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    Henry G. Green, R. Douglas Martin, Michael A. Pearson:
    Robust estimation analytics for financial risk management. 190-198
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    Bernard Dumas, Jeff Fleming, Robert Whaley:
    Implied volatility functions: empirical tests. 199-233
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    John W. Dalle Molle:
    Evaluation of common models used in the estimation of the historical volatility applied to trade-by-trade stock returns data from the U.S. and Mexico. 234-240

Business Decision Tools

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    Thomas Sutter, Guy S. Mollet, Markus Schröder, Rudolf Kruse, Jörg Gebhardt:
    Fuzzy queries for top-management succession planning. 241-246
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    Vijay Hanagandi, Amitava Dhar, Kevin Buescher:
    Density-based clustering and radial basis function modeling to generate credit card fraud scores. 247-251
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    David A. Vaccari:
    Nonlinear analysis of retail performance. 252-258

Poster Papers

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    Helen Z. H. Lai, Yiu-ming Cheung, Lei Xu:
    Trading mechanisms and return volatility: empirical investigation on Shanghai Stock Exchange based on a neural network model. 259-263
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    Sabyasachi Ghoshray:
    Application of fuzzy regression models to predict exchange rates for composite currencies. 264-270
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    D. Fatouros, Gerry Salkin, Nicos Christofides:
    Heuristic techniques in tax structuring for multinationals. 271-278
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    Ehsan Habib Feroz, Taek Mu Kwon:
    Self-organizing fuzzy and MLP approaches to detecting fraudulent financial reporting. 279-285
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    Yurt Alici:
    A corporate solvency map through self-organising neural networks. 286-292
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    Christian Haefke, Christian Helmenstein:
    The applicability of information criteria for neural network architecture selection. 293-301
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    D. Minkov:
    Optimisation of an investment in South East Asian country funds investment company. 302-306

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