dblp: CIFEr 1997 (original) (raw)

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CIFEr 1997: New York City, NY, USA

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  • Derivatives Pricing I
  • Price Prediction I
  • Review Papers
  • Information Extraction & Equilibrium
  • Derivatives Pricing II
  • Price Prediction II
  • Data Filtering and Mining II
  • Poster Papers

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  Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering, CIFEr 1997, New York City, USA, March 24-25, 1997. IEEE 1997, ISBN 0-7803-4133-3

Derivatives Pricing I

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    Wei Li, Dinju Chen:
    High performance algorithms for lattice-based derivative pricing models. 8-14
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    Curt Randall, Elaine Kant:
    Numerical options models without programming. 15-21

Risk Management

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    M. P. Schaller, A. F. Vaz:
    DERMA: a distributed enterprise risk management architecture. 22-28
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    Luigi Vacca:
    Managing options risk with genetic algorithms. 29-35
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    Amy V. Puelz:
    Asset and liability management: a stochastic model for portfolio selection. 36-42

Price Prediction I

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    Chester Ornes, Jack Sklansky:
    A neural network that explains as well as predicts financial market behavior. 43-49
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    Konstantinos N. Pantazopoulos, Lefteri H. Tsoukalas, Elias N. Houstis:
    Neurofuzzy characterization of financial time series in an anticipatory framework. 50-56
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    Erik O. Brauner, Judith E. Dayhoff, Xiaoyun Sun, Sharon Hormby:
    Neural network training techniques for a gold trading model. 57-63

Data Filtering & Mining I

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    Ron Dembo, Dan Rosen:
    Optimization As A Tool In Finance. 64-70
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    Radu Drossu, Zoran Obradovic:
    INFFC data analysis: lower bounds and testbed design recommendations. 71-74
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    Thomas McCabe, Andreas S. Weigend:
    Measuring predictability using multiresolution embedding. 75-81

Review Papers

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    Bruce Curry, Peter H. Morgan, Malcolm Beynon:
    Neural networks and forecasting: 'orthodox' methods and new research. 82-88
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    R. Richardson:
    Neural networks compared to statistical techniques. 89-95

Forecasting Macroeconomic Data

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    Adriana Agapie, Alexandru Agapie:
    Forecasting the economic cycles based on an extension of the Holt-Winters model. A genetic algorithms approach. 96-99
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    Oscar Castillo, Patricia Melin:
    Simulation and forecasting of international trade dynamics using non-linear mathematical models and fuzzy logic techniques. 100-106
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    Gary Sabot:
    Computational modeling of 1994 A.M. Best life/health insurer ratings. 107-115

Information Extraction & Equilibrium

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    Marco Costantino, Richard G. Morgan, Russell James Collingham, Roberto Garigliano:
    Natural language processing and information extraction: qualitative analysis of financial news articles. 116-122
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    Shu-Heng Chen, Chia-Hsuan Yeh:
    Speculative trades and financial regulations: simulations based on genetic programming. 123-129
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    J. Maurice Rojas:
    A new approach to counting Nash equilibria. 130-136

Time Series Modeling

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    Paolo Pellizzari, Claudio Pizzi:
    Fuzzy weighted local approximation for financial time series modelling and forecasting. 137-143
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    Walter Vecchiato:
    New models for irregularly spaced time series analysis with applications to high frequency financial data. 144-149
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    John E. Moody, Lizhong Wu:
    What is the "true price"? state space models for high frequency FX data. 150-156

Derivatives Pricing II

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    Moshe Arye Milevsky, Eliezer Z. Prisman:
    A tax-adjusted algorithm for pricing derivative securities using the symbolic computational language MAPLE. 157-163
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    Valery A. Kholodnyi, John F. Price:
    Foreign exchange option symmetry based on domestic-foreign payoff invariance. 164-170
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    A. S. Paulson, J. H. Scacchia, D. H. Goldenberg:
    Skewness and kurtosis in pricing European and American options. 171-176

Volatility Prediction

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    Bernd Freisleben, Klaus Ripper:
    Volatility estimation with a neural network. 177-181

Price Prediction II

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    Constantine Papageorgiou:
    High frequency time series analysis and prediction using Markov models. 182-188
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    Jing Chun Zhang, Ming Zhang, John Fulcher:
    Financial simulation system using a higher order trigonometric polynomial neural network group model. 189-194
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    Fernando González Miranda, Johan Knif, Kenneth Högholm:
    Ranked market information as a stock return indicator. 195-201

Foreign Exchange Forecasting

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    Lei Xu, Yiu-ming Cheung:
    Adaptive supervised learning decision networks for traders and portfolios. 206-212
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    Ali Muhammad, Graham A. King:
    Foreign exchange market forecasting using evolutionary fuzzy networks. 213-219

Data Filtering and Mining II

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    Emin Aleskerov, Bernd Freisleben, Bharat Rao:
    CARDWATCH: a neural network based database mining system for credit card fraud detection. 220-226
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    Henry G. Green, Bernd Schmidt, Kirsten Reher:
    Algorithms for filtering of market price data. 227-231
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    George H. John, Yin Zhao:
    Mortgage data mining. 232-236

Time Series Topics

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    Susanne Rolf, Joachim Sprave, Wolfgang Urfer:
    Model identification and parameter estimation of ARMA models by means of evolutionary algorithms. 237-243
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    Shanming Shi, Andreas S. Weigend:
    Taking time seriously: hidden Markov experts applied to financial engineering. 244-252
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    C. Lee Giles, Steve Lawrence, Ah Chung Tsoi:
    Rule inference for financial prediction using recurrent neural networks. 253-259

Poster Papers

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    Renato Carandang:
    Derivative portfolio risk management using a value-at-risk framework. 260-265
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    F. Jay Breidt, Nuno Crato, Pedro J. F. de Lima:
    Modeling the persistent volatility of asset returns. 266-272
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    Z. R. Yang, H. James, A. Packer:
    The effect of inconsistent differences in financial ratio trends on model reliability. 273-279
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    Orhan Karaali, Wendy Edelberg, John Higgins:
    Modelling volatility derivatives using neural networks. 280-286
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    Christian Schittenkopf, Gustavo Deco:
    Detecting non-linear dynamics in financial time series. 287-292
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    John W. Dalle Molle:
    Volatility estimators for FOREX futures using standardized time series. 293-299
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    John E. Moody, Lizhong Wu:
    Optimization of trading systems and portfolios. 300-307

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