The benefit of information reduction for trading strategies
暂无分享,去创建一个
[1] Teuvo Kohonen,et al. The self-organizing map , 1990, Neurocomputing.
[2] Stephen Gray,et al. Semiparametric ARCH models , 2001 .
[3] T. Bollerslev,et al. A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .
[4] R. Engle,et al. Forecasting Volatility and Option Prices of the S&P 500 Index , 1994 .
[5] J. C. Sosa. On the informational content of implied volatility , 2000 .
[6] Christopher M. Bishop,et al. Neural networks for pattern recognition , 1995 .
[7] E. Dockner,et al. Forecasting Time-dependent Conditional Densities: A Semi-non- parametric Neural Network Approach , 2000 .
[8] P. Bühlmann. Extreme events from the return-volume process: a discretization approach for complexity reduction , 1998 .
[9] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[10] Thomas M. Cover,et al. Elements of Information Theory , 2005 .
[11] Campbell R. Harvey,et al. Market volatility prediction and the efficiency of the S & P 100 index option market , 1992 .
[12] Adrian Pagan,et al. Alternative Models for Conditional Stock Volatility , 1989 .
[13] L. Ederington,et al. Forecasting Volatility , 2004 .
[14] William H. Press,et al. Numerical recipes in C , 2002 .
[15] Chidanand Apté,et al. Predicting Equity Returns from Securities Data , 1996, Advances in Knowledge Discovery and Data Mining.
[16] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[17] Kurt Hornik,et al. Multilayer feedforward networks are universal approximators , 1989, Neural Networks.
[18] C. Schmitt,et al. Delta-neutral volatility trading with intra-day prices: an application to options on the DAX , 1996 .
[19] R. Trippi,et al. COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA , 1978 .
[20] Ah Chung Tsoi,et al. Noisy Time Series Prediction using Recurrent Neural Networks and Grammatical Inference , 2001, Machine Learning.
[21] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[22] F. Diebold,et al. The Distribution of Exchange Rate Volatility , 1999 .
[23] Constantine Papageorgiou,et al. High frequency time series analysis and prediction using Markov models , 1997, Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr).