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ORCIDCIFEr 1997: New York City, NY, USA
- 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
- Wei Li, Dinju Chen:
High performance algorithms for lattice-based derivative pricing models. 8-14 - Curt Randall, Elaine Kant:
Numerical options models without programming. 15-21
Risk Management
- M. P. Schaller, A. F. Vaz:
DERMA: a distributed enterprise risk management architecture. 22-28 - Luigi Vacca:
Managing options risk with genetic algorithms. 29-35 - Amy V. Puelz:
Asset and liability management: a stochastic model for portfolio selection. 36-42
Price Prediction I
- Chester Ornes, Jack Sklansky:
A neural network that explains as well as predicts financial market behavior. 43-49 - Konstantinos N. Pantazopoulos, Lefteri H. Tsoukalas, Elias N. Houstis:
Neurofuzzy characterization of financial time series in an anticipatory framework. 50-56 - 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
- Ron Dembo, Dan Rosen:
Optimization As A Tool In Finance. 64-70 - Radu Drossu, Zoran Obradovic:
INFFC data analysis: lower bounds and testbed design recommendations. 71-74 - Thomas McCabe, Andreas S. Weigend:
Measuring predictability using multiresolution embedding. 75-81
Review Papers
- Bruce Curry, Peter H. Morgan, Malcolm Beynon:
Neural networks and forecasting: 'orthodox' methods and new research. 82-88 - R. Richardson:
Neural networks compared to statistical techniques. 89-95
Forecasting Macroeconomic Data
- Adriana Agapie, Alexandru Agapie:
Forecasting the economic cycles based on an extension of the Holt-Winters model. A genetic algorithms approach. 96-99 - Oscar Castillo
, Patricia Melin:
Simulation and forecasting of international trade dynamics using non-linear mathematical models and fuzzy logic techniques. 100-106 - Gary Sabot:
Computational modeling of 1994 A.M. Best life/health insurer ratings. 107-115
Information Extraction & Equilibrium
- Marco Costantino, Richard G. Morgan, Russell James Collingham, Roberto Garigliano:
Natural language processing and information extraction: qualitative analysis of financial news articles. 116-122 - Shu-Heng Chen, Chia-Hsuan Yeh:
Speculative trades and financial regulations: simulations based on genetic programming. 123-129 - J. Maurice Rojas:
A new approach to counting Nash equilibria. 130-136
Time Series Modeling
- Paolo Pellizzari, Claudio Pizzi:
Fuzzy weighted local approximation for financial time series modelling and forecasting. 137-143 - Walter Vecchiato:
New models for irregularly spaced time series analysis with applications to high frequency financial data. 144-149 - John E. Moody, Lizhong Wu:
What is the "true price"? state space models for high frequency FX data. 150-156
Derivatives Pricing II
- Moshe Arye Milevsky, Eliezer Z. Prisman:
A tax-adjusted algorithm for pricing derivative securities using the symbolic computational language MAPLE. 157-163 - Valery A. Kholodnyi, John F. Price:
Foreign exchange option symmetry based on domestic-foreign payoff invariance. 164-170 - A. S. Paulson, J. H. Scacchia, D. H. Goldenberg:
Skewness and kurtosis in pricing European and American options. 171-176
Volatility Prediction
- Bernd Freisleben, Klaus Ripper:
Volatility estimation with a neural network. 177-181
Price Prediction II
- Constantine Papageorgiou:
High frequency time series analysis and prediction using Markov models. 182-188 - Jing Chun Zhang, Ming Zhang, John Fulcher:
Financial simulation system using a higher order trigonometric polynomial neural network group model. 189-194 - Fernando González Miranda, Johan Knif, Kenneth Högholm:
Ranked market information as a stock return indicator. 195-201
Foreign Exchange Forecasting
- Lei Xu, Yiu-ming Cheung:
Adaptive supervised learning decision networks for traders and portfolios. 206-212 - Ali Muhammad, Graham A. King:
Foreign exchange market forecasting using evolutionary fuzzy networks. 213-219
Data Filtering and Mining II
- Emin Aleskerov, Bernd Freisleben, Bharat Rao:
CARDWATCH: a neural network based database mining system for credit card fraud detection. 220-226 - Henry G. Green, Bernd Schmidt, Kirsten Reher:
Algorithms for filtering of market price data. 227-231 - George H. John, Yin Zhao:
Mortgage data mining. 232-236
Time Series Topics
- Susanne Rolf, Joachim Sprave, Wolfgang Urfer:
Model identification and parameter estimation of ARMA models by means of evolutionary algorithms. 237-243 - Shanming Shi, Andreas S. Weigend:
Taking time seriously: hidden Markov experts applied to financial engineering. 244-252 - C. Lee Giles, Steve Lawrence, Ah Chung Tsoi:
Rule inference for financial prediction using recurrent neural networks. 253-259
Poster Papers
- Renato Carandang:
Derivative portfolio risk management using a value-at-risk framework. 260-265 - F. Jay Breidt, Nuno Crato, Pedro J. F. de Lima:
Modeling the persistent volatility of asset returns. 266-272 - Z. R. Yang, H. James, A. Packer:
The effect of inconsistent differences in financial ratio trends on model reliability. 273-279 - Orhan Karaali, Wendy Edelberg, John Higgins:
Modelling volatility derivatives using neural networks. 280-286 - Christian Schittenkopf, Gustavo Deco:
Detecting non-linear dynamics in financial time series. 287-292 - John W. Dalle Molle:
Volatility estimators for FOREX futures using standardized time series. 293-299 - John E. Moody, Lizhong Wu:
Optimization of trading systems and portfolios. 300-307
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