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ORCIDCIFEr 1996: New York City, NY, USA
- 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
- John M. Mulvey:
Solving robust optimization models in finance. 1-13 - Roy S. Freedman, Rinaldo Digiorgio:
New computational architectures for pricing derivatives. 14-19 - Roil Even, Bud Mishra:
CAFE': a Complex Adaptive Financial Environment. 20-25
Market Behavior Models
- Thomas Ankenbrand, Marco Tomassini:
Predicting multivariate financial time series using neural networks: the Swiss bond case. 27-33 - Shu-Heng Chen, Chia-Hsuan Yeh:
Bridging the gap between nonlinearity tests and the efficient market hypothesis by genetic programming. 34-40 - Samuel J. Leven:
Models of market behavior: bringing realistic games to market. 41-48
Chaos and Time Series for Financial Systems
- Monzurul Hoque:
Impetus for future growth in the globalization of stock investments: an evidence from joint time series and chaos analyses. 49-57 - Paul J. Werbos:
Finding time series among the chaos: stochastics, deseasonalization, and texture-detection using neural nets. 58 - Ronald R. Yager:
Fuzzy set methods for uncertainty representation in risky financial decisions. 59-65
Neural Nets for Financial Applications
- Dirk Ormoneit, Ralph Neuneier:
Experiments in predicting the German stock index DAX with density estimating neural networks. 66-71 - Karsten Schierholt, Cihan H. Dagli:
Stock market prediction using different neural network classification architectures. 72-78 - 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
- Stephan Schwarze, Matthias Lechner, Michael Jensen:
Computer supported determination of bank credit conditions. 83-89 - Teresa Rubinson, Ronald R. Yager:
Fuzzy logic and genetic algorithms for financial risk management. 90-95 - Sabyasachi Ghoshray:
Foreign exchange rate prediction by fuzzy inferencing on deterministic chaos. 96-102
Financial Data Mining
- Robert L. Grossman, H. Vincent Poor:
Optimization driven data mining and credit scoring. 104-110 - Mohamed L. Hambaba:
Intelligent hybrid system for data mining. 111
Simulation Techniques for Derivatives Pricing
- Miloje S. Makivic:
Path integral Monte Carlo method and maximum entropy: a complete solution for the derivative valuation problem. 112-113 - John W. Dalle Molle, Fernando Zapatero:
Problems with Monte Carlo simulation in the pricing of contingent claims. 114-119
Financial Time Series Prediction I
- Oscar Castillo
, Patricia Melin:
Automated mathematical modelling for financial time series prediction using fuzzy logic, dynamical systems and fractal theory. 120-126 - Erik Ordentlich, Thomas M. Cover:
Max-min optimal investing. 127-133 - George H. John, Peter Miller:
Building long/short portfolios using rule induction. 134-140
Financial Time Series Prediction II
- 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 - Seng-cho Timothy Chou, Chau-Chen Yang, Chi-Huang Chan, Feipei Lai:
A rule-based neural stock trading decision support system. 148-154 - Hillol Kargupta, Kevin Buescher:
The gene expression messy genetic algorithm for financial applications. 155-161
Term Structure Modeling
- Marie Cottrell, Eric de Bodt, Philippe Grégoire:
Analyzing shocks on the interest rate structure with Kohonen map. 162-167 - Ramaprasad Bhar, Carl Chiarella:
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework. 168-182 - Takeaki Kariya, Hiroshi Tsuda:
Prediction of individual JG bond prices via the TDM model. 183-189
Financial Market Volatility
- Henry G. Green, R. Douglas Martin, Michael A. Pearson:
Robust estimation analytics for financial risk management. 190-198 - Bernard Dumas, Jeff Fleming, Robert Whaley:
Implied volatility functions: empirical tests. 199-233 - 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
- Thomas Sutter, Guy S. Mollet, Markus Schröder, Rudolf Kruse, Jörg Gebhardt:
Fuzzy queries for top-management succession planning. 241-246 - Vijay Hanagandi, Amitava Dhar, Kevin Buescher:
Density-based clustering and radial basis function modeling to generate credit card fraud scores. 247-251 - David A. Vaccari:
Nonlinear analysis of retail performance. 252-258
Poster Papers
- 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 - Sabyasachi Ghoshray:
Application of fuzzy regression models to predict exchange rates for composite currencies. 264-270 - D. Fatouros, Gerry Salkin, Nicos Christofides:
Heuristic techniques in tax structuring for multinationals. 271-278 - Ehsan Habib Feroz, Taek Mu Kwon:
Self-organizing fuzzy and MLP approaches to detecting fraudulent financial reporting. 279-285 - Yurt Alici:
A corporate solvency map through self-organising neural networks. 286-292 - Christian Haefke, Christian Helmenstein:
The applicability of information criteria for neural network architecture selection. 293-301 - D. Minkov:
Optimisation of an investment in South East Asian country funds investment company. 302-306
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