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Browsing Financial Mathematics Computation Cluster by Date published
Now showing items 21-35 of 35
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(Wiley-Blackwell, 2011-03-07)This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance ...
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(Springer, 2011-04)This paper investigates the effects of early stopping as a method to counteract overfitting in evolutionary data modelling using Genetic Programming. Early stopping has been proposed as a method to avoid model overtraining, ...
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(Springer, 2011-04)This paper investigates the effects of early stopping as a method to counteract overfitting in evolutionary data modelling using Genetic Programming. Early stopping has been proposed as a method to avoid model overtraining, ...
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Maximum margin decision surfaces for increased generalisation in evolutionary decision tree learning (Springer, 2011-04-27)Decision tree learning is one of the most widely used and practical methods for inductive inference. We present a novel method that increases the generalisation of genetically-induced classification trees, which employ ...
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(Intelligent Systems Research Centre, 2011-08-31)We are living in an age of information overload, where it can be difficult to define which information is relevant and important to the end user at a point in time. In this paper, we introduce a solution to apportioning ...
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(Palgrave Macmillan, 2011-11)Extreme asset price movements appear to be more pronounced over time and have major consequences for an economy’s financial stability and monetary policies. This article investigates the extreme behaviour of equity market ...
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(Springer, 2012)The field of Natural Computing (NC) has advanced rapidly over the past decade. One significant offshoot of this progress has been the application of NC methods in finance. This chapter provides an introduction to a wide ...
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(UCD Geary Institute, 2012)This paper examines the impact of investor preferences on the optimal futures hedging strategy and associated hedging performance. Explicit risk aversion levels are often overlooked in hedging analysis. Applying a ...
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(Springer, 2012)The last ten years has seen the introduction and rapid growth of a market in weather derivatives, financial instruments whose payoffs are determined by the outcome of an underlying weather metric. These instruments allow ...
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(Emerald, 2012)We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. ...
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(IEEE Press, 2012-03-29)Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study models the price impact using an agent-based modeling approach. ...
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(Elsevier, 2012-05)A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility ...
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(UCD Geary Institute, 2012-07)Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, ...
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(University College Dublin Geary Institute, 2012-08)In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. Previous studies have shown that minimum-variance hedging effectiveness improves for longer horizons using variance ...
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(CIBEFRoutledge (Taylor & Francis), 2013-04-29)The purpose of this paper is to develop a stock selection algorithm with similar properties as Cover’s Universal Portfolio, but providing superior early growth. Cover’s Universal Portfolio generates a growth rate asymptotically ...
Now showing items 21-35 of 35