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Browsing Financial Mathematics Computation Cluster by Date published
Now showing items 1-20 of 33
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(University College Dublin. School of Business. Centre for Financial Markets, 2006-09-10)This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
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(2009)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a ...
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(University College Dublin. Geary Institute, 2009-11)This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and ...
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(2009-11)This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom ...
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(IEEE Press, 2010)Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as ...
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(Springer, 2010)Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of these methods for efficient trade execution. Trade ...
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(Springer, 2010)Although there is a plentiful literature on the use of evolutionary methodologies for the trading of Financial assets, little attention has been paid to the issue of efficient trade execution. Trade execution is concerned ...
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(Springer, 2010-04)Trading-rule representation is an important factor to consider when designing a quantitative trading system. This study implements a trading strategy as a rule-based policy. The result is an intuitive human-readable format ...
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(Elsevier, 2010-04)This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer ...
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(Cambridge Journals, 2010-06)This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
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(IEEE Press, 2010-07)Designing a suitable objective function is an essential step in successfully applying an evolutionary algorithm to a problem. In this study we apply a grammar-based Genetic Programming algorithm called Grammatical Evolution ...
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(IEEE Press, 2010-07)Significant payment flows now take place on-line, giving rise to a requirement for efficient and effective systems for the detection of credit card fraud. A particular aspect of this problem is that it is highly dynamic, ...
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(IEEE Press, 2010-07)A significant problem in the area of stock selection is that of identifying the factors that affect a security’s return. While modern portfolio theory suggests a linear multi-factor model in the form of Arbitrage Pricing ...
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(IEEE Press, 2010-07)Asset allocation is critical for the portfolio management process. In this paper, we solve a dynamic asset allocation problem through a multiperiod stochastic programming model. The objective is to maximise the expected ...
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(Springer, 2010-09)In this paper we investigate the profitability of evolved technical trading rules when controlling for data-mining bias. For the first time in the evolutionary computation literature, a comprehensive test for a rule’s ...
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(Springer, 2011)This Chapter examines cash dividends and share repurchases in the United States during the period 1990 to 2008. In the extant literature a variety of classical statistical methodologies have been adopted, foremost among ...
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(Springer, 2011)This chapter explores the issue of overfitting in grammar-based Genetic Programming. Tools such as Genetic Programming are well suited to problems in finance where we seek to learn or induce a model from data. Models that ...
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(2011)This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a ...
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(CIBEF, 2011)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 ...
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(ACM, 2011)Early stopping typically stops training the first time validation fitness disimproves. This may not be the best strategy given that validation fitness can subsequently increase or decrease. We examine the effects of stopping ...
Now showing items 1-20 of 33