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Search Results for Collection: Financial Mathematics Computation Cluster
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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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(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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(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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(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 ...
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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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(Inderscience Enterprises, 2011-02)Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. ...
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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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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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(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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(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 ...