Non-linear principal component analysis of the implied volatility smile using a quantum-inspired evolutionary algorithm
Kai Fan; Conall O'Sullivan; Anthony Brabazon; Michael O'Neill
| Year of publication: |
2008
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| Authors: | Fan, Kai ; O'Sullivan, Conall ; Brabazon, Anthony ; O'Neill, Michael |
| Published in: |
Natural computing in computational finance ; [the inspiration for this book stemmed from the success of EvoFin 2007, the first European Workshop on Evolutionary Computation in Finance and Economics, which was held as part of the EvoWorkshops at Evo* in Valencia, Spain in April 2007]. - Berlin [u.a.] : Springer, ISBN 978-3-540-77476-1. - 2008, p. 89-107
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| Subject: | Hauptkomponentenanalyse | Principal component analysis | Nichtlineare Regression | Nonlinear regression | Evolutionärer Algorithmus | Evolutionary algorithm | Theorie | Theory | Index-Futures | Index futures | Volatilität | Volatility | Schätzung | Estimation | Großbritannien | United Kingdom |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009515173