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Feature extraction with hybrid neural networks

Wegmann, Georg - 2000

optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As … options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model …

Persistent link: https://www.econbiz.de/10010301758

Forecasting stock market averages to enhance profitable trading strategies

Haefke, Christian; Helmenstein, Christian - 1995

In this paper we design a simple trading strategy to exploit the hypothesized distinct informational content of the arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture. The profits generated by this cheaply replicable...

Persistent link: https://www.econbiz.de/10010291049

Survey of models on demand, customer base-line and demand response and their relationships in the power market

Heshmati, Almas - 2012

The increasing use of demand-side management as a tool to reliably meet electricity demand at peak time has stimulated … the growing literature on models used to study demand, consumer baseline (CBL) and demand response in the electricity … case for possible application to the electricity market and discusses the implications of the results. In the literature …

Persistent link: https://www.econbiz.de/10010284018

Mixtures of t-distributions for finance and forecasting

Giacomini, Raffaella; Gottschling, Andreas; Haefke, … - 2007

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...

Persistent link: https://www.econbiz.de/10010293996

Forecasting Realized Volatility with Linear and Nonlinear Models

McAleer, Michael; Medeiros, Marcelo C. - 2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...

Persistent link: https://www.econbiz.de/10011807392

Empoderando a los consumidores de electricidad por medio de la respuesta a la demanda: Porqué y cómo

Weiss, Mariana; Chueca, Enrique; Jacob, Jorge; … - 2022

Persistent link: https://www.econbiz.de/10014518108

How Can Voters Classify an Incumbent under Output Persistence

Caleiro, António - 2008

The literature on electoral cycles has developed in two distinct phases. The first one considered the existence of non-rational (naive) voters whereas the second one considered fully rational voters. In our perspective, an intermediate approach is more interesting, i.e. one that considers...

Persistent link: https://www.econbiz.de/10010295273

Improving the pricing of options: a neural network approach

Anders, Ulrich; Korn, Olaf; Schmitt, Christian - 1996

In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...

Persistent link: https://www.econbiz.de/10010299651

Model selection in neural networks

Anders, Ulrich; Korn, Olaf - 1996

In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests, information criteria and cross validation. The application of these methods in neural network models is discussed, paying attention especially to the identification...

Persistent link: https://www.econbiz.de/10010299652

Closed form integration of artificial neural networks with some applications

Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

Persistent link: https://www.econbiz.de/10010301753