Similar Search Results

Comment améliorer la capacité de généralisation des algorithmes d'apprentissage pour la prise de décisions financières

Chapados, Nicolas; Bengio, Yoshua - Centre Interuniversitaire de Recherche en Analyse des … - 2003

This report presents and proposes several methods to improve the capacity of generalization of the learning algorithms in a context of financial decision-making. These methods, overall, aim at controlling the capacity of the learning algorithms in order to limit the problem of the over-training,...

Persistent link: https://www.econbiz.de/10005627170

An Eigenfunction Approach for Volatility Modeling

Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the loading function is ad hoc (e.g., exponential...

Persistent link: https://www.econbiz.de/10005100570

Testing Normality: A GMM Approach

Bontemps, Christian; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

scalar diffusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach … contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt …?espérance de chaque polynôme de Hermite est nulle. L?approche GMM est utile pour deux raisons. Elle nous permet de tenir compte du …

Persistent link: https://www.econbiz.de/10005100582