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Könyv Forecasting Exchange rate AK Dhamija

Forecasting Exchange rate

Use of Neural Networks in Quantitative Finance

Szerző: AK Dhamija
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: VDM Verlag Dr. Müller
Elérhetőség: Kiadói készleten rendelésre
Küldés 17-27 napon belül
20 700 Ft
Neural network methods, coming from the brain science of cognitive theory and neurophysiology, offer...

Információk a könyvről

Szerző
AK Dhamija
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2009
oldal
140
EAN
9783639161809
Enbook ID
06824607
Kiadó
VDM Verlag Dr. Müller
Méretek
150 x 220 x 8

Teljes leírás

Neural network methods, coming from the brain science of cognitive theory and neurophysiology, offer a powerful alternative to linear and other existing non-linear models for forecasting, classification, and risk assessment in finance and economics.The objective of this thesis is to establish the use of Neural Networks and other related technologies like wavelets etc. for Quantitative Finance applications.This thesis evaluates the predictive accuracy with neural networks, encompassing forecasting, classification, and dimensionality reduction.This thesis also compares the performance of Neural network forecasting with conditional heteroscedastic models. Results show that Neural Networks can be effectively employed in forecasting of Exchange rate and Stock/Futures price, and in estimation of conditional and implied volatility of options. RBF networks do considerably better than MLP networks in extracting the information necessary to perform a good generalization from the training set.The number of hidden units used does not seem to have a straight relation with the forecast performance.

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