Decision Technologies for Financial Engineering: Proceedings of the Fourth International Conference on Neural Networks

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Table of Contents

Foreword
Introducing the Volume
Organizing Committee of NNCM '96
Nonlinear Trading Models Through Sharpe Ratio Maximization 3
Optimization of Trading Systems And Portfolios 23
Training a Neural Network with a Financial Criterion Rather than a Prediction Criterion 36
A Hybrid Classification Approach to Predicting Mean and Volatility of Stock and FX Data and Performance Quantification Using an Optimality Score 49
Nonlinear versus Linear Techniques for Selecting Individual Stocks 65
Design of Time-Variable Stop Losses and Profit Objectives Using Neural Networks 76
Soft Prediction of Stock Behavior 84
Application of Genetic Algorithms in Stock Market Prediction 95
Improving Neural Prediction Systems by Building Independent Committees 104
Market-Time and Short-Term Forecasting of Foreign Exchange Rates 111
Systematic Underprediction of Volatility In Maximum Likelihood Methods 125
Validating a Connectionist Model of Financial Diagnosis 138
Credit Risk Scoring: Results of Different Network Structures, Preprocessing and Self-organized Clustering 151
Simulating Interest Rate Structure Evolution on a Long Term Horizon - A Kohonen Map Application 162
Neural Networks for Risk Analysis in Stock Price Forecasts 175
Optimizing Neural Network Classifiers for Bond Rating 188
A Comparison of Non-parametric Regression Techniques for the Pricing of Options Using an Optimal Implied Volatility 201
Forecasting Volatility Mispricing 214
Intraday Modeling of the Term Structure of Interest Rates 225
Application of Stochastic Differential Geometry to the Term Structure of Interest Rates in Developed Markets 233
Neural Model Identification, Variable Selection and Model Adequacy 243
Specification Tests for Neural Networks: a Case Study in Tactical Asset Allocation 262
Asset Allocation Across European Equity Indices using a Portfolio of Dynamic Cointegration Models 276
Representing Dynamical Systems in Feed-Forward Networks: A Six Layer Architecture 289
Modeling of Nonstationary Financial Time Series by Nonparametric Data Selection 307
Neural Network Compatible Memory With Controlled Depth And Resolution For Financial Temporal Forecasting Data 318
Symbolic Conversion, Grammatical Inference and Rule Extraction for Foreign Exchange Rate Prediction 333
What Is the "True Price"? State Space Models for High Frequency FX Data 346
Principal Components Analysis for Modeling Multi-Currency Portfolios 359
Testing for Nonlinearity with Neural Networks- A Study for Daily USD/DEM Exchange Rates 369
Quantization Effects and Cluster Analysis on Foreign Exchange Rates 379
A Computer Simulation of Currency Market Participants 389
Appendix Data Mining in Finance - Report from the Post-NNCM-96 Workshop on Teaching Computer Intensive Methods for Financial Modeling and Data Analysis 399
Author Index and Contact Information 413
Keyword Index 415
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