Machine learning for financial engineering

著者

• Györfi, László
• Ottucsák, György
• Walk, Harro

書誌事項

Machine learning for financial engineering

László Györfi, György Ottucsák, Harro Walk

（Advances in computer science and engineering / editor-in-chief, Erol Gelenbe, Texts ; v. 8）

Imperial College Press , World Scientific [distributor], c2012

• : [pbk.]

注記

Includes bibliographical references and index

At head of title: Advances in computer science and engineering: Texts [V]ol. 8

内容説明・目次

内容説明

This volume investigates algorithmic methods based on machine learning in order to design sequential investment strategies for financial markets. Such sequential investment strategies use information collected from the market's past and determine, at the beginning of a trading period, a portfolio; that is, a way to invest the currently available capital among the assets that are available for purchase or investment.The aim is to produce a self-contained text intended for a wide audience, including researchers and graduate students in computer science, finance, statistics, mathematics, and engineering.

目次

• On the History of the Growth Optimal Portfolio (M M Christensen)
• Empirical Log-Optimal Portfolio Selections: A Survey (L Gyorfi et al.)
• Log-Optimal Portfolio Selection with Proportional Transaction Costs (L Gyorfi & H Walk)
• Log-Optimal Portfolio with Short Selling and Leverage (M Horvath & A Urban)
• Nonparametric Sequential Prediction of Stationary Time Series (L Gyorfi & G Ottuscak)
• Empirical Pricing American Put Options (L Gyorfi & A Telcs).

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BD02891574
• ISBN:
  • 9781848168138
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: London,Singapore
• ページ数/冊数: ix, 250 p.
• 大きさ: 23 cm
• 分類:
  • DC23 : 332.60285631
  • NDLC : DF199
• 件名:
  • LCSH : Financial engineering -- Data processing
  • LCSH : Machine learning
  • LCSH : Investments -- Data processing
• 親書誌ID:
  • BA81502745