by Kwok-Fai Cheung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 100-103). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.4 / Chapter 1.1 --- Summary of Contributions --- p.5 / Chapter 1.2 --- Organization of the Thesis --- p.6 / Chapter 2 --- Current Methods and Problems --- p.8 / Chapter 2.1 --- Statisticians --- p.8 / Chapter 2.1.1 --- ARMA --- p.8 / Chapter 2.1.1.1 --- Moving Average models --- p.8 / Chapter 2.1.1.2 --- Autoregressive models --- p.9 / Chapter 2.1.1.3 --- Stationary Process --- p.10 / Chapter 2.1.1.4 --- Autoregressive-Moving Average model --- p.10 / Chapter 2.1.1.5 --- Parameter Estimation --- p.11 / Chapter 2.2 --- Financial Researchers --- p.11 / Chapter 2.2.1 --- Efficient Market Theory --- p.11 / Chapter 2.3 --- Computer Scientists --- p.12 / Chapter 2.3.1 --- Expert System --- p.12 / Chapter 2.3.2 --- Neural Network --- p.14 / Chapter 2.3.2.1 --- Multilayer Perceptron --- p.14 / Chapter 2.3.2.2 --- Radial Basis Function Network (RBF) --- p.19 / Chapter 2.4 --- Research Apart from Prediction and Trading in Finance --- p.22 / Chapter 2.4.1 --- Derivatives Valuation and Hedging --- p.22 / Chapter 2.4.1.1 --- Volatility --- p.22 / Chapter 2.4.2 --- Pricing of Initial Public Offering --- p.24 / Chapter 2.4.3 --- Credit Rating --- p.25 / Chapter 2.4.4 --- Financial Health Assessment --- p.26 / Chapter 2.5 --- Discussion --- p.27 / Chapter 3 --- Correlation Basis Function Network --- p.28 / Chapter 3.1 --- Formulation of CBF network --- p.31 / Chapter 3.2 --- First Order Learning Algorithm --- p.32 / Chapter 3.3 --- Summary --- p.35 / Chapter 4 --- Applications of CBF Network in Stock trading --- p.36 / Chapter 4.1 --- Data Representation --- p.36 / Chapter 4.2 --- Data Pre-processing --- p.38 / Chapter 4.2.1 --- Input data pre-processing --- p.38 / Chapter 4.2.2 --- Output data pre-processing --- p.38 / Chapter 4.3 --- Multiple CBF Networks for Generation of Trading Signals --- p.41 / Chapter 4.4 --- Output Data Post-processing --- p.41 / Chapter 4.5 --- Trader's Interpretation --- p.43 / Chapter 4.6 --- Maximum profit trading system --- p.45 / Chapter 4.7 --- Performance Evaluation --- p.46 / Chapter 5 --- Applications of CBF Network in Warrant trading --- p.48 / Chapter 5.1 --- Option Model --- p.48 / Chapter 5.2 --- Warrant Model --- p.49 / Chapter 5.3 --- Black-Scholes Pricing Formula --- p.51 / Chapter 5.4 --- Using CBF Network for choosing warrants --- p.53 / Chapter 5.5 --- Trading System --- p.53 / Chapter 5.5.1 --- Trading System by Black-Scholes Model --- p.54 / Chapter 5.5.2 --- Trading System by Warrant Sensitivity --- p.55 / Chapter 5.6 --- Learning of Parameters in Warrant Sensitivity Model by Hierarchi- cal CBF Network --- p.57 / Chapter 5.7 --- Experimental Results --- p.59 / Chapter 5.7.1 --- Aggregate profit --- p.62 / Chapter 5.8 --- Summary and Discussion --- p.69 / Chapter 6 --- Analysis of CBF Network and other models --- p.72 / Chapter 6.1 --- Time and Space Complexity --- p.72 / Chapter 6.1.1 --- RBF Network --- p.72 / Chapter 6.1.2 --- CBF Network --- p.74 / Chapter 6.1.3 --- Black-Scholes Pricing Formula --- p.74 / Chapter 6.1.4 --- Warrant Sensitivity Model --- p.75 / Chapter 6.2 --- "Model Confidence, Prediction Confidence and Model Stability" --- p.76 / Chapter 6.2.1 --- Model and Prediction Confidence --- p.77 / Chapter 6.2.2 --- Model Stability --- p.77 / Chapter 6.2.3 --- Linear Model Analysis --- p.79 / Chapter 6.2.4 --- CBF Network Analysis --- p.82 / Chapter 6.2.5 --- Black-Scholes Pricing Formula Analysis --- p.84 / Chapter 7 --- Conclusion --- p.93 / Chapter 7.1 --- Neural Network and Statistical Modeling --- p.95 / Chapter 7.2 --- Financial Markets --- p.95 / Chapter A --- RBF Network Parameters Estimation --- p.101 / Chapter A.1 --- Least Squares --- p.101 / Chapter A.2 --- Gradient Descent Algorithm --- p.103 / Chapter B --- Further study on Black-Scholes Model --- p.104
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322914 |
| Date | January 1999 |
| Contributors | Cheung, Kwok-Fai., Chinese University of Hong Kong Graduate School. Division of Computer Science and Engineering. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 110 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.0014 seconds