Machine learning for financial engineering
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 portfol...
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| Format: | Book |
| Language: | English |
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London, UK
Imperial College Press
[2012]
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| 008 | 221104t20122012xxka bi 001 0 eng d | ||
| 020 | |a 9781848168138 | ||
| 039 | 9 | |a 202211041132 |b VLOAD |c 201601141749 |d faezah |y 201512081629 |z syarifuddin | |
| 040 | |a UPNM |b eng |c UPNM |e rda | ||
| 090 | |a Q 325.5 |b .G96 2012 | ||
| 100 | 1 | |a Gyorfi, Laszlo |e author | |
| 245 | 1 | 0 | |a Machine learning for financial engineering |c Laszlo Gyorfi, Gyorgy Ottucsak, Harro Walk |
| 264 | 1 | |a London, UK |b Imperial College Press |c [2012] | |
| 264 | 4 | |c © 2012 | |
| 300 | |a ix, 250 pages |b illustrations |c 21 cm | ||
| 336 | |a text |2 rdacontent | ||
| 337 | |a unmediated |2 rdamedia | ||
| 338 | |a volume |2 rdacarrier | ||
| 400 | 0 | |a Laszlo Gyorfi | |
| 504 | |a Includes bibliographical references and index | ||
| 505 | 0 | |a Preface; Contents; 1. On the History of the Growth-Optimal Portfolio M.M. Christensen; 1.1. Introduction and Historical Overview; 1.2. Theoretical Studies of the GOP; 1.2.1. Discrete Time; 1.2.2. Continuous-Time; 1.3. The GOP as an Investment Strategy; 1.3.1. Is the GOP Better? -- The Samuelson Controversy; 1.3.2. Capital Growth and the Mean-Variance Approach; 1.3.2.1. Discrete time; 1.3.2.2.Continuous time; 1.3.3. How Long Does it Take for the GOP to Outperform other Portfolios?; 1.4. The GOP and the Pricing of Financial Assets and Derivatives; 1.4.1.Incomplete Markets | |
| 520 | |a 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 | ||
| 592 | |a JI 4860 |b 05/01/2016 |c RM 399.50 |h JENDELA INFORMASI | ||
| 650 | 0 | |a Financial engineering |x Data processing | |
| 650 | 0 | |a Machine learning | |
| 700 | 1 | |a Ottucsak, Gyorgy |e author | |
| 700 | 1 | |a Walk, Harro |e author | |
| 999 | |a vtls000055766 |c 98039 |d 98039 | ||