Zobrazeno 1 - 10
of 66
pro vyhledávání: '"Christian L. Dunis"'
Publikováno v:
Quantitative Finance. 16:1875-1886
The scope of this analysis is the modeling and the tracking of the crack spread with a sophisticated new non-linear approach. The selected trading period covers 2087 trading days starting on 09/05/2005 and ending on 21/12/2015. The proposed model is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb89db5f9f2bf68a496dbb5630d9f067
https://doi.org/10.1080/14697688.2016.1211796
https://doi.org/10.1080/14697688.2016.1211796
Autor:
Charalampos Stasinakis, Georgios Sermpinis, Christian L. Dunis, Konstantinos Theofilatos, Sovan Mitra, Andreas Karathanasopoulos
Publikováno v:
EUROPEAN JOURNAL OF FINANCE
The main motivation for this paper is to introduce a novel hybrid method\ud for the prediction of the directional movement of financial assets with an application\ud to the ASE20 Greek stock index. Specifically, we use an alternative computational\ud
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b7b016a94e44065a1482ca64d883b981
https://doi.org/10.1080/1351847x.2015.1040167
https://doi.org/10.1080/1351847x.2015.1040167
Publikováno v:
Journal of Forecasting. 33:596-610
This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c1f882572725efd16c270610ebc57009
https://doi.org/10.1002/for.2290
https://doi.org/10.1002/for.2290
Publikováno v:
Decision Support Systems. 64:100-108
Seasonalities and empirical regularities on financial markets have been well documented in the literature for three decades. While one should suppose that documenting an arbitrage opportunity makes it vanish there are several regularities that have p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7dd19c63b91d364ca591511fa265799b
https://doi.org/10.1016/j.dss.2014.04.011
https://doi.org/10.1016/j.dss.2014.04.011
Publikováno v:
Journal of Banking & Finance. 37:4943-4957
This study models and forecasts the evolution of intraday implied volatility on an underlying EUR–USD exchange rate for a number of maturities. To our knowledge we are the first to employ high frequency data in this context. This allows the constru
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::587a0ed8c2d90d01bf1f5d054ece8fc6
https://doi.org/10.1016/j.jbankfin.2013.08.028
https://doi.org/10.1016/j.jbankfin.2013.08.028
As technology advancement has increased, so to have computational applications for forecasting, modelling and trading financial markets and information, and practitioners are finding ever more complex solutions to financial challenges. Neural network
Publikováno v:
Intelligent Systems in Accounting, Finance and Management. 20:207-231
This paper models and forecasts the Gold Miner Spread from 23 May 2006 to 30 June 2011. The Gold Miner Spread acts as a suitable performance indicator for the relationship between physical gold and US gold equity. The contribution of this investigati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f5cf7789a5481fba8460d37586cf7a59
https://doi.org/10.1002/isaf.1345
https://doi.org/10.1002/isaf.1345
Publikováno v:
The European Journal of Finance
In contribution to Dunis et al. [Modelling and Trading the Corn/Ethanol Crush Spread with Neural Networks. CIBEF Working Paper. Liverpool Business School. www.cibef.com], this investigation endeavours to expand the selection of forecasting applicatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80347c4781dd76e0ef89c42ccd125990
https://doi.org/10.1080/1351847x.2013.830140
https://doi.org/10.1080/1351847x.2013.830140
Autor:
Christian L. Dunis, Konstantinos Theofilatos, Georgios Sermpinis, Andreas Karathanasopoulos, Efstratios F. Georgopoulos
Publikováno v:
European Journal of Operational Research. 225:528-540
The motivation for this paper is to introduce a hybrid neural network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF–PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c19d7de30fba169c1ec0c9d429df93b6
https://doi.org/10.1016/j.ejor.2012.10.020
https://doi.org/10.1016/j.ejor.2012.10.020
Publikováno v:
Centre for EMEA Banking, Finance and Economics Working Paper Series
In the current paper we present an integrated genetic programming environment, called java GP Modelling. The java GP Modelling environment is an implementation of the steady-state genetic programming algorithm. That algorithm evolves tree based struc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ad981ad2542d0c8ba84874c445e84a08
https://doi.org/10.1080/1351847x.2012.679740
https://doi.org/10.1080/1351847x.2012.679740