資料載入中.....
|
請使用永久網址來引用或連結此文件:
http://ir.ncue.edu.tw/ir/handle/987654321/15952
|
題名: | Combining Monte Carlo Filters with Support Vector Machines for Option Price Forecasting 同標題 |
作者: | Huang, Shian-Chang;Wu, Tung-Kuang |
貢獻者: | 資訊管理學系 |
日期: | 2006
|
上傳時間: | 2013-04-22T07:37:05Z
|
出版者: | Springer Berlin/Heidelberg |
摘要: | This study proposes a hybrid model for online forecasting of option prices. The hybrid predictor combines a Monte Carlo filter with a support vector machine. The Monte Carlo filter (MCF) is used to infer the latent volatility and discount rate of the Black-Scholes model, and makes a subsequent prediction. The support vector machine is employed to capture the nonlinear residuals between the actual option prices and the MCF predictions. Taking the option transaction data on the Taiwan composite stock index, this study examined the forecasting accuracy of the proposed model. The performance of the hybrid model is superior to traditional extended Kalman filter models and pure SVM forecasts. The results can help investors to control and hedge their risks. |
關聯: | Rough Sets and Current Trends in Computing, Lecture Notes in Computer Science, 4259: 607-616 |
顯示於類別: | [資訊管理學系所] 期刊論文
|
文件中的檔案:
檔案 |
大小 | 格式 | 瀏覽次數 |
2060300410002.pdf | 7Kb | Adobe PDF | 513 | 檢視/開啟 |
|
在NCUEIR中所有的資料項目都受到原著作權保護.
|