a radial basis function approach to financial time series analysis

a radial basis function approach to financial time series analysis

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頁(yè)數(shù)：159頁(yè)

時(shí)間：2019-03-05

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1、ARadialBasisFunctionApproachtoFinancialTimeSeriesAnalysisbyJamesM.HutchinsonMasterofScienceinEECS,MassachusettsInstituteofTechnology(1986)SubmittedtotheDepartmentofElectricalEngineeringandComputerScienceinPartialFul llmentoftheRequirementsfortheDegreeofDoctorofPhilosophyattheMassachusettsInst

2、ituteofTechnologyFebruary,1994c1994MassachusettsInstituteofTechnologyAllrightsreserved.SignatureofAuthorJamesM.HutchinsonDepartmentofElectricalEngineeringandComputerScienceEmail:hutch@ai.mit.eduCerti edbyProfessorTomasoPoggioArti cialIntelligenceLaboratoryThesisCo-SupervisorCerti edbyProfesso

3、rAndrewLoSloanSchoolofManagementThesisCo-SupervisorAcceptedbyProfessorFredericR.MorgenthalerChair,DepartmentCommitteeonGraduateStudents23ARadialBasisFunctionApproachtoFinancialTimeSeriesAnalysisbyJamesM.HutchinsonSubmittedtotheDepartmentofElectricalEngineeringandComputerScienceonDecember1,199

4、3inpartialful llmentoftherequirementsforthedegreeofDoctorofPhilosophy.AbstractBillionsofdollars owthroughtheworld's nancialmarketseveryday,andmarketparticipantsareunderstandablyeagertoaccuratelyprice nancialinstrumentsandunderstandrelationshipsinvolvingthem.Nonlinearmultivariatestatisticalmod

5、elingonfastcomputerso ersthepotentialtocapturemoreoftheunderlyingdynamicsofthesehighdimensional,noisysystemsthantraditionalmodelswhileatthesametimemakingfewerrestrictiveassumptionsaboutthem.Forthisstyleofexploratory,nonparametricmodelingtobeuseful,however,caremustbetakeninfundamentalestimatio

6、nandcon denceissues,especiallyconcernsderivingfromlimitedsamplesizes.Thisthesispresentsacollectionofpracticaltechniquestoaddresstheseissuesforamodelingmethodology,RadialBasisFunctionnetworks.Thesetechniquesin-cludeecientmethodsforparameterestimationandpruning,includingaheuristicforsettinggoo

7、dinitialparametervalues,apointwisepredictionerrorestimatorforkerneltypeRBFnetworks,andamethodologyforcontrollingthedatamining"prob-lem.Novelapplicationsinthe nanceareaaredescribed,includingthederivationofcustomized,adaptiveoptionpricingformu

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