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ID:34407811
大小:2.72 MB
页数:159页
时间:2019-03-05
《a radial basis function approach to financial time series analysis》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、ARadialBasisFunctionApproachtoFinancialTimeSeriesAnalysisbyJamesM.HutchinsonMasterofScienceinEECS,MassachusettsInstituteofTechnology(1986)SubmittedtotheDepartmentofElectricalEngineeringandComputerScienceinPartialFulllmentoftheRequirementsfortheDegreeofDoctorofPhilosophyattheMassachusettsInst
2、ituteofTechnologyFebruary,1994c1994MassachusettsInstituteofTechnologyAllrightsreserved.SignatureofAuthorJamesM.HutchinsonDepartmentofElectricalEngineeringandComputerScienceEmail:hutch@ai.mit.eduCertiedbyProfessorTomasoPoggioArticialIntelligenceLaboratoryThesisCo-SupervisorCertiedbyProfesso
3、rAndrewLoSloanSchoolofManagementThesisCo-SupervisorAcceptedbyProfessorFredericR.MorgenthalerChair,DepartmentCommitteeonGraduateStudents23ARadialBasisFunctionApproachtoFinancialTimeSeriesAnalysisbyJamesM.HutchinsonSubmittedtotheDepartmentofElectricalEngineeringandComputerScienceonDecember1,199
4、3inpartialfulllmentoftherequirementsforthedegreeofDoctorofPhilosophy.AbstractBillionsofdollars owthroughtheworld'snancialmarketseveryday,andmarketparticipantsareunderstandablyeagertoaccuratelypricenancialinstrumentsandunderstandrelationshipsinvolvingthem.Nonlinearmultivariatestatisticalmod
5、elingonfastcomputersoersthepotentialtocapturemoreoftheunderlyingdynamicsofthesehighdimensional,noisysystemsthantraditionalmodelswhileatthesametimemakingfewerrestrictiveassumptionsaboutthem.Forthisstyleofexploratory,nonparametricmodelingtobeuseful,however,caremustbetakeninfundamentalestimatio
6、nandcondenceissues,especiallyconcernsderivingfromlimitedsamplesizes.Thisthesispresentsacollectionofpracticaltechniquestoaddresstheseissuesforamodelingmethodology,RadialBasisFunctionnetworks.Thesetechniquesin-cludeecientmethodsforparameterestimationandpruning,includingaheuristicforsettinggoo
7、dinitialparametervalues,apointwisepredictionerrorestimatorforkerneltypeRBFnetworks,andamethodologyforcontrollingthedatamining"prob-lem.Novelapplicationsinthenanceareaaredescribed,includingthederivationofcustomized,adaptiveoptionpricingformu
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