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International Conference on Computational Finance and Its Applications

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1.T-outlier and a novel dimensionality reduction framework for high dimensional financial time series

机译：T型异常和高维金融时间序列的新型维度减少框架
- 作者：D. Wang;P. J. Fortier;H. E. Michel;T. Mitsa
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- T-outlier;
- Outlier;
- Data mining;
- Computational finance;
- Dimensionality reduction;
- Piecewise linear representation;
- High dimension;
2.An innovative interdisciplinary curriculum in financial computing for the financial services industry

机译：金融服务业金融计算的创新跨学科课程
- 作者：A. Joseph;D. Anderson
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Assessment;
- Curriculum models;
- Disciplinary grounding;
- Finance;
- Financial computing;
- Interdisciplinary curriculum;
3.Timing inconsistencies in the calculation of funds of funds net asset value

机译：计时不一致计算资金资产净值的资金
- 作者：C. Louargant;L. Neuberg;V. Terraza
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Funds of Funds;
- NAV calculation;
- Tracking error;
4.Macroeconomic time series prediction using prediction networks and evolutionary algorithms

机译：使用预测网络和进化算法的宏观经济时间序列预测
- 作者：P. Forsberg;M. Wahde
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Time series prediction;
- Recurrent neural networks;
- Evolutionary algorithms;
5.Herd behaviour as a source of volatility in agent expectations

机译：群体行为作为代理期望的波动源
- 作者：M. Bowden;S. McDonald
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Social learning;
- Herd behaviour;
- Small world networks;
- Information contagion;
- Volatility;
- Information cascades;
6.Monte Carlo risk management

机译：蒙特卡罗风险管理
- 作者：M. Di Pierro;A. Nandy
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
7.Exotic option, stochastic volatility and incentive scheme

机译：异国情调，随机波动和激励方案
- 作者：J. Tang;S. S. T. Yau
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Lookback option;
- Stochastic volatility models;
- High water mark;
- Risk neutral;
- Monte Carlo simulation;
- Variance reduction;
8.Forecast of the regional EC development through an ANN model with a feedback controller

机译：通过反馈控制器的ANN模型预测区域EC开发
- 作者：G. Jianquan;Fankun;T. Bingyong;B. Shi;Y. Jianzheng
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Feedback controller;
- BP model;
- EC development;
- Forecast;
9.Contingent claim valuation with penalty costs on short selling positions

机译：在卖空职位上以罚款成本征收罚款
- 作者：O. L. V. Costa;E. V. Queiroz Filho
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Transaction costs;
- Perfect replication;
- Bid;
- Ask option pricing;
10.Geometric tools for the valuation of performance-dependent options

机译：用于估值性能依赖选项的几何工具
- 作者：T. Gerstner;M. Holtz
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Option pricing;
- Multivariate integration;
- Hyperplane arrangements;
11.The more transparent, the better - evidence from Chinese markets

机译：来自中国市场的更好的透明度，更好 - 证据
- 作者：Z. Wang
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Market transparency;
- Limit order book;
- Bid-ask spread;
- Liquidity;
- Volatility;
12.Solving nonlinear financial planning problems with 10{sup}9 decision variables on massively parallel architectures

机译：在大型平行架构上解决10 {SUP} 9决策变量的非线性财务规划问题
- 作者：J. Gondzio;A. Grothey
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Asset and liability management;
- Interior point;
- Massive parallelism;
- Structure exploitation;
13.Path dependent options: the case of high water mark provision for hedge funds

机译：路径依赖选项：对冲基金的高水分规定的情况
- 作者：Z. Li;S. S. T. Yau
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- High water mark options;
- Stochastic processes;
- Hedging;
14.Power Coefficient - a non-parametric indicator for measuring the time series dynamics

机译：功率系数 - 用于测量时间序列动态的非参数指示器
- 作者：B. Pecar
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Time series analysis;
- Dynamics metrics;
- The Hurst exponent;
- The fractal dimension;
- The Power Coefficient;
- The PC coefficient;
15.Heuristic approaches to realistic portfolio optimisation

机译：启发式对现实产品组合优化的方法
- 作者：F. Busetti
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Portfolio optimisation;
- Efficient frontier;
- Heuristic;
- Genetic algorithm;
- Tabu search;
16.A Monte Carlo study for the temporal aggregation problem using one factor continuous time short rate models

机译：使用一个因子连续时间短速率模型的蒙特卡罗研究时间聚集问题
- 作者：Y. C. Lin
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- The discretization method;
17.Selection of an optimal portfolio with stochastic volatility and discrete observations

机译：选择具有随机波动性和离散观测的最佳产品组合
- 作者：N. V. Batalova;V. Maroussov;F. G. Viens
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
18.A valuation model of credit-rating linked coupon bond based on a structural model

机译：基于结构模型的信用评级键合券债券的估值模型
- 作者：K. Yahagi;K. Miyazaki
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Risk management;
- Derivative pricing;
- Credit risk;
19.Collaborative support for on-line banking solutions in the financial services industry

机译：金融服务业在线银行解决方案的协作支持
- 作者：H. Krassnigg;U. Paier
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Customer retention and recovery;
- E-Services;
- Interactive help desk;
- Tools;
- Trust;
- Trust building;
- Trust building components;
20.Dynamics of the top of the order book in a global FX spot market

机译：全球FX现货市场订单顶部的动态
- 作者：E. Howorka;A. B. Schmidt
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- High-frequency FX market;
- Order lifetime;
21.Community e-kiosk portal technology on Wall Street

机译：社区E-kiosk门户技术在华尔街
- 作者：J. Lawler;D. Anderson
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Community;
- E-government;
- Government-to-citizen (G2C);
- Internet;
- Kiosk;
- Portal;
- Touch-screen technology;
- World Wide Web;
22.The simulation of news and insiders' influence on stock-market price dynamics in a non-linear model

机译：非线性模型中新闻和内部人员对股市价格动态的影响
- 作者：V. Romanov;O. Naletova;E. Pantileeva;A. Federyakov
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Market analysis;
- News influence;
- Stock market;
- Neural nets;
- Market dynamics;
- Simulation;
- Insiders' role;
23.Do markets behave as expected? Empirical test using both implied volatility and futures prices for the Taiwan Stock Market

机译：市场是否按预期表现？实证考验，使用台湾股市隐含波动和期货价格
- 作者：A. P. Chen;H. Y. Chiu;C. C. Sheng;Y. H. Huang
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Forecasting;
- Market expectation;
- Implied volatility;
- Futures;
- Probability space;
24.Critical success factors in planning for Web services in the financial services industry

机译：金融服务业网络服务规划中的关键成功因素
- 作者：H. Howell-Barber;J. Lawler
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- BPEL4WS;
- Business process;
- Project plan;
- Service description;
- Service-oriented architecture;
- SOA;
- UDDL;
- Web services;
- XML;
- WSDL;
25.Time value of the Internet banking adoption and customer trust

机译：互联网银行通过和客户信任的时间价值
- 作者：Y. T. Chang
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Consumer adoption;
- Internet banking;
- Perceived time value;
- Risks;
- Trust;
26.Optimal exercise of Russian options in the binomial model

机译：二项式模型中的俄罗斯选项的最佳运动
- 作者：R. W. Chen;B. Rosenberg
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Russian option;
- Binomial model;
- Dynamic programming;
27.Simulating a digital business ecosystem

机译：模拟数字业务生态系统
- 作者：M. Petrou;S. Gautam;K. N. Giannoutakis
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
28.Seasonal behaviour of the volatility on European stock markets

机译：欧洲股市波动性的季节性行为
- 作者：L. Jordan Sales;R. M. Caceres Apolinario;O. Maroto Santan;A. Rodriguez Caro
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Day of the week effect;
- Volatility;
- GARCH;
- T-ARCH;
29.Applications of penalized binary choice estimators with improved predictive fit

机译：改进预测合适的惩罚二元选择估计的应用
- 作者：D. J. Miller;W. H. Liu
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Binary choice;
- Information theory;
- Penalized ML;
- Prediction;
30.The impact of the futures market on spot volatility: an analysis in Turkish derivatives markets

机译：期货市场对现场波动性的影响：土耳其衍生品市场的分析
- 作者：H. Baklaci;H. Tutek
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Derivatives market;
- Volatility;
- Spot market;
- GARCH;
31.Financial assurance program for incidents induced by Internet-based attacks in the financial services industry

机译：金融服务业互联网袭击事件发生的财务保障计划
- 作者：B. G. Raggad
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Financial assurance;
- Internet;
- Risk;
- Security;
- World Wide Web;
32.Mean-variance hedging strategies in discrete time and continuous state space

机译：在离散时间和连续状态空间中的平均方差对冲策略
- 作者：O. L. V. Costa;A. C. Maiali;A. de C. Pinto
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Discrete-time mean-variance hedging;
- Options pricing;
- Optimal control;
33.Customer loyalty analysis of a commercial bank based on a structural equation model

机译：基于结构方程模型的商业银行的客户忠诚分析
- 作者：H. Chi;Y. Zhang;J.-J. Wang
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
34.Strategic asset allocation using quadratic programming with case based reasoning and intelligent agents

机译：基于案例推理和智能代理的二次规划战略资产分配
- 作者：E. Falconer;A. Usoro;M. Stansfield;B. Lees
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Intelligent agents;
- Quadratic optimization;
- Portfolio management;
- Asset allocation;
- Case based reasoning;
35.Management of the productivity of information and communications technology (ICT) in the financial services industry

机译：管理金融服务业信息与通信技术的生产力（ICT）
- 作者：J. W. Gabberty
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- ICT productivity;
- Productivity paradox;
- United States banking productivity;
36.Applying design patterns for web-based derivatives pricing

机译：应用基于Web的衍生品定价的设计模式
- 作者：V. Papakostas;P. Xidonas;D. Askounis;J. Psarras
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Financial applications;
- Financial derivatives;
- Pricing models;
- Design patterns;
- J2EE patterns;
- Web-based applications;
- Multi-tiered architectures;
37.Integrated equity applications after Sarbanes-Oxley

机译：Sarbanes-Oxley后的综合股权应用
- 作者：O. Criner;E. Kindred
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Sarbanes-Oxley;
- XBRL;
- XML;
- Computational modelling;
- Accounting data integrity;
- Financial forensic analysis;
38.The use of quadratic filter for the estimation of time-varying β

机译：使用二次滤波器来估计时变β
- 作者：M. Gastaldi;A. Germani;A. Nardecchia
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Time-varying beta;
- Additive non-Gaussian noise;
- Kalman filter;
39.Integrating elements in an i-DSS for portfolio management in the Mexican market

机译：整合I-DSS中的元素在墨西哥市场的投资组合管理中
- 作者：M. A. Osorio;A. Sanchez;M. A. Gomez
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- Intelligent decision support systems;
- Portfolio optimization;
40.C++ techniques for high performance financial modelling

机译：C ++高性能金融建模技术
- 作者：Q. Liu
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2006年
- C++;
- High performance;
- Financial modelling;
- C++ template;
- Matrix Template Library;
- Vector swapping;
- Compile-time computation;
- Convertible bond;
41.Modeling spark spread option and power plant evaluation

机译：造型火花传播选项和电厂评估
- 作者：Z. Li
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Spark spread;
- Power plant evaluation;
- Stochastic processes;
- Hedging;
- Real option;
42.Feasible estimation of the long term interest rate dynamics by nonlinear techniques

机译：非线性技术可行估计长期利率动态
- 作者：S. Fink;J. Walde
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Error correction model;
- Multi-layer perceptrons;
- Interest rate;
- Nonlinear modelling;
43.Active portfolios: diversification across trading strategies

机译：积极投资组合：交易策略的多样化
- 作者：C. Murray
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Long-short trading strategies;
- Value;
- Momentum;
- Diversification;
44.Valuation of swing options with supplier flexibility - switching and recall features: a methodology note

机译：随着供应商的灵活性估值 - 交换和召回功能：方法说明
- 作者：S. Persad
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Path-dependent option pricing;
- Correlated trinomial tree;
- Lattice;
- Swing options;
- Energy options;
45.Day-of-the-week effect in some of the Gulf Cooperation Council (GCC) stock markets

机译：一些海湾合作委员会（GCC）股市的一日效应
- 作者：A. M. Al-Barrak
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Day-of-the-week effect;
- Gulf cooperation council stock market;
46.Hedge fund portfolio selection with modified expected shortfall

机译：对冲基金投资组合选择，改进预期的缺口
- 作者：K. Boudt;B. G. Peterson;P. Carl
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Portfolio optimization;
- Modified expected shortfall;
- Non-normal returns;
47.Fast and flexible libor model pricing: two-stage Monte Carlo and on-the-fly payoff processing

机译：快速灵活的Libor模型定价：两阶段蒙特卡罗和在飞行的收益处理
- 作者：M. Auer;S. Biffl
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Libor market model;
- Monte Carlo simulation;
- Derivative pricing;
- User interface responsiveness;
48.Portfolio rankings with skewness and kurtosis

机译：投资组合排名与斜率和kurtosis
- 作者：M. Di Pierro;J. Mosevich
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Portfolio ranking;
- Skewness;
- Kurtosis;
- Omega;
- Non-Gaussian disributions;
49.Value at risk, outliers and chaotic dynamics

机译：风险，异常值和混沌动力量的价值
- 作者：C. Kyrtsou;V. Terraza
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- GARCH model;
- Mackey-Glass GARCH model;
- Value at Risk;
- Outliers;
50.Conditional Value-at-Risk under ellipsoidal uncertainties

机译：椭圆形不确定性下的条件值风险
- 作者：M. H. Wong
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
51.Computation and asymptotic properties of estimated coherent risk measures

机译：估计相干风险措施的计算与渐近性质
- 作者：D. J. Miller;M. Kim
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Coherence;
- Distorted risk measure;
- Entropy;
- Extremum estimator;
- Information theory;
52.Numerical modelling of operational risks for the banking industry

机译：银行业运营风险的数值模型
- 作者：R. Barreira;T. Pryer;Q. Tang
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Loss distribution;
- Bottom-up approach;
- Operational risk;
- Monte-Carlo simulation;
53.A Green's function-based iterative approach to the pricing of American options

机译：一种基于绿色的职能迭代方法，用于美国选项的定价
- 作者：M. Y. Melnikov
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- American options;
- Green's function;
- Iterative approach;
54.Control systems identification in finance and economics

机译：控制系统识别金融和经济学
- 作者：O. Criner
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Dynamical systems;
- Financial events;
- Economic indicators;
- Event trading;
55.Novel pruning based hierarchical agglomerative clustering for mining outliers in financial time series

机译：基于新的修剪金融时间序列采矿异常因素的分层凝聚聚类
- 作者：D. Wang;P. J. Fortier;H. E. Michel
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Outlier;
- Data mining;
- Computational finance;
- Financial time series;
- Similarity search;
- High dimension;
- Clustering;
56.Multifractal analysis and multiagent simulation for market crash prediction

机译：市场碰撞预测的多重分析与多重模拟
- 作者：V. Romanov;V. Slepov;M. Badrina;A. Federyakov
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Stock market;
- Market dynamics;
- Multiagent simulation;
- Wavelet analysis;
57.Looking for short term signals in stock market data

机译：寻找股票市场数据的短期信号
- 作者：A. Bocharov
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Market analysis;
- Kurtosis risk;
- Random walk;
- Technical analysis;
58.Derivative pricing as a business grid application using NextGRID technology

机译：使用NextGrid技术作为业务网格应用程序的衍生定价
- 作者：A. Basermann;G. A. Kohring;C. Neff
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Derivative pricing;
- NextGRID;
- Security;
- SLAs;
- Business Grid application;
- Performance;
59.An empirical investigation of the short-term relationship between interest rate risk and credit risk

机译：对利率风险与信用风险短期关系的实证调查
- 作者：C. Cech
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Copula;
- Dependence;
- Short-term;
- Interest rate risk;
- Credit risk;
- Risk measurement;
60.A neural network approach to option pricing

机译：期权定价的神经网络方法
- 作者：F. Mostafa;T. Dillon
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Neural networks;
- Option pricing;
- Hedging;
- Implied volatility;
- GARCH option pricing model;
61.Discovery of multi-component portfolio strategies with continuous tuning to the changing market micro-regimes using input-dependent boosting

机译：使用输入依赖性提升，通过连续调整到变化的市场微型制度的多组件产品组合策略发现
- 作者：V. V. Gavrishchaka;O. V. Barinova;A. P. Vezhnevets;M. A. Monina
- 会议名称：《International Conference on Computational Finance and Its Applications》 | 2008年
- Adaptive boosting;
- Ensemble learning;
- Regime switching;
- Trading strategies;
- Portfolio optimisation;