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A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting and Algorithmic Trading 期刊论文
IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS, 2021, 卷号: 8, 期号: 6, 页码: 1357-1368
Authors:  Li, Yuze;  Wang, Shouyang;  Wei, Yunjie;  Zhu, Qing
Favorite  |  View/Download:6/0  |  Submit date:2022/04/02
Gold  Forecasting  Autoregressive processes  Predictive models  Signal resolution  Deep learning  Mathematical model  Algorithmic trading  bidirectional gated recurrent unit (BiGRU)  gold futures price forecasting  variational mode decomposition (VMD)  
Sample average approximation of CVaR-based hedging problem with a deep-learning solution 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
Authors:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
Favorite  |  View/Download:25/0  |  Submit date:2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
外汇欧式期权在市场不完备下的对冲误差分析 期刊论文
系统工程理论与实践, 2019, 卷号: 39.0, 期号: 011, 页码: 2739-2749
Authors:  彭程;  李爽;  包莹;  赵延龙
Favorite  |  View/Download:23/0  |  Submit date:2021/01/14
外汇欧式期权  Delta对冲  对冲误差  摩擦系数  
Mean-variance portfolio choice: Quadratic partial hedging 期刊论文
MATHEMATICAL FINANCE, 2005, 卷号: 15, 期号: 3, 页码: 533-538
Authors:  Xia, JM
Favorite  |  View/Download:43/0  |  Submit date:2018/07/30
mean-variance portfolios  utility maximization  partial hedging  incomplete markets