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Neural Networks in Finance
Gaining Predictive Edge in the Market
1st Edition - December 22, 2004
Author: Paul D. McNelis
Language: English
Hardback ISBN:9780124859678
9 7 8 - 0 - 1 2 - 4 8 5 9 6 7 - 8
eBook ISBN:9780080479651
9 7 8 - 0 - 0 8 - 0 4 7 9 6 5 - 1
This book explores the intuitive appeal of neural networks and the genetic algorithm in finance. It demonstrates how neural networks used in combination with evolutionary…Read more
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This book explores the intuitive appeal of neural networks and the genetic algorithm in finance. It demonstrates how neural networks used in combination with evolutionary computation outperform classical econometric methods for accuracy in forecasting, classification and dimensionality reduction. McNelis utilizes a variety of examples, from forecasting automobile production and corporate bond spread, to inflation and deflation processes in Hong Kong and Japan, to credit card default in Germany to bank failures in Texas, to cap-floor volatilities in New York and Hong Kong.
* Offers a balanced, critical review of the neural network methods and genetic algorithms used in finance * Includes numerous examples and applications * Numerical illustrations use MATLAB code and the book is accompanied by a website
Upper division undergraduates and MBA students, as well as the rapidly growing number of financial engineering programs, whose curricula emphasize quantitative applications in financial economics and markets
Preface
Chapter 1: Introduction
1.1 Forecasting, Classification, and Dimensionality Reduction
Chapter 6: Times Series: Examples from Industry and Finance
6.1 Forecasting Production in the Automotive Industry
6.2 Corporate Bonds: Which Factors Determine the Spreads?
6.3 Conclusion
Chapter 7: Inflation and Deflation: Hong Kong and Japan
7.1 Hong Kong
7.2 Japan
7.3 Conclusion
Chapter 8: Classification: Credit Card Default and Bank Failures
8.1 Credit Card Risk
8.2 Banking Intervention
8.3 Conclusion
Chapter 9: Dimensionality Reduction and Implied Volatility Forecasting
9.1 Hong Kong
9.2 United States
9.3 Conclusion
Bibliography
Index
No. of pages: 352
Language: English
Edition: 1
Published: December 22, 2004
Imprint: Academic Press
Hardback ISBN: 9780124859678
eBook ISBN: 9780080479651
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Paul D. McNelis
Affiliations and expertise
Robert Bendheim Professor of International Economic and Financial Policy at Fordham University Graduate School of Business. Professor of Economics at Georgetown University until 2004.