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Masaru Kawamoto - One of the best experts on this subject based on the ideXlab platform.

  • Derivative trade optimizing model utilizing GP based on behavioral Finance Theory
    Electronics and Communications in Japan, 2013
    Co-Authors: Koki Matsumura, Masaru Kawamoto
    Abstract:

    This paper proposes a new technique which creates strategy trees for derivative (option) trading investment decisions based on behavioral Finance Theory and optimizes them by evolutionary computation in order to achieve high profitability. The strategy tree uses technical analysis based on a statistical, experienced technique for investment decisions. The trading model is represented by various technical indexes, and the strategy tree is optimized by genetic programming (GP), a form of evolutionary computation. This paper also proposes a method using the prospect Theory based on behavioral Finance Theory to set the psychological bias for profit and deficit and attempts to select the appropriate strike price of options for higher investment efficiency. This technique was found to produce good results and the effectiveness of this trading model by the optimized dealings strategy was demonstrated. © 2013 Wiley Periodicals, Inc. Electron Comm Jpn, 96(4): 15–28, 2013; Published online in Wiley Online Library (wileyonlinelibrary. com). DOI 10.1002/ecj.11469

  • Derivative Trade Optimizing Model Utilizing GP Based on Behavioral Finance Theory
    IEEJ Transactions on Electronics Information and Systems, 2012
    Co-Authors: Koki Matsumura, Masaru Kawamoto
    Abstract:

    This paper proposed a new technique which makes the strategy trees for the derivative (option) trading investment decision based on the behavioral Finance Theory and optimizes it using evolutionary computation, in order to achieve high profitability. The strategy tree uses a technical analysis based on a statistical, experienced technique for the investment decision. The trading model is represented by various technical indexes, and the strategy tree is optimized by the genetic programming(GP) which is one of the evolutionary computations. Moreover, this paper proposed a method using the prospect Theory based on the behavioral Finance Theory to set psychological bias for profit and deficit and attempted to select the appropriate strike price of option for the higher investment efficiency. As a result, this technique produced a good result and found the effectiveness of this trading model by the optimized dealings strategy.

Koki Matsumura - One of the best experts on this subject based on the ideXlab platform.

  • Derivative trade optimizing model utilizing GP based on behavioral Finance Theory
    Electronics and Communications in Japan, 2013
    Co-Authors: Koki Matsumura, Masaru Kawamoto
    Abstract:

    This paper proposes a new technique which creates strategy trees for derivative (option) trading investment decisions based on behavioral Finance Theory and optimizes them by evolutionary computation in order to achieve high profitability. The strategy tree uses technical analysis based on a statistical, experienced technique for investment decisions. The trading model is represented by various technical indexes, and the strategy tree is optimized by genetic programming (GP), a form of evolutionary computation. This paper also proposes a method using the prospect Theory based on behavioral Finance Theory to set the psychological bias for profit and deficit and attempts to select the appropriate strike price of options for higher investment efficiency. This technique was found to produce good results and the effectiveness of this trading model by the optimized dealings strategy was demonstrated. © 2013 Wiley Periodicals, Inc. Electron Comm Jpn, 96(4): 15–28, 2013; Published online in Wiley Online Library (wileyonlinelibrary. com). DOI 10.1002/ecj.11469

  • Derivative Trade Optimizing Model Utilizing GP Based on Behavioral Finance Theory
    IEEJ Transactions on Electronics Information and Systems, 2012
    Co-Authors: Koki Matsumura, Masaru Kawamoto
    Abstract:

    This paper proposed a new technique which makes the strategy trees for the derivative (option) trading investment decision based on the behavioral Finance Theory and optimizes it using evolutionary computation, in order to achieve high profitability. The strategy tree uses a technical analysis based on a statistical, experienced technique for the investment decision. The trading model is represented by various technical indexes, and the strategy tree is optimized by the genetic programming(GP) which is one of the evolutionary computations. Moreover, this paper proposed a method using the prospect Theory based on the behavioral Finance Theory to set psychological bias for profit and deficit and attempted to select the appropriate strike price of option for the higher investment efficiency. As a result, this technique produced a good result and found the effectiveness of this trading model by the optimized dealings strategy.

G. Barles - One of the best experts on this subject based on the ideXlab platform.

  • Numerical Methods in Finance: Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory
    Numerical Methods in Finance, 1997
    Co-Authors: G. Barles
    Abstract:

    Introduction The aim of this article is twofold: on one hand, we describe a general convergence result which applies to a wide range of numerical schemes (‘monotone schemes’) for nonlinear possibly degenerate elliptic (or parabolic) equation; this type of equation arises naturally in Finance Theory as we will show first. This convergence result was obtained in an article written in collaboration with P.E. Souganidis (1991). On the other hand, we present several simple numerical schemes for computing the price of different types of ‘simple’ options: American options, lookback options and Asian options. These schemes are all based on ‘splitting methods’ and we want to emphasize the fact that this allows also easy extensions for computing the price of more complex options with complicated contracts (cap, floor, … etc). These schemes also provide examples for which the convergence result of the first part applies. This second part reports on several works in collaboration with J. Burdeau, Ch. Daher & M. Romano (cf. references) which were done in connection with the Research and Development Department of the Caisse Autonome de Refmancement (CDC group). The article is organized as follows: since the convergence result for numerical schemes relies strongly on the notion of ‘viscosity solutions’, which is a notion of weak solutions for nonlinear elliptic and parabolic equations, we are first going to present this notion of solutions. In order to introduce it, as a motivation, we examine in the first section several examples of equations arising in Finance Theory, and more particularly in options pricing, and we describe the theoretical difficulties in studying them.

  • CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN Finance Theory
    Mathematical Models and Methods in Applied Sciences, 1995
    Co-Authors: G. Barles, Ch. Daher, M. Romano
    Abstract:

    We present several results and methods concerning the convergence of numerical schemes for problems arising in Finance Theory. This paper is essentially expository but we present however new results concerning some problems of rate of convergence.

Sulaiman Mahbob - One of the best experts on this subject based on the ideXlab platform.

Les Coleman - One of the best experts on this subject based on the ideXlab platform.

  • The Lunacy of Modern Finance Theory and Regulation
    2014
    Co-Authors: Les Coleman
    Abstract:

    1. Introduction 2. Chronic Failure of Finance Theory to Survive Contact with the Real World 3. Finance Industry's Inability to Manage Walls of Money 4. Risk! What Risk Can There Possibily Be? 5. Crooks, Scams and Biases 6. How Does Finance Really Work? 7. The Mixed Record of Finance Regulation 8. Is There a Better Basis for Corporations' Financial Regulation? 9. Conclusion

  • Why Finance Theory fails to survive contact with the real world: A fund manager perspective
    Critical Perspectives on Accounting, 2014
    Co-Authors: Les Coleman
    Abstract:

    Abstract This paper examines why financial decision Theory finds so little application in the real world. A review of the literature identifies shortcomings in research methodologies, and summarises evidence that core Finance paradigms prove of limited empirical value. The practitioner perspective is reported based on interviews with 34 fund managers on four continents. These conclude that Finance Theory is of limited relevance to practitioners because its quantitative approach requires data about the future that are unavailable, and because it ignores practitioner objectives and skill, and the wealth of qualitative data available to them. The paper concludes that future research should better translate practitioner knowledge and practices into improved investment Theory.