Parameter optimization for differential equations in asset price forecasting

Optimization Methods and Software

Volumn 23, Issue 4, 2008, Pages 551-574

  Duran, Ahmet ^a   Caginalp, Gunduz ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF PITTSBURGH   (United States)

Author keywords

Asset flow differential equations; Data analysis in mathematical finance and economics; Financial market dynamics; Inverse problem of parameter estimation; Market return prediction algorithm; Numerical nonlinear optimization

Indexed keywords

ARTIFICIAL INTELLIGENCE; BOOLEAN FUNCTIONS; BOUNDARY VALUE PROBLEMS; CURVE FITTING; DECISION SUPPORT SYSTEMS; DIFFERENCE EQUATIONS; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); DYNAMICAL SYSTEMS; FORECASTING; INFORMATION MANAGEMENT; INITIAL VALUE PROBLEMS; INVERSE PROBLEMS; KNOWLEDGE MANAGEMENT; LEARNING SYSTEMS; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL PROGRAMMING; OPTIMIZATION; POPULATION STATISTICS; SCHRODINGER EQUATION; SEARCH ENGINES; STRUCTURAL OPTIMIZATION;

BEST FIT; BROYDEN-FLETCHER-GOLDFARB-SHANNO (BFGS); COMPUTATIONAL ALGORITHMS; INITIAL VALUES; LINE SEARCHES; MACHINE-LEARNING; MARKET PRICING; OPTIMAL PARAMETERS; OPTIMIZATION OF PARAMETERS; OPTIMIZATION PROCEDURES; PARAMETER OPTIMIZATION; PRICE FORECASTING; PROBLEM INVOLVING; QUASI-NEWTON; RANDOM WALK (RW); REAL DATA; SQUARED DIFFERENCES; STREAM DATA;

NONLINEAR EQUATIONS;

EID: 47249146879     PISSN: 10556788     EISSN: 10294937     Source Type: Journal    
DOI: 10.1080/10556780801996178     Document Type: Article

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