Pricing and hedging derivative securities with neural networks:Bayesian regularization, early stopping, and bagging

We study the effectiveness of cross validation, Bayesian regularization, early stopping, and bagging to mitigate overfitting and improving generalization for pricing and hedging derivative securities with daily S&P 500 index daily call options from January 1988 to December 1993. Our results indicate that Bayesian regularization can generate significantly smaller pricing and delta-hedging errors than the baseline neural-network (NN) model and the Black-Scholes model for some years. While early stopping does not affect the pricing errors, it significantly reduces the hedging error (HE) in four of the six years we investigated. Although computationally most demanding, bagging seems to provide the most accurate pricing and delta hedging. Furthermore, the standard deviation of the MSPE of bagging is far less than that of the baseline model in all six years, and the standard deviation of the average HE of bagging is far less than that of the baseline model in five out of six years. We conclude that they be used at least in cases when no appropriate hints are available.     

Information technology and securities market

This paper examines the use of information technology (IT) in the financial securities market. These markets have seen a proliferation of IT applications in the past decade, and as a result the very structure and nature of competition in the industry has changed. Various regulatory agencies are attempting to keep up with this progression and ensure fair and efficient markets. One of the directives of the Securities and Exchange Commission (SEC) was for a National Market System (NMS) to overcome the problems of fragmentation. Although a true NMS does not exist, huge gains have been made towards it, however, it is unlikely to become the dominant system. An outgrowth of IT use and the NMS directive has been a movement towards fully automated exchanges. These efforts have not met with much success as the existing automated exchanges are mainly small and experimental. A second outgrowth of the NMS is program trading. Pure in its intention, this application has since grown beyond control and was found to be responsible for much of the large decline in.stock prices in the October 1987 market crash. Limits on the use of program trades are appearing daily, and their future seems limited at best.     

证券集中交易系统设计

介绍了证券交易系统的技术架构设计方法,提出了分布式证券集中交易系统的设计方案,阐述了证券交易系统设计中涉及的技术架构、业务架构、功能、性能、可靠性、可扩展性、运维和监控等方面的设计方法和原则,并列举、分析了两个根据文中方法建设的证券交易系统的应用案例。     

证券数据仓库在证券业的应用及其结构

讨论证券行业的发展,提出适合未来一段时期证券数据仓库的基本结构。分析了证券业的竞争态势,总结了证券数据仓库的建设目标和结构。利用数据挖掘技术,提出证券客户分析的维度,总结了客户分析的内容;提出了强化经纪人和营销分析,总结了相应的分析内容。基于多维度的客户分析、经纪人分析、营销分析将成为主导券商数据仓库建设的主要任务之一,数据仓库和证券集中交易等系统一起构成完整的客户服务平台。     

BPM系统在证券业中的实现研究

业务流程管（business process management,BPM）在最近几年的研究中多局限于通用领域。论文的目的是获得BPM系统在证券业领域实施的过程和步骤。论文根据证券业信息系统的实际情况和BPM系统实施的特点和要求,给出了证券业实施业务流程管理的总体框架,提出了从数据中心建设、业务流程建模、建立并应用工作流、流程的改进和优化、实施生命周期管理到最终向知识型企业过渡等6个证券业BPM实施阶段,并结合部分关键业务流程进行了Petri网的建模。论文最终建立起一个证券业实施BPM过程的参考标准和模型。     

储值卡系统及其安全性要求

各种储值卡在当代社会使用日益普及，论述了在储值卡授权制作，使用过程中的安全性要求，并给出了具体的解决方案。     

Consciousness and Computation

Minds and Machines -     

Computation and Hypercomputation

Minds and Machines - Does Nature permit the implementation of behaviours that cannot be simulated computationally? We consider the meaning of physical computation in some detail, and present...     

基于Web数据库安全机制的研究

WWW的迅速发展，使得Web技术与数据库技术紧密结合，因此研究基于Web的数据库安全机制对于信息系统的安全保护有着很重要的实际意义。分析了目前常见的几种Web数据库的连接技术，详细地阐述了利用ASP相关技术来实现基于Web数据库安全机制的一种方法。     

Representation Operators and Computation

This paper analyses the impact of representation and search operators on Computational Complexity. A model of computation is introduced based on a directed graph, and representation and search are defined to be the vertices and edges of this graph respectively. Changing either the representation or the search algorithm leads to different possible complexity classes. The final section explores the role of representation in reducing time complexity in Artificial Intelligence.     

Computation of stresses and displacements

The problem under consideration involves the elastic analysis of a square plate subjected to a uniform pressure. In the first instance a square section with a central hole is considered using generalized plane strain element. The pressure is applied to the surface of a circular hole located at the centre of the section. This problem is then generalized to that of a square section with nine holes subject to internal pressure. Results involving stresses and displacements are obtained for both cases using the BEASY Boundary Element software package from Computational Mechanics Ltd. A check on the accuracy is obtained by using Lamé thick cylinder theory at selected points. The good agreement obtained gives confidence in the use of the Boundary Element method for problems of this type.     

On Communication and Computation

Comparing technical notions of communication and computation leads to a surprising result, these notions are often not conceptually distinguishable. This paper will show how the two notions may fail to be clearly distinguished from each other. The most famous models of computation and communication, Turing Machines and (Shannon-style) information sources, are considered. The most significant difference lies in the types of state-transitions allowed in each sort of model. This difference does not correspond to the difference that would be expected after considering the ordinary usage of these terms. However, the natural usage of these terms are surprisingly difficult to distinguish from each other. The two notions may be kept distinct if computation is limited to actions within a system and communications is an interaction between a system and its environment. Unfortunately, this decision requires giving up much of the nuance associated with natural language versions of these important terms.     

广义可能性计算树逻辑和计算树逻辑的关系

广义可能性计算树逻辑(generalized possibilistic computation tree logic,GPo CTL)在不确定性模型检测中扮演着非常重要的角色,但其表达能力还尚未研究全面。为此,讨论了GPo CTL与计算树逻辑(computation tree logic,CTL)表达能力之间的关系。首先定义了区间广义可能性计算树逻辑(interval generalized pos-sibilistic computation tree logic,IGPo CTL),并给出了IGPo CTL公式和CTL公式等价的定义。然后证明了CTL是IGPo CTL的一个真子类,因为IGPo CTL是GPo CTL的一种简单分明化形式,则CTL可看作GPo CTL的一个真子类。此外,还给出了IGPo CTL公式和CTL公式α-等价的定义,并得出了一些更一般的结果。     

基于动态聚类的证券业客户细分实证研究

在客户关系管理理论基础上,建立了一个包含13个行业特色指标的证券业客户多维细分模型,并利用聚类分析对国内某知名券商的具体客户信息和交易数据进行了实证研究,有效识别出了具有不同特征以及偏好的客户群,并在此基础上提出了相应的营销策略。     

Rendering of quantum topological atoms and bonds

In this article, we describe and apply an algorithm that visualizes atoms and bonds in molecules and van der Waals complexes, based on the topology of the electron density. The theory of quantum chemical topology defines both atoms and bonds via a single consistent procedure, and enables the association of an atomic shape with an atomic property (charge, dipole moment, volume, ...). Special attention is paid to the bridging of gaps arising in interatomic surfaces, in the presence of ring critical points or high ellipticity. This algorithm, in conjunction with the graphical user interface of the computer program MORPHY enables robust and efficient rendering of complicated interatomic surfaces, as found in larger systems.     

进化计算的理论与算法

进化计算是近年来信息科学、人工智能与计算机科学的研究热点,是人们解决棘手问题的有力工具。阐述了进化计算的基本结构、理论、方法与算法,详细论述了遗传进化的主要操作如选择、重组或交叉、变异、迁移、并行实现等基本理论与相应的算法。     

Computation and Dynamical Models of Mind

Van Gelder (1995) has recently spearheaded a movement to challenge the dominance of connectionist and classicist models in cognitive science. The dynamical conception of cognition is van Gelder's replacement for the computation bound paradigms provided by connectionism and classicism. He relies on the Watt governor to fulfill the role of a dynamicist Turing machine and claims that the Motivational Oscillatory Theory (MOT) provides a sound empirical basis for dynamicism. In other words, the Watt governor is to be the theoretical exemplar of the class of systems necessary for cognition and MOT is an empirical instantiation of that class. However, I shall argue that neither the Watt governor nor MOT successfully fulfill these prescribed roles. This failure, along with van Gelder's peculiar use of the concept of computation and his struggle with representationalism, prevent him from providing a convincing alternative to current cognitive theories.     

Concept and Computation of Ranking-based Dominance

We present COMPETE, a novel approach that models and computes dominance over user-provided input entities, given a database of top-k rankings. The resulting entities are found superior or inferior with tunable degree of dominance over the input set—a very intuitive, yet insightful way to explore pros and cons of entities of interest. Several notions of dominance are defined which differ in computational complexity and strictness of the dominance concept—yet, interdependent through containment relations. COMPETE is able to pick the most promising approach to satisfy a user request at minimal runtime latency, using a probabilistic model that is estimating the result sizes. The individual flavors of dominance are cast into a stack of algorithms over inverted indices and auxiliary structures. The extensive experimental evaluation over real-world and synthetically generated data and workloads demonstrates the diversity of the problem in terms of number of valid results and need for result ordering and, in particular, emphasizes the immense effect of the pruning strategies with performance gains up to an order of magnitude over baseline approaches.