Foreword

Y.S. Abu-Mostafa

Introducing the Volume

A. S. Weigend

Y. S. Abu-Mostafa

A-P.N. Refenes

Organizing Committee of NNCM '96

Part 1: DECISION TECHNOLOGIES

Nonlinear Trading Models Through Sharpe Ratio Maximization

M. Choey

A. S. Weigend

Optimization of Trading Systems And Portfolios

J. E. Moody

L. Z. Wu

Training A Neural Network with a Financial Criterion Rather than a Prediction Criterion

Y. Bengio

A Hybrid Classification Approach to Predicting Mean and Volatility of Stock and FX Data and Performance Quantification Using an Optimality Score

D. H. Kil

F. B. Shin

Nonlinear versus Linear Techniques for Selecting Individual Stocks

S. Mahfoud

G. Mani

S. Reigel

Design of Time-Variable Stop Losses and Profit Objectives Using Neural Networks

A. Atiya

Soft Prediction of Stock Behavior

Y. Baram

Application of Genetic Algorithms in Stock Market Prediction

K. Y. Szeto

K. O. Chan

K. H. Cheung

Improving Neural Prediction Systems by Building Independent Committees

S. Gutjahr

Market-Time and Short-Term Forecasting of Foreign Exchange Rates

M. E. Levitt

Part 2: RISK MANAGEMENT

Systematic Underprediction of Volatility In Maximum Likelihood Methods

M. Magdon-Ismail

Y. S. Abu-Mostafa

Validating a Connectionist Model of Financial Diagnosis

P. E. Pedersen

Credit Risk Scoring: Results of Different Network Structures, Preprocessing and Self-organized Clustering

D. Bassi

C. Hernandez

Simulating Interest Rate Structure Evolution on a Long Term Horizon--A Kohonen Map Application

M. Cottrell

E. de Bodt

E. F. Henrion

P. Gregoire

Neural Networks for Risk Analysis in Stock Price Forecasts

M. Klenin

Optimizing Neural Network Classifiers for Bond Rating

A. N. Skurikhin

A. J. Surkan

Part 3: STATISTICAL LEARNING FOR FINANCIAL PROBLEMS

A Comparison of Non-parametric Regression Techniques for the Pricing of Options Using an Optimal Implied Volatility

P. Lajbcygier

A. Flitman

Forecasting Volatility Mispricing

P. J. Bolland

A. N. Burgess

Intraday Modeling of the Term Structure of Interest Rates

J. T. Connor

P. J. Bolland

P. Lajbcygier

Application of Stochastic Differential Geometry to the Term Structure of Interest Rates in Developed Markets

Y. Taranenko

C. Barnes

Neural Model Identification, Variable Selection and Model Adequacy

A-P. N. Refenes

A. D. Zapranis

J. Utans

Specification Tests for Neural Networks: a Case Study in Tactical Asset Allocation

A. D. Zapranis

J. Utans

A-P. N. Refenes

Asset Allocation Across European Equity Indices using a Portfolio of Dynamic Cointegration Models

A. N. Burgess

Representing Dynamical Systems in Feed-Forward Networks: A Six Layer Architecture

H. G. Zimmermann

A. S. Weigend

Modeling of Nonstationary Financial Time Series by Nonparametric Data Selection

G. Deco

R. Neuneier

B. Schuermann

Neural Network Compatible Memory With Controlled Depth And Resolution For Financial Temporal Forecasting Data

J. M. Mason

A. Badii

Part 4: FOREIGN EXCHANGE TRADING AND ANALYSIS

Symbolic Conversion, Grammatical Inference and Rule Extraction for Foreign Exchange Rate Prediction

S. Lawrence

C. L. Giles

A. C. Tsoi

What Is The "True Price"? State Space Models for High Frequency FX Data

J. E. Moody

L. Z. Wu

Principal Components Analysis for Modeling Multi-Currency Portfolios

J. Utans

W. T. Holt

A-P. N. Refenes

Testing for Nonlinearity with Neural Networks--A Study for Daily USD/DEM Exchange Rates

U. Anders

T. H. Hann

G. Nakaheizadeh

Quantization Effects and Cluster Analysis on Foreign Exchange Rates

W. M. Leung

Y. M. Cheung

L. Xu

A Computer Simulation of Currency Market Participants

M. de la Maza

APPENDIX Data Mining in Finance--Report from the Post-NNCM-96 Workshop on Teaching Computer Intensive Methods for Financial Modeling and Data Analysis

A. S. Weigend

Author Index and Contact Information

Keyword Index