Arbeitspapier
Feature extraction with hybrid neural networks
Neural networks (NN) and fuzzy logic systems (FLS) are used successfully for financial forecasting, credit rating and portfolio management. In search for more sophisticated modeling techniques a mixture of NN and FLS has proved to be worth consideration. We propose the novel constructive approach by which a neuro fuzzy network is built up with the help of a constrained optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As an application of the proposed approach we build a neuro fuzzy network model which is able to explain the prices of call options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model to capture the empirical pricing mechanism, our results indicate that this algorithm leads to more parsimonious functional specificationes which have a superior out-of-sample performance.
- Sprache
-
Englisch
- Erschienen in
-
Series: Research Notes ; No. 00-6
- Klassifikation
-
Wirtschaft
- Thema
-
neural networks
fuzzy logic systems
entropy
option pricing
Prognoseverfahren
Fuzzy Sets
Neuronale Netze
Index-Futures
Optionspreistheorie
Theorie
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wegmann, Georg
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bank Research
- (wo)
-
Frankfurt a. M.
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Wegmann, Georg
- Deutsche Bank Research
Entstanden
- 2000
Ähnliche Objekte (12)
Distortion Invariant Feature Extraction with Echo State Networks
The extraction of fuzzy rules from neural networks
From handcrafted features to handcrafted neural networks
Hybrid network feature extraction for depression assessment from speech
Neural network based feature extraction for speech and image recognition
Neural network based feature extraction for speech and image recognition
Extraction of information from the dynamical activities of neural networks
3D feature point extraction from LiDAR data using a neural network
Probabilistic ASR feature extraction applying context-sensitive connectionist temporal classification networks
Blocked neural networks for knowledge extraction in the software development process
Deep neural networks for classifying complex features in diffraction images
Neural mechanisms of feature extraction for the analysis of shape and behavioral patterns
Distortion Invariant Feature Extraction with Echo State Networks
The extraction of fuzzy rules from neural networks
From handcrafted features to handcrafted neural networks
Hybrid network feature extraction for depression assessment from speech
Neural network based feature extraction for speech and image recognition
Neural network based feature extraction for speech and image recognition
Extraction of information from the dynamical activities of neural networks
3D feature point extraction from LiDAR data using a neural network
Probabilistic ASR feature extraction applying context-sensitive connectionist temporal classification networks
Blocked neural networks for knowledge extraction in the software development process
Deep neural networks for classifying complex features in diffraction images
Neural mechanisms of feature extraction for the analysis of shape and behavioral patterns
Distortion Invariant Feature Extraction with Echo State Networks
The extraction of fuzzy rules from neural networks
From handcrafted features to handcrafted neural networks
Hybrid network feature extraction for depression assessment from speech
Neural network based feature extraction for speech and image recognition
Neural network based feature extraction for speech and image recognition
Extraction of information from the dynamical activities of neural networks
3D feature point extraction from LiDAR data using a neural network
Probabilistic ASR feature extraction applying context-sensitive connectionist temporal classification networks
Blocked neural networks for knowledge extraction in the software development process
Deep neural networks for classifying complex features in diffraction images