Oesterreichisches Forschungsinstitut fuer Artificial Intelligence (OeFAI)
Schottengasse 3, A-1010 Wien
Tel.+43-1-53532810,5336112
-------------------------------------------------------------------------
gemeinsam mit dem SFB 010 "Adaptive Modelle in den
Wirtschafts- und Sozialwissenschaften", gefoerdert vom
Fonds zur Foerderung der wissenschaftlichen Forschung (FWF)
VORTRAG
*******
Dr.Mahesan NIRANJAN
Cambridge University
United Kingdom
Use and Abuse of Neural Networks in Finance
-------------------------------------------
Neural Networks offer a powerful method for tackling many inference
problems. This comes from a combination of function approximation
capabilities combined with statistical methods for parameter estim-
ation and dynamical systems for modelling time variations. It is
also true that the hype associated with some of the terminology in
this area leads to many "blind" applications of neural networks to
difficult problems.
This talk is in two parts; firstly I will give an overview of some
applications of neural networks in financial forecasting, focusing
on sequential methods centered around the extended Kalman filtering
framework. In the second part, I will talk about using neural net-
works in an options pricing task. Sequential methods used in this
framework will be extended to derive smooth estimates of implied
volatilities from the Black-Scholes type approach. More recent work
along the lines of replacing the extended Kalman filter by
sequential sampling methods will also be discussed.
Zeit: Donnerstag, 25.Juni 1998, 18:30 Uhr pktl.
Ort: OeFAI, Schottengasse 3, 1010 Wien 1.
OESTERREICHISCHES FORSCHUNGSINSTITUT
FUER ARTIFICIAL INTELLIGENCE
o.Univ.-Prof.Dr.Robert Trappl