Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models

In contribution to Dunis et al. [Modelling and Trading the Corn/Ethanol Crush Spread with Neural Networks. CIBEF Working Paper. Liverpool Business School. www.cibef.com ], this investigation endeavours to expand the selection of forecasting applications by delving further into the realm of artificia...

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Vydáno v:	The European journal of finance Ročník 21; číslo 4; s. 352 - 375
Hlavní autoři:	Dunis, Christian L., Laws, Jason, Middleton, Peter W., Karathanasopoulos, Andreas
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	London Routledge 16.03.2015 Taylor & Francis LLC
Témata:	Algorithms Artificial intelligence Business schools Commodities trading Corn corn futures Economic forecasts Ethanol ethanol futures Forecasting genetic programming algorithm Genetics Grades (Scholastic) Hedging higher order neural network leveraging Mathematical models multilayer perceptron neural network Networks Neural networks Non-linear models Nonlinear analysis Risk adjustment Risk management RiskMetrics spread trading Studies time-varying leverage Volatility
ISSN:	1351-847X, 1466-4364
On-line přístup:	Získat plný text
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