A Comparative Empirical Study on the Margin Setting of Stock Index Futures Calendar Spread Trading.
Haizhen YangHongliang YanNi PengPublished in: APWeb Workshops (2008)
Keyphrases
- empirical studies
- stock index futures
- stock index
- empirical analysis
- trading systems
- financial markets
- stock market
- stock exchange
- real world data sets
- support vector
- stock price
- theoretical analysis
- long term
- objective function
- decision making
- model selection
- particle swarm optimization
- genetic algorithm
- training set
- uci datasets