Neural Networks in Finance

Table of contents

1. Cover image
2. Title page
3. Table of Contents
4. Copyright
5. Preface
6. Chapter 1: Introduction
   1. 1.1 Forecasting, Classification, and Dimensionality Reduction
   2. 1.2 Synergies
   3. 1.3 The Interface Problems
   4. 1.4 Plan of the Book
7. I: Econometric Foundations
   1. Chapter 2: What Are Neural Networks?
      1. 2.1 Linear Regression Model
      2. 2.2 GARCH Nonlinear Models
      3. 2.3 Model Typology
      4. 2.4 What Is A Neural Network?
      5. 2.5 Neural Network Smooth-Transition Regime Switching Models
      6. 2.6 Nonlinear Principal Components: Intrinsic Dimensionality
      7. 2.7 Neural Networks and Discrete Choice
      8. 2.8 The Black Box Criticism and Data Mining
      9. 2.9 Conclusion
   2. Chapter 3: Estimation of a Network with Evolutionary Computation
      1. 3.1 Data Preprocessing
      2. 3.2 The Nonlinear Estimation Problem
      3. 3.3 Repeated Estimation and Thick Models
      4. 3.4 MATLAB Examples: Numerical Optimization and Network Performance
      5. 3.5 Conclusion
   3. Chapter 4: Evaluation of Network Estimation
      1. 4.1 In-Sample Criteria
      2. 4.2 Out-of-Sample Criteria
      3. 4.3 Interpretive Criteria and Significance of Results
      4. 4.4 Implementation Strategy
      5. 4.5 Conclusion
8. II: Applications and Examples
   1. Chapter 5: Estimating and Forecasting with Artificial Data
      1. 5.1 Introduction
      2. 5.2 Stochastic Chaos Model
      3. 5.3 Stochastic Volatility/Jump Diffusion Model
      4. 5.4 The Markov Regime Switching Model
      5. 5.5 Volatility Regime Switching Model
      6. 5.6 Distorted Long-Memory Model
      7. 5.7 Black-Sholes Option Pricing Model: Implied Volatility Forecasting
      8. 5.8 Conclusion
   2. Chapter 6: Times Series: Examples from Industry and Finance
      1. 6.1 Forecasting Production in the Automotive Industry
      2. 6.2 Corporate Bonds: Which Factors Determine the Spreads?
      3. 6.3 Conclusion
   3. Chapter 7: Inflation and Deflation: Hong Kong and Japan
      1. 7.1 Hong Kong
      2. 7.2 Japan
      3. 7.3 Conclusion
   4. Chapter 8: Classification: Credit Card Default and Bank Failures
      1. 8.1 Credit Card Risk
      2. 8.2 Banking Intervention
      3. 8.3 Conclusion
   5. Chapter 9: Dimensionality Reduction and Implied Volatility Forecasting
      1. 9.1 Hong Kong
      2. 9.2 United States
      3. 9.3 Conclusion
9. Bibliography
10. Index