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Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22412
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| Title: | | Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator  |
| Authors: | | Bartels, Patrick Breitner, Michael H. |
| Issue Date: | | 2004 |
| Series/Report no.: | | Diskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 300 |
| Abstract: | | Today´s derivative pricing base on stochastic models developed in the 70´s. These models base on some unrealistic assumptions. The system Warrant Pro 1 presented here combines the software agent PISA (Partially Intelligent Software Agent) and the neurosimulator FAUN (Fast Approximation with Universal Neural Networks) to synthesize market price functions instead of theoretical price functions. PISA automatically extracts data from the internet or other (semi-)structured text sources. High quality neural networks training and validation data with predefinable denseness are provided cost ree. FAUN learns true market price functions and computes real market prices. An example for German DAX options is outlined. |
| Subjects: | | Market prices software agent artificial neural networks neurosimulator derivatives |
| JEL: | | G13 F31 C80 M19 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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