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Alternate Models For Forecasting Hedge Fund Returns, Michael A. Holden
Alternate Models For Forecasting Hedge Fund Returns, Michael A. Holden
Senior Honors Projects
Alternate Models for Forecasting Hedge Fund Returns
Michael Holden
Faculty Sponsor: Gordon Dash, Finance and Decision Sciences
Investors have always wanted to improve the efficiency of modeling realized volatility to maximize directional trading returns and substantially improve profitability. As proposed, this honors project will provide evidence from hedge fund returns that a Radial-Basis Function (RBF) artificial neural network (ANN), specifically the Kajiji-4 RBF-ANN dominates other forecast methods in producing one-period ahead change-of-direction when forecasting the expected returns of various hedge fund indexes.
I began this project by collecting historical economic data in monthly increments to serve as the dependent variables. …
Towards Evaluating The Quality Of A Spreadsheet: The Case Of The Analytical Spreadsheet Model, Thomas A. Grossman Jr., Vijay Mehrotra, J Sander
Towards Evaluating The Quality Of A Spreadsheet: The Case Of The Analytical Spreadsheet Model, Thomas A. Grossman Jr., Vijay Mehrotra, J Sander
Business Analytics and Information Systems
We consider the challenge of creating guidelines to evaluate the quality of a spreadsheet model. We suggest four principles. First, state the domain—the spreadsheets to which the guidelines apply. Second, distinguish between the process by which a spreadsheet is constructed from the resulting spreadsheet artifact. Third, guidelines should be written in terms of the artifact, independent of the process. Fourth, the meaning of “quality” must be defined. We illustrate these principles with an example. We define the domain of “analytical spreadsheet models”, which are used in business, finance, engineering, and science. We propose for discussion a framework and terminology for …