Zobrazeno 1 - 10
of 58
pro vyhledávání: '"Tian‐Shyr Dai"'
Publikováno v:
Scientific Reports, Vol 12, Iss 1, Pp 1-11 (2022)
Abstract Modern money transfer services are convenient, attracting fraudulent actors to run scams in which victims are deceived into transferring funds to fraudulent accounts. Machine learning models are broadly applied due to the poor fraud detectio
Externí odkaz:
https://doaj.org/article/c0d692c5b62542a48bd0a54e247517e3
Publikováno v:
IEEE Access, Vol 10, Pp 86101-86116 (2022)
Detecting financial fraud to profile crimes and pinpoint system vulnerabilities is an essential issue in the financial industry. Because of interpretability requirements and the lack of mass transaction data due to privacy regulations, sophisticated
Externí odkaz:
https://doaj.org/article/c48825e9994043bc83536d3197e95b0e
Publikováno v:
IEEE Access, Vol 10, Pp 97030-97046 (2022)
A pairs trading strategy (PTS) constructs and monitors a stationary portfolio by shorting (longing) when the portfolio is adequately over- (under-)priced measured by a predetermined open threshold. We close this position to earn the price differences
Externí odkaz:
https://doaj.org/article/aee9964344844375a9db1eca67b8794d
Publikováno v:
Journal of Futures Markets. 42:2103-2134
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d63d902cad005256a3e6ecdb2190ba3c
https://doi.org/10.1002/fut.22370
https://doi.org/10.1002/fut.22370
Publikováno v:
Journal of Futures Markets. 42:1597-1638
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d1ec6d8b449a90198618a19867ec0047
https://doi.org/10.1002/fut.22359
https://doi.org/10.1002/fut.22359
Publikováno v:
Mathematical Problems in Engineering. 2022:1-20
Options can be priced by the lattice model, the results of which converge to the theoretical option value as the lattice’s number of time steps n approaches infinity. The time complexity of a common dynamic programming pricing approach on the latti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6ce6d5f3427efdc1f9d00ae18942f74
https://doi.org/10.1155/2022/5843491
https://doi.org/10.1155/2022/5843491
Publikováno v:
Review of Quantitative Finance and Accounting. 58:137-170
This paper proposes analytically vulnerable vanilla option pricing formulae that simultaneously consider the premature default, the correlation between the underlying asset and the issuer’s asset, and other outstanding debts of the issuer. Our pric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b348774b000d12791765952e15f60af8
https://doi.org/10.1007/s11156-021-00990-5
https://doi.org/10.1007/s11156-021-00990-5
Publikováno v:
Scientific reports. 12(1)
Modern money transfer services are convenient, attracting fraudulent actors to run scams in which victims are deceived into transferring funds to fraudulent accounts. Machine learning models are broadly applied due to the poor fraud detection perform
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c901860f4e80bee7f8ad654be6baca94
https://pubmed.ncbi.nlm.nih.gov/36302818
https://pubmed.ncbi.nlm.nih.gov/36302818
Publikováno v:
The North American Journal of Economics and Finance. 62:101772
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c683d730eb00f1c102dd67fc4d047b81
https://doi.org/10.1016/j.najef.2022.101772
https://doi.org/10.1016/j.najef.2022.101772
Autor:
Hao-Han Chang, Wen Yueh Shih, Jing You Lu, Hsu Chao Lai, Tian-Shyr Dai, Shen Hang Huang, Yi-Feng Chen, Jiun-Long Huang, Jun Zhe Wang
Publikováno v:
The Journal of Supercomputing
Pairs trading is an effective statistical arbitrage strategy considering the spread of paired stocks in a stable cointegration relationship. Nevertheless, rapid market changes may break the relationship (namely structural break), which further leads
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0f49390c907e911a8ef4b89063d8c44d
https://pubmed.ncbi.nlm.nih.gov/34421218
https://pubmed.ncbi.nlm.nih.gov/34421218