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2010 2nd IEEE International Conference on Information and Financial Engineering最新文献

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Combined model of empirical study for credit risk management 结合模型对信用风险管理的实证研究
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609281
Han Lu, Han Liyan, Z. Hongwei
{"title":"Combined model of empirical study for credit risk management","authors":"Han Lu, Han Liyan, Z. Hongwei","doi":"10.1109/ICIFE.2010.5609281","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609281","url":null,"abstract":"In this paper, we studied the two most commonly used artificial intelligence methods (Multilayer Perceptron and Radial Basis Function network) to build the credit scoring model of applications, and analyzed the most important restraining factors of the applications of neural network which is the exponential increase in the variables bringing the model over-complex. On this basis, the author combines econometric analysis of the experience, through logistic regression the model can filter the variables with a high degree of correlation, which greatly reduces the complexity of the model, while the model has a better explanation, and thus improve the effect of neural network prediction models. The method can also be used for a variety of artificial intelligence applications to improve forecast model results.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126212992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The risk measurement of stock index futures based on the CVaR-SV-N model 基于CVaR-SV-N模型的股指期货风险度量
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609434
Wang Lina
{"title":"The risk measurement of stock index futures based on the CVaR-SV-N model","authors":"Wang Lina","doi":"10.1109/ICIFE.2010.5609434","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609434","url":null,"abstract":"CVaR-SV-N model can be used to describe the characters of the stock index futures return, such as peaks, thick tails and volatility clustering. The paper apply the CVaR-SV-N model to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1012). The conclusion is that fluctuations of CVaR forecast earnings based on SV-N model is in compliance with the trend of the original returns. The accurate CVaR test reveals that the accuracy of CVaR forecast earnings under 95% confidence level is dramatic, that is, the CVaR-SV-N model can predict the risk accurately.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121693970","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Research and application of message bus in EAM system 消息总线在EAM系统中的研究与应用
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609413
Chong-shan Ran, Yong Song
{"title":"Research and application of message bus in EAM system","authors":"Chong-shan Ran, Yong Song","doi":"10.1109/ICIFE.2010.5609413","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609413","url":null,"abstract":"Deficiencies of difficulty to maintenance and poor extendibility existed in EAM (enterprise asset management) system's application are discussed, a message bus-based scheme is proposed to solve the problem. The scheme uses the message bus as a connector to connect components in the system. Message bus can make the components transparent to each other, which can make it's easy to add, replace or delete a component, and realize system's maintenance and expansion. The scheme is used to develop EAM system. The results show that this method can improve the system's maintainability and extendibility significantly.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121808732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis on Betrand model of oligopoly market 寡头垄断市场的Betrand模型分析
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609489
Shi Hong-yan, X. Zhen, Chen Zhongju
{"title":"Analysis on Betrand model of oligopoly market","authors":"Shi Hong-yan, X. Zhen, Chen Zhongju","doi":"10.1109/ICIFE.2010.5609489","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609489","url":null,"abstract":"To analyse the pricing strategy of oligopoly market more accurately and more perfectly, analysis on Betrand model of complete information and dynamic decision, Betrand complete information model of multi-oligopolies market, and Betrand incomplete information model of multi-oligopolies market are put forward through analysing the domestic oligopoly market and researching traditional Bertrand model deeply. And the Nash equilibrium of these new models is deduced. These provide more perfect analysis methods for the prices' competition of the market environment for the new period.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121949014","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Notice of RetractionImpact of decision preference on outsourcing service competition equilibrium 决策偏好对外包服务竞争均衡的影响
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609414
Zhang Lianyao, Wu Huiqiu, Li Yan
{"title":"Notice of RetractionImpact of decision preference on outsourcing service competition equilibrium","authors":"Zhang Lianyao, Wu Huiqiu, Li Yan","doi":"10.1109/ICIFE.2010.5609414","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609414","url":null,"abstract":"The paper analyzes the equilibrium of outsourcing service competition with decision preference. Constructing the contest model of outsourcing service competition, it explores the impact of decision preference on the equilibrium. The conclusion shows that the decision preference not only makes the equilibrium service level of the suppliers different, but also almost impact on both total equilibrium service level of the suppliers and the equilibrium average service level acquired by the purchaser. When the purchaser is disable to make by itself, it will diminish the equilibrium service level and total equilibrium service level of the suppliers if it prefers some supplier excessively, which have the same impact on the equilibrium average service level acquired by the purchaser.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122664337","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Notice of RetractionEarnings management of commercial banks in China 关于撤销中国商业银行盈余管理的通知
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609292
Xu Feng, Wang Wei
{"title":"Notice of RetractionEarnings management of commercial banks in China","authors":"Xu Feng, Wang Wei","doi":"10.1109/ICIFE.2010.5609292","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609292","url":null,"abstract":"This paper studied earnings management by commercial banks in China. Based on the data of public commercial banks in Chinese stock market from 2005 to 2008, frequency distribution diagram and Z test were used to explore whether banks' executives managed earnings for avoiding earnings losses. The frequency diagram of EPS supported that banks' executives managed earnings for avoiding earnings losses. The Z test partially supported it. Therefore, conclusion was made that commercial banks in China manipulated reported earnings through making small negative earnings into small positive earnings.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121523475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Investment structure characteristics of China securities investment fund based on the complex networks 基于复杂网络的中国证券投资基金投资结构特征
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609314
Jinqun Zeng, Jianmei Yang, Weicong Xie
{"title":"Investment structure characteristics of China securities investment fund based on the complex networks","authors":"Jinqun Zeng, Jianmei Yang, Weicong Xie","doi":"10.1109/ICIFE.2010.5609314","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609314","url":null,"abstract":"First, this paper constructs the semi-annual stock-fund bipartite networks models according to detail data of funds and stocks held by the fund from June 2000 ~ June 2009 in china. Then, some static and dynamic characteristics of stocks held by the fund centralized and decentralized are analyzed combination of network topology index. Stock Selection Fund (the top node) of the overall statistical characteristics of basic obedience stretched exponential distribution, fund holdings (bottom node) of the overall statistical characteristics of time are exponentially distributed, power law tail of the distribution of different forms of distribution. Finally, The formation mechanism of these distributions are analyzed and discussed by financial theory and formation mechanism of complex network theory.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"136 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123169833","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Performance investigation and comparison of two evolutionary algorithms in portfolio optimization: Genetic and particle swarm optimization 遗传算法和粒子群算法在投资组合优化中的性能研究与比较
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609394
A. Talebi, M. Molaei, M. Sheikh
{"title":"Performance investigation and comparison of two evolutionary algorithms in portfolio optimization: Genetic and particle swarm optimization","authors":"A. Talebi, M. Molaei, M. Sheikh","doi":"10.1109/ICIFE.2010.5609394","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609394","url":null,"abstract":"Contrary to the growing use of portfolios and in spite of its rich literature, there are some problems and unanswered questions. The aim of this work is to be a useful instrument for helping fin anco practitioners and researchers with the portfolio selection problem. This study first reviews Modern Portfolio Theory's literature and describes the investment selection process. Second, this paper specifically aims at applying efficient optimization methods for solving the portfolio selection problem. Hence, the genetic algorithm and the particle swarm optimization (PSO) approaches to resolve the portfolio selection problem with the objective of simultaneous risk minimization/return maximization are applied. Computational analyses are provided so as to investigate the performance of the algorithms and the input data. Therefore, at one step, four different portfolios are selected from Tehran Stock Exchange market, 50 top companies (Annual and monthly-based portfolios). Finally, this paper applies the selected portfolios to the stock market data of a 10-month period proceeding portfolios constructions. The results indicate that, the genetic annual-based portfolio has the best performance in contrast to its other counterparts; it outperforms the average return of market portfolio in a relatively short period. Moreover, PSO annual-based portfolio has a relatively good performance and could achieve the market portfolio's return during the test period. Findings show that using annual data is more efficient than the monthly data. On the whole, the results show that the evolutionary methods of this paper with annual data, can consistently handle the practical portfolio selection problem.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125559115","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Detecting the macroeconomic factors in Chinese stock market returns: A generalized dynamic factor model approach 中国股市收益的宏观经济因素检测:一种广义动态因素模型方法
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609278
Xue Chen, Xuejun Jin
{"title":"Detecting the macroeconomic factors in Chinese stock market returns: A generalized dynamic factor model approach","authors":"Xue Chen, Xuejun Jin","doi":"10.1109/ICIFE.2010.5609278","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609278","url":null,"abstract":"This paper studies the macroeconomic factors in the stock market returns within a generalized dynamic factor approach This method enables us to summarize a large amount of economic information by few estimated factors and therefore avoids dimensional limitation of VAR or VEC model in this field. We pick out 78 series from the monthly economy indicators and financial variables in China spanning from 2005 to 2009 and find that latent macroeconomic factors — the “risk premium,” the “credit supply” and the “demand factor combined with the economic policy measures” -contain important information about the returns in Chinese stock market while the supply factor affects via risk premium on the following period.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131865778","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
An empirical study on the existence of bubble in Chinese stock market: Based on TGARCH model 中国股市泡沫存在的实证研究——基于TGARCH模型
2010 2nd IEEE International Conference on Information and Financial Engineering Pub Date : 2010-10-25 DOI: 10.1109/ICIFE.2010.5609256
Lin Nan, Lu Hong, Qin Zheng
{"title":"An empirical study on the existence of bubble in Chinese stock market: Based on TGARCH model","authors":"Lin Nan, Lu Hong, Qin Zheng","doi":"10.1109/ICIFE.2010.5609256","DOIUrl":"https://doi.org/10.1109/ICIFE.2010.5609256","url":null,"abstract":"This paper collected the closing price index of Shanghai Stock Exchange from Jan. 3, 2005 to Mar. 29, 2010 as the initial data for the study, and adopted TGARCH model to analyze the volatility of financial risk within China Mainland stock market through these five years around the international financial crisis, and discussed the existence of bubble in Chinese Mainland stock market.","PeriodicalId":107970,"journal":{"name":"2010 2nd IEEE International Conference on Information and Financial Engineering","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128242761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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