Intell. Syst. Account. Finance Manag.最新文献_第6页

The relevance of trends for predictions of stock returns 趋势与股票收益预测的相关性

Intell. Syst. Account. Finance Manag. Pub Date : 2000-03-01 DOI: 10.1002/(SICI)1099-1174(200003)9:1%3C23::AID-ISAF178%3E3.0.CO;2-U

T. Hellström, K. Holmström

{"title":"The relevance of trends for predictions of stock returns","authors":"T. Hellström, K. Holmström","doi":"10.1002/(SICI)1099-1174(200003)9:1%3C23::AID-ISAF178%3E3.0.CO;2-U","DOIUrl":"https://doi.org/10.1002/(SICI)1099-1174(200003)9:1%3C23::AID-ISAF178%3E3.0.CO;2-U","url":null,"abstract":"Whfkqlfdo suhglfwlrq ri vwrfn uhwxuqv lv nqrzq wr eh dq h{wuhpho| gl!fxow sureohp1 Lq wklv uhsruw zh xvh wkh frqfhsw ri wuhqgv dv suhglfwru yduldeohv1 D vwdwlvwlfdo lqyhvwljdwlrq ri wkh uhohydqfh ri d wuhqg frqfhsw iru suhglfwlrqv ri ixwxuh uhwxuqv lv suhvhqwhg iru lqglylgxdo vwrfnv rq wkh Vzhglvk vwrfn pdunhw1 Qhjdwlyh fruuhodwlrq iru vwurqj qhjdwlyh wuhqgv lv vkrzq1 Wkh ryhudoo fruuhodwlrq ehwzhhq wuhqgv dqg ixwxuh uhwxuqv lv krzhyhu irxqg wr eh yhu| zhdn1 Wuhqg yduldeohv duh ixuwkhu xvhg dv lqsxw yduldeohv lq d n0qhduhvw qhljkeru dqdo|vlv wr qg sdwwhuqv ri wuhqg ydoxhv wkdw uhvxow lq qrq0udqgrp ixwxuh uhwxuqv1 Wkh n0qhduhvw qhljkeru dojrulwkp lv h{whqghg zlwk d vhohfwlrq surfhgxuh wr qg uhjlrqv lq wkh lqsxw vsdfh zkhuh wkh ixwxuh uhwxuqv duh qrq0v|pphwulfdoo| glvwulexwhg1 Wkh qhz dojrulwkp lv vxffhvvixoo| whvwhg rq duwl fldo vwrfn gdwd zlwk wuhqglqj sdwwhuqv lqwurgxfhg1 Wkh dojrulwkp lv dovr dssolhg wr d qxpehu ri qdwlrqdo vwrfn lqgh{hv= wkh Dphulfdq Grz Mrqhv/ wkh Jhupdq GD[/ wkh Eulwlvk IWVH/ dqg wkh Vzhglvk Jhqhudolqgh{1 Wkh uhvxowv duh srvlwyh iru vrph ri wkh whvwhg lqgh{hv dqg qhjdwlyh iru rwkhuv1 Ixuwkhu whvwv pxvw eh frqgxfwhg lq rughu wr jlyh vwdwlvwlfdoo| vljql fdqw uhvxowv1 Wkh vxjjhvwhg dojrulwkp dovr kdv qdwxudo dssolfdwlrq lq duhdv rwkhu wkdq vwrfn suhglfwlrq1 Lw dgguhvvhv vlwxdwlrqv lq zklfk wkh ryhudoo suhglfwdelolw| lv orz dqg fdq rqo| eh h{shfwhg wr dsso| lq lqghwhuplqdwh uhjlrqv ri wkh lqsxw vsdfh1","PeriodicalId":153549,"journal":{"name":"Intell. Syst. Account. Finance Manag.","volume":"500 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132196881","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: 16

Credit risk modeling strategies: the road to serfdom? 信用风险建模策略:通往奴役之路?

Intell. Syst. Account. Finance Manag. Pub Date : 1999-12-01 DOI: 10.1002/(SICI)1099-1174(199912)8:4%3C225::AID-ISAF162%3E3.0.CO;2-V

Dirk-Emma Baestaens

{"title":"Credit risk modeling strategies: the road to serfdom?","authors":"Dirk-Emma Baestaens","doi":"10.1002/(SICI)1099-1174(199912)8:4%3C225::AID-ISAF162%3E3.0.CO;2-V","DOIUrl":"https://doi.org/10.1002/(SICI)1099-1174(199912)8:4%3C225::AID-ISAF162%3E3.0.CO;2-V","url":null,"abstract":"This paper aims at presenting some practical issues in modeling default risk of a single commercial credit counterparty from the perspective of a large retail bank. We define default risk as the probability that a counterparty’s intrinsic credit quality deteriorates within a given time horizon such that contractual agreements cannot be honored. This work gives an insight into using scoring/rating models in a credit environment of a large European bank. Contrary to many banks, we did not define the segments in a first step with a view to developing the rating tools in a second step. Our approach has, to some extent, followed a different path. Iteratively, we both defined the borders for a particular segment and selected an appropriate rating tool. More particularly, customer segmentation has been carried out on the basis of various rating tools’ goodness-of-fit criteria. The topics cover customer segmentation using goodness-of-fit measures, data measurement levels and optimization algorithms, rating tool calibration to the central default tendency and communication to the end user. Copyright © 1999 John Wiley & Sons, Ltd.","PeriodicalId":153549,"journal":{"name":"Intell. Syst. Account. Finance Manag.","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114817331","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: 16

Dynamic aspects in neural classification 神经分类的动态方面

Intell. Syst. Account. Finance Manag. Pub Date : 1999-12-01 DOI: 10.1002/(SICI)1099-1174(199912)8:4%3C281::AID-ISAF175%3E3.0.CO;2-7

Carsten Lanquillon

引用次数: 11

Hedging derivative securities with genetic programming 用遗传规划方法对冲衍生证券

Intell. Syst. Account. Finance Manag. Pub Date : 1999-12-01 DOI: 10.1002/(SICI)1099-1174(199912)8:4%3C237::AID-ISAF174%3E3.0.CO;2-J

Shu-Heng Chen, Wo-Chiang Lee, C. Yeh

{"title":"Hedging derivative securities with genetic programming","authors":"Shu-Heng Chen, Wo-Chiang Lee, C. Yeh","doi":"10.1002/(SICI)1099-1174(199912)8:4%3C237::AID-ISAF174%3E3.0.CO;2-J","DOIUrl":"https://doi.org/10.1002/(SICI)1099-1174(199912)8:4%3C237::AID-ISAF174%3E3.0.CO;2-J","url":null,"abstract":"One of the most recent applications of GP to finance is to use genetic programming to derive option pricing formulas. Earlier studies take the Black–Scholes model as the true model and use the artificial data generated by it to train and to test GP. The aim of this paper is to provide some initial evidence of the empirical relevance of GP to option pricing. By using the real data from S&P 500 index options, we train and test our GP by distinguishing the case in-the-money from the case out-of-the-money. Unlike most empirical studies, we do not evaluate the performance of GP in terms of its pricing accuracy. Instead, the derived GP tree is compared with the Black–Scholes model in its capability to hedge. To do so, a notion of tracking error is taken as the performance measure. Based on the post-sample performance, it is found that in approximately 20% of the 97 test paths GP has a lower tracking error than the Black–Scholes formula. We further compare our result with the ones obtained by radial basis functions and multilayer perceptrons and one-stage GP. Copyright  1999 John Wiley & Sons, Ltd.","PeriodicalId":153549,"journal":{"name":"Intell. Syst. Account. Finance Manag.","volume":"384 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124773553","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: 30

An examination of the psychological traits that affect the ability of tax experts to communicate their expertise 对影响税务专家沟通专业知识能力的心理特征的研究

Intell. Syst. Account. Finance Manag. Pub Date : 1999-09-01 DOI: 10.1002/(SICI)1099-1174(199909)8:3%3C145::AID-ISAF171%3E3.0.CO;2-P

R. Michaelsen, Nancy B. Nichols

引用次数: 2

Risk assessment in internal auditing: a neural network approach 内部审计风险评估:神经网络方法

Intell. Syst. Account. Finance Manag. Pub Date : 1999-09-01 DOI: 10.1002/(SICI)1099-1174(199909)8:3%3C159::AID-ISAF169%3E3.0.CO;2-W

S. Ramamoorti, A. Bailey, Richard O. Traver

{"title":"Risk assessment in internal auditing: a neural network approach","authors":"S. Ramamoorti, A. Bailey, Richard O. Traver","doi":"10.1002/(SICI)1099-1174(199909)8:3%3C159::AID-ISAF169%3E3.0.CO;2-W","DOIUrl":"https://doi.org/10.1002/(SICI)1099-1174(199909)8:3%3C159::AID-ISAF169%3E3.0.CO;2-W","url":null,"abstract":"Risk assessment is a systematic process for integrating professional judgments about relevant risk factors, their relative significance and probable adverse conditions and/or events leading to identification of auditable activities (IIA, 1995, SIAS No. 9). Internal auditors utilize risk measures to allocate critical audit resources to compliance, operational, or financial activities within the organization (Colbert, 1995). In information rich environments, risk assessment involves recognizing patterns in the data, such as complex data anomalies and discrepancies, that perhaps conceal one or more error or hazard conditions (e.g. Coakley and Brown, 1996; Bedard and Biggs, 1991; Libby, 1985). This research investigates whether neural networks can help enhance auditors’ risk assessments. Neural networks, an emerging artificial intelligence technology, are a powerful non-linear optimization and pattern recognition tool (Haykin, 1994; Bishop, 1995). Several successful, real-world business neural network application decision aids have already been built (Burger and Traver, 1996). Neural network modeling may prove invaluable in directing internal auditor attention to those aspects of financial, operating, and compliance data most informative of high-risk audit areas, thus enhancing audit efficiency and effectiveness. This paper defines risk in an internal auditing context, describes contemporary approaches to performing risk assessments, provides an overview of the backpropagation neural network architecture, outlines the methodology adopted for conducting this research project including a Delphi study and comparison with statistical approaches, and presents preliminary results, which indicate that internal auditors could benefit from using neural network technology for assessing risk. Copyright © 1999 John Wiley & Sons, Ltd.","PeriodicalId":153549,"journal":{"name":"Intell. Syst. Account. Finance Manag.","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129526113","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: 52

A belief-function model for the representation and the combination of uncertain audit evidence 不确定审计证据表示与组合的信念函数模型

Intell. Syst. Account. Finance Manag. Pub Date : 1999-09-01 DOI: 10.1002/(SICI)1099-1174(199909)8:3%3C215::AID-ISAF167%3E3.0.CO;2-G

C. V. D. Acker

引用次数: 1

Multiagent systems for workflow 工作流的多代理系统

Intell. Syst. Account. Finance Manag. Pub Date : 1999-06-01 DOI: 10.1002/(SICI)1099-1174(199906)8:2%3C105::AID-ISAF163%3E3.0.CO;2-%23

Munindar P. Singh, M. Huhns

{"title":"Multiagent systems for workflow","authors":"Munindar P. Singh, M. Huhns","doi":"10.1002/(SICI)1099-1174(199906)8:2%3C105::AID-ISAF163%3E3.0.CO;2-%23","DOIUrl":"https://doi.org/10.1002/(SICI)1099-1174(199906)8:2%3C105::AID-ISAF163%3E3.0.CO;2-%23","url":null,"abstract":"Workflows are ubiquitous in business computing. They arise not only within an enterprise, but increasingly across enterprises as well—in situations such as virtual enterprises and applications such as supply-chain management. Although the importance of workflows as a basis for understanding and automating business activities is widely recognized, current workflow practice leaves much to be desired. To a large extent, this problem arises because of the rigidity of current technology, which does not accord well with the complex, heterogeneous, dynamic environments in which workflows are applied. Agent technology promises to alleviate many of these problems and hence enable adaptive workflows in realistic settings. We consider interaction-oriented programming (IOP), an approach to software engineering based on multiagent systems that we have been developing. We focus on one aspect of IOP, which deals with social commitments and enables agents to flexibly enact a multienterprise workflow by entering into and behaving according to their commitments to each other. The agents can cancel or modify their base-level commitments only if they satisfy the metacommitments that then go into effect.","PeriodicalId":153549,"journal":{"name":"Intell. Syst. Account. Finance Manag.","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133167477","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: 65

Algorithms for handling soft constraints and their applications to staff scheduling problems 处理软约束的算法及其在员工调度问题中的应用

Intell. Syst. Account. Finance Manag. Pub Date : 1999-06-01 DOI: 10.1002/(SICI)1099-1174(199906)8:2%3C119::AID-ISAF165%3E3.0.CO;2-N

Qi Zhao, R. Goebel

引用次数: 1

A validated expert system for decision making in corporate recovery 一个经过验证的企业复苏决策专家系统

Intell. Syst. Account. Finance Manag. Pub Date : 1999-06-01 DOI: 10.1002/(SICI)1099-1174(199906)8:2%3C75::AID-ISAF164%3E3.0.CO;2-T

P. Collier, S. Leech, N. Clark

引用次数: 32