2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)最新文献_第2页

Trading Algorithms Built with Directional Changes 交易算法建立与方向变化

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759120

Han Ao, E. Tsang

引用次数: 9

Stock Price Range Forecast via a Recurrent Neural Network Based on the Zero-Crossing Rate Approach 基于零交叉率法的递归神经网络股票价格区间预测

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759061

Yu-Fei Lin, Yeong-Luh Ueng, W. Chung, Tzu-Ming Huang

引用次数: 4

Trading Strategies Evaluation Platform with Extensive Simulations 具有广泛模拟的交易策略评估平台

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759059

Yan Wang, Tsz Ho Lee, Run Fang Yu, Yi Xiang, Yang Liu, Zhi Bin Lei, Ka Yin Chau

引用次数: 1

Period adding bifurcations in dynamic pricing processes 在动态定价过程中增加分岔

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759118

Shuixiu Lu, S. Oberst, Guoqiang Zhang, Zongwei Luo

{"title":"Period adding bifurcations in dynamic pricing processes","authors":"Shuixiu Lu, S. Oberst, Guoqiang Zhang, Zongwei Luo","doi":"10.1109/CIFEr.2019.8759118","DOIUrl":"https://doi.org/10.1109/CIFEr.2019.8759118","url":null,"abstract":"Price information enables consumers to anticipate a price and to make purchasing decisions based on their price expectations, which are critical for agents with pricing decisions or price regulations. A company with pricing decisions can aim to optimise the short-term or the long-term revenue, each of which leads to different pricing strategies thereby different price expectations. Two key ingredients play important roles in the choosing of the short-term or the long-term optimisation objectives: the maximal revenue and the robustness of the chosen pricing strategy against market volatility. However the robustness is rarely identified in a volatile market. Here, we investigate the robustness of optimal pricing strategies with the short-term or long-term optimisation objectives through the analysis of nonlinear dynamics of price expectations. Bifurcation diagrams and period diagrams are introduced to compare the change in dynamics of the optomal pricing strategies. Our results highlight that period adding bifurcations occur during the dynamic pricing processes studied. These bifurcations would challenge the robustness of an optimal pricing strategy. The consideration of the long-term revenue allows a company to charge a higher price, which in turn increases the revenue. However, the consideration of the short-term revenue can reduce the occurrence of period adding bifurcations, contributing to a robust pricing strategy. For a company, this strategy is a robust guarantee of optimal revenue in a volatile market; for consumers, this strategy avoids rapid changes in price and reduce their dissatisfaction of price variations.","PeriodicalId":368382,"journal":{"name":"2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133945330","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

Chatbot Application on Cryptocurrency 加密货币的聊天机器人应用

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759121

Qitao Xie, Day-Yin Tan, Ting Zhu, Qingquan Zhang, Sheng Xiao, Junyu Wang, Beibei Li, Lei Sun, P. Yi

{"title":"Chatbot Application on Cryptocurrency","authors":"Qitao Xie, Day-Yin Tan, Ting Zhu, Qingquan Zhang, Sheng Xiao, Junyu Wang, Beibei Li, Lei Sun, P. Yi","doi":"10.1109/CIFEr.2019.8759121","DOIUrl":"https://doi.org/10.1109/CIFEr.2019.8759121","url":null,"abstract":"Many chatbots have been developed that provide a multitude of services through a wide range of methods. A chatbot is a brand-new conversational agent in the highspeed changing technology world. With the advance of Artificial Intelligence and machine learning, chatbots are becoming more and more popular. A chatbot is the extension of human interface mediums such as the phone and social platforms. Similarly, Cryptocurrency is a new extension of digital or virtual currency designed to work as a medium of exchange. In the current digital exchanging world, investors and interested parties are eager to know more information about, and the capabilites of, this new type of currency. One of the potential paths to retrieve the info automatically and quickly is through a chatbot. We explored the open source python library, Chatterbot, to apply Itchat API (a WeChat interface) with the aim of building a robot chatting application, I&C Chat, on the topic of cryptocurrency. First, we collected question and answer pairs datasets from Quora websites. Furthermore, we also created API calls to query the real time quote for the top 25 cryptocurrencies. Then we used the collected data to train our chatbot and implemented a logic adapter to receive the price quote of cryptocurrencies based on the incoming question. The Itchat API method will return the best matched answer to the asking party automatically. The response time of different questions has been investigated. The results imply that this application is quite useful, feasible and beneficial to the digital currency world.","PeriodicalId":368382,"journal":{"name":"2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","volume":"97 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127999994","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: 10

HMM-based TTS System Framework 基于hmm的TTS系统框架

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759128

Saly Keo, Soky Kak, Y. Shiga, H. Kato, H. Kawai

引用次数: 0

Word-level Sentiment Visualizer for Financial Documents 财务文件的词级情感可视化工具

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759116

Tomoki Ito, K. Tsubouchi, Hiroki Sakaji, Tatsuo Yamashita, K. Izumi

{"title":"Word-level Sentiment Visualizer for Financial Documents","authors":"Tomoki Ito, K. Tsubouchi, Hiroki Sakaji, Tatsuo Yamashita, K. Izumi","doi":"10.1109/CIFEr.2019.8759116","DOIUrl":"https://doi.org/10.1109/CIFEr.2019.8759116","url":null,"abstract":"It has a great demand for automatically visualizing word-level sentiment scores in financial documents in the form that even non-experts can briefly understand documents. In this paper, we aim to develop a method for automatically visualizing the original word-level sentiment (i.e., word-level sentiment before considering the contexts in a document) and the contextual word-level sentiment (i.e., word-level sentiment after considering the contexts in a document) of each term in a document. To achieve this aim, we develop a method for assigning both original and contextual word-level sentiment scores to words using the Layer-wise Relevance Propagation (LRP) method. The LRP based approach can consider the contextual information in assigning original and contextual sentiments to words, in contrast to the other approaches. Using synthetic and real financial textual datasets, we demonstrated the validity of our LRP based approach. Moreover, we propose two types of novel text-visualization frameworks: local word-level sentiment visualization (LWSV) and global word-level sentiment visualization (GWSV). The LWSV visualizes both original and contextual word-level sentiment of each term in a document. The GWSV visualizes both original and contextual word-level sentiments of documents in concept units. These types of text-visualization should be helpful for understanding financial documents quickly.","PeriodicalId":368382,"journal":{"name":"2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126190971","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

A novel credit scoring framework for auto loan using an imbalanced-learning-based reject inference 基于不平衡学习的拒绝推理的汽车贷款信用评分框架

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759110

Yanzhe Kang, Runbang Cui, Jiang Deng, Ning Jia

引用次数: 5

Optimizing reserve prices for publishers in online ad auctions 优化在线广告拍卖中出版商的保留价格

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759123

Jason Rhuggenaath, A. Akçay, Yingqian Zhang, U. Kaymak

引用次数: 14

Flows of information have changed: Do financial markets remain efficient ? 信息流已经改变:金融市场仍然有效吗?

2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2019-05-01 DOI: 10.1109/CIFEr.2019.8759129

David Batista Soares, A. Bretto, Joël Priolon

{"title":"Flows of information have changed: Do financial markets remain efficient ?","authors":"David Batista Soares, A. Bretto, Joël Priolon","doi":"10.1109/CIFEr.2019.8759129","DOIUrl":"https://doi.org/10.1109/CIFEr.2019.8759129","url":null,"abstract":"This paper develops a dynamic model of a financial market, using some properties of the formalism of quantum physics. The model aims to take into account several aspects of modern financial markets: Trades take place sequentially and prices change very often in a never ending movement; The state of the market evolves incessantly, the stream of financial information is renewed permanently, and each agent influences the price when he sends an order that is aggregated in a central order book (reciprocally the state of the market influences the decisions of agents). We consider that information is fully and freely available. An essential feature of the model is that information is partitioned in two subsets: Information is effective when it can be processed by an algorithm; If it cannot be processed by an algorithm, it is non-effective. We study the conditions on the nature and the structure of information that make it possible for the market to be efficient or at least powerful. A market is efficient (precisely semi-strong efficient) when the non effective information is negligible compared to effective information. A market is a powerful tool when it integrates information better than any independent agent deciding separately; we call that power the computational strength of the market. We also show that even without semi-strong efficiency, during a bubble, there is a period when the market can keep its computational strength.","PeriodicalId":368382,"journal":{"name":"2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","volume":"284 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132062346","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