arXiv - QuantFin - General Finance最新文献_第4页

Study of the Impact of the Big Data Era on Accounting and Auditing 大数据时代对会计和审计的影响研究

arXiv - QuantFin - General Finance Pub Date : 2024-03-11 DOI: arxiv-2403.07180

Yuxiang Sun, Jingyi Li, Mengdie Lu, Zongying Guo

引用次数: 0

Capital Structure Adjustment Speed and Expected Returns: Examination of Information Asymmetry as a Moderating Role 资本结构调整速度与预期回报：检验信息不对称的调节作用

arXiv - QuantFin - General Finance Pub Date : 2024-03-09 DOI: arxiv-2403.06035

Masoud Taherinia, Mehrdad Matin, Jamal Valipour, Kavian Abdolahi, Peyman Shouryabi, Mohammad Mahdi Barzegar

引用次数: 0

Testing Business Cycle Theories: Evidence from the Great Recession 检验商业周期理论：大衰退的证据

arXiv - QuantFin - General Finance Pub Date : 2024-03-06 DOI: arxiv-2403.04104

Bo Li

引用次数: 0

Assessing the Efficacy of Heuristic-Based Address Clustering for Bitcoin 评估基于启发式的比特币地址聚类的有效性

arXiv - QuantFin - General Finance Pub Date : 2024-03-01 DOI: arxiv-2403.00523

Hugo Schnoering, Pierre Porthaux, Michalis Vazirgiannis

{"title":"Assessing the Efficacy of Heuristic-Based Address Clustering for Bitcoin","authors":"Hugo Schnoering, Pierre Porthaux, Michalis Vazirgiannis","doi":"arxiv-2403.00523","DOIUrl":"https://doi.org/arxiv-2403.00523","url":null,"abstract":"Exploring transactions within the Bitcoin blockchain entails examining the\u0000transfer of bitcoins among several hundred million entities. However, it is\u0000often impractical and resource-consuming to study such a vast number of\u0000entities. Consequently, entity clustering serves as an initial step in most\u0000analytical studies. This process often employs heuristics grounded in the\u0000practices and behaviors of these entities. In this research, we delve into the\u0000examination of two widely used heuristics, alongside the introduction of four\u0000novel ones. Our contribution includes the introduction of the\u0000textit{clustering ratio}, a metric designed to quantify the reduction in the\u0000number of entities achieved by a given heuristic. The assessment of this\u0000reduction ratio plays an important role in justifying the selection of a\u0000specific heuristic for analytical purposes. Given the dynamic nature of the\u0000Bitcoin system, characterized by a continuous increase in the number of\u0000entities on the blockchain, and the evolving behaviors of these entities, we\u0000extend our study to explore the temporal evolution of the clustering ratio for\u0000each heuristic. This temporal analysis enhances our understanding of the\u0000effectiveness of these heuristics over time.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140034510","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

Manager Characteristics and SMEs' Restructuring Decisions: In-Court vs. Out-of-Court Restructuring 管理者特征与中小企业的重组决策：庭内重组与庭外重组

arXiv - QuantFin - General Finance Pub Date : 2024-02-28 DOI: arxiv-2402.18135

Rachid AchbahUL2 UFR SEG

引用次数: 0

A Heterogeneous Agent Model of Mortgage Servicing: An Income-based Relief Analysis 抵押贷款服务的异质代理模型：基于收入的救济分析

arXiv - QuantFin - General Finance Pub Date : 2024-02-27 DOI: arxiv-2402.17932

Deepeka Garg, Benjamin Patrick Evans, Leo Ardon, Annapoorani Lakshmi Narayanan, Jared Vann, Udari Madhushani, Makada Henry-Nickie, Sumitra Ganesh

{"title":"A Heterogeneous Agent Model of Mortgage Servicing: An Income-based Relief Analysis","authors":"Deepeka Garg, Benjamin Patrick Evans, Leo Ardon, Annapoorani Lakshmi Narayanan, Jared Vann, Udari Madhushani, Makada Henry-Nickie, Sumitra Ganesh","doi":"arxiv-2402.17932","DOIUrl":"https://doi.org/arxiv-2402.17932","url":null,"abstract":"Mortgages account for the largest portion of household debt in the United\u0000States, totaling around $12 trillion nationwide. In times of financial\u0000hardship, alleviating mortgage burdens is essential for supporting affected\u0000households. The mortgage servicing industry plays a vital role in offering this\u0000assistance, yet there has been limited research modelling the complex\u0000relationship between households and servicers. To bridge this gap, we developed\u0000an agent-based model that explores household behavior and the effectiveness of\u0000relief measures during financial distress. Our model represents households as adaptive learning agents with realistic\u0000financial attributes. These households experience exogenous income shocks,\u0000which may influence their ability to make mortgage payments. Mortgage servicers\u0000provide relief options to these households, who then choose the most suitable\u0000relief based on their unique financial circumstances and individual\u0000preferences. We analyze the impact of various external shocks and the success\u0000of different mortgage relief strategies on specific borrower subgroups. Through this analysis, we show that our model can not only replicate\u0000real-world mortgage studies but also act as a tool for conducting a broad range\u0000of what-if scenario analyses. Our approach offers fine-grained insights that\u0000can inform the development of more effective and inclusive mortgage relief\u0000solutions.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140005623","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

Securing Transactions: A Hybrid Dependable Ensemble Machine Learning Model using IHT-LR and Grid Search 确保交易安全：使用 IHT-LR 和网格搜索的混合可靠集合机器学习模型

arXiv - QuantFin - General Finance Pub Date : 2024-02-22 DOI: arxiv-2402.14389

Md. Alamin Talukder, Rakib Hossen, Md Ashraf Uddin, Mohammed Nasir Uddin, Uzzal Kumar Acharjee

{"title":"Securing Transactions: A Hybrid Dependable Ensemble Machine Learning Model using IHT-LR and Grid Search","authors":"Md. Alamin Talukder, Rakib Hossen, Md Ashraf Uddin, Mohammed Nasir Uddin, Uzzal Kumar Acharjee","doi":"arxiv-2402.14389","DOIUrl":"https://doi.org/arxiv-2402.14389","url":null,"abstract":"Financial institutions and businesses face an ongoing challenge from\u0000fraudulent transactions, prompting the need for effective detection methods.\u0000Detecting credit card fraud is crucial for identifying and preventing\u0000unauthorized transactions.Timely detection of fraud enables investigators to\u0000take swift actions to mitigate further losses. However, the investigation\u0000process is often time-consuming, limiting the number of alerts that can be\u0000thoroughly examined each day. Therefore, the primary objective of a fraud\u0000detection model is to provide accurate alerts while minimizing false alarms and\u0000missed fraud cases. In this paper, we introduce a state-of-the-art hybrid\u0000ensemble (ENS) dependable Machine learning (ML) model that intelligently\u0000combines multiple algorithms with proper weighted optimization using Grid\u0000search, including Decision Tree (DT), Random Forest (RF), K-Nearest Neighbor\u0000(KNN), and Multilayer Perceptron (MLP), to enhance fraud identification. To\u0000address the data imbalance issue, we employ the Instant Hardness Threshold\u0000(IHT) technique in conjunction with Logistic Regression (LR), surpassing\u0000conventional approaches. Our experiments are conducted on a publicly available\u0000credit card dataset comprising 284,807 transactions. The proposed model\u0000achieves impressive accuracy rates of 99.66%, 99.73%, 98.56%, and 99.79%, and a\u0000perfect 100% for the DT, RF, KNN, MLP and ENS models, respectively. The hybrid\u0000ensemble model outperforms existing works, establishing a new benchmark for\u0000detecting fraudulent transactions in high-frequency scenarios. The results\u0000highlight the effectiveness and reliability of our approach, demonstrating\u0000superior performance metrics and showcasing its exceptional potential for\u0000real-world fraud detection applications.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"75 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139949019","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

Enhancing Security in Blockchain Networks: Anomalies, Frauds, and Advanced Detection Techniques 增强区块链网络的安全性：异常、欺诈和高级检测技术

arXiv - QuantFin - General Finance Pub Date : 2024-02-17 DOI: arxiv-2402.11231

Joerg Osterrieder, Stephen Chan, Jeffrey Chu, Yuanyuan Zhang, Branka Hadji Misheva, Codruta Mare

{"title":"Enhancing Security in Blockchain Networks: Anomalies, Frauds, and Advanced Detection Techniques","authors":"Joerg Osterrieder, Stephen Chan, Jeffrey Chu, Yuanyuan Zhang, Branka Hadji Misheva, Codruta Mare","doi":"arxiv-2402.11231","DOIUrl":"https://doi.org/arxiv-2402.11231","url":null,"abstract":"Blockchain technology, a foundational distributed ledger system, enables\u0000secure and transparent multi-party transactions. Despite its advantages,\u0000blockchain networks are susceptible to anomalies and frauds, posing significant\u0000risks to their integrity and security. This paper offers a detailed examination\u0000of blockchain's key definitions and properties, alongside a thorough analysis\u0000of the various anomalies and frauds that undermine these networks. It describes\u0000an array of detection and prevention strategies, encompassing statistical and\u0000machine learning methods, game-theoretic solutions, digital forensics,\u0000reputation-based systems, and comprehensive risk assessment techniques. Through\u0000case studies, we explore practical applications of anomaly and fraud detection\u0000in blockchain networks, extracting valuable insights and implications for both\u0000current practice and future research. Moreover, we spotlight emerging trends\u0000and challenges within the field, proposing directions for future investigation\u0000and technological development. Aimed at both practitioners and researchers,\u0000this paper seeks to provide a technical, in-depth overview of anomaly and fraud\u0000detection within blockchain networks, marking a significant step forward in the\u0000search for enhanced network security and reliability.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139909774","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

Regulating Cryptocurrency and Decentralized Finance for an Inclusive Economy 监管加密货币和去中心化金融，实现包容性经济

arXiv - QuantFin - General Finance Pub Date : 2024-02-15 DOI: arxiv-2407.01532

Amrutha Muralidhar, Muralidhar Lakkanna

{"title":"Regulating Cryptocurrency and Decentralized Finance for an Inclusive Economy","authors":"Amrutha Muralidhar, Muralidhar Lakkanna","doi":"arxiv-2407.01532","DOIUrl":"https://doi.org/arxiv-2407.01532","url":null,"abstract":"The evolution of cryptocurrency and decentralized finance (DeFi) marks a\u0000significant shift in the financial landscape, making it more accessible,\u0000inclusive, and participative for various societal groups. However, this\u0000transition from traditional financial institutions to DeFi demands a meticulous\u0000policy framework that strikes a balance between innovation and safeguarding\u0000consumer interests, security, and regulatory compliance. In this script we\u0000explore the imperative need for regulatory frameworks overseeing\u0000cryptocurrencies and DeFi, aiming to leverage their potential for inclusive\u0000economic advancement. It underscores the prevalent challenges within\u0000conventional financial systems, juxtaposing them with the transformative\u0000potential offered by these emergent financial paradigms. By highlighting the\u0000role of robust regulations, we examine their capacity to ensure user security,\u0000fortify market resilience, and spur innovative strides. We aim to proffer\u0000viable strategies for formulating regulatory structures that harmonize the twin\u0000objectives of fostering innovation and upholding fairness within financial\u0000ecosystems.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"227 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141517608","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

The UK Universities Superannuation Scheme valuations 2014-2023: gilt yield dependence, self-sufficiency and metrics 英国大学退休金计划 2014-2023 年估值：金边债券收益率依赖性、自给自足性和衡量标准

arXiv - QuantFin - General Finance Pub Date : 2024-02-08 DOI: arxiv-2403.08811

Jackie Grant

{"title":"The UK Universities Superannuation Scheme valuations 2014-2023: gilt yield dependence, self-sufficiency and metrics","authors":"Jackie Grant","doi":"arxiv-2403.08811","DOIUrl":"https://doi.org/arxiv-2403.08811","url":null,"abstract":"This review considers the Universities Superannuation Scheme (USS) valuations\u0000from 2014 to 2023. USS is a 70-80 billion GBP Defined Benefit pension scheme\u0000with over 500,000 members who are employed (or have been employed) at around 70\u0000UK universities. Disputes over USS have led to a decade of industrial action.\u0000New results are presented showing the high dependence of USS pension\u0000contributions on the return from UK government bonds (the gilt yield). The two\u0000conditions of the USS-specific 'self-sufficiency' (SfS) definition are\u0000examined. USS data are presented along with new analysis. It is shown that the\u0000second SfS condition of 'maintaining a high funding ratio' dominates USS\u0000modelling to amplify gilt yield dependence, inflating the SfS liabilities\u0000beyond the regulatory requirements, and leading to excessive prudence. The Red,\u0000Amber and Green status of USS metrics 'Actual' and 'Target' Reliance are also\u0000examined. It is shown that Target Reliance tethers the cost of future pensions\u0000to the SfS definition and that Actual Reliance can simultaneously be Green and\u0000Red. Implications for regulatory intervention are considered. An aim of this\u0000review is to support evidence-based decision making and consensus building.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"241 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140150977","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