International Journal of Financial Engineering最新文献_第10页

A simple concept with minimum steps for solving the transportation problem to obtain the lowest shipping cost 一个简单的概念，具有解决运输问题以获得最低运输成本的最小步骤

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International Journal of Financial Engineering Pub Date : 2022-07-20 DOI: 10.1142/s2424786322500177

V. Sangeetha, K. Thirusangu, P. Elumalai

引用次数: 1

Evaluating farmers’ credit risk: A decision combination approach based on credit feature 农户信用风险评估:基于信用特征的决策组合方法

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International Journal of Financial Engineering Pub Date : 2022-04-30 DOI: 10.1142/s2424786322500153

N. Chai, Baofeng Shi

{"title":"Evaluating farmers’ credit risk: A decision combination approach based on credit feature","authors":"N. Chai, Baofeng Shi","doi":"10.1142/s2424786322500153","DOIUrl":"https://doi.org/10.1142/s2424786322500153","url":null,"abstract":"The existing default discrimination models based on evaluation indicators are difficult to achieve higher credit risk identification performance of farmers’ default status under the situation of insufficient credit information and low correlation between indicators and default risk. Those models are difficult to find out the fundamental causes of farmers’ default risk. A credit risk discrimination model based on credit features strongly with default status is established to evaluate the farmer’s credit risk. Term frequency inverse document frequency and sentiment dictionary analysis method are used to quantify long text indicators, then the K-means method is used to Boolean the numerical data. The APRIORI algorithm is used to mine the credit features strongly associated with the default status. Finally, the default status of farmers is judged based on those credit features. The model is detailed using actual bank data from 2044 farmers within China. According to the five-evaluation criterion of AUC, F1-score, Type II-error, Balance error rate and G-mean, the empirical results show that the ability of the credit risk discrimination model with credit features is higher than that of the model based on evaluation indicators. This finding provides a new idea for commercial banks to measure the default risk of farmers, and provides a reference for the formulation of strategies to enhance farmers’ credit.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43550430","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

Optimal exercise frontier of Bermudan options by simulation methods 百慕大期权的模拟最优行使边界

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International Journal of Financial Engineering Pub Date : 2022-04-14 DOI: 10.1142/s242478632250013x

Dejun Xie, David A. Edwards, Xiaoxia Wu

引用次数: 1

A new attention-based LSTM model for closing stock price prediction 基于注意力的LSTM收盘价格预测新模型

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International Journal of Financial Engineering Pub Date : 2022-04-13 DOI: 10.1142/s2424786322500141

Yuyang Lin, Qi Huang, Qiyin Zhong, Muyang Li, Yan Li, Fei Ma

引用次数: 0

Impact of advertising expenditure on firm performance: Evidence from listed companies of Pakistan 广告支出对公司业绩的影响：来自巴基斯坦上市公司的证据

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International Journal of Financial Engineering Pub Date : 2022-03-30 DOI: 10.1142/s2424786322500128

H. H. Mirza, H. Hussain, Warda Gull

引用次数: 1

Impact analysis of macro-economic factors on non-life insurance sector in India 宏观经济因素对印度非寿险业的影响分析

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International Journal of Financial Engineering Pub Date : 2022-03-30 DOI: 10.1142/s2424786322500116

Abhijit Chakraborty, A. Das

引用次数: 0

Machine learning in finance: Major applications, issues, metrics, and future trends 金融中的机器学习:主要应用、问题、指标和未来趋势

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International Journal of Financial Engineering Pub Date : 2022-03-26 DOI: 10.1142/s2424786322500104

Nawaf Almaskati

引用次数: 1

Reactive search-MST optimized clustering-based feature selection 基于反应搜索MST优化聚类的特征选择

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International Journal of Financial Engineering Pub Date : 2022-03-23 DOI: 10.1142/s2424786322500098

A. Kaleemullah, A. Suresh

{"title":"Reactive search-MST optimized clustering-based feature selection","authors":"A. Kaleemullah, A. Suresh","doi":"10.1142/s2424786322500098","DOIUrl":"https://doi.org/10.1142/s2424786322500098","url":null,"abstract":"Data clustering is a technique for analyzing the data that is incurred in various fields such as data processing, pattern recognition, knowledge discovery and machine learning. Feature clustering is an important paradigm for different types of feature selection techniques that aims to reduce redundant and irrelevant features from a given set of features in order to maintain load balance on the classification algorithm. The work proposed a PSO–GSO–MST, a hybrid approach that combines Particle Swarm Optimization (PSO) and Glowworm Swarm Optimization (GSO). The work performs efficient feature selection with improved classification accuracy. Clustering analysis plays an important role in knowledge discovery and data mining. It adopts the unsupervised learning method, and the results of clustering are similar within the class and are different between the classes. Aiming at some shortcomings of traditional clustering algorithms, some techniques for clustering using natural heuristic algorithms have emerged. The proposed work performs cluster using optimized Minimum Spanning Tree (MST). The work aims to perform optimization of MST with the help of two renowned techniques such as PSO and GSO. The proposed PSO–GSO–MST is compared with state-of-the-art algorithms such as Clustering-based Feature Selection (CFS) and PSO–MST. The results show that the classification accuracy for the proposed PSO–GSO–MST performs better by 16.9% than CFS and by 4.7% than PSO–MST optimized CFS, respectively. The outcome of the work proves that the proposed algorithm achieves improved performance than the currently available algorithms and can be used for clustering applications.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46378100","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

Impact of AI on employment in manufacturing industry 人工智能对制造业就业的影响

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International Journal of Financial Engineering Pub Date : 2022-03-23 DOI: 10.1142/s2424786321410139

Shuai Shao, Zhanzhong Shi, Yirong Shi

引用次数: 0

Investigation on transition of RMB forward exchange rate pricing mechanism based on error correction model with structural mutation 基于结构突变误差修正模型的人民币远期汇率定价机制变迁研究

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International Journal of Financial Engineering Pub Date : 2022-03-17 DOI: 10.1142/s2424786322500062

Hua Wang, Junjun Zhu

{"title":"Investigation on transition of RMB forward exchange rate pricing mechanism based on error correction model with structural mutation","authors":"Hua Wang, Junjun Zhu","doi":"10.1142/s2424786322500062","DOIUrl":"https://doi.org/10.1142/s2424786322500062","url":null,"abstract":"The offshore RMB market has been showing a momentum of rapid development. However, the impact of this market on the RMB exchange rate has been less studied. This paper constructs an error correction model with structural mutations and focuses on the turning point for RMB Forward Rate, during the time before and after September 2011. The model is constructed considering the micro-institutional differences between domestic and offshore RMB forward exchange rates, the impact of spreads, the impact of spot exchange rates and international financial market shocks such as the VIX index of the US dollar index. We also apply the error correction model with abrupt changes method to select the model which is innovative. According to the results of the model, the domestic RMB foreign exchange derivatives market and the offshore RMB foreign exchange derivatives market jointly played a leading role in price discovery in the determination of both short-term and long-term RMB forward exchange rates, and we also found September 2011 was an important structural change point for the RMB forward curves both domestic and abroad. Before that period, interest rate parity did not play a positive role and the NDF exchange rate occupied the dominant role in price discovery; the domestic RMB forward exchange rate and the overseas NDF exchange rate were both driven by speculative factors.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43324327","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