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management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when … adding them to the same portfolio. We propose a LIquidity Bounded Risk-return Optimization (LIBRO) approach, which is a … combination of risk-return portfolio optimization under liquidity constraints. In the application cryptocurrencies are included …
Persistent link: https://www.econbiz.de/10012901567
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The purpose of this work is to introduce one of the most promising among recently developed statistical techniques – the support vector machine (SVM) – to corporate bankruptcy analysis. An SVM is implemented for analysing such predictors as financial ratios. A method of adapting it to...
Persistent link: https://www.econbiz.de/10012966212
Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numerical representation is much less transparent. In classical rating models a convenient representation of ratings in a closed form is possible reducing...
Persistent link: https://www.econbiz.de/10012966231
were useful for the training of the SVM. The results showed that those ratios belong to activity, profitability, liquidity …
Persistent link: https://www.econbiz.de/10012966307
This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a...
Persistent link: https://www.econbiz.de/10012966310
We develop a dynamic model to simultaneously characterize the liquidity demand and supply in limit order book. The …
Persistent link: https://www.econbiz.de/10012968564
were useful for the training of the SVM. The results showed that those ratios belong to activity, profitability, liquidity …
Persistent link: https://www.econbiz.de/10003973650
Persistent link: https://www.econbiz.de/10009231331