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This paper develops an early warning system for predicting distress for large European banks. Using a novel definition of distress derived from banks' headroom above regulatory requirements, we investigate the performance of three machine learning techniques against the traditional logistic...
Persistent link: https://www.econbiz.de/10015199522
A constant in the business world is the frequent movement of customers joining or abandoning companies' services and products. The customer is one of the company's most important assets. Reducing the customer abandonment rate has become a matter of survival and, at the same time, the most...
Persistent link: https://www.econbiz.de/10013201165
In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 … European call options using a constructed implied volatility surface. The prices generated by the ANN were compared to the … prices obtained using the Black-Scholes (BS) model. It was found that the pricing performance of the ANN significantly …
Persistent link: https://www.econbiz.de/10014001524
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10014332691
Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables...
Persistent link: https://www.econbiz.de/10014533855
. Specifically, a fully connected feed forward nonlinear autoregressive neural network (ANN) is contrasted to a well established … compared to the DSGE model, however there is evidence for an overall improvement of predictions when relying on ANN, or …
Persistent link: https://www.econbiz.de/10014534021
Machine Learning algorithms, such as the artificial neural networks, are acknowledged to outperform several econometric procedures in predictions. Machine learning becomes popular for doing operations that practically require more efficiency and accuracy, derived basically from the algorithm's...
Persistent link: https://www.econbiz.de/10012145918
(bagged CART, bagged MARS, XGBoost, random forest, SVM) were optimized and applied for predicting occupancy. All models are …
Persistent link: https://www.econbiz.de/10015401218
Künstliche Intelligenz (KI) dringt vermehrt in sensible Bereiche des alltäglichen menschlichen Lebens ein. Es werden nicht mehr nur noch einfache Entscheidungen durch intelligente Systeme getroffen, sondern zunehmend auch komplexe Entscheidungen. So entscheiden z. B. intelligente Systeme, ob...
Persistent link: https://www.econbiz.de/10015210326
Als ein Teilbereich der Künstlichen Intelligenz stellt Machine Learning (ML) eine Schüsseltechnologie des 21. Jahrhunderts dar. Unter Nutzung der mathematisch-statistischen Verfahren sind technische Systeme realisierbar, die anhand von Daten eigenständig empirische Zusammenhänge erkennen und...
Persistent link: https://www.econbiz.de/10014433975