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Churn management in telecommunications: Hybrid approach using cluster analysis and decision trees

Pejić Bach, Mirjana; Pivar, Jasmina; Jaković, Božidar - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-25

The goal of the paper is to present the framework for combining clustering and classification for churn management in … approach to churn management using clustering and classification, which was tested on the churn dataset with a rich variable … structure. The proposed approach is continuous since the results of market segmentation and rules for churn prediction can be …

Persistent link: https://www.econbiz.de/10013201227

Cybersecurity Protection in Indonesia

Anjani, Noor Halimah - 2021

Persistent link: https://www.econbiz.de/10012806773

Quantifying endogeneity of cryptocurrency markets

Mark, Michael; Sila, Jan; Weber, Thomas A. - 2019

In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that...

Persistent link: https://www.econbiz.de/10012389247

Portfolio liquidation games with self-exciting order flow

Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu - 2022

We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price...

Persistent link: https://www.econbiz.de/10013197567

A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks 7 (2019) 4, pp. 1-18

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

Persistent link: https://www.econbiz.de/10013200521

Price discovery and market reflexivity in agricultural futures contracts with different maturities

Volkenand, Steffen; Filler, Günther; Odening, Martin - In: Risks 8 (2020) 3, pp. 1-17

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable...

Persistent link: https://www.econbiz.de/10013200608

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks 9 (2021) 6, pp. 1-13

We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...

Persistent link: https://www.econbiz.de/10013200776

Modeling market order arrivals on the German intraday electricity market with the Hawkes process

von Luckner, Nikolaus Graf; Kiesel, Rüdiger - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-31

We use point processes to analyze market order arrivals on the intraday market for hourly electricity deliveries in Germany in the second quarter of 2015. As we distinguish between buys and sells, we work in a multivariate setting. We model the arrivals with a Hawkes process whose baseline...

Persistent link: https://www.econbiz.de/10012611718

Optimal Trade Execution under Endogenous Order Flow

Chen, Ying; Tran, Hoang Hai; Horst, Ulrich - 2023

We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...

Persistent link: https://www.econbiz.de/10014467728

Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes

Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2014

We propose a modeling framework which allows for creating probability predictions on a future market crash in the medium term, like sometime in the next five days. Our framework draws upon noticeable similarities between stock returns around a financial market crash and seismic activity around...

Persistent link: https://www.econbiz.de/10010377219

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