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According to various studies conducted by the Hong Kong Special Administrative Region Government, the penetration of self-purchased insurance is rather low. But scholars revealed an ever growing trend in demand for life-insurance from various indicators, this together with the continuous reforms in the health protection system provide a potential development for the industry. To turn the desires into...
In this paper, we use intraday COMEX gold futures to evaluate and compare the trading performance of volume weight average price (VWAP) strategy, time weighted average price (TWAP) strategy and implementation shortfall (IS) strategy. We find that they can track the market price very well only when price moves have no trend on the relevant day. And Market impact cost and timing risk cost of the three...
This paper formulates a game theory model to discuss equilibrium among four main participants who need to choose between acting sunshine and shadow activities in financial market. Their activities will determine the market's transparency level and indirectly decide utility of each player. We observe that the perfect situation, when all players act sunshine activities, is Nash equilibrium. But when...
This paper considers the credit authorization problem in credit card companiespsila authorization systems. Customers are classified into several risk segments according to the type of services requested and the associated credit risk of customers. Card companies need to balance the risk exposure and the quality of customer service in the decision of referral/no referral. We formulate this problem...
Credit scoring is a typical binary classification problem. Its significance to financial institutions has brought application of many quantitative methods. Most published research is focused on increasing classification performance by adjusting algorithms, generally without a corresponding analysis of intrinsic dataset difficulties. Prior research shows that these intrinsic difficulties cause all...
This paper investigates diversification benefits of having real estate securities in investment portfolio by modeling the dependence structures between it and other financial assets in Chinese stock markets, using copula functions. Results first show that it is inadequate to use the linear correlation coefficient as a measure of dependence because of rejection of its normal hypothesis. Then, as an...
This paper presents a simulated annealing based rule extraction algorithm (SAREA) for credit scoring problems. In previous studies, several classification algorithms like statistical models, mathematical programming, and artificial intelligence techniques have been used. This paper aims to illustrate the ability of SA to develop accurate classifiers for credit scoring problems. The use of SA is a...
Credit scoring models are very important tools for credit granting institutions to assess the credit risk of their customers. Most previous researches focus on improving predictive accuracy of models. In this research, a weighted LS-SVM credit scoring model with Area under ROC curve maximization is proposed and optimized by direct search. The tests on two real-world datasets show that it is effective...
In SVM ensemble learning, diversity strategy is one of the most important determinants to obtain good performance. In order to examine and analyze the impacts of diversity strategies on SVM ensemble learning, this study tries to make such a deep investigation by taking credit scoring as an illustrative example. Experimental results found that the accuracy of ensemble models will be increased if ensemble...
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