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On multiple-class prediction of issuer credit ratings
industry effect issuer credit rating market-driven variable optimal cutoff value ordered probit model selection bias
2011/8/26
For multiple-class prediction, a frequently used approach is based on ordered probit model. We show that this approach is not optimal in the sense that it is not designed to minimize the error rate of...
An Improved on BP Neural Network for Financial Crisis Prediction
Neural Networks Financial crisis forecasting
2011/8/19
Financial crisis early warning model has important economic research value, and foreign scholars have conducted many researches and achieved many results. For example :Beaver（1966）、Altman（1968）、Ohlson...
Comparing Prediction Market Structures, With an Application to Market Making
Market Structures Application Market Making
2010/10/21
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but the...
Prediction accuracy and sloppiness of log-periodic functions
Prediction accuracy sloppiness log-periodic functions
2010/10/20
We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combination...
Analysis of Prediction Profit Announcement for Share to Volume of Share Transaction in Tehran Stock Exchange
Estimated profit of each share Real profit of each share
2010/10/18
There are some signs, considered as influencing factors on shares transaction volume in an investment market come in a form of information and various predictions are available for investors and other...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
stock market crash financial bubble Chinese markets rational expectation bubble herding
2010/11/2
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bi...