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Full-Text Articles in Finance and Financial Management
European Floating Strike Lookback Options: Alpha Prediction And Generation Using Unsupervised Learning, Tristan Lim, Aldy Gunawan, Chin Sin Ong
European Floating Strike Lookback Options: Alpha Prediction And Generation Using Unsupervised Learning, Tristan Lim, Aldy Gunawan, Chin Sin Ong
Research Collection School Of Computing and Information Systems
This research utilized the intrinsic quality of European floating strike lookback call options, alongside selected return and volatility parameters, in a K-means clustering environment, to recommend an alpha generative trading strategy. The result is an elegant easy-to-use alpha strategy based on the option mechanisms which identifies investment assets with high degree of significance. In an upward trending market, the research had identified European floating strike lookback call option as an evaluative criterion and investable asset, which would both allow investors to predict and profit from alpha opportunities. The findings will be useful for (i) buy-side investors seeking alpha generation and/or …
Automated Theme Search In Ico Whitepapers, Chuanjie Fu, Andrew Koh, Paul Griffin
Automated Theme Search In Ico Whitepapers, Chuanjie Fu, Andrew Koh, Paul Griffin
Research Collection School Of Computing and Information Systems
The authors explore how topic modeling can be used to automate the categorization of initial coin offerings (ICOs) into different topics (e.g., finance, media, information, professional services, health and social, natural resources) based solely on the content within the whitepapers. This tool has been developed by fitting a latent Dirichlet allocation (LDA) model to the text extracted from the ICO whitepapers. After evaluating the automated categorization of whitepapers using statistical and human judgment methods, it is determined that there is enough evidence to conclude that the LDA model appropriately categorizes the ICO whitepapers. The results from a two-population proportion test …
Picking Flowers In An Ico Garden, Fam Guo Teng, Paul R. Griffin, Andrew Koh
Picking Flowers In An Ico Garden, Fam Guo Teng, Paul R. Griffin, Andrew Koh
Research Collection School Of Computing and Information Systems
The rise of Initial Coin Offerings (ICO) in recent times and their potential for investment opportunities have investors spending a lot of time researching ICOs or having to follow the crowd. This paper aims to explore four broad factors of ICOs: identity, credibility, investor sentiment, and price movement to develop a framework that is useful in determining ICO quality. Research is shown using data sources including public forums, chat groups, web sites, white papers as well as smart contract details. Finally, a system, based on the framework, is proposed that can be used to detect and regulate ICO activities and …
Adaptive Credit Scoring With Analytic Hierarchy Process, Kwang Yong Koh, Murphy Choy, Michelle L. F. Cheong
Adaptive Credit Scoring With Analytic Hierarchy Process, Kwang Yong Koh, Murphy Choy, Michelle L. F. Cheong
Research Collection School Of Computing and Information Systems
Credit risk assessment for consumers has been a cornerstone of risk management in financial institutions and constitutes a component of the three pillars of Basel II. Traditionally, the concept of 5 ‘C’s was widely adopted by financial institutions as the key basis for credit risk assessment for loan applications by prospective borrowers. With the evolution of the credit risk management practices, more quantitative methods such as credit scorecards have been developed, which is implemented through the use of logistic regression, decision trees and neural networks. However, such approaches proved to be inadequate with the validity and effectiveness of the approaches …