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Full-Text Articles in Engineering

Hedge Fund Replication Using Strategy Specific Factors, Sujit Subhash, David Lee Enke Dec 2019

Hedge Fund Replication Using Strategy Specific Factors, Sujit Subhash, David Lee Enke

Engineering Management and Systems Engineering Faculty Research & Creative Works

Hedge funds have traditionally served wealthy individuals and institutional investors with the promise of delivering protection of capital and uncorrelated positive returns irrespective of market direction, allowing them to better manage portfolio risk. However, the financial crisis of 2008 has heightened investor sensitivity to the high fees, illiquidity, lack of transparency, and lockup periods typically associated with hedge funds. Hedge fund replication products, or clones, seek to answer these challenges by providing daily liquidity, transparency, and immediate exposure to a desired hedge fund strategy. Nonetheless, although lowering cost and adding simplicity by using a common set of factors, traditional replication ...


Predicting The Daily Return Direction Of The Stock Market Using Hybrid Machine Learning Algorithms, X. Zhong, David Lee Enke Dec 2019

Predicting The Daily Return Direction Of The Stock Market Using Hybrid Machine Learning Algorithms, X. Zhong, David Lee Enke

Engineering Management and Systems Engineering Faculty Research & Creative Works

Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields, including stock market investment. However, few studies have focused on forecasting daily stock market returns, especially when using powerful machine learning techniques, such as deep neural networks (DNNs), to perform the analyses. DNNs employ various deep learning algorithms based on the combination of network structure, activation function, and model parameters, with their performance depending on the format of the data representation. This paper presents a comprehensive big data analytics process to predict the daily return direction of the SPDR S&P ...


Vision Sensor Based Action Recognition For Improving Efficiency And Quality Under The Environment Of Industry 4.0, Zipeng Wang, Ruwen Qin, Jihong Yan, Chaozhong Guo May 2019

Vision Sensor Based Action Recognition For Improving Efficiency And Quality Under The Environment Of Industry 4.0, Zipeng Wang, Ruwen Qin, Jihong Yan, Chaozhong Guo

Engineering Management and Systems Engineering Faculty Research & Creative Works

In the environment of industry 4.0, human beings are still an important influencing factor of efficiency and quality which are the core of product life cycle management. Hence, monitoring and analyzing humans' actions are essential. This paper proposes a vision sensor based method to evaluate the accuracy of operators' actions. Each action of operators is recognized in real time by a Convolutional Neural Network (CNN) based classification model in which hierarchical clustering is introduced to minimize the effects of action uncertainty. Warnings are triggered when incorrect actions occur in real time and applications of action analysis of workers on ...