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Full-Text Articles in Computer Engineering
Learning Without Default: A Study Of One-Class Classification And The Low-Default Portfolio Problem, Kenneth Kennedy, Brian Mac Namee, Sarah Jane Delany
Learning Without Default: A Study Of One-Class Classification And The Low-Default Portfolio Problem, Kenneth Kennedy, Brian Mac Namee, Sarah Jane Delany
Conference papers
This paper asks at what level of class imbalance one-class classifiers outperform two-class classifiers in credit scoring problems in which class imbalance, referred to as the low-default portfolio problem, is a serious issue. The question is answered by comparing the performance of a variety of one-class and two-class classifiers on a selection of credit scoring datasets as the class imbalance is manipulated. We also include random oversampling as this is one of the most common approaches to addressing class imbalance. This study analyses the suitability and performance of recognised two-class classifiers and one-class classifiers. Based on our study we conclude …
An Automation Algorithm For Harvesting Capital Market Information From The Web, Pankaj Agrrawal
An Automation Algorithm For Harvesting Capital Market Information From The Web, Pankaj Agrrawal
Finance Faculty Scholarship
The purpose of this paper is to develop an algorithm to harvest user specified information on finance portals and compile it into machine‐readable datasets for quantitative analysis. The Visual Basic macro language in Microsoft Excel is applied to develop code that is not constrained by the single‐query function of Excel. The core of the algorithm is built around the splitting of the URL connector line and the placement of a continuously updating variable into which are looped as many tickers as there are in the input list. The output is then written to non‐overlapping cells. Numerical information placed on major …