DECISION TREES FOR IMBALANCED DATA SETS
Contact CMCRC for this article Author(s): Wei Liu, Sanjay Chawla
EXCHANGE TRADING RULES, SURVEILLANCE AND INSIDER TRADING
Are rules and their enforcement effective at mitigating insider trading? A study shows that rules and surveillance together have the potential to mitigate the perpetration of market manipulation but also to exacerbate the profits from such manipulative activities. Insider trading can be facilitated by several forms of market manipulation that are not, strictly speaking, by
OUTLIER MINING ON MULTIPLE TIME SERIES DATA IN STOCK MARKET
Contact CMCRC for this article Author(s): Chao Luo, Yanchang Zhao, Dan Luo, Yuming Ou, Li Liu
EXCEPTION MINING ON MULTIPLE TIME SERIES IN STOCK MARKET
Contact CMCRC for this article Author(s): Chao Luo, Longbing Cao, Yuming Ou, Zhengqi Zhang
TIKHONOV OR LASSO REGULARIZATION: WHICH IS BETTER AND WHEN. IN TOOLS WITH ARTIFICIAL INTELLIGENCE
pages 795–802. IEEE, 2013. It is well known that supervised learning problems with ℓ1 (Lasso) and ℓ2 (Tikhonov or Ridge) regularizers will result in very different solutions. For example, the ℓ1 solution vector will be sparser and can potentially be used both for prediction and feature selection. However, given a data set it is often hard to determine
DOMAIN-DRIVEN LOCAL EXCEPTIONAL PATTERN MINING FOR
Contact CMCRC for this article Author(s): Yuming Ou, Longbing Cao, Chao Luo and Chengqi Zhang
MACHINE LEARNING TECHNIQUES AND USE OF EVENT INFORMATION FOR STOCK MARKET PREDICTION: A SURVEY AND EVALUATION
Contact CMCRC for this article Author(s): Paul D. Yoo, Maria H. Kim, Tony Jan
HOW DOES DARK TRADING AFFECT PRICE DISCOVERY?
Price discovery (as an element of market efficiency) is one of the cornerstones of market quality the other being market fairness. Research by the CMCRC illustrates how recent developments in Dark Trading in the Canadian stock market have affected the efficiency of these markets relative to their southern near neighbour market. We find that the
SPAIN, IRELAND AND THE EURO CRISIS
The impact of the GFC in Europe has been, or perhaps remains, arguably more severe than the Great Depression in terms of breadth, depth and persistence. Notwithstanding the capital requirement regime for banks that is governed by the various Basel accords, there is a straightforward policy proposal that addresses the majority of the failings exposed
CAN DISCRETION PREDICT DIRECTOR RETURNS?
Directors execute trades in their companies’ shares for a variety of reasons. Their actions may have information value for other investors seeking to mimic these strategies. This paper tests whether directors’ discretionary trading has a predictive value, and also provides a better understanding of the information flow in equity markets. Sean Hardy USYD, CIFR /