ENBIS-23 Valencia Conference

Session

CONTRIBUTED Finance

12 Sept 2023, 17:50

2.13

Conveners

CONTRIBUTED Finance

• Miklós Arató (Eötvös Loránd University)

143. Deep Neural Network-Based Parameter Estimation of the Fractional Ornstein-Uhlenbeck Process

László Márkus (Dept. Probability Th. and Statistics, Eötvös Loránd University)

12/09/2023, 17:50

Finance

We present a novel deep neural network-based approach for the parameter estimation of the fractional Ornstein-Uhlenbeck (fOU) process. The accurate estimation of the parameters is of paramount importance in various scientific fields, including finance, physics, and engineering. We utilize a new, efficient, and general Python package for generating fractional Ornstein-Uhlenbeck processes in...

56. Cost-Sensitive Classifiers for Fraud Detection

Jorge C. Rella (Abanca Servicios Financieros and Universidade da Coruña)

12/09/2023, 18:10

Finance

Financial fraud detection is a classification problem where each operation have a different misclassification cost depending on its amount. Thus, it fall within the scope of instance-dependent cost-sensitive classification problems. When modeling the problem with a parametric model, as a logistic regression, using a loss function incorporating the costs has proven to result in a more effective...