4 papers
A Volume-Price-Adjusted MACD Trading Strategy with Sensitivity Calibration for U.S. Equity Indices
Luyun Lin, Lixing Lin, Zhen Zhang +2
Traditional moving average convergence divergence (MACD) trading rules are often constrained by signal lag and susceptibility to false signals. To address these limitations, this s…
A Counterfactual Diagnostic Framework for Explaining KS Deterioration in Credit Risk Model Validation
Yiqing Wang
The Kolmogorov-Smirnov (KS) statistic is widely used in credit risk model monitoring and validation to assess discriminatory power. In practice, a material decline in KS often trig…
Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction
Dehao Dai, Ding Ma, Dou Liu +2
Forecasting crude oil prices remains challenging because market-relevant information is embedded in large volumes of unstructured news and is not fully captured by traditional pola…
SHAP Stability in Credit Risk Management: A Case Study in Credit Card Default Model
Luyun Lin, Yiqing Wang
The increasing development in the consumer credit card market brings substantial regulatory and risk management challenges. The advanced machine learning models applications bring…