93 citations · 284 across the 23 of their papers we have counts for
5 papers · 1 filter
A Data-driven Case-based Reasoning in Bankruptcy Prediction
Wei Li, Wolfgang Karl Härdle, Stefan Lessmann
There has been intensive research regarding machine learning models for predicting bankruptcy in recent years. However, the lack of interpretability limits their growth and practic…
ETF construction on CRIX
Konstantin Häusler
Investments in cryptocurrencies (CCs) remain risky due to high volatility. Exchange Traded Funds (ETFs) are a suitable tool to diversify risk and to benefit from the growth of the…
Shapley Curves: A Smoothing Perspective
Ratmir Miftachov, Georg Keilbar, Wolfgang Karl Härdle
This paper fills the limited statistical understanding of Shapley values as a variable importance measure from a nonparametric (or smoothing) perspective. We introduce population-l…
Quantinar: a blockchain p2p ecosystem for honest scientific research
Raul Bag, Bruno Spilak, Julian Winkel +1
Living in the Information Age, the power of data and correct statistical analysis has never been more prevalent. Academics and practitioners require nowadays an accurate applicatio…
Risk budget portfolios with convex Non-negative Matrix Factorization
Bruno Spilak, Wolfgang Karl Härdle
We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization (NMF). Unlike classical factor analysis, PCA, or ICA, NMF ensu…