We propose an innovative approach to model the probability of interlinkages in an interbank network with the use of Machine Learning techniques. More precisely we forecast the probability of a pair of banks entering into an interbank market borrower - lender relationship considering their financial characteristics and their past observed behavior. In this framework we examine a new method that employs machine learning in order to increase the accuracy of agnostic algorithms in reconstructing a financial network. The XGBOOST method is combined with both Maximum Entropy (MAXE) and Minimum Density (ANAN). The main contribution of this paper is that we enrich the information generally available for financial networks with variables that are ava...
This article focuses on supervised learning and reinforcement learning. These areas overlap most wit...
none2noA growing number of systems are represented as networks whose architecture conveys significan...
The fixed income market (i.e. bonds) is a massive asset class with an overall size of USD 100 trilli...
115 pagesQuantitative models are changing virtually every aspect of investment. In this thesis, we f...
Chapter 1 is titled "A dynamic network model for high frequency order flows in financial markets." T...
Financial forecasting using machine learning techniques has received great efforts in the last decid...
The ensemble consists of a single set of individually trained models, the predictions of which are c...
It is well known that the interbank market is able to effectively provide financial liquidity for th...
This thesis consists of three applications of machine learning techniques to risk management. The fi...
In this chapter, we review and compare some methods for the reconstruction of an interbank network f...
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model...
This study investigates how modern machine learning (ML) techniques can be used to advance the field...
The description of the empirical structure of interbank networks constitutes an important field of s...
This paper presents an overview of the procedures involved in prediction with machine learning model...
A flexible probabilistic approach for the constructing of realistic topologies of interbank networks...
This article focuses on supervised learning and reinforcement learning. These areas overlap most wit...
none2noA growing number of systems are represented as networks whose architecture conveys significan...
The fixed income market (i.e. bonds) is a massive asset class with an overall size of USD 100 trilli...
115 pagesQuantitative models are changing virtually every aspect of investment. In this thesis, we f...
Chapter 1 is titled "A dynamic network model for high frequency order flows in financial markets." T...
Financial forecasting using machine learning techniques has received great efforts in the last decid...
The ensemble consists of a single set of individually trained models, the predictions of which are c...
It is well known that the interbank market is able to effectively provide financial liquidity for th...
This thesis consists of three applications of machine learning techniques to risk management. The fi...
In this chapter, we review and compare some methods for the reconstruction of an interbank network f...
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model...
This study investigates how modern machine learning (ML) techniques can be used to advance the field...
The description of the empirical structure of interbank networks constitutes an important field of s...
This paper presents an overview of the procedures involved in prediction with machine learning model...
A flexible probabilistic approach for the constructing of realistic topologies of interbank networks...
This article focuses on supervised learning and reinforcement learning. These areas overlap most wit...
none2noA growing number of systems are represented as networks whose architecture conveys significan...
The fixed income market (i.e. bonds) is a massive asset class with an overall size of USD 100 trilli...