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- Andreev, Andriy, et al.
(författare)
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Using self-organizing map for data mining : A synthesis with accounting applications
- 2012
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Ingår i: Data mining: Foundations and intelligent paradigms. - Berlin : Springer. - 9783642231506 ; , s. 321-342
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Bokkapitel (refereegranskat)abstract
- The self-organizing map (i.e. SOM) has inspired a voluminous body of literature in a number of diverse research domains. We present a synthesis of the pertinent literature as well as demonstrate, via a case study, how SOM can be applied in clustering accounting databases. The synthesis explicates SOM's theoretical foundations, presents metrics for evaluating its performance, explains the main extensions of SOM, and discusses its main financial applications. The case study illustrates how SOM can identify interesting and meaningful clusters that may exist in accounting databases. The paper extends the relevant literature in that it synthesises and clarifies the salient features of a research area that intersects the domains of SOM, data mining, and accounting.
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- Argyrou, Argyris, et al.
(författare)
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A semi-supervised tool for clustering accounting databases with applications to internal controls
- 2011
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Ingår i: Expert systems with applications. - : Elsevier. - 0957-4174 .- 1873-6793. ; 38:9, s. 11176-11181
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Tidskriftsartikel (refereegranskat)abstract
- A considerable body of literature attests to the significance of internal controls; however, little is known on how the clustering of accounting databases can function as an internal control procedure. To explore this issue further, this paper puts forward a semi-supervised tool that is based on self-organizing map and the IASB XBRL Taxonomy. The paper validates the proposed tool via a series of experiments on an accounting database provided by a shipping company. Empirical results suggest the tool can cluster accounting databases in homogeneous and well-separated clusters that can be interpreted within an accounting context. Further investigations reveal that the tool can compress a large number of similar transactions, and also provide information comparable to that of financial statements. The findings demonstrate that the tool can be applied to verify the processing of accounting transactions as well as to assess the accuracy of financial statements, and thus supplement internal controls.
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- Farahbakhsh Touli, Elena, 1990-
(författare)
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Graphical Models : Mathematical Foundation and Statistical Analysis
- 2024
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- Working on different problems related to graph theory combined with statistics is the main purpose of this thesis. In paper I, we worked on the distance between trees and defined another definition for the interleaving distance that was already introduced for determining the distance between merge trees. The new definition was based on only one map from one of the trees to another one. Therefore, we could gain fixed-parameter tractable algorithms for finding the interleaving distance between merge trees with some conditions. In paper II, we worked on the clustering coefficient of the networks. The clustering coefficient indicates the tendency of the vertices of the network to form a triangle. We introduced another clustering coefficient, which we called it Relative clustering coefficient. Finally, the importance of the relative clustering coefficient. In paper III, we worked on the financial relationship between companies in Sweden, and we used two methods (the Pearson correlation coefficient (PCC) and the generalized variance decomposition (GVD). We then ap- plied these methods to the financial data consisting of the daily returns on the 28 stocks included in the computation of the OMX index (the index of the Swedish capital market). Gaussian Graphical Model is the main subject of paper IV. In this paper, we consider three types of precision matrices, and corresponding to each type of precision matrix, we develop the exact test theory. Finally, the new approaches are compared to the benchmark method via an extensive simulation study.
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- Morlanes, José Igor, 1971-
(författare)
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Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications
- 2017
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. These are divided into two parts. The first part involves three articles on statistical inference and simulation of a family of processes related to fractional Brownian motion and Ornstein-Uhlenbeck process, the so-called fractional Ornstein-Uhlenbeck process of the second kind (fOU2). In two of the articles, we show how to simulate fOU2 by means of circulant embedding method and memoryless transformations. In the other one, we construct a least squares consistent estimator of the drift parameter and prove the central limit theorem using techniques from Stochastic Calculus for Gaussian processes and Malliavin Calculus.The second phase of my research consists of two articles about jump market models and arbitrage portfolio strategies for an insider trader. One of the articles describes two arbitrage free markets according to their risk neutral valuation formula and an arbitrage strategy by switching the markets. The key aspect is the difference in volatility between the markets. Statistical evidence of this situation is shown from a sequential data set. In the other one, we analyze the arbitrage strategies of an strong insider in a pure jump Markov chain financial market by means of a likelihood process. This is constructed in an enlarged filtration using Itô calculus and general theory of stochastic processes.
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