English, Article edition: Data-efficient model building for financial applications: A semi-supervised learning approach Sven Sandow; Xuelong Zhou

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/8940
Physical Description
  • article
Language
  • English

Edition details

Title
  • Data-efficient model building for financial applications: A semi-supervised learning approach
Author
  • Sven Sandow
  • Xuelong Zhou
Physical Description
  • article
Notes
  • Purpose – Investors often rely on probabilistic models that were learned from small historical labeled datasets. The purpose of this article is to propose a new method for data-efficient model learning. Design/​methodology/​approach – The proposed method, which is an extension of the standard minimum relative entropy (MRE) approach and has a clear financial interpretation, belongs to the class of semi-supervised algorithms, which can learn from data that are only partially labeled with values of the variable of interest. Findings – This study tests the method on an artificial dataset and uses it to learn a model for recovery of defaulted debt. In both cases, the resulting models perform better than the standard MRE model, when the number of labeled data is small. Originality/​value – The method can be applied to financial problems where labeled data are sparse but unlabeled data are readily available.
  • Credit, Financial modelling, Learning, Learning methods
  • RePEc:eme:jrfpps:v:8:y:2007:i:2:p:133-155
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment