Financial distress prediction using integrated Z-score and multilayer perceptron neural networks

D Wu, X Ma, DL Olson - Decision Support Systems, 2022 - Elsevier
The COVID-19 pandemic led to a great deal of financial uncertainty in the stock market. An
initial drop in March 2020 was followed by unexpected rapid growth over 2021. Therefore …

Measuring corporate failure risk: Does long short-term memory perform better in all markets?

H Kim, H Cho, D Ryu - Investment Analysts Journal, 2023 - journals.co.za
Recently, various corporate failure prediction models that use machine learning techniques
have received considerable attention. In particular, using a sequence of a company's …

Volatility forecasting and volatility-timing strategies: A machine learning approach

D Chun, H Cho, D Ryu - Research in International Business and Finance, 2024 - Elsevier
Recent increases in stock price volatility have generated renewed interest in volatility-timing
strategies. Based on high-dimensional models including machine learning, we predict stock …

[PDF][PDF] CNN-based stock price forecasting by stock chart images

J Bang, D Ryu - Romanian Journal of Economic Forecasting, 2023 - ipe.ro
We use the recent development in deep learning technology to forecast stock prices.
Focusing on image-type big data, we predict future stock prices using a convolutional neural …

Capturing locational effects: application of the K-means clustering algorithm

D Ryu, J Hong, H Jo - The Annals of Regional Science, 2024 - Springer
This study proposes a hedonic pricing model to efficiently capture the values of locations
without assuming a specific functional form or the factors affecting it. The K-means clustering …

Gated recurrent unit network: A promising approach to corporate default prediction

M Thor, Ł Postek - Journal of Forecasting, 2024 - Wiley Online Library
This paper presents a promising approach using gated recurrent unit (GRU) network to
predict bankruptcy based on the whole sequence of financial statements of the companies …

A Quantification Approach of Changes in Firms' Financial Situation Using Neural Networks for Predicting Bankruptcy

P du Jardin - Journal of Forecasting, 2024 - Wiley Online Library
For a very long time, bankruptcy models were considered ahistorical, as they were mostly
based on ratios measured over a single year. However, time is an essential variable that …

Forecasting oil futures markets using machine learning and seasonal trend decomposition

A Kim, D Ryu, A Webb - Investment Analysts Journal, 2024 - Taylor & Francis
Can machine learning improve prediction for seasonal commodity prices? We explore the
effectiveness of a combined method that integrates seasonal trend decomposition using …

Development of Financial Distress Prediction Model for the Watchlist Classification of Wholesale Banking Clients at ING

DT Chen - 2023 - essay.utwente.nl
An Early Warning System (EWS) is a tool that enables the monitoring of the credit portfolio to
identify clients in financial distress. ARIA is the EWS used by ING to monitor their Wholesale …

Predicting credit default using ML

P Dalal, T Sharma - AIP Conference Proceedings, 2024 - pubs.aip.org
After Implementing the machine learning (ML) algos for the prediction of potential defaulters
(someone who can't repay the loan properly and timely) has been connected with way better …