Related papers: Transaction Cost Analytics for Corporate Bonds
Card transaction fraud is a growing problem affecting card holders worldwide. Financial institutions increasingly rely upon data-driven methods for developing fraud detection systems, which are able to automatically detect and block…
The present work studies and analyzes general defaultable OTC contract in presence of a contingent CSA, which is a theoretical counterparty risk mitigation mechanism of switching type that allows the counterparty of a general OTC contract…
Cost-Effectiveness Analyses (CEAs) alongside randomised controlled trials (RCTs) are increasingly often designed to collect resource use and preference-based health status data for the purpose of healthcare technology assessment. However,…
Security and trust are the most important factors in online transaction, this paper introduces TSET a Token based Secure Electronic Transaction which is an improvement over the existing SET, Secure Electronic Transaction protocol. We take…
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of…
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}$ between trading times. We derive a non…
The technology evolution has shown a very impressive performance in the last years by introducing several technologies that are based on the concept of component. As time passes, new versions of Component- Based technologies are released in…
A standard result from auction theory is that bidding truthfully in a second price auction is a weakly dominant strategy. The result, however, does not apply in the presence of Cost Per Action (CPA) constraints. Such constraints exist, for…
This paper explores the application of Exploratory Data Analytics (EDA) in the banking and finance domain, focusing on credit card usage and customer churning. It presents a step-by-step analysis using EDA techniques such as descriptive…
This study provides a formal analysis of the customer targeting problem when the cost for a marketing action depends on the customer response and proposes a framework to estimate the decision variables for campaign profit optimization.…
In a legal dispute, parties engage in a series of negotiations so as to arrive at a reasonable settlement. The parties need to present a fair and reasonable bargain in order to induce the WTA, willingness to accept of the plaintiff and the…
Clustering Transactions in sequence, temporal and time series databases is achieving an important attention from the database researchers and software industry. Significant research is carried out towards defining and validating the…
Process analytics approaches allow organizations to support the practice of Business Process Management and continuous improvement by leveraging all process-related data to extract knowledge, improve process performance and support…
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mean-reverting process. Transaction fees are exogenous…
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante…
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent…
We propose TROD, a novel transaction-oriented framework for debugging modern distributed web applications and online services. Our critical insight is that if applications store all state in databases and only access state transactionally,…
This paper describes opportunities and challenges of using functional data analysis (FDA) for the exploration and analysis of data originating from electronic commerce (eCommerce). We discuss the special data structures that arise in the…
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results…
Environmental sustainability, particularly in relation to climate change, is a key concern for consumers, producers, and policymakers. The carbon footprint, based on greenhouse gas emissions, is a standard metric for quantifying the…