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Within the Private Equity (PE) market, the event of a private company undertaking an Initial Public Offering (IPO) is usually a very high-return one for the investors in the company. For this reason, an effective predictive model for the…
As a simple technique to accelerate inference of large-scale pre-trained models, early exiting has gained much attention in the NLP community. It allows samples to exit early at internal classifiers without passing through the entire model.…
Using a comprehensive sample of 2,585 bankruptcies from 1990 to 2019, we benchmark the performance of various machine learning models in predicting financial distress of publicly traded U.S. firms. We find that gradient boosted trees…
This paper considers a portfolio trading strategy formulated by algorithms in the field of machine learning. The profitability of the strategy is measured by the algorithm's capability to consistently and accurately identify stock indices…
The unpredictability and volatility of the stock market render it challenging to make a substantial profit using any generalised scheme. Many previous studies tried different techniques to build a machine learning model, which can make a…
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features. A predictive modeling process is…
Early exiting is an effective paradigm for improving the inference efficiency of deep networks. By constructing classifiers with varying resource demands (the exits), such networks allow easy samples to be output at early exits, removing…
Bankruptcy prediction is an important research area that heavily relies on data science. It aims to help investors, managers, and regulators better understand the operational status of corporations and predict potential financial risks in…
In this paper, we define probabilistic measures for venture portfolio performance based on individual outlier probability for each investment and the dependence across investments. This work is inspired by loan portfolio modeling against…
A public firm's bankruptcy prediction is an important financial research problem because of the security price downside risks. Traditional methods rely on accounting metrics that suffer from shortcomings like window dressing and…
We process private equity transactions to predict public market behavior with a logit model. Specifically, we estimate our model to predict quarterly returns for both the broad market and for individual sectors. Our hypothesis is that…
Predicting trends in stock market prices has been an area of interest for researchers for many years due to its complex and dynamic nature. Intrinsic volatility in stock market across the globe makes the task of prediction challenging.…
This study develops an interpretable machine learning framework to forecast startup outcomes, including funding, patenting, and exit. A firm-quarter panel for 2010-2023 is constructed from Crunchbase and matched to U.S. Patent and Trademark…
As the number of publicly traded companies as well as the amount of their financial data grows rapidly, it is highly desired to have tracking, analysis, and eventually stock selections automated. There have been few works focusing on…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
Firm disclosures about future prospects are crucial for corporate valuation and compliance with global regulations, such as the EU's MAR and the US's SEC Rule 10b-5 and RegFD. To comply with disclosure obligations, issuers must identify…
This thesis investigates share buybacks, specifically share buyback announcements. It addresses how to recognize such announcements, the excess return of share buybacks, and the prediction of returns after a share buyback announcement. We…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
Company fundamentals are key to assessing companies' financial and overall success and stability. Forecasting them is important in multiple fields, including investing and econometrics. While statistical and contemporary machine learning…
On a periodic basis, publicly traded companies are required to report fundamentals: financial data such as revenue, operating income, debt, among others. These data points provide some insight into the financial health of a company.…