AF
Andrea Fontanari
Authored
1 records found
We propose quantum majorization as a way of comparing and ranking correlation matrices, with the aim of assessing portfolio risk in a unified framework. Quantum majorization is a partial order in the space of correlation matrices, which are evaluated through their spectra. We dis
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Contributed
2 records found
Local Explanation Methods for Isolation Forest
Explainable Outlier Detection in Anti-Money Laundering
Machine learning methods like outlier detection are becoming increasingly more popular as tools in the fight against money laundering. In this thesis, we analyse the Isolation Forest outlier detection algorithm in detail and introduce a new local explanation method for Isolation
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The bond market is affected by the shortage of liquidity problem, which means that many bonds are not frequently traded. This implies that market data for these bonds are missing. This lack of data represent a problem for financial risk measures such as Value at Risk (VaR). This
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