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125th ASEE Annual Conference and Exposition

作者： Abel, Kate D. Engineering Management Program School of Systems and Enterprises Stevens Institute of Technology United States

The history of much of Industrial engineering has its roots in the Industrial Revolution where technologies helped mechanize what had been manual labor. However a lot has changed in the 100 plus years since the Industrial Revolution started, and Industrial engineering rightly changed along with it. over time Industrial engineering has taken different focuses and embodied different instruction by different educational institutions. Is it only just 'gears and wrenches'? Or is there more to it? Are there specific identifiable focuses? If so, how could Industrial and systems engineering (ISE) articulate those focuses? If a university was to start a brand new Industrial and systems engineering program, what would it look like and why? These topics will be explored in this article focusing on the rollout of a brand new program in Industrial and systems engineering at Stevens Institute of Technology. © American Society for engineering Education, 2018.

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Alternative Alphas from Hedge Fund ETF Speculation

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Journal of Mathematical Finance 2016年 6卷 34-42页

作者： Peter C. L. Lin Financial Engineering Division School of Systems and Enterprises Stevens Institute of Technology Hoboken USA Gamma Paradigm Capital New York USA

Alternative alpha represents risk-adjust absolute return of an alternative investing instrument regressed on alternative risk factors. Over the years, the definition is extended to the absolute return generated from alternative asset speculation-long-only or long-short strategy on alternative assets to generate additional return on top of existence alpha. In this article, we examine and propose a model with state-dependent stochastic differential equations based on Gaussian mixture model and multi-class Gaussian-kernel support vector machine to analyze hedge fund ETF alpha. We provide a new type of long-short speculation which trades on hedge fund strategies. This long-short alternative portfolio is build based on a Sharpe-ratio-like alpha ratio optimization program, and the historical performance from the portfolio shows statistically significant improvement adding to existing alphas. For passive investors, the portfolio also yields a simple portable alpha strategy which outperforms the S&P 500 benchmark return by 7.8% since 2012.

关键词： Alternative ETFs Index Investing Hedge Fund Strategies Quantitative Portfolio Management

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Spreading systems engineering and engineering management know-how across capstone design: A comparison of an existing course to a pilot 122

Spreading systems engineering and engineering management kno...

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2015 122nd ASEE Annual Conference and Exposition

作者： Abel, Kate D. Bachelor of Engineering in Engineering Management Program School of Systems and Enterprises United States

About a decade ago, a movement was started at Stevens Institute of Technology to infuse the Capstone experience with systems engineering (SE) and engineering Management (EM) knowledge. However the discipline specific Senior Design advisors did not have the time to teach, nor the in-depth awareness of, SE and EM topics to be able to provide their students with substantive learning on these subjects. A course soon emerged that would run along side the Senior Capstone Design course, to provide knowledge in these areas. The course exists in two formats. One format has been running for years as a traditional 3-credit, one semester course. The other format was implemented recently as a pilot to provide just-in-time learning over both semesters of senior design. Both formats have been running concurrently for three years. This article will address how the needs of the Senior Design Advisors from the various disciplines were married to systems engineering and engineering Management topics and deliverables to create two versions of a course to improve the overall functionality of all Capstone design teams, as well as, their project's final outcome. To conclude, the benefits/disbenefits and success/lack of success of the two different formats is highlighted. © American Society for engineering Education, 2015.

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Structural Evolution of Stock Networks 11

Structural Evolution of Stock Networks

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11th International Conference on Signal-Image Technology and Internet-Based systems, SITIS 2015

作者： Alkan, Serkan Khashanah, Khaldoun Financial Engineering School of Systems and Enterprises Stevens Institute of Technology HobokenNJ United States

ISBN: (纸本)9781467397216

In this study, we report the changes and evolution of non-overlapping yearly stock networks (asset graph) in time period from 2000 to 2012. Thirteen annual non-overlapping windows are created by Bonferroni correction of p-values used to estimate a partial-correlation threshold for portfolio of 60 stocks belonging the SP100 index. We analyze each network structure by applying tools from Information Theory and descriptive quantifiers from complex networks to quantify and compare evolving network's topologies. We have found that stock network structure drastically changed after the year 2006, and network has higher level of randomness in the structures of year 2008 and year 2011. © 2015 IEEE.

关键词： Information theory

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Structural Evolution of Stock Networks

Structural Evolution of Stock Networks

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International IEEE Conference on Signal-Image Technologies and Internet-Based System

作者： Serkan Alkan Khaldoun Khashanah Financial Engineering School of Systems and Enterprises Stevens Institute of Technology Hoboken NJ USA

关键词： Correlation Entropy Complex networks Complexity theory Information theory Length measurement

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Algorithmic Trading Behavior Identification using Reward Learning Method

Algorithmic Trading Behavior Identification using Reward Lea...

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International Joint Conference on Neural Networks

作者： Steve Y. Yang Qifeng Qiao Peter A. Beling William T. Scherer Financial Engineering Program in School of Systems and Enterprises at Stevens Institute of Technology Department of Systems and Information Engineering University of Virginia

ISBN: (数字)9781479914845

Identifying and understanding the impact of algorithmic trading on financial markets has become a critical issue for market operators and regulators. Advanced data feed and audit trail information from market operators now make the full observation of market participants' actions possible. A key question is the extent to which it is possible to understand and characterize the behavior of individual participants from observations of trading actions. In this paper, we consider the basic problems of categorizing and recognizing traders (or, equivalently, trading algorithms) on the basis observed limit orders. Our approach, which is based on inverse reinforcement learning (IRL), is to model trading decisions as a Markov decision process and then use observations of an optimal decision policy to find the reward function. The approach strikes a balance between two desirable features in that it captures key empirical properties of order book dynamics and yet remains computationally tractable. Making use of a real-world data set from the E-Mini futures contract, we compare two principal IRL variants, linear IRL and Gaussian process IRL. Results suggest that IRL-based feature spaces support accurate classification and meaningful clustering.

关键词： Markov processes Learning (artificial intelligence) Gaussian processes Heuristic algorithms Vectors Bayes methods Covariance matrices

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Balance sheet outlier detection using a graph similarity algorithm

Balance sheet outlier detection using a graph similarity alg...

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Proceedings of the IEEE/IAFE Computational Intelligence for financial engineering (CIFEr)

作者： Steve Yang Randy Cogill Financial Engineering Program in School of Systems and Enterprises Stevens Institute of Technology USA Department of Systems and Information Engineering University of Virginia USA

Graph similarity measurement has been used in many applications, such as computational biology, text mining, pattern recognition, and computer vision. In this paper, we apply similarity measurement on graphs to measure structural differences in financial statements. Unconventional financial statement structures may potentially reveal deceptive intention of hiding certain information while making technically “correct” financial statements. Furthermore, unconventional financial statements may also lead to investment opportunities if legitimacy is not questioned. We construct an algorithm based on the metric of string edit distance as an approximation of graph similarity, and apply the Levenshtein algorithm with modified string edit costs to measure string edit distance. We demonstrate the effectiveness of this algorithm in capturing the sensitive changes of balance sheet structures by applying the algorithm in two experiments. The first experiment shows the algorithm is sensitive to all three basic edits (namely deletion, insertion and substitution) on a particular balance sheet, and the second experiment shows more than 90% clustering accuracy on real balance sheets.

关键词： Companies Industries Power systems Approximation algorithms Measurement Heuristic algorithms Approximation methods

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Identification and implementation of patterns towards a model of environmental sustainability

Identification and implementation of patterns towards a mode...

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33rd Annual International Conference of the American Society for engineering Management 2012, ASEM 2012 - Agile Management: Embracing Change and Uncertainty in engineering Management

作者： Gandhi, S. Jimmy Perez, Santiago Rushton, Danial Cloutier, Robert Bozkurt, Ipek Pinto, C. Ariel Department California State University Northridge United States Zicklin School of Business Baruch College City University of New York United States School of System and Enterprises Stevens Institute of Technology United States Engineering Management Program University of Houston Clear Lake United States Department of Engineering Management and Systems Engineering Old Dominion University United States

ISBN: (纸本)9781627482820

Much like the Quality Revolution did in the 1980's, corporate sustainability has the potential to drive significant changes in the processes and structure of various organizations in the coming decade. With a rapidly growing global population and an ever increasing global demand for resources (Population-Resource-Center, 2012). Sustainability has emerged as one of the primary challenges that organizations will have to deal with in the 21st century. An increasing realization among business executives that profitability by itself is not enough as a measure of success is also driving the increased adoption of sustainable practices in the corporate world (Lowitt and Grimsley, 2009). Many of the non-financial concerns associated with sustainability are being rapidly recognized as ways to provide shareholder value in the long run. Although sustainability in the corporate world should emphasize economic, environmental and social sustainability, in this paper we will concentrate on the environmental issue and present a new model of best-of-breed practices for implementing environmental sustainability into an organization. To help develop this model we will examine the current literature, including a review of various case studies of corporations engaging in environmentally sustainable practices. We aim to identify practices that have been successful in various organizations and can be generalized and applied to other corporations. We believe that such a model can contribute to the understanding of, and the successful implementation of, environmentally sustainable practices throughout the corporate world. Copyright, American Society for engineering Management, 2012.

关键词： Sustainable development

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financial REGULATION, INNOVATION COMPLEXITY, AND SYSTEMIC RISK

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systems Research Forum 2011年第1期5卷 73-87页

作者： KHALDOUN KHASHANAH Financial Engineering School of Systems and Enterprises Stevens Institute of Technology Hoboken NJ USA

There are no models for financial systems of systems (SoS). Without a model for a financial SoS, systemic risk cannot be uniformly interpreted by practitioners, law makers and economists. The recent financial turmoil and the interdependence of components have exasperated the need for modeling financial systems as a SoS. The current national dialog about the crisis in the financial system has been dominated by the traditional forces that have shaped the economic and financial paradigm. However, it should come as self-evident that the system's perspective on a system such as the financial system should add value and credibility to the analysis, synthesis, and policy changes pertaining to this vital system. The financial system has one foot in social sciences and the other in quantitative sciences. A reductionist approach to understanding the financial system produces locally valid approximations by ignoring systemic complexity. However, it is the systemic complexity that causes the mischaracterization of risk which, left undetected, accumulates in the SoS and creates a systemic risk. This paper provides a model for financial SoS and an associated systemic risk measure and connects the field of systemic reliability to systemic risk.

关键词： System of systems systemic risk systemic integrity financial regulation innovation

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An efficiency evaluation model of EDI in a value added network: The influence of user confidence on risk

An efficiency evaluation model of EDI in a value added netwo...

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11th International Conference of the Association Information and Management, AIM 2006

作者： Baile, Serge Research Center on Organizational Development and Information Systems Business Administration Institute IAE-University of Toulouse 1 France Program in Information Systems Management and Engineering Toulouse Business School-Groupe ESC Toulouse Financial Research Group France

ISBN: (纸本)9783885791867

The evaluation of the performance of information technology and information systems has, over the past three decades, been the object of numerous studies using a wide range of models. Few of them have focused on the study of efficiency, and even fewer still on the development of a specific research model. This paper helps to fill this gap by making a contribution towards formalizing a specific, original theoretical framework and conceptual model, one based on user confidence in ad hoc EDI technology and the risks associated with its use. The model is tested using data obtained from users of a value added network in the car insurance sector. The results of the data analysis, obtained through a series of principal component analysis methods with a Promax rotation and an Amos structural equation analysis, confirm the existence, on the one hand, of an optimal structure of EDI efficiency evaluation factors, and on the other hand, of the relevance of a data model that establishes a hierarchy aimed at explaining risk.

关键词： Efficiency

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