A financial fraud detection indicator for investors: an \textit{IDeA}

DOI10.1007/s10479-019-03360-6OpenAlexW2976348958WikidataQ127201751 ScholiaQ127201751MaRDI QIDQ2151647

Bertrand Maillet, Philippe Bernard, Najat El Mekkaoui de Freitas

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03360-6

zbMATH Keywords

robust statisticsperformance measurementfraud detectionhedge funds

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx)

Related Items (1)

A \textit{meta}-measure of performance related to both investors and investments characteristics

Uses Software

• MetaFraud

Cites Work

• Trimmed L-moments
• Estimation of quantile mixtures via L-moments and trimmed L-moments
• L-moments and TL-moments of the generalized lambda distribution
• Statistical fraud detection: a review
• Cluster-based outlier detection
• Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
• Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
• Rare Disasters and Asset Markets in the Twentieth Century*
• Modelling the persistence of conditional variances
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