绑定机构
扫描成功 请在APP上操作
打开万方数据APP,点击右上角"扫一扫",扫描二维码即可将您登录的个人账号与机构账号绑定,绑定后您可在APP上享有机构权限,如需更换机构账号,可到个人中心解绑。
欢迎的朋友
万方知识发现服务平台
获取范围
  • 1 / 24
  (已选择0条) 清除 结果分析
找到 463 条结果
摘要:In this paper, we test the null hypothesis that the prices of stock index futures of China follow a random-walk process. Five hypothesis tests are applied to test the random-walk hypothesis (RWH). Each test uses both inter-day and intra-day returns. Compared with inter-day analysis, test results on intra-day data can describe the movements of intra-day markets more effectively, because intra-day analysis eliminates overnight news propagation, thus generating more precise conclusions on the intra-day market for intra-day traders. Three out of the five tests reject the RWH, whereas the other two cannot reject the RWH. Overall, the market is not fully efficient....
摘要:Exchange rate is very pivotal in its role in the economy of any nation especially as a result of globalization. This paper seeks to model the Nigerian economy proxied by the log of Gross Domestic Product (LGDP) and its relationship with other variables in the economy. The variables used are NGN/USD exchange rate (NAIRA), log of oil revenue (LOILREV), log of government expenditure. We estimated the model using the Vector Autoregressive (VAR) model. We tested the presence or otherwise of causality among the variables using the method of Granger. The result reveals that the optimal lag for the model was 1. The exchange rate was found to Granger cause the economy (LGDP), LOILREV (Oil Revenue) and LGEXP (Government expenditure). We also discovered that the dynamics of NAIRA was not fully captured by the variables used. We also pointed out the shock persistence of NAIRA in time....
摘要:In this paper, we combine the theory of stochastic process and techniques of machine learning with the regression analysis, first proposed by [1] to solve for American option prices, and apply the new methodologies on financial derivatives pricing. Rigorous convergence proofs are provided for some of the methods we propose. Numerical examples show good applicability of the algorithms. More applications in finance are discussed in the Appendices....
摘要:In this paper, we propose a general framework of optimal investment and a collection of trading ideas, which combine probability and statistical theory with, potentially, machine learning techniques, e.g., machine learning regression, classification and reinforcement learning. The trading ideas are easy to implement and their validity is justified by full mathematical rigor. The framework is model-free and can, in principle, incorporate all categories of trading ideas into it. Simulation and backtesting studies show good performance of selected trading strategies under the proposed framework. Sharpe ratios are above 8.00 in simulation study and Sortino ratios are above 4.00 in backtesting, with very limited drawdowns, using 20 years of monthly data of US equities (NASDAQ, NYSE and AMEX from 1999.1 to 2018.12) and 17 years of monthly data of China A-Share equities (Shanghai and Shenzhen Stock Exchange from 2002.1 to 2018.8)....
摘要:This article investigates a stochastic filtering problem whereby the bor-rower’s hidden credit quality is estimated using ego-network signals. The hidden credit quality process is modeled as a mean reverting Ornstein-Ulehnbeck process. The lender observes the borrower’s behavior modeled as a continuous time diffusion process. The drift of the diffusion process is driven by the hidden credit quality. At discrete fixed times, the lender gets ego-network signals from the borrower and the borrower’s direct friends. The observation filtration thus contains continuous time borrower data augmented with discrete time ego-network signals. Combining the continuous time observation data and ego-network information, we derive filter equations for the hidden process and the properties of the conditional variance. Further, we study the asymptotic properties of the conditional variance when the frequency of arrival of ego-network signals is increased....
摘要:The aim of the paper is to incorporate a stochastic correlation structure when pricing quanto options under the assumption that both the underlying asset and the foreign exchange (FX) rate follow a stochastic volatility model. This is reached not only assuming that the correlation between the underlying asset and its variance process is stochastic (and the same between the exchange rate and its variance process), but also assuming a stochastic correlation between the underlying asset and the exchange rate. Under different stochastic correlation processes specifications, by approximating non-affine terms, we derive a closed-form approximation for the characteristic function of the underlying asset. Numerical experiments and comparison with Monte Carlo simulations are discussed. The analytical tractability of the formulas allows for fast pricing and calibration purposes....
摘要:The menace of Economic recession to uncertainty in the payoff of investments and standard of living cannot be over emphasized. This paper presents fast Fourier transform method for the valuation of American style options under the exposure of Economic recession. A multi-factor affine Exponential jump model with Recession induced Stochastic volatility and Intensity, which is a partial Integro-Differential Equation (PIDE) is presented. We show how to determine the characteristic function of the model via generating function. A close form characteristic formula for a financial claim satisfying the PIDE in pricing both European style and American style options in Fourier based transform was done. A numerical based Fourier transform algorithm FFT for European call option valuation was extended to the model under study. The algorithm was further extended to American call options valuation by adding premium price to the European call options price. Numerical result was presented to reflect the effect of economic recession induced volatility on options prices and that of the usual volatility. The result shows some significant vicissitudes in the options values in the two states of the Economy. The result output indicated that the model is effective and reliable compared to other existing models. The fast Fourier transform (FFT) approach gave better option value and compared to both Black-Scholes Merton (BSM) and American Option solver as shown in the table under numerical result section. We used Nigerian Flourmill Stock (NFS) prices for data calibration and reported the stock performance during the first Nigerian recession and recovery year in the Appendix section....
摘要:This paper models the value of callable Eurobonds, using stochastic calculus, by assuming that the exchange rate follows a geometric Brownian motion process and the arrival time of an early redemption of the bond by the issuer conforms to a negative exponential distribution. The solution to the stochastic model shows that there is a relationship between the call premium and the expected time to the call which is consistent with traditional Black-Scholes pricing formulae. The magnitude of the call premium can be viewed as a signal to the market on a Government treasury’s or company’s expectations about the future level of interest rates and possible refinancing strategies. This paper is unique because as of July 2019 there exists no attempt at valuing Callable Eurobonds in the research literature....
摘要:In this paper, a valuation framework is developed for the variable rate demand obligation (VRDO). The VRDO is a class of floating rate note whose coupon rate changes on a regular basis and is “puttable” by the bondholder, given a notice of one week to the issuer. We model the coupon rate as a geometric Brownian motion process and assume that the incidence of puts is Poisson distributed, across time. Put events are assumed to be brought about by factors such as a change in the liquidity and consumption preferences of investors or a change in a Municipal issuer’s creditworthiness. This paper is unique because as of July 2019 there exists no attempt at valuing VRDOs in the research literature....
摘要:This paper wants to analyse the cyber-risk impact on economy in particular on the returns of the companies suffering information braches. The problem has become very interesting in recent years in the literature for the large dependence of the business with cyber world. The analysis focuses on event study in which the impact of cyber-attacks on stock prices of selected companies is investigated. Cyber-risk phenomenon is processed considering a portfolio of targeted assets, in order to analyse their correlation. Risk measures, such as VaR, will be evaluated and backtested using different methods to monitor which one is able to better capture this type of riskiness....
摘要:We solve the optimal portfolio choice problem for an investor who can trade a risk-free asset and a risky asset. The investor faces both Brownian and jump risks and the jump is modeled by a Hawkes process so that occurrence of a jump in the risky asset price triggers more sequent jumps. We obtain the optimal portfolio by maximizing expectation of a constant relative risk aversion (CRRA) utility function of terminal wealth. The existence and uniqueness of a classical solution to the associated partial differential equation are proved, and the corresponding verification theorem is provided as well. Based on the theoretical results, we develop a numerical monotonic iteration algorithm and present an illustrative numerical example....
摘要:Every investor in the market has access to the stock names, making it the most popular information. However, this piece of information is often ignored by people and considered insignificant in the decision process. In fact, it is almost always the stock names that give investors the first impression of a stock, and thus psychologically speaking, should in turn impact the decision process. In this paper, we score the (Chinese) stock names according to the meaning and the efficiency of passing information, so that we can work out a quantitative analysis of the stock names. Theoretically we derive the relationship between the stock name scores and the expected stock returns. Practically we build up an imaginary market-neutral portfolio and analyze its return by historical data. From both the theoretical and the practical aspects we discuss the two hypotheses—the liking theory and the information theory, and we show that in the Chinese stock market, the liking theory dominates, which is opposite to the result from the US stock market....
摘要:Effects of price, sold items, negative feedbacks, positive feedbacks, or no feedbacks are studied for online market engines mainly through eBay. Random walk type model is established to measure the duration that sellers with business effected negatively in order to turn it around. This study was based on data from eBay where not only prices play a role in selling items but also the impact factor that buyers depend on in general. This impact factor was studied for five different types of sellers over the same duration selling the same commodity....
[期刊论文] Mario Pucci
-
-
2019年 03期
摘要:The Treasury lock is a common pre-hedging derivative strategy the Street offers to their corporate clients. The paper provides a justification of the common practice of booking a short position in the Treasury lock as a forward contract on the underlying benchmark and a short position in the Then-Current Treasury lock as a forward contract on underlying benchmark rolled over the life of the contract....
摘要:The purpose of this paper is to develop a valuation model for projects, explicitly taking into account the combined effects of taxation and the risk of obsolescence. In the modelling process it is assumed that a project’s pre-tax net operating cash flows follow a geometric Brownian motion with a declining trend parameter. Obsolescence risk is introduced by means of a Poisson jump. The risk effects on the tax on flows and tax savings through tax depreciation are then evaluated separately. Through sensitivity analysis it is demonstrated that the expected time to obsolescence can have a more dramatic effect upon valuation than moderate changes in tax depreciation rates and corporate tax rates. This is the first paper ever that realistically models obsolescence risk within the context of taxation. The model can be applied to a wide variety of industrial sectors such as oil & gas; shipping; real estate; information technology; telecommunications and new energy....
摘要:Employee or labor scheduling is associated with assigning an appropriate number of workers to the jobs during each day of work. It requires determining when staff members will work and when part-time, full-time workers will be needed to work. It is obvious that the number of employees wanted on duty throughout the week may fluctuate depending on health or family issues of the labor and the employer’s requirement for a particular job; Scheduling forces us to systematically identify and analyze about all the tasks that need to be done on a project, the expected time each task might take, the expected requirement of the workforce for the job in terms of size and quality of employee personnel and the expected labor expenses. As the availabilities of the employees may vary and change from week to week; hence the scheduling becomes more essential for the smooth running of a project or shift. This paper focuses on a constructive method for solving Labor Scheduling problem encountered in a construction company, suggesting an estimated labor cost over a week and the requirement of part-time labors in each shift, using linear programming techniques, thus, providing a logical way to organize these tasks and produce a new schedule each week, by the virtue of the changing demand for service while minimizing labor cost and maximizing labor preferences....
摘要:This paper considers optimal investment and risk control problem under the Hull and White Stochastic Volatility (SV) model for an Insurer who aims to optimize the investment and risk control strategies. The surplus process of the insurer is assumed to follow the Brownian motion with drift. An Insurer can invest in the financial market consisting of risk-free and risky assets whose price process satisfies Hull-White SV model. By applying the stochastic dynamic programming approach, we derive closed-form expressions for the optimal strategies and the value function. We find that under the Hull and White model, the interest rate and risk aversion parameters both influence optimal strategies. Moreover, we provide a numerical example to illustrate the model’s economic implications....
摘要:In this work, we use the model-free framework, named randomly distributed embedding, which is the method that randomly selects variables from the values of many observed variables at a certain time and estimates the state of the attractor at that time, to predict the future return of Japanese stocks and show that the prediction accuracy is improved compared to the conventional methods such as simple linear regression or least absolute shrinkage and selection operator (LASSO) regression. In addition, important points to be considered when applying the randomly distributed embedding method to financial markets, and specific future practical applications will be presented....
摘要:This paper examines bank portfolio management under banking regulation and asymmetric information about borrower types and screening by banks and imperfect competition in the credit market. A bank tries to maximize expected profit subject to a portfolio variance constraint. The analysis yields the following results: For a monopoly bank, the incentive constraint of the efficient type of borrowers will be binding and the participation constraint of the inefficient type of borrowers will be binding. Further, given the variance constraint being binding, the optimal portfolio will be on the efficiency frontier. The paper also examines duopoly competition between aggressive (predator) and defensive (prey) banks and the scope for potential cooperation and reveals that among the alternatives of natural monopoly, entry deterrence, takeovers and efficient portfolio diversification through mergers or interest swaps, the cooperative efficient portfolio diversification strategy will dominate any non-cooperative strategy whenever portfolio returns are negatively correlated between any pair of interacting banks as it reduces portfolio variance for a given package of interest and loans....
摘要:This paper explores the selection of optimal portfolio by replacing the standard Mean-Variance model by Mean-Minimum Return Level (MRL) framework and adding one important dimension—expectation of bounded First Passage Time (FPT) towards the MRL. To measure how much a given portfolio is exposed to risk, the new model can capture both, the amount of the largest possible loss at a certain confidence level and time to such an event occurring. The novelty of this paper is the introduction of bounded first passage time towards MRL and taking its expectation into consideration as an additional factor in portfolio selection decision making. Assuming that the asset price dynamics follow multi-dimensional Geometric Brownian Motion with drift, we obtain a portfolio wealth process for multiple assets and we evaluate the lowest possible value to which it can drop by a high confidence level. Then we extend our examination of the optimal portfolio selection by ultimately obtaining the efficient surface of risky portfolios. As a result, the paper shows that the third dimension can make a significant difference while choosing the asset weights compared to classical models ignoring the portfolio return paths as long as they achieve a desired combination of risk and return....
  (已选择0条) 清除
公   告

北京万方数据股份有限公司在天猫、京东开具唯一官方授权的直营店铺:

1、天猫--万方数据教育专营店

2、京东--万方数据官方旗舰店

敬请广大用户关注、支持!查看详情

手机版

万方数据知识服务平台 扫码关注微信公众号

万方选题

学术圈
实名学术社交
订阅
收藏
快速查看收藏过的文献
客服
服务
回到
顶部