General Finance
The interdependence of electricity and natural gas markets is becoming a major topic in energy research. Integrated energy models are used to assist decision-making for businesses and policymakers addressing challenges of energy transition…
The prediction of a stock price has always been a challenging issue, as its volatility can be affected by many factors such as national policies, company financial reports, industry performance, and investor sentiment etc.. In this paper,…
We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allows to identify two distinct components: a long-term…
Quality-designed consumer products are easy to recognize. Wouldn't it be great if the quality of financial products became just as apparent? This paper is addressed to financial practitioners. It provides an informal introduction to…
Disagreement is an essential element of science and life in general. The language of probabilities and statistics is often used to describe disagreements quantitatively. In practice, however, we want much more than that. We want…
Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the use of mathematical tools known as financial instruments. Besides money, the two most fundamental financial…
We continue to investigate the use of quantum computers for building an optimal portfolio out of a universe of 60 U.S. listed, liquid equities. Starting from historical market data, we apply our unique problem formulation on the D-Wave…
The main objective of this study is to check short term stress of COVID-19 on the American, European, Asian, and Pacific stock market indices, furthermore, the correlation between all the stock markets during the pandemic. Secondary data of…
The objective of this study is to examine empirically the impact of good corporate governance on financial performance of United Kingdom non-financial listed firms. Agency theory and stewardship theory serve as the bases of a conceptual…
We investigate how the relationship between managerial stock incentives and the dividend payout policy is impacted by the business cycle by using the data of S&P 1500 companies during 2000-2018. We find a strong negative relationship…
Big data and machine learning (ML) algorithms are key drivers of many fintech innovations. While it may be obvious that replacing humans with machine would increase efficiency, it is not clear whether and where machines can make better…
This article provides an overview of Supervised Machine Learning (SML) with a focus on applications to banking. The SML techniques covered include Bagging (Random Forest or RF), Boosting (Gradient Boosting Machine or GBM) and Neural…
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a…
Although companies are exhorted to provide more information to the financial community, it is evident that they choose different paths based upon their strategic emphasis and competitive environments. Our investigation explores the…
We model the quantities appearing in Internal Revenue Service (IRS) tax guidance for calculating the health insurance premium tax credit created by the Patient Protection and Affordable Care Act, also called Obamacare. We ask the question…
In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones. By considering the Poisson process parameter to be a mixed random variable, we capture the heterogeneity…
This project aims at creating an investment device to help investors determine which real estate units have a higher return to investment in Madrid. To do so, we gather data from Idealista.com, a real estate web-page with millions of real…
Interactive simulation toolkits come in handy when teaching macroeconomic models by facilitating an easy understanding of underlying economic concepts and offering an intuitive approach to the models' comparative statics. Based on the…
This paper examines the impact of financial risks on economic growth in the first 15 Member States of the European Union, considering 1995-2014 period and aims to lay down a new explanatory model of economic growth, based mainly on the…
Since 1986, Government of Botswana has been running an Agricultural Credit Guarantee Scheme for dry-land arable farming. The scheme purports to assist dry-land crop farmers who have taken loans with participating banks or lending…