Related papers: Transaction Cost Analytics for Corporate Bonds
Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. We apply the methods of dynamic programming and singular perturbation expansion to derive the closed-form leading solutions to…
The methods of new institutional economics for identifying the transaction costs of trade litigations in Bulgaria are used in the current paper. For the needs of the research, an indicative model, measuring this type of costs on…
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…
This research investigates the multifaceted relationship underlying capital structure dynamics along with financial performance as a result of mergers and acquisitions, or M&As, in Indian banks. In the face of increasing competition, banks…
The connotation of transaction costs has never been definitively determined, and the independence of the concept has never been rigorously demonstrated. This paper delves into the thought systems of several prominent economists in the…
We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and…
A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…
In this paper, we propose an alternative valuation approach for CAT bonds where a pricing formula is learned by deep neural networks. Once trained, these networks can be used to price CAT bonds as a function of inputs that reflect both the…
This study investigates the efficiency and effectiveness of an area-based tradable credit scheme (TCS) using the trip-based Macroscopic Fundamental Diagram model for the morning commute problem. In the proposed TCS, the regulator…
Bitcoin, as one of the most popular cryptocurrency, is recently attracting much attention of investors. Bitcoin price prediction task is consequently a rising academic topic for providing valuable insights and suggestions. Existing bitcoin…
In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position as a result of a margin call to meet financial obligations.…
Transmission switching (TS) has gained significant attention recently. However, barriers still remain and must be overcome before the technology can be adopted by the industry. The state of the art challenges include AC feasibility and…
Concurrent transaction processing is a fundamental capability of Relational Database Management Systems (RDBMSs), widely utilized in applications requiring high levels of parallel user interaction, such as banking systems, e-commerce…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
Rapid growth of modern technologies such as internet and mobile computing are bringing dramatically increased e-commerce payments, as well as the explosion in transaction fraud. Meanwhile, fraudsters are continually refining their tricks,…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
In this paper linear canonical correlation analysis (LCCA) is generalized by applying a structured transform to the joint probability distribution of the considered pair of random vectors, i.e., a transformation of the joint probability…
We present TransactionGPT (TGPT), a foundation model for consumer transaction data within one of the world's largest payment networks. TGPT is designed to understand and generate transaction trajectories while simultaneously supporting a…
In this paper is proposed a 2 factor structural PDE model of pricing puttable bond with credit risk and derived the analytical pricing formula. To this end, first, a 2 factor structural (PDE) model of pricing zero coupon bond with credit…