综合金融
Shareholders' expectations of stock returns and fluctuations are constantly changing due to restrictions in financial status and undesirable capital structure, which constrain managers to limit the changes in price trends in order to cover…
Empirical business cycle studies using cross-country data usually cannot achieve causal relationships while within-country studies mostly focus on the bust period. We provide the first causal investigation into the boom period of the…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
Exploring transactions within the Bitcoin blockchain entails examining the transfer of bitcoins among several hundred million entities. However, it is often impractical and resource-consuming to study such a vast number of entities.…
The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That…
This study aims to empirically investigate the impact of managers' characteristics on their choice between in-court and out-of-court restructuring. Based on the theory of upper echelons, we tested the preferences of 342 managers of…
The Proof of Efficient Liquidity (PoEL) protocol, designed for specialised Proof of Stake (PoS) consensus-based blockchains that incorporate intrinsic DeFi applications, aims to support sustainable liquidity bootstrapping and network…
We study Just-in-time (JIT) liquidity provision in blockchain-based decentralized exchanges. A JIT liquidity provider (LP) monitors pending swap orders in public mempools of blockchains to sandwich orders of their choice with liquidity,…
Reinforcement learning has been explored for many problems, from video games with deterministic environments to portfolio and operations management in which scenarios are stochastic; however, there have been few attempts to test these…
Along with the increasing frequency and severity of cyber incidents, understanding their economic implications is paramount. In this context, listed firms' reactions to cyber incidents are compelling to study since they (i) are a good proxy…
Why would a blockchain-based startup and its venture capital investors choose to finance by issuing tokens instead of equity? What would be their rates of return for each asset? This paper focuses on the liquidity difference between the two…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
Hong Kong's anti-ELAB movement had a significant impact on the stock market the stock price of listed companies. Using the number of protestors as the measurement of daily protesting intensity from 2019/6/6 to 2020/1/17, this paper…
Large language models (LLMs) are deep learning algorithms being used to perform natural language processing tasks in various fields, from social sciences to finance and biomedical sciences. Developing and training a new LLM can be very…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
We argue that spanning large numbers of degrees of freedom in empirical analysis allows better characterizations of effects and thus improves the trustworthiness of conclusions. Our ideas are illustrated in three studies: equity premium…
This paper presents a pioneering approach for simulation of economic activity, policy implementation, and pricing of goods in token economies. The paper proposes a formal analysis framework for wealth distribution analysis and simulation of…
This report outlines a transformative initiative in the financial investment industry, where the conventional decision-making process, laden with labor-intensive tasks such as sifting through voluminous documents, is being reimagined.…
We have shown, in a series of articles, that a classical description of a large number of economic agents can be replaced by a statistical fields formalism. To better understand the accumulation and allocation of capital among different…
This article extends, in a stochastic setting, previous results in the determination of feasible exchange ratios for merging companies. A first outcome is that shareholders of the companies involved in the merging process face both an upper…