综合金融
We model leverage as stochastic but independent of return shocks and of volatility and perform likelihood-based inference via the recently developed iterated filtering algorithm using S&P500 data, contributing new evidence to the still slim…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
The European Union and Eurozone present an inquisitive case of strongly interconnected network with high degree of dependence among nodes. This research focused on investment network of European Union and its major trading partners for…
Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the…
The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at…
One unexamined assumption in foreign ownership regulation is the notion that majority voting rights translate to 'effective control'. This assumption is so deeply entrenched in foreign investments law that possession of majority voting…
We provide complete source code for building a fundamental industry classification based on publically available and freely downloadable data. We compare various fundamental industry classifications by running a horserace of short-horizon…
Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are…
This short note is intended as a "Letter to the Editor" Perspective in order that it serves as a contribution, in view of reaching the physics community caring about rare events and scaling laws and unexpected findings, on a domain of wide…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
We propose and analyze numerically a simple dynamical model that describes the firm behaviors under uncertainty of demand forecast. Iterating this simple model and varying some parameters values we observe a wide variety of market dynamics…
Achieving international food security requires improved understanding of how international trade networks connect countries around the world through the import-export flows of food commodities. The properties of food trade networks are…
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than rich agents, eventually all wealth…
The purpose of this study was to build a customer selection model based on 20 dimensions, including customer codes, total contribution, assets, deposit, profit, profit rate, trading volume, trading amount, turnover rate, order amount,…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
The relationship between international trade and foreign direct investment (FDI) is one of the main features of globalization. In this paper we investigate the effects of FDI on trade from a network perspective, since FDI takes not only…
This paper asks, "Do classics exist in megaproject management?" We identify three types of classic texts: conventional, Kuhnian, and citation classics. We find that the answer to our question depends on the definition of "classic" employed.…
Reference class forecasting is a method to remove optimism bias and strategic misrepresentation in infrastructure projects and programmes. In 2012 the Hong Kong government's Development Bureau commissioned a feasibility study on reference…
Impact of chosen behavioural factors on imprecision of present value is discussed here. The formal model of behavioural present value is offered as a result of this discussion. Behavioural present value is described here by fuzzy set. These…
We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes.…