相关论文: Time and Frequency Structure of Causal Correlation…
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlations between the volume-at-price buckets by a Fourier…
This study analyzes historical data from five agricultural commodities in the Chinese futures market to explore the correlation, cointegration, and Granger causality between Peanut futures and related futures. Multivariate linear regression…
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the…
We tackle the problem of pricing Chinese convertible bonds(CCBs) using Monte Carlo simulation and dynamic programming. At each exercise time, we use the state variables of the underlying stock to regress the continuation value, and apply…
A multi-regional input-output table (MRIOT) containing the transactions among the region-sectors in an economy defines a weighted and directed network. Using network analysis tools, we analyze the regional and sectoral structure of the…
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
While correlation measures are used to discern statistical relationships between observed variables in almost all branches of data-driven scientific inquiry, what we are really interested in is the existence of causal dependence. Designing…
Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations.…
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with expressions for the instantaneous…
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term…
The latest global financial tsunami and its follow-up global economic recession has uncovered the crucial impact of housing markets on financial and economic systems. The Chinese stock market experienced a markedly fall during the global…
Granger causality is a widely-used criterion for analyzing interactions in large-scale networks. As most physical interactions are inherently nonlinear, we consider the problem of inferring the existence of pairwise Granger causality…
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships…
An active margin system for margin loans is proposed for Chinese margin lending market, which uses cash and randomly selected stock as collateral. The conditional probability of negative return(CPNR) after a forced sale of securities from…
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all…
Sentiment towards the Chinese real estate sector has deteriorated following the introduction of financing constraints in 2020 with the ''three red lines." Forcing developers to restructure their debt, the policy triggered a cascade of…
Economic structure comparisons between China and Japan have long captivated development economists. To delve deeper into their sectoral differences from 1995 to 2018, we used the annual input-output tables (IOTs) of both nations to…
In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis…
Granger causality is popular for analyzing time series data in many applications from natural science to social science including genomics, neuroscience, economics, and finance. Consequently, the Granger causality test has become one of the…