Financial Engineering eJournal最新文献

{"title":"Nifty Index Options: Open Interest Analysis of Options Chain","authors":"Srikanth Udupi Srinivas, Ritabrata Bhattacharyya","doi":"10.2139/ssrn.3922032","DOIUrl":"https://doi.org/10.2139/ssrn.3922032","url":null,"abstract":"The goal of this paper is to study the relationship between an Index Options Open Interest and the Underlying Price, and examine the Predictable Power of Index Options Open Interest. The objective is to validate the predictable power of Index Options Open Interest in predicting the Trend of the underlying. Daily data of Nifty Index Options Chain for the period of one quarter has been employed. Programming is done using Python, and data collated using MS Excel.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116037953","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Importance of Financial Management in Professional Life","authors":"Dr. Iqbal Shaukat","doi":"10.2139/ssrn.3908134","DOIUrl":"https://doi.org/10.2139/ssrn.3908134","url":null,"abstract":"Financial management is very important for every nation.Financial management provide the path to financial experts.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116797532","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Sinc Approximation of Multidimensional Hilbert Transform and Its Applications","authors":"Jie Chen, Liaoyuan Fan, Lingfei Li, Gongqiu Zhang","doi":"10.2139/ssrn.3091664","DOIUrl":"https://doi.org/10.2139/ssrn.3091664","url":null,"abstract":"Many science and engineering applications require computing Hilbert transform. Sinc approximation is an efficient algorithm for computing one-dimensional (1D) Hilbert transform. In this paper, we develop Sinc approximation for computing multidimensional Hilbert transform and analyze its convergence rate. We apply our method to two applications: detecting edges of 2D images, and pricing discretely monitored barrier options and calculating survival probabilities in two-asset/three-asset models where the prices follow exponential Levy processes. Extensive numerical experiments confirm the efficiency of Sinc approximation for computing 2D and 3D Hilbert transforms in these applications.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124059297","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study","authors":"Yunwen Wang, Jinfeng Li","doi":"10.2139/ssrn.3688563","DOIUrl":"https://doi.org/10.2139/ssrn.3688563","url":null,"abstract":"This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is further conducted on the existence of solutions for a few particular kinds of stochastic differential equations with a reflected boundary. It is proved that the multidimensional version of the Skorohod equation can be solved under the assumption of a convex domain (D).","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121843977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Mathematical Problems in Algorithmic Trading and Financial Regulation","authors":"Yixuan Wang","doi":"10.2139/ssrn.3593824","DOIUrl":"https://doi.org/10.2139/ssrn.3593824","url":null,"abstract":"We study algorithmic trading strategies in order driven markets. We make three contributions to the literature. One, we show how a market maker employs information about the momentum in the price of the asset to design liquidity provision strategies. The momentum in the midprice of the asset depends on the arrival of liquidity taking orders and the arrival of news. Buy market orders (MOs) exert a short-lived upward pressure on the midprice and sell MOs exert a downward pressure of the price. We employ high-frequency data to estimate model parameters and show the performance of the market making strategy. Two, we model the trading strategy of an investor who spoofs the limit order book (LOB) to increase the revenue she obtains from selling a position in an asset. The strategy employs, in addition to sell limit orders (LOs) and sell market orders (MOs), a large number of spoof buy LOs to manipulate the volume imbalance of the LOB. Our results show that spoofing considerably increases the revenues from liquidating a position. The spoof strategy employs, on average, fewer sell MOs (than a strategy without spoof LOs) and from executing roundtrip trades that are initiated by buy spoof LOs that are inadvertently filled and subsequently unwound with sell LOs. Spoofing is illegal and difficult to detect. We show that as the financial penalty for spoofing increases, the spoof strategy relies less on spoof LOs. There is a critical point where the gains from spoofing are outweighed by the financial penalty, so it is optimal no not to spoof the LOB. Three, we show how the supply of liquidity in order driven markets is affected if LOs are forced to rest in the LOB for a minimum resting time (MRT) before they can be cancelled. The bid-ask spread increases as the MRT increases because market makers (MMs) increase the depth of their LOs to protect them from being picked off by other traders. The expected profits of the MMs increase when the MRT increases. The intuition is as follows. As the MRT increases, there are two opposing forces at work. (i) The longer the MRT, the more likely the LOs are to be filled and, on average, shares are sold at a loss. (ii) because the depth of the posted LOs increases, the probability that the LO is picked off by other traders before the end of the MRT decreases. The net effect is that a longer MRT leads to a higher expected profit. We also show that the depth of LOs increases when the volatility of the price of the asset increases. Also, the depth of LOs increases when the arrival rate of market orders increases because it is less likely that LOs will be picked off by the end of the MRT. Finally, our model also makes predictions about the overall liquidity of the market. We show that MMs choose to supply the minimum amount of shares per LO allowed by the exchange because expected profits are maximised when liquidity provided is lowest.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126151049","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Effect of Communication, and Employment Standards Development Employee Satisfaction","authors":"M. Syaifuddin, Fajar Rezeki Ananda Lubis, Yusniar Lubis","doi":"10.34218/ijm.10.6.2019.019","DOIUrl":"https://doi.org/10.34218/ijm.10.6.2019.019","url":null,"abstract":"This study aimed to determine the effect of communication, labor standards and the empowerment of job satisfaction in the Business Unit Dolok harvest Ilir PTPN IV. This research was conducted in August 2019. The number of samples in this study as many as 31 people. The independent variable in this study consisted of communication (X1), work standards (X2) and empowerment (X3), while the dependent variable is job satisfaction (Y). Analysis of data using multiple regression analysis using SPSS. The results showed that communication, employment standards and labor empowerment simultaneously significant effect on employee job satisfaction. Partially that communication, employment standards and labor empowerment significant effect on employee job satisfaction.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125654131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Predictive Analytics in Harnessing Financial Efficacy of Banks Using Camel Model","authors":"Chinmaya Kumar Rout, Dr. Prafulla Kumar Swain, Dr. Manoranjan Dash","doi":"10.34218/ijm.10.6.2019.018","DOIUrl":"https://doi.org/10.34218/ijm.10.6.2019.018","url":null,"abstract":"In India, Cooperative Banking has an idiosyncratic position in the rural credit delivery system. Cooperative Banks are providing timely and easy credit to rural people. The financial efficacy of Cooperative Banks is of immense importance for smooth credit disbursement. In the present study, we have taken 17 District Central Cooperative Banks (DCCBs) of Odisha and attempted to measure their efficacy of finance flow. For this purpose we have used the CAMEL model which is based on five parameters like Capital Adequacy, Asset Quality, Management Quality, Earning Ability and Liquidity. Under each parameter two ratios, are calculated for 10 years and DCCBs are ranked according to their score. Synthesized Index Table is developed by taking the average ranks of each parameter and DCCBs are ranked accordingly","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115571480","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Multivariate Evolutionary Generalised Linear Model Framework with Adaptive Estimation for Claims Reserving","authors":"Benjamin Avanzi, G. Taylor, Phuong Vu, Bernard Wong","doi":"10.2139/ssrn.3413016","DOIUrl":"https://doi.org/10.2139/ssrn.3413016","url":null,"abstract":"In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunction with dependency across business lines to accurately assess claims reserves. We extend the traditional GLM reserving framework on two fronts: GLM fixed factors are allowed to evolve in a recursive manner, and dependence is incorporated in the specification of these factors using a common shock approach. \u0000We consider factors that evolve across accident years in conjunction with factors that evolve across calendar years. This two-dimensional evolution of factors is unconventional as a traditional evolutionary model typically considers the evolution in one single time dimension. This creates challenges for the estimation process, which we tackle in this paper. We develop the formulation of a particle filtering algorithm with parameter learning procedure. This is an adaptive estimation approach which updates evolving factors of the framework recursively over time. \u0000We implement and illustrate our model with a simulated data set, as well as a set of real data from a Canadian insurer.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114420038","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Analysis of Markov Chain Approximation for Diffusion Models with Non-Smooth Coefficients","authors":"Gongqiu Zhang, Lingfei Li","doi":"10.2139/ssrn.3387751","DOIUrl":"https://doi.org/10.2139/ssrn.3387751","url":null,"abstract":"Calculation of the expected value of discounted payoffs with possible monitoring of barrier crossing under one-dimensional diffusion models is required in many applications. Markov chain approximation is a computationally efficient approach for this problem. This paper undertakes the challenge of analyzing its convergence rate when model coefficients are nonsmooth. We obtain sharp estimates of convergence rates for the value function and its first and second derivatives, which are generally first order. To improve convergence rates to second order, we propose two methods: following the midpoint rule that places all nonsmooth points midway between two neighboring grid points or applying a smoothing technique named as harmonic averaging to the model coefficients. Comparison with a widely used finite difference scheme for PDEs with nonsmooth coefficients shows the superiority of our approach. We also generalize the midpoint rule to achieve second-order convergence for two-dimensional diffusions. Numerical experiments confirm the theoretical estimates.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123306677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Information Diffusion and Speed Competition","authors":"Xue-zhong He, Junqing Kang","doi":"10.2139/ssrn.3239821","DOIUrl":"https://doi.org/10.2139/ssrn.3239821","url":null,"abstract":"Speed hierarchy not only motivates fast trading competition on less precise information but also renders slower traders more informative. As a result, endogenous speed acquisition in equilibrium affects how information is produced and spread. When information diffusion is characterized by its disclosure level (measured by initial information precision) and dissemination rate (at which heterogeneous information disperses across investors), these factors can have opposite impacts on price discovery. High disclosure leads to more informative fast trading, while fast dissemination crowds out fast traders. Channeled by strategic complementarity of late to early trading, price discovery is improved with disclosure but reduced with dissemination over the short and long run. The model developed in this paper makes additional predictions for fast and informed trading patterns.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121748617","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}