SSRN Electronic Journal最新文献_第5页

Hedging Beyond the Mean: A Distributional Reinforcement Learning Perspective for Hedging Portfolios with Structured Products 超越均值的对冲：用结构性产品对冲投资组合的分布强化学习视角

SSRN Electronic Journal Pub Date : 2024-07-15 DOI: 10.2139/ssrn.4709441

Anil Sharma, Freeman Chen, Jaesun Noh, Julio DeJesus, Mario Schlener

{"title":"Hedging Beyond the Mean: A Distributional Reinforcement Learning Perspective for Hedging Portfolios with Structured Products","authors":"Anil Sharma, Freeman Chen, Jaesun Noh, Julio DeJesus, Mario Schlener","doi":"10.2139/ssrn.4709441","DOIUrl":"https://doi.org/10.2139/ssrn.4709441","url":null,"abstract":"Research in quantitative finance has demonstrated that reinforcement learning (RL) methods have delivered promising outcomes in the context of hedging financial portfolios. For example, hedging a portfolio of European options using RL achieves better $PnL$ distribution than the trading hedging strategies like Delta neutral and Delta-Gamma neutral [Cao et. al. 2020]. There is great attention given to the hedging of vanilla options, however, very little is mentioned on hedging a portfolio of structured products such as Autocallable notes. Hedging structured products is much more complex and the traditional RL approaches tend to fail in this context due to the underlying complexity of these products. These are more complicated due to presence of several barriers and coupon payments, and having a longer maturity date (from $7$ years to a decade), etc. In this direction, we propose a distributional RL based method to hedge a portfolio containing an Autocallable structured note. We will demonstrate our RL hedging strategy using American and Digital options as hedging instruments. Through several empirical analysis, we will show that distributional RL provides better $PnL$ distribution than traditional approaches and learns a better policy depicting lower value-at-risk ($VaR$) and conditional value-at-risk ($CVaR$), showcasing the potential for enhanced risk management.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141646201","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}

引用次数: 0

Examining The Role of Mindfulness in Alleviating Death Anxiety 研究正念在缓解死亡焦虑中的作用

SSRN Electronic Journal Pub Date : 2024-07-14 DOI: 10.2139/ssrn.4889307

Kritika Shukla, Monalisa Nayak

{"title":"Examining The Role of Mindfulness in Alleviating Death Anxiety","authors":"Kritika Shukla, Monalisa Nayak","doi":"10.2139/ssrn.4889307","DOIUrl":"https://doi.org/10.2139/ssrn.4889307","url":null,"abstract":"Death anxiety, defined as strong worry and concern about death and dying, can have a substantial impact on a person's mental health and quality of life. This study investigates the effectiveness of mindfulness activities in reducing death anxiety by encouraging a present-focused and welcoming mindset. Mindfulness, which includes essential features such as observing, describing, responding with awareness, being nonjudgmental, and remaining nonreactive, is thought to lower the intensity of death dread through improved emotional control and cognitive processing. The study investigates how mindfulness promotes a more balanced and less reactive approach to existential problems. Mindfulness activities teach people to examine their thoughts and feelings without judgment, narrate their experiences in a non-evaluative manner, act with heightened awareness, and create an attitude of acceptance and non-reactivity. This strategy can reduce the avoidance and denial that are commonly linked with death dread, allowing for a more healthy processing of mortality-related ideas. The study's findings indicate that people who practice mindfulness on a daily basis have lower levels of fear about death. These strategies serve to shift the focus away from future-\u0000oriented anxieties and towards present-moment sensations, lessening the cognitive and emotional load of death-related thoughts. The study emphasizes the therapeutic potential of mindfulness-based therapies in clinical settings and advocates for their incorporation into mental health treatment regimens to address death anxiety and other existential issues. Individuals who cultivate a conscious approach to death may\u0000increase their psychological resilience, enjoy more emotional stability, and acquire a deeper sense of inner peace. The findings of this study highlight the value of mindfulness as a potent strategy for reducing death anxiety and promoting general mental well-being.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141833916","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}

引用次数: 0

Exploring Transimpedance Amplifier Topologies: Design Considerations and Trade-offs 探索跨阻放大器拓扑结构：设计考虑因素和权衡

SSRN Electronic Journal Pub Date : 2024-07-13 DOI: 10.2139/ssrn.4896072

Lavakumar Navilipuri, Lava Kumar

引用次数: 0

Just Friends? Managers' Connections to Judges 只是朋友？管理人员与法官的关系

SSRN Electronic Journal Pub Date : 2024-07-13 DOI: 10.2139/ssrn.4872160

Sterling Huang, Sugata Roychowdhury, Ewa Sletten, Yanping Xu

引用次数: 0

Enhancing Depressive Post Detection in Bangla: A Comparative Study of TF-IDF, BERT and FastText Embeddings 增强孟加拉语中的抑郁帖检测：TF-IDF、BERT 和 FastText 嵌入的比较研究

SSRN Electronic Journal Pub Date : 2024-07-12 DOI: 10.2139/ssrn.4885802

Saad Ahmed, Mahdi H Sazan, Miraz A B M Muntasir, Rahman, Saad Ahmed Sazan, Mahdi H. Miraz, M. M. Rahman

{"title":"Enhancing Depressive Post Detection in Bangla: A Comparative Study of TF-IDF, BERT and FastText Embeddings","authors":"Saad Ahmed, Mahdi H Sazan, Miraz A B M Muntasir, Rahman, Saad Ahmed Sazan, Mahdi H. Miraz, M. M. Rahman","doi":"10.2139/ssrn.4885802","DOIUrl":"https://doi.org/10.2139/ssrn.4885802","url":null,"abstract":"Due to massive adoption of social media, detection of users' depression through social media analytics bears significant importance, particularly for underrepresented languages, such as Bangla. This study introduces a well-grounded approach to identify depressive social media posts in Bangla, by employing advanced natural language processing techniques. The dataset used in this work, annotated by domain experts, includes both depressive and non-depressive posts, ensuring high-quality data for model training and evaluation. To address the prevalent issue of class imbalance, we utilised random oversampling for the minority class, thereby enhancing the model's ability to accurately detect depressive posts. We explored various numerical representation techniques, including Term Frequency-Inverse Document Frequency (TF-IDF), Bidirectional Encoder Representations from Transformers (BERT) embedding and FastText embedding, by integrating them with a deep learning-based Convolutional Neural Network-Bidirectional Long Short-Term Memory (CNN-BiLSTM) model. The results obtained through extensive experimentation, indicate that the BERT approach performed better the others, achieving a F1-score of 84%. This indicates that BERT, in combination with the CNN-BiLSTM architecture, effectively recognises the nuances of Bangla texts relevant to depressive contents. Comparative analysis with the existing state-of-the-art methods demonstrates that our approach with BERT embedding performs better than others in terms of evaluation metrics and the reliability of dataset annotations. Our research significantly contribution to the development of reliable tools for detecting depressive posts in the Bangla language. By highlighting the efficacy of different embedding techniques and deep learning models, this study paves the way for improved mental health monitoring through social media platforms.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141654831","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}

引用次数: 0

The Lawfulness of Unilateral Sanctions in the Wake of a US-China “Sanctions War” 中美 "制裁战 "后单边制裁的合法性

SSRN Electronic Journal Pub Date : 2024-07-11 DOI: 10.2139/ssrn.4690995

Joshua Andresen

{"title":"The Lawfulness of Unilateral Sanctions in the Wake of a US-China “Sanctions War”","authors":"Joshua Andresen","doi":"10.2139/ssrn.4690995","DOIUrl":"https://doi.org/10.2139/ssrn.4690995","url":null,"abstract":"Despite what many saw as a détente in US–China relations as presidents Biden and Xi met at the G20 Summit in November 2022, both countries have continued to develop and deploy sanctions against one another. Among the most recent actions by the US is the continued use of export controls, particularly to limit China’s access to advanced computing chips. Meanwhile, China has continued to use sanctions to target US firms, recently in the form of a national security investigation into US chip maker, Micron, and “countermeasures” against major US arms manufacturers such as Raytheon and Lockheed Martin. This Article examines the range of economic sanctions that the US and China have and could deploy against one another, the lawfulness of these measures, and the likely effects of these sanctions for the future of international sanctions law. Although unilaterally imposed economic sanctions remain a deeply contested area of international law, an unintended consequence of the increasing use of sanctions by the world’s two largest economies will be to lend legitimacy and legality to their use. Although the economic costs of a US–China sanctions war would be staggering, such a war would only further entrench unilateral sanctions as a fundamental tool of national security and foreign relations. This Article describes how international law is likely to develop as a consequence of the proliferation of sanctions, arguing that, far from undermining their lawfulness, increased state practice will support a customary norm of unilaterally imposed sanctions.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141835001","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}

引用次数: 0

Abstraction, conceptualization, disambiguation, ideation, innovation, objectivization, quantification, and theorization in the social sciences: New pillars for contemporary social sciences research 社会科学中的抽象化、概念化、歧义化、构思、创新、客观化、量化和理论化：当代社会科学研究的新支柱

SSRN Electronic Journal Pub Date : 2024-07-11 DOI: 10.2139/ssrn.4889415

Sujay Rao Mandavilli Mandavilli

{"title":"Abstraction, conceptualization, disambiguation, ideation, innovation, objectivization, quantification, and theorization in the social sciences: New pillars for contemporary social sciences research","authors":"Sujay Rao Mandavilli Mandavilli","doi":"10.2139/ssrn.4889415","DOIUrl":"https://doi.org/10.2139/ssrn.4889415","url":null,"abstract":"In many of our previous papers published over the years, we had developed and propounded concepts such as fuzzy logic, the theory of paradoxes, the certainty uncertainty principle for the social sciences, innovative methods for the social sciences, and had also explained the importance of inductive approaches, grounded theory, and nomothetic rule building. We had also stated the importance of practicalism as a core component of the philosophy of science. In this paper, we state the importance of abstraction, conceptualization, ideation, innovation, quantification, theorization, objectivization and disambiguation in the social sciences, and explain all of these concepts in detail. We also refer to them as the “pillars of social sciences research methods and techniques”, or “the guiding principles or the guiding forces in the use or employment of social science research methods and techniques, and social science research activity”. These approaches are necessary because social sciences research is mostly qualitative; these techniques could impart quality and objectivity to social science research in a way that other techniques cannot. These are different from the philosophy of science or the philosophy of social science, and these we anticipate would guide and drive much of social science research enterprise in the twenty-first century and beyond. These are also foundationally different from the objectives of social science research, examples of which could be cultural emancipation, inculcation of a scientific temper, etc. Needless to say, these can be gainfully employed in the non social sciences as well, though this is not our primary focus and emphasis here.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141657023","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}

引用次数: 1

ESG & Executive Remuneration in Europe 欧洲的环境、社会和公司治理与高管薪酬

SSRN Electronic Journal Pub Date : 2024-07-11 DOI: 10.2139/ssrn.4817498

Marco Dell'Erba, Guido Ferrarini

{"title":"ESG & Executive Remuneration in Europe","authors":"Marco Dell'Erba, Guido Ferrarini","doi":"10.2139/ssrn.4817498","DOIUrl":"https://doi.org/10.2139/ssrn.4817498","url":null,"abstract":"Executive remuneration has traditionally attracted the attention of scholars, regulators, and public opinion. In recent years, especially after epochal corporate scandals and financial crises, executive remuneration has polarized the political debate, leading to consequences for the way it was theorized, structured, and ultimately quantified within corporations. This article specifically examines the relationship between executive compensation and sustainability, with a focus on the influence of Environmental, Social, Governance (ESG) metrics in the context of European companies. The article provides a qualitative analysis of the historical debate on executive remuneration and considers the different theories informing corporate law. Furthermore, it offers a qualitative and empirical analysis of how executive compensation policies of the 300 largest companies by target capitalization in Europe – listed in the FTSE EuroFirst300 – take ESG parameters into account. Lastly, this article presents some policy considerations, particularly questioning whether executive remuneration is the right incentive for ESG compliance, and emphasizing the importance of a shift in corporate culture to effectively make corporate practices more sustainable.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141658400","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}

引用次数: 1

Token Governance in Initial Coin Offerings: Implications of Token Retention and Resale Restrictions for ICO Success 首次代币发行中的代币管理：代币保留和转售限制对 ICO 成功的影响

SSRN Electronic Journal Pub Date : 2024-07-10 DOI: 10.2139/ssrn.4619262

Johannes Fuchs, Paul P. Momtaz

引用次数: 0

Production Networks and Innovation in the Semi-periphery: The Transition to Electric Vehicles in South Korea and Spain 半边缘地区的生产网络与创新：韩国和西班牙向电动汽车的过渡

SSRN Electronic Journal Pub Date : 2024-07-10 DOI: 10.2139/ssrn.4801643

Angela Garcia Calvo

{"title":"Production Networks and Innovation in the Semi-periphery: The Transition to Electric Vehicles in South Korea and Spain","authors":"Angela Garcia Calvo","doi":"10.2139/ssrn.4801643","DOIUrl":"https://doi.org/10.2139/ssrn.4801643","url":null,"abstract":"What determines the ability of firms based in New Advanced Economies to generate innovation in the transition to electric vehicles (EVs)? Under what conditions are they more likely to break with their established pattern as fast followers to create innovation that is new to the world? To address these questions, we introduce a meso-level framework focused on the organization of global production networks. The framework examines three aspects of such networks: the position of the firm within the network, the number of lead firms, and the links between lead firms and suppliers. We illustrate the explanatory power of our framework through the cases of South Korea and Spain, the two New Advanced Economies with the largest automotive sectors. We characterize Korea’s production network as a unipolar, captive structure and Spain’s as part of an EU-wide multipolar, modular production network. We argue that contrary to common perceptions, Korea’s structure delayed the transition to EV’s and strengthened Korea’s role as a fast follower. Meanwhile, Spain’s embeddedness in the EU production network offered significant opportunities for turnkey suppliers to generate novel innovation despite the absence of a domestic lead firm.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141661862","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}

引用次数: 0