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Covariate Selection for Mortgage Default Analysis Using Survival Models 使用生存模型进行抵押贷款违约分析的协变量选择
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112012
Dongfang Zhang, B. Bhandari, Dennis Black
{"title":"Covariate Selection for Mortgage Default Analysis Using Survival Models","authors":"Dongfang Zhang, B. Bhandari, Dennis Black","doi":"10.4236/JMF.2021.112012","DOIUrl":"https://doi.org/10.4236/JMF.2021.112012","url":null,"abstract":"The mortgage sector plays a pivotal role in the financial services industry, and the U.S. economy in general, with the Federal Reserve, St. Louis, reporting Households and Nonprofit Organizations for One-to-Four-Family Residential Mortgages Liability Level at $10.8T in Q3 2020. It has been in the interest of banks to know which factors are the most influential predicting mortgage default, and the implementation of survival models can utilize data from defaulted obligors as well as non-default obligors who are still making payments as of the sampling period cutoff date. Besides the Cox proportional hazard model and the accelerated failure time model, this paper investigates two machine learning-based models, a random survival forest model, and a Cox proportional hazard neural network model DeepSurv. We compare the accuracy of covariate selection for the Cox model, AFT model, random survival forest model, and DeepSurv model, and this investigation is the first research using machine learning based survival models for mortgage default prediction. The result shows that Random survival forest can achieve the most accurate, and stable, covariate selection, while DeepSurv can achieve the highest accuracy of default prediction, and finally, the covariates selected by the models can be meaningful for mortgage programs throughout the banking industry.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130276936","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 Effect of Changes in Regulation and Technology on Capital Investments 法规和技术变化对资本投资的影响
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112019
V. Okere, W. Chen
{"title":"The Effect of Changes in Regulation and Technology on Capital Investments","authors":"V. Okere, W. Chen","doi":"10.4236/JMF.2021.112019","DOIUrl":"https://doi.org/10.4236/JMF.2021.112019","url":null,"abstract":"Uncertainties in regulation could affect the decision to invest in irreversible capital projects. We use the geometric Brownian motion to analyze the effect of a stochastic carbon tax on the cash flows expected from investments and the value of the investments. Successful legislation on carbon tax may trigger changes in technology. Our results show that carbon tax accompanied by the adoption of a new technology could affect the value of an irreversible investment. Also the decision to invest depends on whether the cash flows exceed a pre-determined critical cash flow.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130013335","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
The Long Memory of the Jump Intensity of the Price Process 价格过程跳跃强度的长记忆
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112009
Yizhuang Tian, Dongyang Shi, Handong Li
{"title":"The Long Memory of the Jump Intensity of the Price Process","authors":"Yizhuang Tian, Dongyang Shi, Handong Li","doi":"10.4236/JMF.2021.112009","DOIUrl":"https://doi.org/10.4236/JMF.2021.112009","url":null,"abstract":"The impact of successive jumps in price process \u0000on volatility is very important. We study the nature of self-motivation in \u0000price process using data from China’s stock market. Our empirical results \u0000suggest that: 1) Price jumps in China’s stock market are generally \u0000self-motivated, i.e., price jumps are clustering. 2) The jump intensity of \u0000China’s stock market is time-varying, and follows log-normal distribution, \u0000which indicates that the jump intensity is asymmetrical. 3) The jump \u0000intensities’ sequence exhibits typical long memory.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131069695","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 Idiosyncratic Volatility Puzzle: A Time-Specific Anomaly 特殊波动之谜:一个特定时间的异常
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112017
Xindong Zhang, Jianying Li, Xiaoli Wang, X. Hu
{"title":"The Idiosyncratic Volatility Puzzle: A Time-Specific Anomaly","authors":"Xindong Zhang, Jianying Li, Xiaoli Wang, X. Hu","doi":"10.4236/JMF.2021.112017","DOIUrl":"https://doi.org/10.4236/JMF.2021.112017","url":null,"abstract":"Given the availability of daily data over 1926-1962, it is surprising that there is no research examining the idiosyncratic volatility (IV) puzzle over this early period. This paper conducts an out-of-sample test on the IV phenomenon. We find that the negative relation between IV and expected returns only exists during the period 07/1963-12/1989, implying that the puzzle may be a result of data snooping bias. The result on time-special anomaly is robust for different sorting breakpoints and alternative measure of idiosyncratic volatility. Infrequent trading cannot account for the low average returns of stocks with high idiosyncratic volatility. With a striking contrast, the involving of short-term return reversals eliminates this dilemma.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129807670","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
Pricing Bitcoin under Double Exponential Jump-Diffusion Model with Asymmetric Jumps Stochastic Volatility 具有非对称跳跃随机波动的双指数跳跃-扩散模型下的比特币定价
Journal of Mathematical Finance Pub Date : 2021-03-01 DOI: 10.4236/JMF.2021.112018
N. Sene, M. Konté, J. Aduda
{"title":"Pricing Bitcoin under Double Exponential Jump-Diffusion Model with Asymmetric Jumps Stochastic Volatility","authors":"N. Sene, M. Konté, J. Aduda","doi":"10.4236/JMF.2021.112018","DOIUrl":"https://doi.org/10.4236/JMF.2021.112018","url":null,"abstract":"The objective of this study is, to show the importance of incorporating jumps in both returns and volatility dynamics for Bitcoin. For that purpose, we introduce the Double Exponential Jump-Diffusion model with Stochastic Volatility (DEJDSVJ) that contains asymmetric jumps. The use of the Markov Chain Monte Carlo methods for estimation has proved the meaningful presence of jumps in Bitcoin price and volatility. Moreover, based on the Bitcoin options market, a comparison between the underlying model, the Double Exponential Jump Diffusion model (DEJD) with Stochastic Volatility (no Jumps) and the Stochastic Volatility (SV) shows the goodness of the DEJDSVJ model’s calibration over others for pricing Bitcoin options.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126223179","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: 2
Put Options with Linear Investment for Hull-White Interest Rates 怀特利率下线性投资的看跌期权
Journal of Mathematical Finance Pub Date : 2021-02-03 DOI: 10.4236/JMF.2021.111007
A. Korzeniowski, N. Ghorbani
{"title":"Put Options with Linear Investment for Hull-White Interest Rates","authors":"A. Korzeniowski, N. Ghorbani","doi":"10.4236/JMF.2021.111007","DOIUrl":"https://doi.org/10.4236/JMF.2021.111007","url":null,"abstract":"We derive a Put Option price associated with selling strategy of the underlying security in a random interest rate environment. This extends Put Option pricing under linear investment strategy from the Black-Scholes setting to Hull-White stochastic interest rate model. As an application, Call Option price for the linear investment strategy in the Hull-White model is established. Our results address recent emergence of developing dynamic investment strategies for the purpose of reducing the investor risk exposure associated with European-type options.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116361394","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: 16
Modeling Botswana Beef-Cattle Price Dynamics 博茨瓦纳牛肉-牛价格动态模型
Journal of Mathematical Finance Pub Date : 2021-02-03 DOI: 10.4236/JMF.2021.111004
Paul Kundai Ziwakaya, E. Lungu
{"title":"Modeling Botswana Beef-Cattle Price Dynamics","authors":"Paul Kundai Ziwakaya, E. Lungu","doi":"10.4236/JMF.2021.111004","DOIUrl":"https://doi.org/10.4236/JMF.2021.111004","url":null,"abstract":"We investigate the dynamics of the beef-cattle pricing which is affected by several factors such as beef supply, demand for foreign currency, etc. The model incorporates mean-reversion to give insights into the relationship be-tween supply to a developed region (or country) and a third world country’s demand for hard currency. We consider the beef-cattle industry which is seg-mented into two markets: the Farmer-Local Cattle Agency (LCA) market in which the LCA buys cattle from the farmers and the LCA-European Union (EU) market in which the LCA exports beef to the EU. Using the Botswana-EU as an example, we investigate the performance of the Botswana Meat Com-mission (BMC) which buys cattle from the farmers and exports beef to the EU based on the price acceptable to the EU and ask whether the agreed price be-tween the BMC and the EU can ever translate into fair price between the farmer and the BMC. Our study has concluded that the operational problems faced by the BMC are an indication that the BMC is passing on the bulk of what it receives from the EU to the farmers. We have made suggestions on how the BMC can reduce its operational risks.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133299593","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
Smart Network Price Policy for ISP Based on Traffic Prediction 基于流量预测的ISP智能网络价格策略
Journal of Mathematical Finance Pub Date : 2021-02-03 DOI: 10.4236/JMF.2021.111001
T. Su
{"title":"Smart Network Price Policy for ISP Based on Traffic Prediction","authors":"T. Su","doi":"10.4236/JMF.2021.111001","DOIUrl":"https://doi.org/10.4236/JMF.2021.111001","url":null,"abstract":"The explosion of traffic brings the challenges for Internet Service Providers (ISPs) to make a profit with the high cost of infrastructure and increased competition. This calls for economic mechanisms that can enable providers to allocate on-demand resources through the prediction of traffic volumes and adjust the price. In this paper, we analyze the network traffic pattern of mobile data and make an accurate prediction of traffic volumes through ARIMA and LSTM. Based on the analysis, we then suggest a scalable price strategy for ISPs to satisfy the various requirements of customers.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122374341","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
Decision and Coordination in the Dual-Channel Supply Chain Considering the Risk-Averse and Customer Returns 考虑风险规避和客户回报的双渠道供应链决策与协调
Journal of Mathematical Finance Pub Date : 2021-02-03 DOI: 10.4236/JMF.2021.111003
A. Zhang, Jian-Jian Ren, Zhenzhong Guan, U. Farooq
{"title":"Decision and Coordination in the Dual-Channel Supply Chain Considering the Risk-Averse and Customer Returns","authors":"A. Zhang, Jian-Jian Ren, Zhenzhong Guan, U. Farooq","doi":"10.4236/JMF.2021.111003","DOIUrl":"https://doi.org/10.4236/JMF.2021.111003","url":null,"abstract":"The biggest disadvantage of online shopping is that it is impossible to accurately assess the suitability of goods prior to purchase. Customers usually check “fit” at home, and thus one third of internet sales are returned. We study the pricing and ordering of a dual-channel supply chain which composed of risk-neutral manufacturers and risk-averse retailers serving customers who differ in how they purchase products in store or online. Customers may return misfit products either to stores for a full refund or online as per the retailer’s return policy. At the beginning of the sale season, channels order from manufacturers and set prices to be identical across channels. According to the criterion of conditional value at risk (CVaR), we express the problem as a Stackelberg game model and obtain the equilibrium solution under the conditions of decentralization and centralization. Further, we explore the impact of the retailer’s risk indicator and consumer returns rate on the optimal retail price, the ordering quantities, the profits of dual channels, and the overall profits of the supply chain. We find that dual-channel supply should reduce the risk aversion level of retailers and consumer return rate. Finally, the improved risk-sharing contract is proposed to coordinate the dual-channel supply chain in the presence of customer returns and risk-averse, and it is proved that the contract can achieve Pareto improvement of supply chain members.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129679471","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: 4
Analysis of Stock-Shareholder Associated Network Based on Complex Network 基于复杂网络的股东关联网络分析
Journal of Mathematical Finance Pub Date : 2021-02-03 DOI: 10.4236/JMF.2021.111005
Hao Tong, Zhenguo Jia, Min Zhang, Jin Qi
{"title":"Analysis of Stock-Shareholder Associated Network Based on Complex Network","authors":"Hao Tong, Zhenguo Jia, Min Zhang, Jin Qi","doi":"10.4236/JMF.2021.111005","DOIUrl":"https://doi.org/10.4236/JMF.2021.111005","url":null,"abstract":"From the perspective of equity holdings, this article selects the stock and equity data related to the financial sector in the Shanghai and Shenzhen securities markets in China, uses the bipartite network model to construct stock-shareholders associated network and performs a single-mode projection on the network to obtain the stock correlation network, further study the structure and financial nature of the network. The study found that in the stock-shareholders associated networks, minority shareholders hold a large number of stocks, which on the one hand illustrates the investment direction of major shareholders, and has become a vein for retail shareholders to invest in stocks; on the other hand, it is confirmed that the long-term and large-scale holding of major shareholders can stabilize the financial market to a certain extent. The weight and degree distribution of the stock correlation network are non-uniform, and many of the state-owned banks have higher weight values, which reflects the close relationship between state-owned banks. Finally, the shareholder’s holding behavior reflects that their identification with financial stocks in the A-share market tends to be consistent.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115519791","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: 2
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