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Bitcoin Price Prediction Based on Deep Learning Methods 基于深度学习方法的比特币价格预测
Journal of Mathematical Finance Pub Date : 2020-02-10 DOI: 10.4236/jmf.2020.101009
Xiangxi Jiang
{"title":"Bitcoin Price Prediction Based on Deep Learning Methods","authors":"Xiangxi Jiang","doi":"10.4236/jmf.2020.101009","DOIUrl":"https://doi.org/10.4236/jmf.2020.101009","url":null,"abstract":"Bitcoin is a current popular cryptocurrency with a promising future. It’s like a stock market with time series, the series of indexed data points. We looked at different deep learning networks and methods of improving the accuracy, including min-max normalization, Adam optimizer and windows min-max normalization. We gathered data on the Bitcoin price per minute, and we rearranged them to reflect Bitcoin price in hours, a total of 56,832 points. We took 24 hours of data as input and output the Bitcoin price of the next hour. We compared the different models and found that the lack of memory means that Multi-Layer Perceptron (MLP) is ill-suited for the case of predicting price based on current trend. Long Short-Term Memory (LSTM) provides relatively the best prediction when past memory and Gated Recurrent Network (GRU) is included in the model.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123630683","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: 18
The Impact of Cost Reduction on Price Matching Strategy in the Presence of Hybrid Consumers 混合消费者存在下成本降低对价格匹配策略的影响
Journal of Mathematical Finance Pub Date : 2020-01-22 DOI: 10.4236/jmf.2020.101007
Xinlan Ye, Zhenzhong Guan, Miao Ouyang
{"title":"The Impact of Cost Reduction on Price Matching Strategy in the Presence of Hybrid Consumers","authors":"Xinlan Ye, Zhenzhong Guan, Miao Ouyang","doi":"10.4236/jmf.2020.101007","DOIUrl":"https://doi.org/10.4236/jmf.2020.101007","url":null,"abstract":"This article mainly considers the impact of cost reduction on price matching strategy when a firm sells products in two periods. The cost reduction in the second period is due to technological advancement and production learning. The market is made up of myopic consumers and strategic consumers. The conclusions show that firm’s optimal profit will decrease with the increase of the fraction of strategic consumers. Besides, when the production learning effect dominates, the firm sells at a reduced price in two periods. When the technological advancement effect dominates, the firm maintains a uniform price for sale throughout the sales period. Finally, both the technological advancement and production learning effect can effectively reduce the loss of profits caused by strategic consumers, and the effect of the technological advancement is more significant.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"12 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125788801","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 and Capability Planning of the Referral System Considering Medical Quality and Delay-Sensitive Patients—Based on the Chinese Medical System 考虑医疗质量和延迟敏感患者的转诊系统定价与能力规划——以中国医疗系统为例
Journal of Mathematical Finance Pub Date : 2020-01-22 DOI: 10.4236/jmf.2020.101008
Zhenzhong Guan, Hezhi Chen, Na Zhao, A. Zhang
{"title":"Pricing and Capability Planning of the Referral System Considering Medical Quality and Delay-Sensitive Patients—Based on the Chinese Medical System","authors":"Zhenzhong Guan, Hezhi Chen, Na Zhao, A. Zhang","doi":"10.4236/jmf.2020.101008","DOIUrl":"https://doi.org/10.4236/jmf.2020.101008","url":null,"abstract":"Combined with the development of Chinese medical industry, we have analyzed the characteristics of the referral system with Chinese characteristics and the possible problems in it. We combine the two main factors that affect patient care: medical quality and waiting costs, to study a most representative referral system made up of a tertiary hospital and a community hospital for its pricing and capacity planning issues. We build an integrated model of queuing theory and game theory to analyze if all patients make rational choices, what the community hospital should do to maximize the service capacity. Meanwhile, how the tertiary hospital makes pricing to achieve its profit maximization in the case of government taxation. The results show that the service capacity of community hospital is affected by government subsidies, cure rate, and the medical expenses of the tertiary hospital. And those of tertiary hospital are influenced most by government subsidies. Therefore, the results show that the smooth implementation of the government’s macro-control plays a crucial role in the two-way referral system.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114801672","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 Relationship Structure of Global Exchange Rate Based on Network Analysis 基于网络分析的全球汇率关系结构
Journal of Mathematical Finance Pub Date : 2020-01-22 DOI: 10.4236/jmf.2020.101006
Hongduo Cao, Zerui Guo, Ying Li, Zhouzhou Ran
{"title":"The Relationship Structure of Global Exchange Rate Based on Network Analysis","authors":"Hongduo Cao, Zerui Guo, Ying Li, Zhouzhou Ran","doi":"10.4236/jmf.2020.101006","DOIUrl":"https://doi.org/10.4236/jmf.2020.101006","url":null,"abstract":"The optimal threshold strategy is put forward for establishing a suitable network for analyzing the correlation among the different exchange rates. The 33 currencies of the world’s major countries and regions are analyzed by the method of network analysis, and the multilateral exchange rate correlation network is established based on the optimal threshold. Combining with geographical features and the exchange rate regime, it is found that the international currency has obvious community structure, which is composed of three levels: the core currency area, the arbitrage currency area and the shadow currency area. The conclusion reveals the structural characteristics of the Jamaica international monetary system.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124070149","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
Alternative Financing Instruments for African Economies 非洲经济的替代融资工具
Journal of Mathematical Finance Pub Date : 2020-01-16 DOI: 10.4236/jmf.2020.101005
Jane Mpapalika
{"title":"Alternative Financing Instruments for African Economies","authors":"Jane Mpapalika","doi":"10.4236/jmf.2020.101005","DOIUrl":"https://doi.org/10.4236/jmf.2020.101005","url":null,"abstract":"This paper investigates the alternative financing instruments that can be used to hedge sovereign risks and finance development in African countries. Many heavily indebted countries are exposed to external risks especially the exchange rate shocks due to limited use of hedging instruments. We propose alternative financing instruments to minimize sovereign risks and the cost of debt. Our paper uses the standard model for pricing options, the Black-Scholes model to determine the fair value of options. The findings show that barrier options have an added advantage over plain vanilla options because of its knock-ins and knock-outs features hence they are the most affordable to use. An important aspect of the effective debt management policies should be on developing local bond market to access alternative financing instruments in the world capital market.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116920642","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
Optimal Portfolio Management When Stocks Are Driven by Mean Reverting Processes 股票受均值回归过程驱动时的最优投资组合管理
Journal of Mathematical Finance Pub Date : 2019-12-13 DOI: 10.4236/JMF.2020.101002
Lusungu Julius Mbigili, S. Mataramvura, W. M. Charles
{"title":"Optimal Portfolio Management When Stocks Are Driven by Mean Reverting Processes","authors":"Lusungu Julius Mbigili, S. Mataramvura, W. M. Charles","doi":"10.4236/JMF.2020.101002","DOIUrl":"https://doi.org/10.4236/JMF.2020.101002","url":null,"abstract":"This work presented and solved the problem of portfolio optimization within the context of continuous-time stochastic model of financial variables. It has considered an investment problem of two assets, namely, risk-free assets and risky assets. The evolution of the risk-free asset is described deterministically while the dynamics of the risky asset is described by the geometric mean reversion (GMR) model. The controlled wealth stochastic differential Equation (SDE) and the optimal portfolio problem were successfully formulated and solved with the help of the theory of stochastic control technique where the dynamic programming principle (DPP) and the HJB theory were used. Two utility functions which are members of hyperbolic absolute risk aversion (HARA) family have been employed, and these are power utility and exponential utility. In both cases, the optimal control has explicit form and is wealth dependent Linearization of the logarithmic term in the portfolio problem was necessary for simplification of the problem.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125198726","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
Price Dynamics under the Information-Based Dealer Model 信息交易商模式下的价格动态
Journal of Mathematical Finance Pub Date : 2019-11-14 DOI: 10.4236/jmf.2019.94037
Kenta Fukuda, Kaichi Kondo, Hideyuki Takada
{"title":"Price Dynamics under the Information-Based Dealer Model","authors":"Kenta Fukuda, Kaichi Kondo, Hideyuki Takada","doi":"10.4236/jmf.2019.94037","DOIUrl":"https://doi.org/10.4236/jmf.2019.94037","url":null,"abstract":"We investigate the stochastic behavior of the transaction price process formed by the information-based dealer model. We extend two-agent model of Nadi Serhan Ayd?n to multi-agent case to see the effect of the market size and noise correlations. Applying the Monte Carlo method, our numerical findings are summarized as 1) volatility of the transaction price depends on both of the noise correlation and the market size, 2) the price process has a long term memory and its Hurst extend depends on both of the noise correlation and the market size.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126675157","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
A New Way to Compute the Probability of Informed Trading 一种计算知情交易概率的新方法
Journal of Mathematical Finance Pub Date : 2019-10-25 DOI: 10.4236/jmf.2019.94032
Antoine Bambade
{"title":"A New Way to Compute the Probability of Informed Trading","authors":"Antoine Bambade","doi":"10.4236/jmf.2019.94032","DOIUrl":"https://doi.org/10.4236/jmf.2019.94032","url":null,"abstract":"Volume-Synchronized Probability of Informed Trading (VPIN) is a tool designed to predict extreme events like flash crashes in high-frequency trading. Its aim is to estimate the Probability of Informed Trading (PIN), which was built from a probabilistic framework. Some concerns have been raised about its theoretical foundations and its reliability. More precisely, it has been shown that theoretically the VPIN does not approximate the PIN as the PIN has been built with a time-clock framework and the VPIN with a volume clock one. On a practical point of view, the VPIN has been found to be sensitive to the starting point of computation of a data set and to different parameters, such as the classification rule. In this paper, in order to improve the PIN theoretical framework, we firstly analyze the theoretical foundations of the PIN and the VPIN models to have a better view of all its different assumption subtleties. It secondly makes it possible to point out some approximation flaws in the formula used to approximate the PIN and to propose another exact way to compute the PIN. All different results are illustrated with simulations.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128578876","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
Study on Loan Pricing Model of Commercial Banks Based on Artificial Neural Network 基于人工神经网络的商业银行贷款定价模型研究
Journal of Mathematical Finance Pub Date : 2019-10-25 DOI: 10.4236/jmf.2019.94033
Ming Zhang, Xinghua Liu, Yi Liu
{"title":"Study on Loan Pricing Model of Commercial Banks Based on Artificial Neural Network","authors":"Ming Zhang, Xinghua Liu, Yi Liu","doi":"10.4236/jmf.2019.94033","DOIUrl":"https://doi.org/10.4236/jmf.2019.94033","url":null,"abstract":"In recent years, commercial banks and other financial institutions have been carrying out unprecedented reforms on the marketization of interest rates, and the floating space of loan interest rates has been constantly expanding. Therefore, loan pricing has become the most critical link of Chinese commercial banks. It is urgent to construct a scientific and objective loan pricing model so as to keep pace with the competition rhythm of commercial banks in developed countries and make the allocation of financial resources in China more optimized and better serve the economic development of China in the new stage. First of all, this paper analyzes the existing loan pricing model of Chinese commercial banks, deeply recognizes the impact of human subjectivity on loan pricing, and then determines that the core index of loan pricing, namely risk rating, should be evaluated by the objective back propagation algorithm, namely BP algorithm. On the basis of these theories and practices, this paper discusses the new loan pricing model of Chinese commercial banks, that is, the loan pricing based on the risk rating classification of BP algorithm, and conducts an empirical analysis with the sample customer data. Finally, it gives relevant recommendations from the macro-external factors and its own internal system on improving the loan pricing to commercial banks.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130022327","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
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models 使用GARCH模型建模加密货币的波动动态
Journal of Mathematical Finance Pub Date : 2019-10-17 DOI: 10.4236/jmf.2019.94030
Anthony Ngunyi, S. Mundia, Cyprian O. Omari
{"title":"Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models","authors":"Anthony Ngunyi, S. Mundia, Cyprian O. Omari","doi":"10.4236/jmf.2019.94030","DOIUrl":"https://doi.org/10.4236/jmf.2019.94030","url":null,"abstract":"Cryptocurrencies have become increasingly popular in recent years attracting the attention of the media, academia, investors, speculators, regulators, and governments worldwide. This paper focuses on modelling the volatility dynamics of eight most popular cryptocurrencies in terms of their market capitalization for the period starting from 7th August 2015 to 1st August 2018. In particular, we consider the following cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Moreno, Dash, Stellar and NEM. The GARCH-type models assuming different distributions for the innovations term are fitted to cryptocurrencies data and their adequacy is evaluated using diagnostic tests. The selected optimal GARCH-type models are then used to simulate out-of-sample volatility forecasts which are in turn utilized to estimate the one-day-ahead VaR forecasts. The empirical results demonstrate that the optimal in-sample GARCH-type specifications vary from the selected out-of-sample VaR forecasts models for all cryptocurrencies. Whilst the empirical results do not guarantee a straightforward preference among GARCH-type models, the asymmetric GARCH models with long memory property and heavy-tailed innovations distributions overall perform better for all cryptocurrencies.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132982896","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: 10
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