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Elevating Pakistan’s flood preparedness: a fuzzy multi-criteria decision making approach 提升巴基斯坦的防洪能力：模糊多标准决策方法
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-08-21 DOI: 10.1186/s40854-024-00659-7
Zeshan Alam, Yousaf Ali, Dragan Pamucar
{"title":"Elevating Pakistan’s flood preparedness: a fuzzy multi-criteria decision making approach","authors":"Zeshan Alam, Yousaf Ali, Dragan Pamucar","doi":"10.1186/s40854-024-00659-7","DOIUrl":"https://doi.org/10.1186/s40854-024-00659-7","url":null,"abstract":"In South Asia, Pakistan has a long and deadly history of floods that cause losses to various infrastructures, lives, and industries. This study aims to identify the most appropriate flood risk mitigation strategies that the government of Pakistan should adopt. The assessment of flood risk mitigation strategies in this study is based on certain criteria, which are analyzed using the fuzzy full consistency method. Moreover, flood risk mitigation strategies are evaluated by using the fuzzy weighted aggregated sum product assessment (WASPAS) method, considering previously prioritized criteria. According to the results, lack of governance, lack of funding and resources, and lack of flood control infrastructure are the most significant flood intensifying factors and act as major criteria for assessing flood risk mitigation strategies in Pakistan. Adopting hard engineering strategies (e.g., dams, reservoirs, river straightening and dredging, embankments, and flood relief channels), maintaining existing infrastructure, and adopting soft engineering strategies (flood plain zoning, comprehensive flood risk assessment, and sophisticated flood modeling) are identified as the top three flood risk mitigation strategies by the fuzzy WASPAS method. The highest weight (0.98) was assigned to the adoption of hard engineering strategies to mitigate flood risks. The study introduces a novel dimension by analyzing the real-time impact of the unprecedented 2022 floods, during which approximately one-third of the nation was submerged. This focus on a recent and highly significant event enhances the study’s relevance and contributes a unique perspective to the existing literature on flood risk management. The study recommends that the government of Pakistan should prioritize hard engineering strategies for effective flood risk mitigation. It also recommends that the government should incorporate these strategies in the national policy framework to reduce flood losses in the future.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"28 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142187676","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing multi-asset options with tempered stable distributions 以有节制的稳定分布为多资产期权定价
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-08-20 DOI: 10.1186/s40854-024-00649-9
Yunfei Xia, Michael Grabchak
{"title":"Pricing multi-asset options with tempered stable distributions","authors":"Yunfei Xia, Michael Grabchak","doi":"10.1186/s40854-024-00649-9","DOIUrl":"https://doi.org/10.1186/s40854-024-00649-9","url":null,"abstract":"We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes. Further, we introduce the diagonal tempered stable model, which is parsimonious but allows for rich dependence between assets. Here, the number of parameters only grows linearly as the dimension increases, which makes it tractable in higher dimensions and avoids the so-called “curse of dimensionality.” As an illustration, we apply the model to price multi-asset options in two, three, and four dimensions. Detailed goodness-of-fit methods show that our model fits the data very well.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"69 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142187675","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Deep learning for Bitcoin price direction prediction: models and trading strategies empirically compared 比特币价格走向预测的深度学习：模型和交易策略的经验比较
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-08-05 DOI: 10.1186/s40854-024-00643-1
Oluwadamilare Omole, David Enke
{"title":"Deep learning for Bitcoin price direction prediction: models and trading strategies empirically compared","authors":"Oluwadamilare Omole, David Enke","doi":"10.1186/s40854-024-00643-1","DOIUrl":"https://doi.org/10.1186/s40854-024-00643-1","url":null,"abstract":"This paper applies deep learning models to predict Bitcoin price directions and the subsequent profitability of trading strategies based on these predictions. The study compares the performance of the convolutional neural network–long short-term memory (CNN–LSTM), long- and short-term time-series network, temporal convolutional network, and ARIMA (benchmark) models for predicting Bitcoin prices using on-chain data. Feature-selection methods—i.e., Boruta, genetic algorithm, and light gradient boosting machine—are applied to address the curse of dimensionality that could result from a large feature set. Results indicate that combining Boruta feature selection with the CNN–LSTM model consistently outperforms other combinations, achieving an accuracy of 82.44%. Three trading strategies and three investment positions are examined through backtesting. The long-and-short buy-and-sell investment approach generated an extraordinary annual return of 6654% when informed by higher-accuracy price-direction predictions. This study provides evidence of the potential profitability of predictive models in Bitcoin trading.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"58 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A novel robust method for estimating the covariance matrix of financial returns with applications to risk management 估算金融收益协方差矩阵的新型稳健方法在风险管理中的应用
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-08-02 DOI: 10.1186/s40854-024-00642-2
Arturo Leccadito, Alessandro Staino, Pietro Toscano
{"title":"A novel robust method for estimating the covariance matrix of financial returns with applications to risk management","authors":"Arturo Leccadito, Alessandro Staino, Pietro Toscano","doi":"10.1186/s40854-024-00642-2","DOIUrl":"https://doi.org/10.1186/s40854-024-00642-2","url":null,"abstract":"This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES backtests, the DGC method produces, overall, accurate ES forecasts. Furthermore, we use the Model Confidence Set procedure to identify the superior set of models (SSM). For all the portfolios and VaR/ES confidence levels we consider, the DGC is found to belong to the SSM.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"39 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141887096","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching 具有跳跃聚类和制度转换的随机波动条件下方差掉期估值的概率方法
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-08-01 DOI: 10.1186/s40854-024-00640-4
Xin-Jiang He, Sha Lin
{"title":"A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching","authors":"Xin-Jiang He, Sha Lin","doi":"10.1186/s40854-024-00640-4","DOIUrl":"https://doi.org/10.1186/s40854-024-00640-4","url":null,"abstract":"The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources. Based on this, a novel probabilistic approach was employed, leading to pricing formulas with time-dependent and regime-switching parameters. The formulated solutions were easy to implement and differed from most existing results of variance swap pricing, where Fourier inversion or fast Fourier transform must be performed to obtain the final results, since they are completely analytical without involving integrations. The numerical results indicate that jump clustering and regime switching have a significant influence on variance swap prices.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"35 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141886708","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Google search volume index and investor attention in stock market: a systematic review 谷歌搜索量指数与股市投资者关注度：系统性综述
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-07-29 DOI: 10.1186/s40854-023-00606-y
María José Ayala, Nicolás Gonzálvez-Gallego, Rocío Arteaga-Sánchez
{"title":"Google search volume index and investor attention in stock market: a systematic review","authors":"María José Ayala, Nicolás Gonzálvez-Gallego, Rocío Arteaga-Sánchez","doi":"10.1186/s40854-023-00606-y","DOIUrl":"https://doi.org/10.1186/s40854-023-00606-y","url":null,"abstract":"This study systematically reviewed the literature on using the Google Search Volume Index (GSVI) as a proxy variable for investor attention and stock market movements. We analyzed 56 academic studies published between 2010 and 2021 using the Web of Sciences and ScienceDirect databases. The articles were classified and synthesized based on the selection criteria for building the GSVI: keywords of the search term, market region, and frequency of the data sample. Next, we analyze the effect of returns, volatility, and trading volume on the financial variables. The main results can be summarized as follows. (1) The GSVI is positively related to volatility and trading volume regardless of the keyword, market region, or frequency used for the sample. Hence, increasing investor attention toward a specific financial term will increase volatility and trading volume. (2) The GSVI can improve forecasting models for stock market movements. To conclude, this study consolidates, for the first time, the research literature on GSVI, which is highly valuable for academic practitioners in the area.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"75 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141863272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ESG scores, scandal probability, and event returns ESG 分数、丑闻概率和事件回报
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-07-22 DOI: 10.1186/s40854-024-00635-1
Wenya Sun, Yichen Luo, Siu-Ming Yiu, Luping Yu, Wenzhi Ding
{"title":"ESG scores, scandal probability, and event returns","authors":"Wenya Sun, Yichen Luo, Siu-Ming Yiu, Luping Yu, Wenzhi Ding","doi":"10.1186/s40854-024-00635-1","DOIUrl":"https://doi.org/10.1186/s40854-024-00635-1","url":null,"abstract":"The informativeness of environmental, social, and governance (ESG) scores and their actual impact on firms remains understudied. To address this gap in the literature, we make theoretical predictions and conduct empirical research revealing that a high ESG score is associated with a lower probability of ESG scandals and lower stock returns during a scandal event. Our results suggest that ESG scores are heterogeneous but informative, and that a strong ESG reputation may have both positive and negative consequences for firms. Drawing on our findings, we develop a model and showcase that firms face an optimization problem when determining optimal ESG investment levels. Two equilibria may exist based on the trade-off between ESG scandal losses and ESG adjustment costs. Our model explains why certain firms make heterogeneous ESG decisions","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"30 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141743569","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Implementation of deep learning models in predicting ESG index volatility 深度学习模型在预测 ESG 指数波动性中的应用
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-07-08 DOI: 10.1186/s40854-023-00604-0
Hum Nath Bhandari, Nawa Raj Pokhrel, Ramchandra Rimal, Keshab R. Dahal, Binod Rimal
{"title":"Implementation of deep learning models in predicting ESG index volatility","authors":"Hum Nath Bhandari, Nawa Raj Pokhrel, Ramchandra Rimal, Keshab R. Dahal, Binod Rimal","doi":"10.1186/s40854-023-00604-0","DOIUrl":"https://doi.org/10.1186/s40854-023-00604-0","url":null,"abstract":"The consideration of environmental, social, and governance (ESG) aspects has become an integral part of investment decisions for individual and institutional investors. Most recently, corporate leaders recognized the core value of the ESG framework in fulfilling their environmental and social responsibility efforts. While stock market prediction is a complex and challenging task, several factors associated with developing an ESG framework further increase the complexity and volatility of ESG portfolios compared with broad market indices. To address this challenge, we propose an integrated computational framework to implement deep learning model architectures, specifically long short-term memory (LSTM), gated recurrent unit, and convolutional neural network, to predict the volatility of the ESG index in an identical environment. A comprehensive analysis was performed to identify a balanced combination of input features from fundamental data, technical indicators, and macroeconomic factors to delineate the cone of uncertainty in market volatility prediction. The performance of the constructed models was evaluated using standard assessment metrics. Rigorous hyperparameter tuning and model-selection strategies were implemented to identify the best model. Furthermore, a series of statistical analyses was conducted to validate the robustness and reliability of the model. Experimental results showed that a single-layer LSTM model with a relatively small number of neurons provides a superior fit with high prediction accuracy relative to more complex models.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"37 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141572780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A comparison of cryptocurrency volatility-benchmarking new and mature asset classes 加密货币波动率的比较--以新资产类别和成熟资产类别为基准
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-06-26 DOI: 10.1186/s40854-024-00646-y
Alessio Brini, Jimmie Lenz
{"title":"A comparison of cryptocurrency volatility-benchmarking new and mature asset classes","authors":"Alessio Brini, Jimmie Lenz","doi":"10.1186/s40854-024-00646-y","DOIUrl":"https://doi.org/10.1186/s40854-024-00646-y","url":null,"abstract":"The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship between several market volatility drivers, such as daily leverage, signed volatility and jumps. Several known autoregressive model specifications are estimated over different market regimes, and results are compared to equity data as a reference benchmark of a more mature asset class. The panel estimations show that the positive market returns at the high-frequency level increase price volatility, contrary to what is expected from the classical financial literature. We attributed this effect to the price dynamics over the last year of the dataset (2022) by repeating the estimation on different time spans. Moreover, the positive signed volatility and negative daily leverage positively impact the cryptocurrencies’ future volatility, unlike what emerges from the same study on a cross-section of stocks. This result signals a structural difference in a nascent cryptocurrency market that has to mature yet. Further individual-level analysis confirms the findings of the panel analysis and highlights that these effects are statistically significant and commonly shared among many components in the selected universe.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"12 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141550106","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How likely is it to beat the target at different investment horizons: an approach using compositional data in strategic portfolios 在不同投资期限内战胜目标的可能性有多大：利用战略投资组合中的构成数据的方法
IF 8.4 1区 经济学
Financial Innovation Pub Date : 2024-06-25 DOI: 10.1186/s40854-023-00601-3
Fernando Vega-Gámez, Pablo J. Alonso-González
{"title":"How likely is it to beat the target at different investment horizons: an approach using compositional data in strategic portfolios","authors":"Fernando Vega-Gámez, Pablo J. Alonso-González","doi":"10.1186/s40854-023-00601-3","DOIUrl":"https://doi.org/10.1186/s40854-023-00601-3","url":null,"abstract":"Strategic portfolios are asset combinations designed to achieve investor objectives. A unique feature of these investments is that portfolios must be rebalanced periodically to maintain the initially established structure. This paper introduces a methodology to estimate the probability of not exceeding a specific profitability target with this type of portfolio to determine if this kind of build portfolio makes obtaining certain profitability targets easy. Portfolios with a specific distribution of fixed-income and equity securities were randomly replicated and their performance was studied over different time horizons. Daily data from 2004 to 2021 was used. Since the sum of all asset weights invariably equals the unit, the original data were transformed using the compositional data methodology. With these transformed data, the probabilities were estimated for each analyzed portfolio. The study also performed a sensitivity analysis of the estimated probabilities, modifying the weight of specific assets in the portfolio.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"26 1","pages":""},"PeriodicalIF":8.4,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141550107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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