Quantitative Finance and Economics最新文献_第10页

Modelling the volatility of Bitcoin returns using GARCH models 使用GARCH模型模拟比特币收益的波动性

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-11-26 DOI: 10.3934/qfe.2019.4.739

S. Gyamerah

引用次数: 31

Testing the fiscal fatigue phenomenon in Turkey using a long-run non-linear fiscal reaction function approach 运用长期非线性财政反应函数方法检验土耳其财政疲劳现象

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-10-10 DOI: 10.3934/qfe.2019.4.645

Sevda Akar

引用次数: 5

Real options bargaining games 实物期权议价博弈

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-09-27 DOI: 10.3934/qfe.2019.4.624

E. Rychłowska‑Musiał

{"title":"Real options bargaining games","authors":"E. Rychłowska‑Musiał","doi":"10.3934/qfe.2019.4.624","DOIUrl":"https://doi.org/10.3934/qfe.2019.4.624","url":null,"abstract":"The real options approach has been supporting investment decision-making processes for years. However, on competitive markets, the real options games approach is the more suitable way. In this article, a real options game subject to analysis is the situation in which two companies with different market share are exploring an opportunity to implement a new investment project. It is known that competition on the market reduces the scope of benefits a company can gain whilst implementing the project. In this paper, we show that this reduction can be mitigated by taking into account payoff transfer designated as a bargaining solution. We discuss three main types of games between companies that we can observe on the market; then we analyze their bargaining solutions, and finally—come up with recommendations to companies. A firm that dominates its respective market usually benefits by implementing the most advantageous strategy, but in certain situations it should pay special attention to its weaker competitor’s opportunities and try to anticipate its movements. In the paper, we show that with high project risk and significant asymmetry in the firms’ market share, a weaker company may still hold all the cards.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2019-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70228654","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

BOMD: Building Optimization Models from Data (Neural Networks based Approach) BOMD:从数据中构建优化模型(基于神经网络的方法)

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-09-19 DOI: 10.3934/qfe.2019.4.608

V. Donskoy

{"title":"BOMD: Building Optimization Models from Data (Neural Networks based Approach)","authors":"V. Donskoy","doi":"10.3934/qfe.2019.4.608","DOIUrl":"https://doi.org/10.3934/qfe.2019.4.608","url":null,"abstract":"This article aims to develop mathematical methods and algorithms that automatically build nonlinear models of planning and management of economic objects based on the use of empirical samples (observations). We call the relevant new information technology \"Building Optimization Models from Data (BOMD)\". The offered technology BOMD allows to obtain an objective control models that reflect the real economic processes. This is its main advantage over commonly employed subjective approach to management. To solve the problems posed in the article, the methods of artificial intelligence were used, in particular, the training of neural networks and construction of decision trees. If the learning sample contains simultaneously the values of the objective function and the values of characteristic function of constraints, it is proposed to use an approach based on the training of two neural networks: NN1 — for the synthesis of the objective function and NN2 — for the synthesis of the approximating characteristic function of constraints (instead of a neural network NN2, a decision tree can be used). The solution of the problem presented by such synthesized neural model may end up finding, generally speaking, a local conditional extremum. To find the global extremum of the multiextremal neural objective function, a heuristic algorithm based on a preliminary classification of the search area by using the decision tree is developed. Presented in the paper approach to an extraction of conditionally optimization model from the data for the case when there is no information on the points not belonging to the set of admissible solutions is fundamentally novel. In this case, a heuristic algorithm for approximating the region of admissible solutions based on the allocation of regular (non-random) empty segments of the search area is developed.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2019-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41897219","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: 5

The SMEs perception of financial risks in the context of cluster cooperation 集群合作背景下中小企业对金融风险的认识

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-09-16 DOI: 10.3934/qfe.2019.3.586

Katarína Havierniková, M. Kordoš

{"title":"The SMEs perception of financial risks in the context of cluster cooperation","authors":"Katarína Havierniková, M. Kordoš","doi":"10.3934/qfe.2019.3.586","DOIUrl":"https://doi.org/10.3934/qfe.2019.3.586","url":null,"abstract":"Although, the Small and Medium-sized enterprises are the most numerous members in clusters, many of their representatives do not know benefits from this type of cooperation and they perceive it as a risky in general. Whereby, the clusters present one form of sustainable development of SMEs business. The focus of this paper is to provide an analytical framework in which the SMEs' perception of selected risk indicators is investigated by characterizing the financial risks related to cluster cooperation. While risk indicators are presented through five main categories of financial risks. To gain the main aim of this paper following research methods were used:Chi square test to compare statistical significant differences between the stated groups of respondents, Z-score to investigate the statistically significant differences in individual responses, Pareto analysis to determine the most important risk indicators and Key risk matrix to assess the level of risk indicators. The results have showed, that most important risk indicators are from category of business risks and they related with main issues of cluster cooperation:human factor failure, legal risk and risk related to lose of own reputation. These results highlighted the importance of financial risks that may be necessary for SMEs, other stakeholders and policy makers to overcome the barriers in development of cluster cooperation. The added value of this paper is the comparison of SMEs' perception of risk indicators from several points of view and final evaluation is connected and compared with the perception of those SMEs that have or had experience with cluster cooperation.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2019-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41602826","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: 8

Reconstruction and dynamic dependence analysis of global economic policy uncertainty 全球经济政策不确定性重构与动态依赖分析

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-09-09 DOI: 10.3934/qfe.2019.3.550

Yue Liu, Yuhang Zheng, B. Drakeford

引用次数: 12

The relationship between herding behavior and firm size before and after the elimination of short-sale price restrictions 卖空限价取消前后羊群行为与企业规模的关系

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-09-01 DOI: 10.3934/qfe.2019.3.526

Chiao‐yi Chang, F. Shie, Shu-Ling Yang

引用次数: 7

Does measure of financial development matter for economic growth in India? 衡量金融发展对印度的经济增长重要吗?

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-08-01 DOI: 10.3934/QFE.2019.3.508

N. Tripathy

引用次数: 25

Quantum option pricing and data analysis 量子期权定价与数据分析

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-07-17 DOI: 10.3934/QFE.2019.3.490

Wenyan Hao, C. Lefèvre, Muhsin Tamturk, S. Utev

引用次数: 5

Multivariate analyses of social-behavioral factors with health insurance coverage among Asian Americans in California 加州亚裔美国人健康保险覆盖社会行为因素的多变量分析

IF 5.3

Quantitative Finance and Economics Pub Date : 2019-07-15 DOI: 10.3934/QFE.2019.3.473

N. Wang, I. Ozodiegwu, Shaoqing Gong, Kesheng Wang, Xin Xie

{"title":"Multivariate analyses of social-behavioral factors with health insurance coverage among Asian Americans in California","authors":"N. Wang, I. Ozodiegwu, Shaoqing Gong, Kesheng Wang, Xin Xie","doi":"10.3934/QFE.2019.3.473","DOIUrl":"https://doi.org/10.3934/QFE.2019.3.473","url":null,"abstract":"This study aimed to estimate the prevalence of uninsurance among California adults and Asian Americans, and to examine the associations of social-behavioral variables with uninsurance. A total of 24,136 adults (aged 18–64) including 2,060 Asian Americans were selected from the combined 2013–2014 California Health Interview Survey. Weighted univariate and multivariate logistic regression analyses were used to estimate the associations of potential factors with uninsurance. To evaluate the relationship of independent variables, the oblique principal component cluster analysis (OPCCA) was used to classify 9 variables into disjoint clusters. For Whites, African Americans, Latinos, and Asians, the prevalence of uninsurance was 8.5%, 10.3%, 24.7%, and 12.6%, respectively. Among Asians, the prevalence of uninsurance was 15.5%, 9.2%, 6.2%, 20.8% and 12.1% for Chinese, Filipinos, Japanese, Koreans, and Vietnamese, respectively. In the whole sample, multivariate logistic regression analysis revealed that being male, non-citizen, lower education, higher poverty, and current smoking were associated with uninsurance. Among Asians, compared to Koreans, being Filipinos and Vietnamese were associated with lower odds of being uninsured; meanwhile being male, non-citizen, lower education, and higher poverty were significantly associated with increased odds of uninsurance. Elder age groups and current smoking were significantly associated with increased odds of uninsurance in bivariate analysis; however, such associations disappeared after adjusting for other factors. Nine independent variables were divided into 2 clusters, where the variables in the same cluster were strongly correlated but had weak correlations with the variables in the other cluster. In conclusion, there are differences in the prevalence of uninsurance between Asians and Whites, and among Asian subgroups. Being male, non-citizen, lower education, higher poverty and current smoking were positively significantly associated with uninsurance.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2019-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47866287","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: 7