Quantitative Finance and Economics最新文献_第7页

The relationship between asset and capital structure: a compositional approach with panel vector autoregressive models 资产与资本结构的关系:面板向量自回归模型的组合方法

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021025

Miquel Carreras-Simó, G. Coenders

引用次数: 13

A survey on deep learning for financial risk prediction 深度学习在金融风险预测中的研究进展

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021032

Kuashuai Peng, Guofeng Yan

{"title":"A survey on deep learning for financial risk prediction","authors":"Kuashuai Peng, Guofeng Yan","doi":"10.3934/qfe.2021032","DOIUrl":"https://doi.org/10.3934/qfe.2021032","url":null,"abstract":"The rapid development of financial technology not only provides a lot of convenience to people's production and life, but also brings a lot of risks to financial security. To prevent financial risks, a better way is to build an accurate warning model before the financial risk occurs, not to find a solution after the outbreak of the risk. In the past decade, deep learning has made amazing achievements in the fields, such as image recognition, natural language processing. Therefore, some researchers try to apply deep learning methods to financial risk prediction and most of the results are satisfactory. The main work of this paper is to review the predecessors' work of deep learning for financial risk prediction according to three prominent characteristics of financial data: heterogeneity, multi-source, and imbalance. We first briefly introduced some classical deep learning models as the model basis of financial risk prediction. Then we analyzed the reasons for these characteristics of financial data. Meanwhile, we studied the differences of commonly used deep learning models according to different data characteristics. Finally, we pointed out some open issues with research significance in this field and suggested the future implementations that might be feasible.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229659","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: 9

Hedging with financial innovations in the Asia-Pacific markets during the COVID-19 pandemic: the role of precious metals 2019冠状病毒病大流行期间亚太市场的金融创新对冲:贵金属的作用

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021016

Sikiru Abidemi Abdulsalam, Afees A. Salisu

引用次数: 16

The effect of COVID-19 pandemic on residential real estate prices: Turkish case COVID-19大流行对住宅房地产价格的影响:土耳其案例

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021028

Selahattin Kaynak, Aykut Ekinci, Havvanur Feyza Kaya

引用次数: 11

Are output fluctuations transitory or permanent? New evidence from a novel Global Multi-scale Modeling approach 产出波动是暂时的还是永久的?一种新的全球多尺度模拟方法的新证据

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021017

Mumtaz Ahmed, M. Azam, S. Bekiros, S. Hina, F. Finance

引用次数: 3

Volatility connectedness and market dependence across major financial markets in China economy 中国经济主要金融市场的波动性、关联度和市场依赖性

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/QFE.2021018

K. Liow, J. Song, Xiaoxiao Zhou

引用次数: 22

Forward looking up-/down correlations 向前看向上/向下的相关性

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021021

Wolfgang Schadner

引用次数: 0

Paradox in deviation measure and trap in method improvement—take international comparison as an example 偏差度量中的悖论与方法改进中的陷阱——以国际比较为例

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021026

Dongziao Qiu, Nanchang China Economics, Dongju Li, Zhengzhou China Law

{"title":"Paradox in deviation measure and trap in method improvement—take international comparison as an example","authors":"Dongziao Qiu, Nanchang China Economics, Dongju Li, Zhengzhou China Law","doi":"10.3934/qfe.2021026","DOIUrl":"https://doi.org/10.3934/qfe.2021026","url":null,"abstract":"Due to the problem of \"true value agnostic\" in the measurement of the real world, people believe that the existing methods can be closer to the true value by improving them. Therefore, they are willing to excessively affirm the more advanced method and deny the relatively \"traditional\" method. Taking the exchange rate method and purchasing power parity method commonly used in international economic comparison as examples, this paper generalizes the problems revealed by the exchange-rate-deviation index and concludes that there are at least three paradoxes in the deviation measurement of different methods. These paradoxes are the paradox of behavior significance, the paradox of comparative object, and the paradox of measurement result. The reason is that there is a cautionary trap in the improvement or innovation of measurement methods in reality. Sometimes the improved method is not necessarily better than the unimproved method. People tend to prefer advanced technology and methodology, but the problem of statistical input and related statistical benefits need to be considered in practical measurement. In fact, these basic problems still exist in some of the methods of economic statistics that we regard as common sense. When learning or introducing new methods, scholars do not absolutize the existing methods and conclusions. They should pay attention to critical experience, avoid the trap of improvement methods, and seek real improvement or innovation.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229326","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

Venture capital backing: financial policies and persistence over time 风险资本支持:金融政策和长期坚持

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021029

A. de Carvalho, Pinheiro Roberto, Sampaio Joelson

{"title":"Venture capital backing: financial policies and persistence over time","authors":"A. de Carvalho, Pinheiro Roberto, Sampaio Joelson","doi":"10.3934/qfe.2021029","DOIUrl":"https://doi.org/10.3934/qfe.2021029","url":null,"abstract":"The present article seeks to analyze the financial policies of companies backed by Private Equity and Venture Capital funds (PE/VC). Our sample consists of firms completing an initial public offering between January 1991 and December 2000. Our hypotheses relate to the difference between VC and non-VC-backed firms in terms of financial policies and their persistence. We use four measures to evaluate the firms' financial policies: i) Cash holdings; ii) Leverage; iii) dividends out of their earnings; and iv) interest coverage. To test the four hypotheses, we run Pooled OLS regressions. The results suggest that VC-backing firms keep a higher level of cash holdings than non-VC-backed firms. This effect lasts for at least 8 years after the IPO. We show that VC-backed firms are associated with a lower level of leverage over the first 8 years after the IPO. Differently, while interest coverage is lower in the first years after the IPO, results are not persistent, even reverting in later years. Finally, we do not find statistically significant evidence of a difference between VC- and non-VC-backed firms on dividend to earnings ratio. Our results are robust across statistical methods and different methodologies.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70229502","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

Learning about financial health in Canada 了解加拿大的财务健康状况

IF 5.3

Quantitative Finance and Economics Pub Date : 2021-01-01 DOI: 10.3934/qfe.2021024

Adam Metzler,Yuhao Zhou,Chuck Grace

引用次数: 0