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Two price economic equilibria and financial market bid/ask prices 两种价格经济均衡与金融市场买卖价格
IF 1
Annals of Finance Pub Date : 2020-06-18 DOI: 10.2139/ssrn.3633351
R. Elliott, D. Madan, T. Siu
{"title":"Two price economic equilibria and financial market bid/ask prices","authors":"R. Elliott, D. Madan, T. Siu","doi":"10.2139/ssrn.3633351","DOIUrl":"https://doi.org/10.2139/ssrn.3633351","url":null,"abstract":"Demand and supply uncertainty lead to a model of markets that set prices to acceptable risk levels for excess supplies and net revenues. The result is a two price partial equilibrium economy. The equilibrium solutions are applied to two price financial market data to infer demand and supply elasticities and log normal volatilities from market quotes on bid and ask prices. Demand elasticities are observed to be higher than supply elasticities as are the volatilities. Normalizing observed volatilities to the volatility of the daily traded volume a market implied duration of the economic equilibrium is inferred. The median level of duration is around a minute and half with an interquartile range from 37 s to 2 min. For larger orders, bid and ask prices may be constructed by calibrating the demand and supply volatilities.","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 1","pages":"27-43"},"PeriodicalIF":1.0,"publicationDate":"2020-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47493307","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
Bank default indicators with volatility clustering 具有波动性聚类的银行违约指标
IF 1
Annals of Finance Pub Date : 2020-06-18 DOI: 10.1007/s10436-020-00369-x
T. Kenc, E. Çevik, S. Dibooğlu
{"title":"Bank default indicators with volatility clustering","authors":"T. Kenc, E. Çevik, S. Dibooğlu","doi":"10.1007/s10436-020-00369-x","DOIUrl":"https://doi.org/10.1007/s10436-020-00369-x","url":null,"abstract":"","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 1","pages":"127 - 151"},"PeriodicalIF":1.0,"publicationDate":"2020-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00369-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52108575","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
Bank default indicators with volatility clustering 具有波动性聚类的银行违约指标
IF 1
Annals of Finance Pub Date : 2020-06-18 DOI: 10.1007/s10436-020-00369-x
Turalay Kenc, Emrah Ismail Cevik, Sel Dibooglu
{"title":"Bank default indicators with volatility clustering","authors":"Turalay Kenc,&nbsp;Emrah Ismail Cevik,&nbsp;Sel Dibooglu","doi":"10.1007/s10436-020-00369-x","DOIUrl":"10.1007/s10436-020-00369-x","url":null,"abstract":"<div><p>We estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we adapted a GARCH option pricing model which extends the seminal structural approach of default by Merton (J Finance 29(2):449, 1974) and calculated “distance to default” indicators that respond to heightened market developments. With its richer volatility dynamics, our results better reflect higher expected default probabilities precipitated by the GFC. The diagnostics show that the model generally outperforms standard models of default and offers relatively good indicators in assessing bank failures.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 1","pages":"127 - 151"},"PeriodicalIF":1.0,"publicationDate":"2020-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00369-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50493369","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
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models 制度转换跳跃扩散和随机波动模型下的有效亚洲期权定价
IF 1
Annals of Finance Pub Date : 2020-06-04 DOI: 10.1007/s10436-020-00366-0
J. Lars Kirkby, Duy Nguyen
{"title":"Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models","authors":"J. Lars Kirkby,&nbsp;Duy Nguyen","doi":"10.1007/s10436-020-00366-0","DOIUrl":"10.1007/s10436-020-00366-0","url":null,"abstract":"<div><p>Utilizing frame duality and a FFT-based implementation of density projection we develop a novel and efficient transform method to price Asian options for very general asset dynamics, including regime switching Lévy processes and other jump diffusions as well as stochastic volatility models with jumps. The method combines continuous-time Markov chain approximation, with Fourier pricing techniques. In particular, our method encompasses Heston, Hull-White, Stein-Stein, 3/2 model as well as recently proposed Jacobi, <span>(alpha )</span>-Hypergeometric, and 4/2 models, for virtually any type of jump amplitude distribution in the return process. This framework thus provides a ‘<i>unified</i>’ approach to pricing Asian options in stochastic jump diffusion models and is readily extended to alternative exotic contracts. We also derive a characteristic function recursion by generalizing the Carverhill-Clewlow factorization which enables the application of transform methods in general. Numerical results are provided to illustrate the effectiveness of the method. Various extensions of this method have since been developed, including the pricing of barrier, American, and realized variance derivatives.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 3","pages":"307 - 351"},"PeriodicalIF":1.0,"publicationDate":"2020-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00366-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45446809","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: 15
Forecasting volatility in bitcoin market 预测比特币市场的波动
IF 1
Annals of Finance Pub Date : 2020-06-03 DOI: 10.1007/s10436-020-00368-y
Mawuli Segnon, Stelios Bekiros
{"title":"Forecasting volatility in bitcoin market","authors":"Mawuli Segnon,&nbsp;Stelios Bekiros","doi":"10.1007/s10436-020-00368-y","DOIUrl":"10.1007/s10436-020-00368-y","url":null,"abstract":"<div><p>In this paper, we revisit the stylized facts of bitcoin markets and propose various approaches for modeling the dynamics governing the mean and variance processes. We first provide the statistical properties of our proposed models and study in detail their forecasting performance and adequacy by means of point and density forecasts. We adopt two loss functions and the model confidence set test to evaluate the predictive ability of the models and the likelihood ratio test to assess their adequacy. Our results confirm that bitcoin markets are characterized by <i>regime shifting</i>, <i>long memory</i> and <i>multifractality</i>. We find that the Markov switching multifractal and FIGARCH models outperform other GARCH-type models in forecasting bitcoin returns volatility. Furthermore, combined forecasts improve upon forecasts from individual models.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 3","pages":"435 - 462"},"PeriodicalIF":1.0,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00368-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50445549","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
Optimal group size in microlending 微透镜中的最佳组大小
IF 1
Annals of Finance Pub Date : 2020-06-02 DOI: 10.2139/ssrn.3622257
P. Protter, Alejandra Quintos
{"title":"Optimal group size in microlending","authors":"P. Protter, Alejandra Quintos","doi":"10.2139/ssrn.3622257","DOIUrl":"https://doi.org/10.2139/ssrn.3622257","url":null,"abstract":"Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunus, who received the Nobel Peace Prize in recognition of his largely successful efforts. Since that time the modeling of microlending has received a fair amount of academic attention. One of the issues not yet addressed in full detail, however, is the issue of the size of the group. Some attention has nevertheless been paid using an experimental and game theory approach. We, instead, take a mathematical approach to the issue of an optimal group size, where the goal is to minimize the probability of default of the group. To do this, one has to create a model with interacting forces, and to make precise the hypotheses of the model. We show that the original choice of Muhammad Yunus, of a group size of five people, is, under the right, and, we believe, reasonable hypotheses, either close to optimal, or even at times exactly optimal, i.e., the optimal group size is indeed five people.","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 1","pages":"121-132"},"PeriodicalIF":1.0,"publicationDate":"2020-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46615320","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
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs 固定比例交易成本下资产定价的基本定理
IF 1
Annals of Finance Pub Date : 2020-05-26 DOI: 10.1007/s10436-020-00367-z
Martin Brown, Tomasz Zastawniak
{"title":"Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs","authors":"Martin Brown,&nbsp;Tomasz Zastawniak","doi":"10.1007/s10436-020-00367-z","DOIUrl":"10.1007/s10436-020-00367-z","url":null,"abstract":"<div><p>We show that the absence of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with values within the bid-ask intervals that satisfies the martingale property with respect to each of the measures. This extends Harrison and Pliska’s classical Fundamental Theorem of Asset Pricing to the case of combined fixed and proportional transaction costs.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 3","pages":"423 - 433"},"PeriodicalIF":1.0,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00367-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50516132","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
Optimal compensation and investment affected by firm size and time-varying external factors 受企业规模和时变外部因素影响的最优薪酬和投资
IF 1
Annals of Finance Pub Date : 2020-05-20 DOI: 10.1007/s10436-020-00365-1
Chong Lai, Rui Li, Yonghong Wu
{"title":"Optimal compensation and investment affected by firm size and time-varying external factors","authors":"Chong Lai,&nbsp;Rui Li,&nbsp;Yonghong Wu","doi":"10.1007/s10436-020-00365-1","DOIUrl":"10.1007/s10436-020-00365-1","url":null,"abstract":"<div><p>We investigate a continuous dynamic model associated with a firm size term and with an external factor term, which possesses the following peculiarities: the drift term is dominated by the principal’s investment strategy and the agent’s effort; the volatility term relies on the function <span>(sqrt{G^2(t)+z_t})</span> in which <span>(G(t)ge 0)</span> is a continuously bounded function and is interpreted as external factors such as external variant risks, and <span>(z_t)</span> represents the firm size. The exact optimal contracts are obtained under full information. We find that the principal’s dividends in large firms are at lower risk since the flow of dividends increases with firm size. The optimal compensation scheme for the agent and investment plan for the principal are analyzed under specific assumptions. In extremely volatile environment with large <i>G</i>(<i>t</i>), the compensation for the agent would become overly large and the optimal investment is not achievable.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 3","pages":"407 - 422"},"PeriodicalIF":1.0,"publicationDate":"2020-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00365-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50499834","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
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models 制度转换跳跃扩散和随机波动模型下的有效亚洲期权定价
IF 1
Annals of Finance Pub Date : 2020-04-14 DOI: 10.2139/ssrn.3575594
J. Kirkby, D. Nguyen
{"title":"Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models","authors":"J. Kirkby, D. Nguyen","doi":"10.2139/ssrn.3575594","DOIUrl":"https://doi.org/10.2139/ssrn.3575594","url":null,"abstract":"Utilizing frame duality and a FFT-based implementation of density projection we develop a novel and efficient transform method to price Asian options for very general asset dynamics, including regime switching Lévy processes and other jump diffusions as well as stochastic volatility models with jumps. The method combines continuous-time Markov chain approximation, with Fourier pricing techniques. In particular, our method encompasses Heston, Hull-White, Stein-Stein, 3/2 model as well as recently proposed Jacobi, $$alpha $$ α -Hypergeometric, and 4/2 models, for virtually any type of jump amplitude distribution in the return process. This framework thus provides a ‘ unified ’ approach to pricing Asian options in stochastic jump diffusion models and is readily extended to alternative exotic contracts. We also derive a characteristic function recursion by generalizing the Carverhill-Clewlow factorization which enables the application of transform methods in general. Numerical results are provided to illustrate the effectiveness of the method. Various extensions of this method have since been developed, including the pricing of barrier, American, and realized variance derivatives.","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"1 1","pages":"1-45"},"PeriodicalIF":1.0,"publicationDate":"2020-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44914874","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: 32
Leakage of rank-dependent functionally generated trading strategies 等级依赖函数生成交易策略的泄漏
IF 1
Annals of Finance Pub Date : 2020-04-08 DOI: 10.1007/s10436-020-00364-2
Kangjianan Xie
{"title":"Leakage of rank-dependent functionally generated trading strategies","authors":"Kangjianan Xie","doi":"10.1007/s10436-020-00364-2","DOIUrl":"https://doi.org/10.1007/s10436-020-00364-2","url":null,"abstract":"","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"106 1","pages":"573 - 591"},"PeriodicalIF":1.0,"publicationDate":"2020-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00364-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52108549","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
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