Annals of Finance最新文献_第2页

When Harry met Kelly: an overlooked result in the classical theory of optimal capital growth 当哈利遇见凯利：经典最优资本增长理论中被忽视的结果

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Annals of Finance Pub Date : 2026-04-07 DOI: 10.1007/s10436-026-00477-0

Richard Watt

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Group survival probability under contagion in microlending 小额贷款传染下的群体生存概率

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Annals of Finance Pub Date : 2026-03-26 DOI: 10.1007/s10436-026-00482-3

Héctor Jasso-Fuentes, Alejandra Quintos, Xinta Yang

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Onflow: a model free, online portfolio allocation algorithm robust to transaction fees Onflow：一个无模型、对交易费用具有鲁棒性的在线投资组合分配算法

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Annals of Finance Pub Date : 2026-03-25 DOI: 10.1007/s10436-026-00480-5

Gabriel Turinici, Pierre Brugiere

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引用次数: 0

Relative Arbitrage Opportunities in an Extended Mean Field System 扩展平均场系统中的相对套利机会

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Annals of Finance Pub Date : 2026-03-17 DOI: 10.1007/s10436-026-00475-2

Nicole Tianjiao Yang, Tomoyuki Ichiba

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Risk averse asset allocation in a context of climate change with reinforcement learning and hidden Markov models 基于强化学习和隐马尔可夫模型的气候变化背景下的风险规避资产配置

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Annals of Finance Pub Date : 2026-03-16 DOI: 10.1007/s10436-026-00476-1

Etienne Raynal, Stéphane Loisel

{"title":"Risk averse asset allocation in a context of climate change with reinforcement learning and hidden Markov models","authors":"Etienne Raynal, Stéphane Loisel","doi":"10.1007/s10436-026-00476-1","DOIUrl":"10.1007/s10436-026-00476-1","url":null,"abstract":"<div><p>We aim to address the challenge of identifying an ideal long-term arbitrage strategy that can adapt to an individual’s market perspective. In this research, we expand upon the existing body of knowledge regarding optimal asset allocation by employing a reinforcement learning algorithm rooted in a Markov Decision Process. The state space of this process is defined by estimating a Hidden Markov Chain (HMC), which serves to characterise the market dynamics. Our agent acquires knowledge about the market at each time step through this characterisation, employing the MAP algorithm to determine an optimal strategy. We then extend the agent’s state space to incorporate a physical risk index and a climate transition risk index. After showing the current limits to the integration of such indices, we explore three possible scenarios for the materialisation of climate risks on market regimes, which could be integrated into climate stress tests, and analyse the behaviour of our agent in each of these scenarios. This article therefore illustrates the relevance of estimating an HMC to construct resilient allocation strategies that could be used in climate stress tests that make assumptions about the impact of climate change on volatility.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"22 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2026-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147559678","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

The value of information flows in the stock market 信息的价值在股票市场中流动

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Annals of Finance Pub Date : 2026-03-14 DOI: 10.1007/s10436-026-00479-y

Hai Duong, Bart Taub

{"title":"The value of information flows in the stock market","authors":"Hai Duong, Bart Taub","doi":"10.1007/s10436-026-00479-y","DOIUrl":"10.1007/s10436-026-00479-y","url":null,"abstract":"<div><p>Stock market traders who trade because of information they possess reveal that information to the rest of the market in the process of bidding: if the information is positive they bid up the price, and if it is negative they lower it. New information constantly develops and is brought to the market in this way, and because it influences prices, it ultimately influences the allocation of investments by firms.</p><p>Using a new approach, we estimate the flow of this information and the price of that information (different from the stock price), and thus the total value of that information, for each stock, and then sum up this value across all stocks, obtaining an estimate of the total value of the dynamic flow of information in the stock market as a whole. This requires digesting the records of millions of stock orders (including cancelled orders, not just executed trades) to construct the dynamic limit order book and estimate the information flow and value from its structure.</p><p>Our results support the notion that the cross-correlation of price impact across stocks is consistent with the capital asset pricing model: there is a single systematic component of price impact, and this is driven by the volatility of the systematic component of the stock market. This result suggests that by separating the underlying information into two components, systematic and idiosyncratic, informed traders distinguish between productive assets that have a systematic impact on the economy and those that can be diversified.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"22 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2026-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-026-00479-y.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147559325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Measuring global financial stress: is there any role for large language models? 衡量全球金融压力：大型语言模型有什么作用吗？

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Annals of Finance Pub Date : 2026-03-13 DOI: 10.1007/s10436-026-00481-4

Mikhail Stolbov, Maria Shchepeleva

{"title":"Measuring global financial stress: is there any role for large language models?","authors":"Mikhail Stolbov, Maria Shchepeleva","doi":"10.1007/s10436-026-00481-4","DOIUrl":"10.1007/s10436-026-00481-4","url":null,"abstract":"<div><p>We propose a novel sentiment-based index of global financial stress for the period between January 2004 and July 2025. It builds on the dictionary comprising English terms related to financial instability and selected with the aid of more than 200 large language models. The index represents the first principal component from the data series measuring the intensity of search in Google for these terms. It notably spikes with the GFC in September–October 2008, the outbreak of COVID-19 in March 2020, the onset of the Ukrainian conflict in February 2022 and the turmoil in the US banking sector in March 2023. The index is not driven by the extant financial stress or uncertainty measures, exhibiting moderate predictive power for some of them. Furthermore, it produces a detrimental effect on global real economic activity when the latter is in decline. The index Granger causes the worldwide frequency of currency crises, while exhibiting bidirectional linkages with the frequency of banking crises, triple episodes involving banking, currency and debt crises, and the implementation of macroprudential policy measures. Finally, we show that the dictionary underlying our global index can apply to elaborate country-level financial stress indices, using the USA and the UK as an example.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"22 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2026-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147441888","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 Markov Process Model of Joint Liability and Loan Repayment for Sustainable Microfinance 可持续小额信贷连带责任与贷款偿还的马尔可夫过程模型

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Annals of Finance Pub Date : 2026-03-11 DOI: 10.1007/s10436-026-00478-z

Perpetual Andam Boiquaye, Edward Korveh, Samuel Asante Gyamerah

{"title":"A Markov Process Model of Joint Liability and Loan Repayment for Sustainable Microfinance","authors":"Perpetual Andam Boiquaye, Edward Korveh, Samuel Asante Gyamerah","doi":"10.1007/s10436-026-00478-z","DOIUrl":"10.1007/s10436-026-00478-z","url":null,"abstract":"<div><p>We develop a discrete-time Markov process model for group lending with joint liability to analyze repayment dynamics, income sustainability, and optimal contract design in microfinance. Borrower groups transition between application, beneficiary, delay, and re-application states, with transition probabilities determined by repayment success, delay persistence, partial repayments, and re-entry mechanisms. Using the stationary distribution of the resulting Markov chain, we derive closed-form expressions for expected discounted group income under both full and partial repayment regimes. The analysis shows that expected income increases with repayment success, re-entry probability, and partial repayment effectiveness, while higher delay persistence and default risk substantially reduce long-run wealth. We derive an endogenous optimal interest rate satisfying a lender break-even condition with operational costs and joint-liability spillovers. The resulting pricing rule generalizes zero-net-present-value loan rates to environments with delay risk and burden sharing. A sensitivity analysis indicates that larger borrower pools reduce equilibrium interest rates through risk sharing, whereas higher default burdens and costs necessitate higher rates. The modelling approach provides a tractable analytical basis for pricing and sustainability in joint-liability microfinance lending.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"22 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2026-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147383179","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

Investor determined dividend policies 投资者决定股利政策

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Annals of Finance Pub Date : 2025-11-27 DOI: 10.1007/s10436-025-00473-w

Dilip B. Madan, King Wang

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A lattice-based algorithm for pricing derivatives in a fractional Brownian motion framework 分数布朗运动框架下基于格点的衍生品定价算法

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Annals of Finance Pub Date : 2025-11-22 DOI: 10.1007/s10436-025-00474-9

Massimo Costabile, Ivar Massabó, Emilio Russo, Alessandro Staino

引用次数: 0