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The profitability of interacting trading strategies from an ecological perspective 从生态角度看互动交易策略的盈利能力
IF 0.8
Annals of Finance Pub Date : 2024-06-02 DOI: 10.1007/s10436-024-00445-6
Kun Xing, Honggang Li
{"title":"The profitability of interacting trading strategies from an ecological perspective","authors":"Kun Xing,&nbsp;Honggang Li","doi":"10.1007/s10436-024-00445-6","DOIUrl":"10.1007/s10436-024-00445-6","url":null,"abstract":"<div><h3>Objective</h3><p>To study the interactions among trading strategies and their profitability from an ecological perspective.</p><h3>Methods</h3><p>A market ecosystem model is established, and simulations are conducted to examine the interactions and profitability of trading strategies in different market ecologies.</p><h3>Results</h3><p>Strategies compete with themselves, and different time-window trend strategies exhibit competition and predator–prey relationships. Value and trend strategies demonstrate both symbiosis and predator–prey relationships. The profitability of a strategy depends on the balance of supporting and inhibiting effects, with greater supporting effects leading to higher maximum profit and market capacity, while greater inhibiting effects result in losses. The model suggests that fundamental analysis has a larger market capacity than technical analysis.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 3","pages":"377 - 394"},"PeriodicalIF":0.8,"publicationDate":"2024-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141258919","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
Natural disasters, public attention and changes in capital structure: international evidence 自然灾害、公众关注和资本结构变化：国际证据
IF 0.8
Annals of Finance Pub Date : 2024-05-24 DOI: 10.1007/s10436-024-00442-9
Balbinder Singh Gill
{"title":"Natural disasters, public attention and changes in capital structure: international evidence","authors":"Balbinder Singh Gill","doi":"10.1007/s10436-024-00442-9","DOIUrl":"10.1007/s10436-024-00442-9","url":null,"abstract":"<div><p>In this study, I examine whether public attention to a natural disaster affects the likelihood of firms using external financing (only debt, only equity, or a mix of debt and equity) following the disaster. The helpful (or harmful) view of public attention predicts that increasing public attention to the disaster can help companies to use (or hinder them from using) external financing following the disaster. For this investigation, I construct two indices: (1) an index of public attention to natural disasters and (2) an index of natural disaster intensity. Consistent with the prediction of the helpful view, the likelihood of using a combination of debt and equity financing in the aftermath of a severe disaster is higher when people pay more attention to it. By contrast, when people pay less attention to severe disasters, firms are more likely to use only debt or equity financing, which confirms the harmful view. I provide evidence that the moderating effect of public attention on the relationship between the likelihood of using external financing and natural disaster intensity varies across types of natural disasters and types of online information sources (websites, online news, images, and YouTube videos). Furthermore, smaller firms that often face difficulties obtaining external financing are more likely to benefit from increased public attention to disasters when they want to use only debt financing and less likely to benefit when using equity financing. Finally, I provide evidence that the substitution of internal funding sources for external sources in the aftermath of a disaster depends on the level of public attention to the disaster.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 2","pages":"199 - 238"},"PeriodicalIF":0.8,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141099136","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
Commodity cycles and financial instability in emerging economies 新兴经济体的商品周期和金融不稳定性
IF 0.8
Annals of Finance Pub Date : 2024-05-22 DOI: 10.1007/s10436-024-00443-8
Mikhail Andreev, M. Udara Peiris, Alexander Shirobokov, Dimitrios P. Tsomocos
{"title":"Commodity cycles and financial instability in emerging economies","authors":"Mikhail Andreev,&nbsp;M. Udara Peiris,&nbsp;Alexander Shirobokov,&nbsp;Dimitrios P. Tsomocos","doi":"10.1007/s10436-024-00443-8","DOIUrl":"10.1007/s10436-024-00443-8","url":null,"abstract":"<div><p>Commodity-exporting economies display procyclicality with the price of commodity exports. However, the evidence for the relative importance of commodity price shocks for aggregate fluctuations remains inconclusive. Using Russian data from 2001 to 2018 we estimate a small open economy New Keynesian model with a banking system and leveraged domestic firms who default on their unsecured domestic debt. We show that allowing default rates to vary endogenously over the business cycle amplifies the estimated contribution of commodity price shocks. Endogenous default introduces time-varying wedges that amplify the response of commodity price shocks through demand and income effects rather than the relative price effects that are found in the country risk-premium, balance sheet, and financial accelerator channels. We find that the contribution of commodity prices to explaining fluctuations in GDP rises from 2.5 to 33.6% while for deposits and non-performing loans, it increases from 5.3% and 1.6% to 71.3% and 60.4%, respectively.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 2","pages":"167 - 197"},"PeriodicalIF":0.8,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-024-00443-8.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141153488","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
Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy 预测大脑中的严格确定性偏好：金融创新及其在实体经济中作用的新视角
IF 0.8
Annals of Finance Pub Date : 2024-05-22 DOI: 10.1007/s10436-024-00444-7
Hammad Siddiqi
{"title":"Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy","authors":"Hammad Siddiqi","doi":"10.1007/s10436-024-00444-7","DOIUrl":"10.1007/s10436-024-00444-7","url":null,"abstract":"<div><p>The dominant paradigm in neuroscience considers the brain to be a prediction engine. The brain generates predictions first, which are then contrasted with information to generate error signals. Finite brain resources are subsequently spent in selectively processing the error signals based on their relative value with higher value signals getting a priority. In this way, the brain can be thought of as optimizing on its own internal resources before seeking to optimize on the resources available in the external world. We show that such considerations change the cost–benefit calculations of certain vs uncertain outcomes in the brain, giving rise to, what can be termed as, a strict certainty preference. A new perspective on prominent financial innovations (such as securitization, interest rate swaps, and credit default swaps) emerges, with a dark side that potentially leads to a misallocation of resources towards low NPV projects.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 2","pages":"277 - 287"},"PeriodicalIF":0.8,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-024-00444-7.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141108243","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
Asset pricing and hedging in financial markets with fixed and proportional transaction costs 具有固定和比例交易成本的金融市场中的资产定价和套期保值
IF 0.8
Annals of Finance Pub Date : 2024-05-15 DOI: 10.1007/s10436-024-00441-w
Esmaeil Babaei
{"title":"Asset pricing and hedging in financial markets with fixed and proportional transaction costs","authors":"Esmaeil Babaei","doi":"10.1007/s10436-024-00441-w","DOIUrl":"10.1007/s10436-024-00441-w","url":null,"abstract":"<div><p>We establish the asset pricing and hedging principle in a financial market model, which is a specific case of the von Neumann-Gale dynamical system, with both fixed and proportional transaction costs and trading constraints. The main results are hedging criteria stated in terms of consistent valuation systems, generalizing the notion of an equivalent martingale measure.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 2","pages":"259 - 275"},"PeriodicalIF":0.8,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-024-00441-w.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140976860","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
Welfare and bank risk-taking 福利与银行风险承担
IF 0.8
Annals of Finance Pub Date : 2024-04-26 DOI: 10.1007/s10436-024-00440-x
Marcella Lucchetta
{"title":"Welfare and bank risk-taking","authors":"Marcella Lucchetta","doi":"10.1007/s10436-024-00440-x","DOIUrl":"10.1007/s10436-024-00440-x","url":null,"abstract":"<div><p>Our study investigates a model of general equilibrium banking that incorporates moral hazard and incentive mechanisms for bank risk-taking, with a particular focus on deposit market competition. Our findings reveal that when banks compete perfectly in the deposit market, it leads to maximal welfare and an optimal level of bank failure risk. This outcome remains valid even if the risk of failure for competitive banks is higher than that of banks with monopoly rents, and it is not affected by social costs associated with bank failures. Our model suggests that there is no trade-off between bank competition and financial stability. Our results support the empirical findings of Carlson, Correia, and Luck (J Polit Econ 130(2): 462–520, 2022).</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 2","pages":"239 - 258"},"PeriodicalIF":0.8,"publicationDate":"2024-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140805877","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 term structure interest rate model with the Brownian bridge lower bound 具有布朗桥下限的期限结构利率模型
IF 0.8
Annals of Finance Pub Date : 2024-04-02 DOI: 10.1007/s10436-024-00439-4
Kentaro Kikuchi
{"title":"A term structure interest rate model with the Brownian bridge lower bound","authors":"Kentaro Kikuchi","doi":"10.1007/s10436-024-00439-4","DOIUrl":"10.1007/s10436-024-00439-4","url":null,"abstract":"<div><p>We present a new quadratic Gaussian short rate model with a stochastic lower bound to capture changes in the yield curve including negative interest rates, associated with changes in monetary policy stances. We model the lower bound by a Brownian bridge pinned at zero at the initial time and at a random termination time, representing the first appearance of negative interest rates and the end date of an unconventional monetary policy, respectively. Within this framework, we derive a semi-analytical pricing formula for zero coupon bonds under the no-arbitrage condition. Our model estimation results using Japanese yield curve data show a good fit to the market data. Furthermore, the expected excess bond returns and the posterior distribution of the unconventional monetary policy duration computed from the model parameter and state variable estimates clarify the market’s perspective on monetary policy developments.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 3","pages":"301 - 328"},"PeriodicalIF":0.8,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140587936","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
On certain representations of pricing functionals 关于定价函数的某些表示
IF 0.8
Annals of Finance Pub Date : 2024-03-15 DOI: 10.1007/s10436-024-00438-5
Carlo Marinelli
{"title":"On certain representations of pricing functionals","authors":"Carlo Marinelli","doi":"10.1007/s10436-024-00438-5","DOIUrl":"10.1007/s10436-024-00438-5","url":null,"abstract":"<div><p>We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with the same maturity (all options are European). The formulation of both problems is expressed in a language loosely inspired by the theory of inverse problems, and several proofs of the corresponding solutions are provided that do not rely on any special assumptions on the law of the underlying and that may, in some cases, extend results currently available in the literature. Furthermore, we consider a related problem, arising from nonparametric option pricing, on the reconstruction of put option prices in an approximation scheme where a sequence of measures converges to the (image) measure of the underlying’s return at fixed maturities.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 1","pages":"91 - 127"},"PeriodicalIF":0.8,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-024-00438-5.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140156966","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
Skewness-seeking behavior and financial investments 偏斜寻求行为与金融投资
IF 0.8
Annals of Finance Pub Date : 2024-02-26 DOI: 10.1007/s10436-023-00437-y
Matteo Benuzzi, Matteo Ploner
{"title":"Skewness-seeking behavior and financial investments","authors":"Matteo Benuzzi,&nbsp;Matteo Ploner","doi":"10.1007/s10436-023-00437-y","DOIUrl":"10.1007/s10436-023-00437-y","url":null,"abstract":"<div><p>Recent theoretical and empirical advancements highlight the pivotal role played by higher-order moments, such as skewness, in shaping financial decision-making. Nevertheless, contemporary experimental research predominantly relies on limited-outcome lotteries, an oversimplified representation distant from real-world investment dynamics. To bridge this research gap, we conducted a rigorously pre-registered experiment. Our study delves into individuals’ preferences for investment opportunities, examining the influence of skewness of continuous probability distributions of returns. We document an inclination towards positively skewed outcome distributions. Furthermore, we uncovered a substitution effect between risk appetite and the sign of skewness. Finally, we unveiled a robust positive correlation between skewness-seeking behavior and a propensity for speculative behavior. Simultaneously, a distinct negative correlation surfaced between skewness-seeking behavior and the perceived risk associated with positive skewness.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 1","pages":"129 - 165"},"PeriodicalIF":0.8,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-023-00437-y.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139979641","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
Affine Heston model style with self-exciting jumps and long memory 具有自激跳跃和长记忆的 Affine Heston 模型风格
IF 0.8
Annals of Finance Pub Date : 2024-01-12 DOI: 10.1007/s10436-023-00436-z
Charles Guy Njike Leunga, Donatien Hainaut
{"title":"Affine Heston model style with self-exciting jumps and long memory","authors":"Charles Guy Njike Leunga,&nbsp;Donatien Hainaut","doi":"10.1007/s10436-023-00436-z","DOIUrl":"10.1007/s10436-023-00436-z","url":null,"abstract":"<div><p>Classic diffusion processes fail to explain asset return volatility. Many empirical findings on asset return time series, such as heavy tails, skewness and volatility clustering, suggest decomposing the volatility of an asset’s return into two components, one caused by a Brownian motion and another by a jump process. We analyze the sensitivity of European call options to memory and self-excitation parameters, underlying price, volatility and jump risks. We expand Heston’s stochastic volatility model by adding to the instantaneous asset prices, a jump component driven by a Hawkes process with a kernel function or memory kernel that is a Fourier transform of a probability measure. This kernel function defines the memory of the asset price process. For instance, if it is fast decreasing, the contagion effect between asset price jumps is limited in time. Otherwise, the processes remember the history of asset price jumps for a long period. To investigate the impact of different rates of decay or types of memory, we consider four probability measures: Laplace, Gaussian, Logistic and Cauchy. Unlike Hawkes processes with exponential kernels, the Markov property is lost but stationarity is preserved; this ensures that the unconditional expected arrival rate of the jump does not explode. In the absence of the Markov property, we use the Fourier transform representation to derive a closed form expression of a European call option price based on characteristic functions. A numerical illustration shows that our extension of the Heston model achieves a better fit of the Euro Stoxx 50 option data than the standard version.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 1","pages":"1 - 43"},"PeriodicalIF":0.8,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139437704","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
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