arXiv - QuantFin - General Finance最新文献

Information Asymmetry Index: The View of Market Analysts 信息不对称指数：市场分析师的观点

arXiv - QuantFin - General Finance Pub Date : 2024-09-10 DOI: arxiv-2409.06272

Roberto Frota DecourtUNISINOS, Heitor AlmeidaUIUC, Philippe ProtinUGA INP IAE, Matheus R. C. GonzalezUNISINOS

引用次数: 0

Market Failures of Carbon Trading 碳交易的市场失灵

arXiv - QuantFin - General Finance Pub Date : 2024-08-12 DOI: arxiv-2408.06497

Nicola Borri, Yukun Liu, Aleh Tsyvinski, Xi Wu

{"title":"Market Failures of Carbon Trading","authors":"Nicola Borri, Yukun Liu, Aleh Tsyvinski, Xi Wu","doi":"arxiv-2408.06497","DOIUrl":"https://doi.org/arxiv-2408.06497","url":null,"abstract":"In economic theory, a cap-and-trade system is a market-based system mechanism\u0000that internalizes the environmental impact of economic activity and reduces\u0000pollution with minimal costs. Given that carbon trading is a financial market,\u0000we evaluate its efficiency using finance and asset-pricing tools. Our analysis\u0000of the universe of transactions in the European Union Emission Trading System\u0000in 2005-2020 demonstrates that this prominent cap-and-trade system for carbon\u0000emissions is dramatically inefficient because of a number of unintended\u0000consequences that significantly undermine its purposes. First, about 40% of\u0000firms never trade in a given year. Second, many firms only trade in the\u0000surrendering months, when compliance is immediate. We also show that these are\u0000the months where the price of emission allowances is predictably high. This\u0000surrendering trading pattern alone leads to a total estimated loss of about\u0000Euro 5 billion for the regulated firms, or about 2% of the traded volume of the\u0000regulated firms in the sample period. Third, a number of operators engage in\u0000speculative trading and profit by exploiting the market with private\u0000information. We estimate that these operators in total make about Euro 8\u0000billion, or about 3.5% of the traded volume of the regulated firms in the\u0000sample period.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142187106","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

Hydrogen Development in China and the EU: A Recommended Tian Ji's Horse Racing Strategy 中国和欧盟的氢能发展：推荐田忌赛马战略

arXiv - QuantFin - General Finance Pub Date : 2024-08-01 DOI: arxiv-2408.08874

Hong Xu

{"title":"Hydrogen Development in China and the EU: A Recommended Tian Ji's Horse Racing Strategy","authors":"Hong Xu","doi":"arxiv-2408.08874","DOIUrl":"https://doi.org/arxiv-2408.08874","url":null,"abstract":"The global momentum towards establishing sustainable energy systems has\u0000become increasingly prominent. Hydrogen, as a remarkable carbon-free and\u0000renewable energy carrier, has been endorsed by 39 countries at COP28 in the\u0000UAE, recognizing its essential role in global energy transition and industry\u0000decarbonization. Both the European Union (EU) and China are at the forefront of\u0000this shift, developing hydrogen strategies to enhance regional energy security\u0000and racing for carbon neutrality commitments by 2050 for the EU and 2060 for\u0000China. The wide applications of hydrogen across hard-to-abate sectors and the\u0000flexibility of decentralized production and storage offer customized solutions\u0000utilizing local resources in a self-paced manner. To unveil the trajectory of\u0000hydrogen development in China and the EU, this paper proposes a comparative\u0000analysis framework employing key factors to investigate hydrogen developments\u0000in both economic powerhouses. Beyond country-wise statistics, it dives into\u0000representative hydrogen economic areas in China (Inner Mongolia, Capital\u0000Economic Circle, Yangtze River Delta) and Europe (Delta Rhine Corridor) for\u0000understanding supply and demand, industrial synergy, and policy incentives for\u0000local hydrogen industries. The derived implications offer stakeholders an\u0000evolving hydrogen landscape across the Eurasian continent and insights for\u0000future policy developments facilitating the global green transition.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142187107","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

Applying the Nash Bargaining Solution for a Reasonable Royalty II 合理版税的纳什议价解决方案 II

arXiv - QuantFin - General Finance Pub Date : 2024-07-19 DOI: arxiv-2407.14642

David M. Kryskowski, David Kryskowski

引用次数: 0

Auction theory and demography 拍卖理论和人口学

arXiv - QuantFin - General Finance Pub Date : 2024-07-08 DOI: arxiv-2407.06248

O. A. Malafeyev, I. E. Khomenko

{"title":"Auction theory and demography","authors":"O. A. Malafeyev, I. E. Khomenko","doi":"arxiv-2407.06248","DOIUrl":"https://doi.org/arxiv-2407.06248","url":null,"abstract":"In economics, there are many ways to describe the interaction between a\u0000\"seller\" and a \"buyer\". The most common one, with which we interact almost\u0000every day, is selling for a fixed price. This option is perfect for selling a\u0000mass product, when we have a number of sellers and many buyers, and the price\u0000for the product varies depending on the conditions of the relationship between\u0000supply and demand. Another situation meets us already in markets, where a\u0000product can be either mass-produced or more unique, so this option is already\u0000closer to the object of our discussion.However, a one-on-one transaction is a\u0000much more unstable option, which is why it is also more difficult to model,\u0000since it is determined not so much by algorithms as by psychology and the\u0000difference in the bargaining ability of the two parties. An even closer example\u0000of an auction is price discrimination, when the price for the buyer is\u0000determined not only by supply and demand, but also by which group the buyer\u0000belongs to. But in this case, the product is not unique, and the final seller\u0000is the only one. Thus, we have identified the main auction criteria and their\u0000features of the \"game\".","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141573209","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

Fiduciary Duty in the Municipal Bonds Market 市政债券市场的受托责任

arXiv - QuantFin - General Finance Pub Date : 2024-06-21 DOI: arxiv-2406.15197

Baridhi Malakar

引用次数: 0

Essays on Responsible and Sustainable Finance 关于负责任和可持续金融的论文

arXiv - QuantFin - General Finance Pub Date : 2024-06-18 DOI: arxiv-2406.12995

Baridhi Malakar

{"title":"Essays on Responsible and Sustainable Finance","authors":"Baridhi Malakar","doi":"arxiv-2406.12995","DOIUrl":"https://doi.org/arxiv-2406.12995","url":null,"abstract":"The dissertation consists of three essays on responsible and sustainable\u0000finance. I show that local communities should be seen as stakeholders to\u0000decisions made by corporations. In the first essay, I examine whether the\u0000imposition of fiduciary duty on municipal advisors affects bond yields and\u0000advising fees. Using a difference-in-differences analysis, I show that bond\u0000yields reduce by 9% after the imposition of the SEC Municipal Advisor Rule. In\u0000the second essay, we analyze the impact of USD 40 billion of corporate\u0000subsidies given by U.S. local governments on their borrowing costs. We find\u0000that winning counties experience a 15 bps increase in bond yield spread as\u0000compared to the losing counties. In the third essay, we provide new evidence\u0000that the bankruptcy filing of a locally-headquartered and publicly-listed\u0000manufacturing firm imposes externalities on the local governments. Compared to\u0000matched counties with similar economic trends, municipal bond yields for\u0000affected counties increase by 10 bps within a year of the firm filing for\u0000bankruptcy. The final essay examines whether managers walk the talk on the\u0000environmental and social discussion. We train a deep-learning model on various\u0000corporate sustainability frameworks to construct a comprehensive Environmental\u0000and Social (E and S) dictionary. Using this dictionary, we find that the\u0000discussion of environmental topics in the earnings conference calls of U.S.\u0000public firms is associated with higher pollution abatement and more future\u0000green patents.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141532426","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 Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges 金融应用大型语言模型调查：进展、前景与挑战

arXiv - QuantFin - General Finance Pub Date : 2024-06-15 DOI: arxiv-2406.11903

Yuqi Nie, Yaxuan Kong, Xiaowen Dong, John M. Mulvey, H. Vincent Poor, Qingsong Wen, Stefan Zohren

{"title":"A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges","authors":"Yuqi Nie, Yaxuan Kong, Xiaowen Dong, John M. Mulvey, H. Vincent Poor, Qingsong Wen, Stefan Zohren","doi":"arxiv-2406.11903","DOIUrl":"https://doi.org/arxiv-2406.11903","url":null,"abstract":"Recent advances in large language models (LLMs) have unlocked novel\u0000opportunities for machine learning applications in the financial domain. These\u0000models have demonstrated remarkable capabilities in understanding context,\u0000processing vast amounts of data, and generating human-preferred contents. In\u0000this survey, we explore the application of LLMs on various financial tasks,\u0000focusing on their potential to transform traditional practices and drive\u0000innovation. We provide a discussion of the progress and advantages of LLMs in\u0000financial contexts, analyzing their advanced technologies as well as\u0000prospective capabilities in contextual understanding, transfer learning\u0000flexibility, complex emotion detection, etc. We then highlight this survey for\u0000categorizing the existing literature into key application areas, including\u0000linguistic tasks, sentiment analysis, financial time series, financial\u0000reasoning, agent-based modeling, and other applications. For each application\u0000area, we delve into specific methodologies, such as textual analysis,\u0000knowledge-based analysis, forecasting, data augmentation, planning, decision\u0000support, and simulations. Furthermore, a comprehensive collection of datasets,\u0000model assets, and useful codes associated with mainstream applications are\u0000presented as resources for the researchers and practitioners. Finally, we\u0000outline the challenges and opportunities for future research, particularly\u0000emphasizing a number of distinctive aspects in this field. We hope our work can\u0000help facilitate the adoption and further development of LLMs in the financial\u0000sector.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141509586","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

Visualization of Board of Director Connections for Analysis in Socially Responsible Investing 用于社会责任投资分析的董事会联系可视化技术

arXiv - QuantFin - General Finance Pub Date : 2024-05-30 DOI: arxiv-2405.20522

Alice Da Fonseca, Peter Lake, Ariana Barrenechea

引用次数: 0

DeTEcT: Dynamic and Probabilistic Parameters Extension DeTEcT：动态和概率参数扩展

arXiv - QuantFin - General Finance Pub Date : 2024-05-26 DOI: arxiv-2405.16688

Rem Sadykhov, Geoffrey Goodell, Philip Treleaven

{"title":"DeTEcT: Dynamic and Probabilistic Parameters Extension","authors":"Rem Sadykhov, Geoffrey Goodell, Philip Treleaven","doi":"arxiv-2405.16688","DOIUrl":"https://doi.org/arxiv-2405.16688","url":null,"abstract":"This paper presents a theoretical extension of the DeTEcT framework proposed\u0000by Sadykhov et al., DeTEcT, where a formal analysis framework was introduced\u0000for modelling wealth distribution in token economies. DeTEcT is a framework for\u0000analysing economic activity, simulating macroeconomic scenarios, and\u0000algorithmically setting policies in token economies. This paper proposes four\u0000ways of parametrizing the framework, where dynamic vs static parametrization is\u0000considered along with the probabilistic vs non-probabilistic. Using these\u0000parametrization techniques, we demonstrate that by adding restrictions to the\u0000framework it is possible to derive the existing wealth distribution models from\u0000DeTEcT. In addition to exploring parametrization techniques, this paper studies\u0000how money supply in DeTEcT framework can be transformed to become dynamic, and\u0000how this change will affect the dynamics of wealth distribution. The motivation\u0000for studying dynamic money supply is that it enables DeTEcT to be applied to\u0000modelling token economies without maximum supply (i.e., Ethereum), and it adds\u0000constraints to the framework in the form of symmetries.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141167496","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