arXiv - QuantFin - General Finance最新文献_第7页

Development of a Bankruptcy Prediction Model for the Banking Sector in Mozambique Using Linear Discriminant Analysis 利用线性判别分析建立莫桑比克银行业破产预测模型

arXiv - QuantFin - General Finance Pub Date : 2023-11-28 DOI: arxiv-2311.16705

Reis Castigo Intupo

{"title":"Development of a Bankruptcy Prediction Model for the Banking Sector in Mozambique Using Linear Discriminant Analysis","authors":"Reis Castigo Intupo","doi":"arxiv-2311.16705","DOIUrl":"https://doi.org/arxiv-2311.16705","url":null,"abstract":"In Mozambique there is no evidence of a bankruptcy prediction model developed\u0000in the national economic context, yet, back in 2016, the national banking\u0000sector suffered a financial shock that resulted in Mozambique Central Bank\u0000intervention in two banks (Moza Banco, S.A. and Nosso Banco, S.A.). This was a\u0000result of the deterioration of their financial and prudential indicators,\u0000although Mozambique had been adhering to the Basel Accords since 1994. The\u0000Basel Accords provides recommendations on banking sector supervision worldwide\u0000with the aim to enhance financial system stability. While it does not predict\u0000bankruptcy, the prediction model can be used as an auxiliary tool to manage\u0000that risk, but this has to be built in the national economic context. This\u0000paper develops for Mozambique banking sector a bankruptcy prediction model in\u0000the Mozambican context through the linear discriminant analyses method,\u0000following two assumptions: (i) composition of the sample and (ii) robustness of\u0000the financial prediction indicators (the capital structure, profitability asset\u0000concentration and asset quality) from 2012 to 2020. The developed model\u0000attained an accuracy level of 84% one year before Central Bank intervention\u0000(2015) with the entire population of 19 banks of the sector, which makes it\u0000recommendable as a risk management tool for this sector.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522848","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

Interplay between Cryptocurrency Transactions and Online Financial Forums 加密货币交易与在线金融论坛之间的相互作用

arXiv - QuantFin - General Finance Pub Date : 2023-11-27 DOI: arxiv-2401.10238

Ana Fernández Vilas, Rebeca P. Díaz Redondo, Daniel Couto Cancela, Alejandro Torrado Pazos

{"title":"Interplay between Cryptocurrency Transactions and Online Financial Forums","authors":"Ana Fernández Vilas, Rebeca P. Díaz Redondo, Daniel Couto Cancela, Alejandro Torrado Pazos","doi":"arxiv-2401.10238","DOIUrl":"https://doi.org/arxiv-2401.10238","url":null,"abstract":"Cryptocurrencies are a type of digital money meant to provide security and\u0000anonymity while using cryptography techniques. Although cryptocurrencies\u0000represent a breakthrough and provide some important benefits, their usage poses\u0000some risks that are a result of the lack of supervising institutions and\u0000transparency. Because disinformation and volatility is discouraging for\u0000personal investors, cryptocurrencies emerged hand-in-hand with the\u0000proliferation of online users' communities and forums as places to share\u0000information that can alleviate users' mistrust. This research focuses on the\u0000study of the interplay between these cryptocurrency forums and fluctuations in\u0000cryptocurrency values. In particular, the most popular cryptocurrency Bitcoin\u0000(BTC) and a related active discussion community, Bitcointalk, are analyzed.\u0000This study shows that the activity of Bitcointalk forum keeps a direct\u0000relationship with the trend in the values of BTC, therefore analysis of this\u0000interaction would be a perfect base to support personal investments in a\u0000non-regulated market and, to confirm whether cryptocurrency forums show\u0000evidences to detect abnormal behaviors in BTC values as well as to predict or\u0000estimate these values. The experiment highlights that forum data can explain\u0000specific events in the financial field. It also underlines the relevance of\u0000quotes (regular mechanism to response a post) at periods: (1) when there is a\u0000high concentration of posts around certain topics; (2) when peaks in the BTC\u0000price are observed; and, (3) when the BTC price gradually shifts downwards and\u0000users intend to sell.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"51 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515218","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

Decision Tree Psychological Risk Assessment in Currency Trading 货币交易中的决策树心理风险评估

arXiv - QuantFin - General Finance Pub Date : 2023-11-26 DOI: arxiv-2311.15222

Jai Pal

{"title":"Decision Tree Psychological Risk Assessment in Currency Trading","authors":"Jai Pal","doi":"arxiv-2311.15222","DOIUrl":"https://doi.org/arxiv-2311.15222","url":null,"abstract":"This research paper focuses on the integration of Artificial Intelligence\u0000(AI) into the currency trading landscape, positing the development of\u0000personalized AI models, essentially functioning as intelligent personal\u0000assistants tailored to the idiosyncrasies of individual traders. The paper\u0000posits that AI models are capable of identifying nuanced patterns within the\u0000trader's historical data, facilitating a more accurate and insightful\u0000assessment of psychological risk dynamics in currency trading. The PRI is a\u0000dynamic metric that experiences fluctuations in response to market conditions\u0000that foster psychological fragility among traders. By employing sophisticated\u0000techniques, a classifying decision tree is crafted, enabling clearer\u0000decision-making boundaries within the tree structure. By incorporating the\u0000user's chronological trade entries, the model becomes adept at identifying\u0000critical junctures when psychological risks are heightened. The real-time\u0000nature of the calculations enhances the model's utility as a proactive tool,\u0000offering timely alerts to traders about impending moments of psychological\u0000risks. The implications of this research extend beyond the confines of currency\u0000trading, reaching into the realms of other industries where the judicious\u0000application of personalized modeling emerges as an efficient and strategic\u0000approach. This paper positions itself at the intersection of cutting-edge\u0000technology and the intricate nuances of human psychology, offering a\u0000transformative paradigm for decision making support in dynamic and\u0000high-pressure environments.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"65 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522840","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

Predicting Failure of P2P Lending Platforms through Machine Learning: The Case in China 通过机器学习预测P2P借贷平台的失败:以中国为例

arXiv - QuantFin - General Finance Pub Date : 2023-11-24 DOI: arxiv-2311.14577

Jen-Yin Yeh, Hsin-Yu Chiu, Jhih-Huei Huang

引用次数: 0

On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks 多边开发银行投资组合名称集中风险调整的相关性与适宜性

arXiv - QuantFin - General Finance Pub Date : 2023-11-23 DOI: arxiv-2311.13802

Eva Lütkebohmert, Julian Sester, Hongyi Shen

引用次数: 0

Heuristics for Detecting CoinJoin Transactions on the Bitcoin Blockchain 在比特币区块链上检测CoinJoin交易的启发式方法

arXiv - QuantFin - General Finance Pub Date : 2023-11-21 DOI: arxiv-2311.12491

Hugo Schnoering, Michalis Vazirgiannis

{"title":"Heuristics for Detecting CoinJoin Transactions on the Bitcoin Blockchain","authors":"Hugo Schnoering, Michalis Vazirgiannis","doi":"arxiv-2311.12491","DOIUrl":"https://doi.org/arxiv-2311.12491","url":null,"abstract":"This research delves into the intricacies of Bitcoin, a decentralized\u0000peer-to-peer network, and its associated blockchain, which records all\u0000transactions since its inception. While this ensures integrity and\u0000transparency, the transparent nature of Bitcoin potentially compromises users'\u0000privacy rights. To address this concern, users have adopted CoinJoin, a method\u0000that amalgamates multiple transaction intents into a single, larger transaction\u0000to bolster transactional privacy. This process complicates individual\u0000transaction tracing and disrupts many established blockchain analysis\u0000heuristics. Despite its significance, limited research has been conducted on\u0000identifying CoinJoin transactions. Particularly noteworthy are varied CoinJoin\u0000implementations such as JoinMarket, Wasabi, and Whirlpool, each presenting\u0000distinct challenges due to their unique transaction structures. This study\u0000delves deeply into the open-source implementations of these protocols, aiming\u0000to develop refined heuristics for identifying their transactions on the\u0000blockchain. Our exhaustive analysis covers transactions up to block 760,000,\u0000offering a comprehensive insight into CoinJoin transactions and their\u0000implications for Bitcoin blockchain analysis.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138542562","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

High-Throughput Asset Pricing 高通量资产定价

arXiv - QuantFin - General Finance Pub Date : 2023-11-17 DOI: arxiv-2311.10685

Andrew Y. Chen, Chukwuma Dim

引用次数: 0

Bank Performance Determinants: State of the Art and Future Research Avenues 银行绩效决定因素:现状与未来研究方向

arXiv - QuantFin - General Finance Pub Date : 2023-11-15 DOI: arxiv-2311.08617

Anas Azzabi, Younes Lahrichi

{"title":"Bank Performance Determinants: State of the Art and Future Research Avenues","authors":"Anas Azzabi, Younes Lahrichi","doi":"arxiv-2311.08617","DOIUrl":"https://doi.org/arxiv-2311.08617","url":null,"abstract":"Banks' performance is an important topic for both professionals and\u0000researchers. Given the important literature on this subject, this paper aims to\u0000bring an up-to-date and organized review of literature on the determinants of\u0000banks performance. This paper discusses the main approaches that molded the\u0000debate on banks performance and their main determinants. An in-depth\u0000understanding of these latter may allow on the one hand, bank managers and\u0000regulators to improve the sector efficiency and to deal with the new trends\u0000shaping the future of their industry and on the other hand, academicians to\u0000enrich research and knowledge on this field. Through the analysis of 54 studies\u0000published in 42 peer-reviewed journals, we show that despite the importance of\u0000the existent literature, the subject of bank performance factors did not reveal\u0000all its secrets and still constitute a fertile field for critical debates,\u0000especially since the COVID-19 and the increasingly pressing rise in power of\u0000digital transformation and artificial intelligence in general and FinTechs in\u0000particular. The study concludes by suggesting new promising research avenues.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"4 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138523219","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

Audit fees in auditor switching 审计师转换中的审计费用

arXiv - QuantFin - General Finance Pub Date : 2023-11-14 DOI: arxiv-2311.08250

Sarit Agami

{"title":"Audit fees in auditor switching","authors":"Sarit Agami","doi":"arxiv-2311.08250","DOIUrl":"https://doi.org/arxiv-2311.08250","url":null,"abstract":"The auditor work is examining that a company's financial statements\u0000faithfully reflect its financial situation. His wage, the audit fees, are not\u0000fixed among all companies, but can be affected by the financial and structural\u0000characteristics of the company, as well as the characteristics of the firm he\u0000belongs to. Another factor that may affect his wage in an auditor switching,\u0000which can be resulted from changes in the company that may influence the fees.\u0000This paper examines the effect nature of the auditor switching on his wage, and\u0000the factors of the company characteristics and the economy data which determine\u0000the wage at switching. A product of the research are tools for predicting and\u0000evaluating the auditor wage at switching. These tools are important for the\u0000auditor himself, but also for the company manager to correctly determine the\u0000wage due to the possibility that the quality of the audit work depends on its\u0000fees. Two main results are obtained. First, the direction of the wage change in\u0000the switching year depends on the economic stability of the economy. Second,\u0000the switching effect on the direction and the change size in wage depends on\u0000the change size in the company characteristics before and after switching - a\u0000large change versus a stable one. We get that forecasting the change size in\u0000wage for companies with a larger change is their characteristics is paralleled\u0000to forecasting a wage increasing. And vice versa, forecasting the change size\u0000in wage for companies with a stable change in their characteristics is\u0000paralleled to forecasting a wage decreasing. But, whereas the former can be\u0000achieved based on the company characteristics and macroeconomics factors, the\u0000predictably of these characteristics and factors is negligible for the letter.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"204 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522785","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 Hypothesis on Good Practices for AI-based Systems for Financial Time Series Forecasting: Towards Domain-Driven XAI Methods 基于人工智能的金融时间序列预测系统的良好实践假设:面向领域驱动的XAI方法

arXiv - QuantFin - General Finance Pub Date : 2023-11-13 DOI: arxiv-2311.07513

Branka Hadji Misheva, Joerg Osterrieder

{"title":"A Hypothesis on Good Practices for AI-based Systems for Financial Time Series Forecasting: Towards Domain-Driven XAI Methods","authors":"Branka Hadji Misheva, Joerg Osterrieder","doi":"arxiv-2311.07513","DOIUrl":"https://doi.org/arxiv-2311.07513","url":null,"abstract":"Machine learning and deep learning have become increasingly prevalent in\u0000financial prediction and forecasting tasks, offering advantages such as\u0000enhanced customer experience, democratising financial services, improving\u0000consumer protection, and enhancing risk management. However, these complex\u0000models often lack transparency and interpretability, making them challenging to\u0000use in sensitive domains like finance. This has led to the rise of eXplainable\u0000Artificial Intelligence (XAI) methods aimed at creating models that are easily\u0000understood by humans. Classical XAI methods, such as LIME and SHAP, have been\u0000developed to provide explanations for complex models. While these methods have\u0000made significant contributions, they also have limitations, including\u0000computational complexity, inherent model bias, sensitivity to data sampling,\u0000and challenges in dealing with feature dependence. In this context, this paper\u0000explores good practices for deploying explainability in AI-based systems for\u0000finance, emphasising the importance of data quality, audience-specific methods,\u0000consideration of data properties, and the stability of explanations. These\u0000practices aim to address the unique challenges and requirements of the\u0000financial industry and guide the development of effective XAI tools.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"103 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522781","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