arXiv - QuantFin - General Finance最新文献_第8页

Intermediating DFMM Asset (IDA) 中介DFMM资产(IDA)

arXiv - QuantFin - General Finance Pub Date : 2023-11-09 DOI: arxiv-2311.05234

Arman Abgaryan, Utkarsh Sharma

{"title":"Intermediating DFMM Asset (IDA)","authors":"Arman Abgaryan, Utkarsh Sharma","doi":"arxiv-2311.05234","DOIUrl":"https://doi.org/arxiv-2311.05234","url":null,"abstract":"The Dynamic Function Market Maker (DFMM) introduced a fully automated\u0000framework for operating a multi-asset market, wherein an algorithmic accounting\u0000asset was used to connect different liquidity pools and ensure efficient\u0000rebalancing of risks, and internal accounting processes. In the DFMM design,\u0000this asset was not tradaeble; however, in this work, we explore the\u0000characteristics of this asset, if it were to be made tradeable. Named the\u0000Intermediating DFMM Asset (IDA), this asset serves as a unit of account in\u0000cross-chain finance, functioning as an intermediating asset for predictable\u0000budgeting, and efficient multichain transfers and settlements. Harnessing its\u0000robust liquidity as the key counterpart asset in DFMM, it achieves capital\u0000efficiency through the strategic repurposing of its asset base, while\u0000simultaneously mitigating risk via the dynamic optimisation of its\u0000multicollateral foundation. We outline key characteristics of the proposed\u0000asset, unique risk mitigation aspects enabled by the adopting AMM (DFMM), and\u0000control levers enabling the protocol's tactical asset and liability management\u0000toolkit to harmonise the asset's objectives with its real-world realisation,\u0000through a novel prudential market operation to incentivise productive use of a\u0000finite asset and dynamic AMM fee to ensure alignment of behaviours. The\u0000proposed design has the potential to harmonise the interests of diverse market\u0000participants, leading to synergetic reactions to informational flow, aiding IDA\u0000protocol in achieving its objectives.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522831","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

Analysis of Decentralization in Governance and Financial Efficiency of Companies: Studying the Relationship in the Field of Decentralized Finance 治理分权与公司财务效率分析:分权金融领域的关系研究

arXiv - QuantFin - General Finance Pub Date : 2023-11-04 DOI: arxiv-2311.02434

Kirill Kolmykov

{"title":"Analysis of Decentralization in Governance and Financial Efficiency of Companies: Studying the Relationship in the Field of Decentralized Finance","authors":"Kirill Kolmykov","doi":"arxiv-2311.02434","DOIUrl":"https://doi.org/arxiv-2311.02434","url":null,"abstract":"Currently, the advantages of decentralization through blockchain technology\u0000in the financial sector are actively discussed. In this article, we investigate\u0000the decentralization in the governance of Decentralized Autonomous\u0000Organizations (DAO) using the Gini coefficient as an indicator of inequality\u0000among the token owners. This metric is analyzed in the context of Return on\u0000Investment (ROI) for companies in the decentralized finance (DeFi) sector. Our\u0000goal is to understand whether the level of \"real\" decentralization in\u0000blockchain-based governance affects financial efficiency, and to explore the\u0000benefits and possible limitations of such an approach. This analysis allows for\u0000a deeper understanding of the significance and impact of decentralization on\u0000the functioning and productivity of organizations in the DeFi sector, and to\u0000determine the extent to which this impact is positively or negatively reflected\u0000in their success and profitability. Additionally, the results of this analysis\u0000will provide a fuller understanding of the dynamics and potential of blockchain\u0000for organization governance.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"33 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522786","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

Impact of Investing Characteristics on Financial Performance of Individual Investors: An Exploratory Study 投资特征对个人投资者财务绩效影响的探索性研究

arXiv - QuantFin - General Finance Pub Date : 2023-11-01 DOI: arxiv-2311.00384

Poompak Kusawat, Nopadol Rompho

引用次数: 0

From the Top Down: Does Corruption Affect Performance? 自上而下:腐败会影响绩效吗?

arXiv - QuantFin - General Finance Pub Date : 2023-10-30 DOI: arxiv-2310.20028

Maurizio La Rocca, Tiziana La Rocca, Francesco Fasano, Javier Sanchez-Vidal

引用次数: 0

Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict 原油期货市场可见度图分析:来自2019冠状病毒病大流行和俄罗斯-乌克兰冲突的见解

arXiv - QuantFin - General Finance Pub Date : 2023-10-29 DOI: arxiv-2310.18903

Ying-Hui Shao, Yan-Hong Yang

{"title":"Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict","authors":"Ying-Hui Shao, Yan-Hong Yang","doi":"arxiv-2310.18903","DOIUrl":"https://doi.org/arxiv-2310.18903","url":null,"abstract":"Drawing inspiration from the significant impact of the ongoing Russia-Ukraine\u0000conflict and the recent COVID-19 pandemic on global financial markets, this\u0000study conducts a thorough analysis of three key crude oil futures markets: WTI,\u0000Brent, and Shanghai (SC). Employing the visibility graph (VG) methodology, we\u0000examine both static and dynamic characteristics using daily and high-frequency\u0000data. We identified a clear power-law decay in most VG degree distributions and\u0000highlighted the pronounced clustering tendencies within crude oil futures VGs.\u0000Our results also confirm an inverse correlation between clustering coefficient\u0000and node degree and further reveal that all VGs not only adhere to the\u0000small-world property but also exhibit intricate assortative mixing. Through the\u0000time-varying characteristics of VGs, we found that WTI and Brent demonstrate\u0000aligned behavior, while the SC market, with its unique trading mechanics,\u0000deviates. The 5-minute VGs' assortativity coefficient provides a deeper\u0000understanding of these markets' reactions to the pandemic and geopolitical\u0000events. Furthermore, the differential responses during the COVID-19 and\u0000Russia-Ukraine conflict underline the unique sensitivities of each market to\u0000global disruptions. Overall, this research offers profound insights into the\u0000structure, dynamics, and adaptability of these essential commodities markets in\u0000the face of worldwide challenges.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522841","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

Examining the Effect of Monetary Policy and Monetary Policy Uncertainty on Cryptocurrencies Market 货币政策及货币政策不确定性对加密货币市场的影响

arXiv - QuantFin - General Finance Pub Date : 2023-10-25 DOI: arxiv-2311.10739

Mohammadreza Mahmoudi

引用次数: 0

Pre-electoral coalition agreement from the Black-Scholes point of view 从布莱克-斯科尔斯的角度来看，选举前的联合协议

arXiv - QuantFin - General Finance Pub Date : 2023-10-25 DOI: arxiv-2310.16424

Darko Mitrovic

引用次数: 0

Leveraging Large Language Model for Automatic Evolving of Industrial Data-Centric R&D Cycle 利用大型语言模型实现以数据为中心的工业研发周期的自动演化

arXiv - QuantFin - General Finance Pub Date : 2023-10-17 DOI: arxiv-2310.11249

Xu Yang, Xiao Yang, Weiqing Liu, Jinhui Li, Peng Yu, Zeqi Ye, Jiang Bian

{"title":"Leveraging Large Language Model for Automatic Evolving of Industrial Data-Centric R&D Cycle","authors":"Xu Yang, Xiao Yang, Weiqing Liu, Jinhui Li, Peng Yu, Zeqi Ye, Jiang Bian","doi":"arxiv-2310.11249","DOIUrl":"https://doi.org/arxiv-2310.11249","url":null,"abstract":"In the wake of relentless digital transformation, data-driven solutions are\u0000emerging as powerful tools to address multifarious industrial tasks such as\u0000forecasting, anomaly detection, planning, and even complex decision-making.\u0000Although data-centric R&D has been pivotal in harnessing these solutions, it\u0000often comes with significant costs in terms of human, computational, and time\u0000resources. This paper delves into the potential of large language models (LLMs)\u0000to expedite the evolution cycle of data-centric R&D. Assessing the foundational\u0000elements of data-centric R&D, including heterogeneous task-related data,\u0000multi-facet domain knowledge, and diverse computing-functional tools, we\u0000explore how well LLMs can understand domain-specific requirements, generate\u0000professional ideas, utilize domain-specific tools to conduct experiments,\u0000interpret results, and incorporate knowledge from past endeavors to tackle new\u0000challenges. We take quantitative investment research as a typical example of\u0000industrial data-centric R&D scenario and verified our proposed framework upon\u0000our full-stack open-sourced quantitative research platform Qlib and obtained\u0000promising results which shed light on our vision of automatic evolving of\u0000industrial data-centric R&D cycle.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"28 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522835","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

Unveiling Early Warning Signals of Systemic Risks in Banks: A Recurrence Network-Based Approach 揭示银行系统性风险的预警信号:一种基于循环网络的方法

arXiv - QuantFin - General Finance Pub Date : 2023-10-16 DOI: arxiv-2310.10283

Shijia Song, Handong Li

{"title":"Unveiling Early Warning Signals of Systemic Risks in Banks: A Recurrence Network-Based Approach","authors":"Shijia Song, Handong Li","doi":"arxiv-2310.10283","DOIUrl":"https://doi.org/arxiv-2310.10283","url":null,"abstract":"Bank crisis is challenging to define but can be manifested through bank\u0000contagion. This study presents a comprehensive framework grounded in nonlinear\u0000time series analysis to identify potential early warning signals (EWS) for\u0000impending phase transitions in bank systems, with the goal of anticipating\u0000severe bank crisis. In contrast to traditional analyses of exposure networks\u0000using low-frequency data, we argue that studying the dynamic relationships\u0000among bank stocks using high-frequency data offers a more insightful\u0000perspective on changes in the banking system. We construct multiple recurrence\u0000networks (MRNs) based on multidimensional returns of listed banks' stocks in\u0000China, aiming to monitor the nonlinear dynamics of the system through the\u0000corresponding indicators and topological structures. Empirical findings\u0000indicate that key indicators of MRNs, specifically the average mutual\u0000information, provide valuable insights into periods of extreme volatility of\u0000bank system. This paper contributes to the ongoing discourse on early warning\u0000signals for bank instability, highlighting the applicability of predicting\u0000systemic risks in the context of banking networks.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"308 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522837","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

NLP for Crypto-Asset Regulation: A Roadmap 加密资产监管的NLP:路线图

arXiv - QuantFin - General Finance Pub Date : 2023-10-16 DOI: arxiv-2310.10333

Carolina Camassa

引用次数: 0