International Journal of Financial Engineering最新文献

Navigating the labyrinth of smart contract financial derivatives: Unraveling technical detail and application 穿越智能合约金融衍生品的迷宫：解读技术细节与应用

International Journal of Financial Engineering Pub Date : 2024-07-26 DOI: 10.1142/s2424786324420052

Ekansh Agarwal, Manav Singh, Naman Chawre, Aum Sampat, Aparna Sharma

引用次数: 0

Optimal strategy in CIR model and modified constant elasticity of variance CIR 模型和修正的恒定方差弹性中的最优策略

International Journal of Financial Engineering Pub Date : 2024-07-25 DOI: 10.1142/s2424786324500142

Arezou Karimi, F. Mehrdoust, Maziar Salahi

引用次数: 0

Self-service technologies: A bibliometric analysis 自助服务技术：文献计量分析

International Journal of Financial Engineering Pub Date : 2024-07-24 DOI: 10.1142/s2424786324420076

Shruti Thakral, Vishal Kamra

{"title":"Self-service technologies: A bibliometric analysis","authors":"Shruti Thakral, Vishal Kamra","doi":"10.1142/s2424786324420076","DOIUrl":"https://doi.org/10.1142/s2424786324420076","url":null,"abstract":"In this paper, we applied bibliometric methods to analyze the field of self-service technology (SST). Our goal was to identify the most impactful publications and journals, comprehend the key topics studied as well as the emerging trends and forecast future research trends in this domain. The Scopus database was used to extract 490 documents related to SST between 2000 and 2023. Our analyses include the most cited papers, sources of publications, bibliographic coupling, and topic modeling. As the body of literature continues to expand, we identified the most influential source “Journal of Service Marketing” which holds a prominent position in this area. The citation analysis revealed the highly influential papers that have made significant contributions to their respective fields. Notably, Meuter [Meuter, ML, AL Ostrom, RI Roundtree and MJ Bitner (2000). Self-Service Technologies: Understanding Customer Satisfaction with Technology-Based Service Encounters] in the realm of SST emerged as the most frequently cited paper, exerting substantial influence in academic literature. We applied bibliometric coupling in this field, which resulted in the discovery of seven clusters in SST. These clusters shed light on various aspects associated with these topics, offering valuable insights. The findings of this research offer valuable insights to study researchers by bringing clarity to this research field. Finally, the study presents the implications and recommendations for researchers. The findings of this paper offer valuable insights to study researchers by bringing clarity to the fields of the study.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"54 11","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141807622","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

Research on dynamic behavior hedging of corn price risk based on the LA-DCC-GARCH model under COVID-19 基于 COVID-19 下 LA-DCC-GARCH 模型的玉米价格风险动态行为对冲研究

International Journal of Financial Engineering Pub Date : 2024-03-21 DOI: 10.1142/s2424786324500038

Sijie Li, Wenjing Guo, Min Zhu

{"title":"Research on dynamic behavior hedging of corn price risk based on the LA-DCC-GARCH model under COVID-19","authors":"Sijie Li, Wenjing Guo, Min Zhu","doi":"10.1142/s2424786324500038","DOIUrl":"https://doi.org/10.1142/s2424786324500038","url":null,"abstract":"The ravages of COVID-19 have had a huge impact on the global economy, and in the grain market, grain prices have fluctuated greatly due to the impact of factors such as rising circulation costs and sudden panicky demand, which has increased the business risks of sellers and deep-processing enterprises. To effectively reduce and avoid the risks brought by COVID-19, this paper takes utility maximization as the goal and helps grain enterprises manage grain price risks by constructing optimal dynamic behavioral hedging strategies. Therefore, this paper first measures the corn price risk during COVID-19, and then, fits the corn spot and futures yield fluctuations based on the DCC-GARCH model, which highlights the model’s advantages for portraying the corn spot and futures price fluctuations during COVID-19. Subsequently, the dynamically optimal hedging ratio is solved from the perspective of behavioral hedging by combining the loss aversion (LA) utility function. Finally, the LA-DCC-GARCH model is compared with the Minimum variance (MV)-DCC-GARCH model in terms of hedging performance, which highlights the conclusion that the behavioral hedging strategy significantly outperforms the traditional hedging strategy.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"212 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140222710","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 fundamental approach to corporate bond options 公司债券期权的基本方法

International Journal of Financial Engineering Pub Date : 2024-03-20 DOI: 10.1142/s2424786324500014

Saied Simozar

引用次数: 0

Jump-diffusion option pricing with non-IID jumps 非 IID 跳跃的跳跃-扩散期权定价

International Journal of Financial Engineering Pub Date : 2024-03-09 DOI: 10.1142/s2424786323500469

Lin Zou, António Câmara, Weiping Li

引用次数: 0

Cross-industry contagion of systemic financial risks from the perspective of dynamic tail risk network: Evidence from China 动态尾部风险网络视角下系统性金融风险的跨行业传染：来自中国的证据

International Journal of Financial Engineering Pub Date : 2024-03-08 DOI: 10.1142/s2424786324500051

Dongfeng Chang, Tong Fu, Weiping Zhang

{"title":"Cross-industry contagion of systemic financial risks from the perspective of dynamic tail risk network: Evidence from China","authors":"Dongfeng Chang, Tong Fu, Weiping Zhang","doi":"10.1142/s2424786324500051","DOIUrl":"https://doi.org/10.1142/s2424786324500051","url":null,"abstract":"Fluctuations in interconnectedness within different industrial sectors are hence critical not only for financial market stability but also for the development of real economy. Thus, this paper contractures the varying network structure and estimates the tail risk spillover linkages at the industry level by applying the TENET (Tail-Event driven NETwork) framework on China’s 24 sectors from 2007 to 2018. There is a higher level of risk spillovers and spatial linkages between sectors during turmoil periods, and the centrality indicators can effectively identify the systemically important industries. Notably, it is more comprehensive and accurate to judge the systemic importance node by considering its location and connection in the network rather than just its internal attributes. Furthermore, the high-order polynomial regressions show that degree and eigenvector centrality have a significantly positive effect on risk contagion, while closeness centrality has a two-regime (“both robust and fragile”) contagion mechanism. From a policy point of view, regulators could formulate early-warning measures based on the impact mechanism and spread paths of systemic risk, especially in financial turmoil periods. Meanwhile, they should pay more attention to preventing the aggregate risks of the most influential sectors.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"106 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140257046","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

Payment banks — A new milestone for banking penetration in India 支付银行--印度银行业渗透率的新里程碑

International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323500627

C. Paramasivan, G. Ravichandiran

引用次数: 0

Impact of social networking sites (SNSs) on stock market: Review, synthesis and direction for future research 社交网站（SNS）对股市的影响：回顾、综述和未来研究方向

International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323310011

M. Haque, Md. Shamim Hossain, Suraiea Akter Lucky

{"title":"Impact of social networking sites (SNSs) on stock market: Review, synthesis and direction for future research","authors":"M. Haque, Md. Shamim Hossain, Suraiea Akter Lucky","doi":"10.1142/s2424786323310011","DOIUrl":"https://doi.org/10.1142/s2424786323310011","url":null,"abstract":"Social networking sites (SNSs) provide a platform for disseminating different types of information, including stock market information. Many studies in the literature discuss the influence of social media on the stock market. However, little effort has been made in the past to present a literature review. This exploratory study aims to review the literature on social media and the stock market published from 2004 to 2018 and present insights and directions for future research. The study collects data from Scopus and ISI Web of Science databases and subjectively selects 126 papers, and conducts metadata analysis. In addition, the selected papers were analyzed to present the insights and classifications of the literature based on content analysis. This review classified the selected papers into different domains: reaction (e.g., investor behavior, market behavior, corporate governance and financial performance), data analysis techniques (mathematical, econometric models, data and text mining), and application of pre-established models. It identifies influential authors, top journals, top contributing nations, top contributing institutions, top citations, most used words, top publishers and contributions by fields. It develops a framework showing how the information of SNSs is disseminated, processed and responded to. It also finds that most of the paper outcomes support online social media as important information dissemination platforms for investment decisions in the stock market. The study will offer a novel opportunity for future assessment and contribution to the behavioral finance literature.","PeriodicalId":505765,"journal":{"name":"International Journal of Financial Engineering","volume":"111 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139808186","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

Derivation of discrete analog of Breeden–Litzenberger relation for risk-neutral density 风险中性密度的布里登-利岑伯格离散类似关系的推导

International Journal of Financial Engineering Pub Date : 2024-02-03 DOI: 10.1142/s2424786323500615

Abhimanyu Kumar

引用次数: 0