International Journal of Financial Engineering最新文献

Optimal investment–consumption–insurance strategy with inflation risk and stochastic income in an Itô–Lévy setting 伊托-莱维环境下具有通胀风险和随机收入的最优投资-消费-保险策略

IF 0.7

International Journal of Financial Engineering Pub Date : 2024-01-03 DOI: 10.1142/s2424786323500548

Gaoganwe S. Moagi, Obonye Doctor

引用次数: 0

Asymmetric link between energy market and crypto market 能源市场与加密货币市场之间的不对称联系

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-12-20 DOI: 10.1142/s242478632350038x

Anshul Agrawal

引用次数: 0

The binomial option pricing model: The trouble with dividends 二项式期权定价模型股息的麻烦

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-12-13 DOI: 10.1142/s2424786323500391

Yisong S. Tian

引用次数: 0

Stochastic method of dynamic hedging applied to the high liquid asset markets 适用于高流动性资产市场的动态对冲随机方法

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-12-02 DOI: 10.1142/s2424786323500366

Maksim Y. Romanov, Sergey A. Vavilov

{"title":"Stochastic method of dynamic hedging applied to the high liquid asset markets","authors":"Maksim Y. Romanov, Sergey A. Vavilov","doi":"10.1142/s2424786323500366","DOIUrl":"https://doi.org/10.1142/s2424786323500366","url":null,"abstract":"In this study, the problem of hedging the risk of price slumping for a given volume of high-liquid assets is considered. One such possible hedging strategy may be the management of a portfolio constituted by the futures contracts holding a short position with respect to the basic asset. Besides that, the amount of having been sold futures is to satisfy the restrictions on the admissible minimal and maximum volume at each instant of time. The goal of such portfolio management is the increase of the weighted average price of futures sales through the speculative transactions realized in the real-time regime. Moreover, as feedback in the process of such management realization, one may use the prices of being executed market bargains only. The efficiency of the proposed hedging scheme is demonstrated by its comparison with the financial results achieved by the static hedging in the process of their both practical realizations based on the historical market prices. In this paper by the “dynamic hedging” concept, one means the execution of speculative transactions with futures taking a short position to provide the additional value of basic asset taking a long position. This notion is introduced in counterweight to the “static hedging” concept when the futures quantity does not vary in time and which goal is to preserve the basic asset value only.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"7 2","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138607141","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

Consumer preferences on quality of supermarket services in organized retailing: Structural equation modeling approach 组织零售业中消费者对超市服务质量的偏好:结构方程建模方法

International Journal of Financial Engineering Pub Date : 2023-11-10 DOI: 10.1142/s2424786323500354

D. E. Vijaya Deepika, N. Kannan

{"title":"Consumer preferences on quality of supermarket services in organized retailing: Structural equation modeling approach","authors":"D. E. Vijaya Deepika, N. Kannan","doi":"10.1142/s2424786323500354","DOIUrl":"https://doi.org/10.1142/s2424786323500354","url":null,"abstract":"Retailing in India has come a long way. The rapid development and advancement in technology and consumer needs have made the retail sector hold a pivotal role in our economy. Organized retailing has brought in more satisfied and convenient shopping practices among consumers. The major segments covered in organized or modern retailing include store-based and nonstore-based. The organized retail market has a lot of scope and opportunities due to value for money, changing consumer shopping patterns, rural market, enhanced middle-class consumers, growth and awareness of consumerism, technological impact, media and social media apprising and increased income (Suresh, 2019). This study focuses on the supermarket segment of organized retailing, where the major daily groceries and monthly household needs of consumers are extensively delivered. Even though the major online grocery stores and applications have become a part of consumers’ lives, supermarkets and hypermarkets are enduring and growing due to the constant support offered by consumers of all categories. Despite the pandemic hindrances, the organized retailing sectors have registered strong growth and performance. This study aims to analyze consumer preferences for supermarkets and the reasons behind choosing supermarkets. The data were collected from 128 respondents who were shoppers of various supermarkets with reference to Chennai city. The data were collected through a self-administered survey using a structured questionnaire. The analysis of data was performed using descriptive statistics and SPSS AMOS. Structural equation modeling (SEM) was used in order to evaluate the association between variables used in the study.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135191498","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 the influencing factors of AH shares linkage in China under new regulation policy of reduction 减持新调控政策下中国AH股联动的影响因素

International Journal of Financial Engineering Pub Date : 2023-11-08 DOI: 10.1142/s2424786323500342

Yuping Song, Zhenwei Li, Guopeng Jin, Jiefei Huang

{"title":"On the influencing factors of AH shares linkage in China under new regulation policy of reduction","authors":"Yuping Song, Zhenwei Li, Guopeng Jin, Jiefei Huang","doi":"10.1142/s2424786323500342","DOIUrl":"https://doi.org/10.1142/s2424786323500342","url":null,"abstract":"AH stock premium and its price linkage have always been the key problems of concern for scholars and investors. Taking the stock price yield of AH stock as the explanatory variable, this paper adopts the panel quantile model to probe into the linkage mechanism of AH stock price from five aspects such as risk difference, liquidity difference, demand elasticity difference, information asymmetry and new regulation policy of reduction. Due to the herding effect, information asymmetry has a negative effect on the H-share yield in the income and loss intervals, and a positive effect in the stable interval. The negative effect of liquidity difference on the H-share yield in the loss interval is converted into the positive effect in the income interval, but it is the most sensitive in high risk areas. The influence of demand elasticity on H-share yield is characterized by the typical characteristics of Chinese stock market “chasing after go up and killing cheapen” or “buying the winners”. Risk difference is not obvious because the behavior of risk lover and risk averter is offset by each other. The introduction of a 2017-year reduction in the new rules has significantly reduced the share price yield of H-shares. Finally, some suggestions are put forward for investors to invest and avoid risk in AH stocks and some specific policy implications for financial regulators are also provided based on these results.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"41 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135430793","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

Beating the market with a simple proposed portfolio and technical trading rules 通过简单的建议组合和技术交易规则击败市场

International Journal of Financial Engineering Pub Date : 2023-10-12 DOI: 10.1142/s2424786323500330

Massoud Metghalchi, Peggy Cloninger, Farhang Niroomand

{"title":"Beating the market with a simple proposed portfolio and technical trading rules","authors":"Massoud Metghalchi, Peggy Cloninger, Farhang Niroomand","doi":"10.1142/s2424786323500330","DOIUrl":"https://doi.org/10.1142/s2424786323500330","url":null,"abstract":"This study presents evidence that well-known technical trading rules (TTRs) applied to a proposed simple exchange-traded fund (ETF) portfolio provide better risk-adjusted performance than the ‘market’ and top-ranked balanced funds (BFs). We form a portfolio of two well-known ETFs and apply some well-known TTRs like Moving Average (MA), Relative Strength Index (RSI) and Moving Average Convergence Divergence (MACD) techniques to this simple proposed portfolio from January 31, 2007 to August 31, 2021. We design two strategies: (1) Long/Money and (2) Leverage/Money. We compare the risk-adjusted performance of some well-known trading rules applied to our proposed portfolio with strategy (1), Long/Money, which is a more conservative investment strategy, to the risk-adjusted performance of 14 top-ranked BFs. The best trading rules with strategy (1) applied to our portfolio outperform all the top-ranked BFs for the entire period and over two equal sub-periods. Similarly, the best trading rules applied to our portfolio with strategy (2) outperform the ‘market’, a Buy and Hold (B&H) strategy for the entire period and over two equal sub-periods. This paper contributes to the literature examining the common assumptions of efficient markets and could have important practical implications for many fund managers. In addition, the social impact of our paper could affect thousands of retail traders who are trying to ‘beat’ the market.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136014255","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 machine learning-based assessments of green product purchase patterns in Tamilnadu 基于机器学习的泰米尔纳德邦绿色产品购买模式评估

International Journal of Financial Engineering Pub Date : 2023-10-12 DOI: 10.1142/s2424786323500317

C. Nithya Devi, B. Subatra

{"title":"A machine learning-based assessments of green product purchase patterns in Tamilnadu","authors":"C. Nithya Devi, B. Subatra","doi":"10.1142/s2424786323500317","DOIUrl":"https://doi.org/10.1142/s2424786323500317","url":null,"abstract":"The pandemic Corona epidemic has had profound implications on supply chains, from raw materials to finished items. Diets, hygiene and general well-being have all been impacted by these changes. Customers’ preferences for eco-friendly and green products have increased as a consequence of food safety concerns, given that the current state of the environment is so detrimental to human health and well-being on a worldwide scale. As a result, customers’ attitudes, perceptions, tastes and purchases are becoming more environmentally conscious. The purpose of green/eco-friendly marketing is to meet customers’ wants and needs while simultaneously conserving the environment and boosting social benefits. This study’s goal is to identify the primary drivers of consumer behavior in the purchase of environmentally friendly goods. Since social media is the most widely used for views, references and product information, this study effort suggests a system based on social media data called machine learning scheme for assessments of factors motivating consumers (MLS-AFMC). Regression analysis and machine learning techniques were used in this study to examine Indian green goods. Furthermore, client preferences and behavior are verified by this study’s findings.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136014122","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

The Reality and Prospects of Economic Development of the South Caucasus Region: New Approaches to the Influence of Internal and External Economic Factors 南高加索地区经济发展的现实与前景:内外部经济因素影响的新途径

International Journal of Financial Engineering Pub Date : 2023-10-11 DOI: 10.37394/232032.2023.1.31

Irshad Karimli, Abdullah Jasim Al Shamsi, Ramal Karimov, Ofelya Mazanova

{"title":"The Reality and Prospects of Economic Development of the South Caucasus Region: New Approaches to the Influence of Internal and External Economic Factors","authors":"Irshad Karimli, Abdullah Jasim Al Shamsi, Ramal Karimov, Ofelya Mazanova","doi":"10.37394/232032.2023.1.31","DOIUrl":"https://doi.org/10.37394/232032.2023.1.31","url":null,"abstract":"In general, the most favorable position in the Caucasus in terms of territory belongs to the South Caucasus. It is necessary not only to analyze but also to generalize the geoeconomic realities of the South Caucasus region, which increase its importance and affect the system of international economic relations. First of all, it should be noted that the location of water bodies such as the Caspian and Black Seas, surrounded by countries such as Russia, Iran, and Turkey, has turned the South Caucasus region into an East-West and North-South corridor. These factors show that the Caucasus, especially the South Caucasus, occupies an important position in the geo-economic region of the world. In recent years, it is clear that international organizations and the world's economic powers attach great importance to the region. It is no coincidence that the South Caucasus and Central Asia have led to sustainable development and security from the Mediterranean to China, as well as sustainable development and the export of Caspian oil and gas with the participation of world-renowned companies to the European market.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136098676","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 machine learning-based assessments of customer satisfaction levels in Indian Postal Services (ML-ACSLIPS) for selected Tamilnadu districts from social media content 基于机器学习的印度邮政服务客户满意度评估(ML-ACSLIPS)从社交媒体内容选定的泰米尔纳德邦地区

International Journal of Financial Engineering Pub Date : 2023-09-30 DOI: 10.1142/s2424786323500299

T. Sangeetha, B. Subatra

{"title":"A machine learning-based assessments of customer satisfaction levels in Indian Postal Services (ML-ACSLIPS) for selected Tamilnadu districts from social media content","authors":"T. Sangeetha, B. Subatra","doi":"10.1142/s2424786323500299","DOIUrl":"https://doi.org/10.1142/s2424786323500299","url":null,"abstract":"The Indian Postal Services (IPSs) have above 155,333 post offices distributed globally. They are one of the most known and established government-owned institutions with sizable customer bases. They provide accessible and affordable services in India thanks to the unrivalled postal systems with various new services added in the last decades which include money transfers, distribution of mutual funds, and mail/parcel deliveries. IPSs have positioned themselves as dependable agencies for the Government of India. It has a competitive advantage of geographical accessibility. The system has also established centralized core banking solutions with alternative delivery channels enabling everywhere, anytime banking settings in India. Since the current marketplaces focus on clientele; businesses need to regard them as profit-making entities creating needs for high-quality services and management essential for customer satisfaction and retention. Globalization has added to acute competition to IPSs making it imperative to improve the overall quality of their services. This study’s goal is to identify the primary drivers of consumer happiness with IPSs. Since social media is the most widely used for views, references, and product information, this study effort suggests a system based on social media data called Machine learning-based Assessments of Customer Satisfaction Levels in Indian Postal Services (ML-ACSLIPS). Regression analysis and machine learning techniques (MLTs) were used in this study to examine Indian customer satisfaction levels in IPSs.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136343882","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