International Journal of Financial Engineering最新文献_第2页

Cross-listing, capital structure and firm performance: A simultaneous equation estimation 交叉上市、资本结构与公司绩效:一个联立方程估计

International Journal of Financial Engineering Pub Date : 2023-09-30 DOI: 10.1142/s2424786323500305

Imen Ghadhab, Sameh Jouida, Houssam Bouzgarrou

引用次数: 0

Prediction of cryptocurrency prices by deep learning models: A case study for Bitcoin and Ethereum 通过深度学习模型预测加密货币价格:比特币和以太坊的案例研究

International Journal of Financial Engineering Pub Date : 2023-09-26 DOI: 10.1142/s2424786323500329

Farshid Mehrdoust, Maryam Noorani

引用次数: 0

Dividend policy effect on common stock price volatility: An empirical evidence from indian companies 股利政策对普通股价格波动的影响:来自印度公司的经验证据

International Journal of Financial Engineering Pub Date : 2023-09-23 DOI: 10.1142/s2424786323500287

N. Narsa Goud

引用次数: 0

Flight to quality and portfolio diversification under ambiguity of correlation 相关性模糊下的投资组合多元化与优质资产转移

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-09-07 DOI: 10.1142/s2424786323500263

H. Huang, Yanjie Wang, Shunming Zhang

引用次数: 0

Optimal Loan Portfolio under Regulatory and Internal Constraints 监管和内部约束下的最优贷款组合

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-09-06 DOI: 10.1142/s2424786323500275

Makoto Okawara, Akihiko Takahashi

{"title":"Optimal Loan Portfolio under Regulatory and Internal Constraints","authors":"Makoto Okawara, Akihiko Takahashi","doi":"10.1142/s2424786323500275","DOIUrl":"https://doi.org/10.1142/s2424786323500275","url":null,"abstract":"The environment surrounding banks is becoming increasingly severe. Particularly, to prevent the next financial crisis, Basel III requires financial institutions to prepare higher levels of capitals by 1 January 2028, and the financial stability board (FSB) suggests the risk appetite framework (RAF) as their internal risk management. Hence, efficient usage of their own capitals for banks is more important than ever to improve profitability. Under such circumstances, this paper is the first to consider an optimization problem for a typical loan portfolio of international banks under comprehensive risk constraints with realistic profit margins and funding costs to achieve an efficient capital allocation. Concretely, after taking concentration risks on large individual obligors into account, we obtain a loan portfolio that attains the maximum profit under Basel regulatory capital and loan market constraints, as well as internal management constraints, namely, risk limits on business units and industrial sectors. Moreover, we separately calculate credit risk amounts of the internal constraints in terms of regulatory and economic capitals to compare the optimized profits. In addition, considering sharp increases in default probabilities of all obligors as in the global financial crisis, we perform a stress test on the optimization results to investigate the effects of changes in risk amounts and profits. As a result, we propose to unify risk constraints on the business units and industrial sectors by using credit risk amounts in terms of economic capitals.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42691683","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-frequency stock return prediction using state-of-the-art deep learning models 高频股票收益预测使用最先进的深度学习模型

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-08-19 DOI: 10.1142/s2424786323500238

Sichong Chen

{"title":"High-frequency stock return prediction using state-of-the-art deep learning models","authors":"Sichong Chen","doi":"10.1142/s2424786323500238","DOIUrl":"https://doi.org/10.1142/s2424786323500238","url":null,"abstract":"Determining stock price movements is a challenging problem because stock prices are often influenced by multiple factors such as economic, political, business, and human behavior. In this paper, we will attempt different modeling methods for two types of data, a total of 40 Dow Jones Industrial Index components, to verify the effectiveness of daily and high-frequency data for stock price prediction. Furthermore, we will attempt to validate the performance of LSTM model in stock price prediction, and also try to improve its performance by incorporating an attention mechanism. We assume that adding an attention layer to LSTM model would improve model performance in our data sets, especially in high-frequency data, since the data set would contain a huge amount of noise. Our results indicate that the simple LSTM performs better than the attention-based LSTM for both data types of prediction tasks with a benchmark of the number of stock prediction outcomes that outperform the number of those in other model, which is 24 out 40 stocks, which refutes our initial assumptions and does not validate whether adding attention mechanism is useful for solving the shallow layers and gradient vanishing problem and thus improving the LSTM model performance.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47975879","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

Nexus between energy consumption, climate risk development finance and GHG emissions 能源消耗、气候风险发展融资和温室气体排放之间的联系

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-08-07 DOI: 10.1142/s2424786323500251

Raheel Gohar, B. Chang, E. Uche, Mohammed Ahmar Uddin, Akash Kalra

{"title":"Nexus between energy consumption, climate risk development finance and GHG emissions","authors":"Raheel Gohar, B. Chang, E. Uche, Mohammed Ahmar Uddin, Akash Kalra","doi":"10.1142/s2424786323500251","DOIUrl":"https://doi.org/10.1142/s2424786323500251","url":null,"abstract":"Development financing focusing on climate hazards has become necessary in recent decades as a result of the rise in emissions of greenhouse gases (GHG). This study investigates how the Congo Basin’s greenhouse gas emissions are affected by using renewable energy sources and climate risk-related development financing. Multiple conclusions are drawn from panel regression analysis. First, there’s a slight but substantial rise in GHG emissions when climate risk-related development finance increases. Second, a boost in climate risk-related mitigation finance substantially encourages the introduction of renewable energy. Third, greater utilization of renewable energy results in a diminution in GHG emissions. Finally, greater utilization of the renewable energy minimizes the influence of the climate risk-related development finance. The research recommends creating a monitoring system to guarantee the effective use of climate funding for generating renewable energy sources, including wind, biomass, geothermal, hydropower, and solar energy. Additionally, it urges donor economies and authorities to provide emerging economies with a supplementary consistent and steady flow of financing for development mitigation connected to climate risk.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47701313","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 impact of leverage on investment and firm value during the COVID-19: Evidence from Chinese listed firms 新冠肺炎期间杠杆对投资和公司价值的影响：来自中国上市公司的证据

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-08-02 DOI: 10.1142/s2424786323410013

Shuyu Xue, Zijing Luo, Yuchen Liu

引用次数: 0

Investment certificates pricing using a Quasi-Monte Carlo framework: Case-studies based on the Italian market 使用准蒙特卡罗框架的投资证书定价：基于意大利市场的案例研究

IF 0.7

International Journal of Financial Engineering Pub Date : 2023-08-02 DOI: 10.1142/s2424786323500214

A. Bottasso, Michelangelo Fusaro, P. Giribone, Alessio Tissone

引用次数: 0

Analytical formulas for option prices under time-changed CARMA process 时变CARMA过程下期权价格的分析公式