International Journal of Financial Engineering最新文献_第9页

On a consistent state-space bond markets model for pricing long-maturity bonds 长期债券定价的一致状态空间债券市场模型

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International Journal of Financial Engineering Pub Date : 2022-10-05 DOI: 10.1142/s2424786322500244

Dennis Ikpe, Yethu Sithole, S. Gyamerah

引用次数: 0

An analytical analysis of Alphabet and Google platform business models Alphabet和谷歌平台商业模式分析

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International Journal of Financial Engineering Pub Date : 2022-09-30 DOI: 10.1142/s2424786322500293

Shruti Mishra, Priyanshu Mishra

引用次数: 0

Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule? 使用交易区间突破技术交易规则，交易所交易基金能否盈利?

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International Journal of Financial Engineering Pub Date : 2022-09-30 DOI: 10.1142/s242478632250027x

Kok-Leong Yap, Wee‐Yeap Lau, Izlin Ismail

引用次数: 1

Robust nonparametric estimation for the volatility of financial market 金融市场波动的鲁棒非参数估计

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International Journal of Financial Engineering Pub Date : 2022-09-28 DOI: 10.1142/s2424786322500219

Chu-Ching Kao, Yuping Song

{"title":"Robust nonparametric estimation for the volatility of financial market","authors":"Chu-Ching Kao, Yuping Song","doi":"10.1142/s2424786322500219","DOIUrl":"https://doi.org/10.1142/s2424786322500219","url":null,"abstract":"The occurrence of a macroeconomic policy would lead to a jump of financial data and the presence of jump behaviors might make the statistical methods for high-frequency sampling data to face new challenges. This paper will use the threshold function technique to disentangle the continuous part and the jump part from the high frequency financial data. Moreover, in the financial practices, the abnormal observations contained in the data could cause bias from nonparametric estimation based on least squares. The paper will employ the local M estimation to provide a robust estimator for the unknown diffusion coefficient of the diffusion model with jumps under high frequency sampling data. Under certain conditions for the initial values, this paper further considers one-step local M estimation for the unknown diffusion coefficient which can reduce the calculation quantity under the estimation efficiency. The Monte Carlo numerical simulation results verify that compared with the local linear threshold estimator, the threshold one-step local M estimator is more accurate and more robust. Finally, the threshold one-step local M estimator in this paper is applied to the Shanghai composite index of 2015 and 2020 in China and the Nasdaq index of 2020 in USA, which illustrates the method considered in this paper possesses good finite sample properties.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43531333","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

Does the Indian economy progress toward a cashless economy? 印度经济是否正在向无现金经济发展？

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International Journal of Financial Engineering Pub Date : 2022-09-03 DOI: 10.1142/s2424786322500207

M. Banu, Ibrahim Cholakkal

{"title":"Does the Indian economy progress toward a cashless economy?","authors":"M. Banu, Ibrahim Cholakkal","doi":"10.1142/s2424786322500207","DOIUrl":"https://doi.org/10.1142/s2424786322500207","url":null,"abstract":"The cashless payment system has been considered a critical driver for the country’s economic growth and development. Recently, financial institutions and services have undergone drastic changes due to rapid digitalization. Over the last 10 years, substantial progress has been made toward transforming India into an inclusive digital financial system, cost-effective, convenient, transparent, accountable and secure, bringing underserved and excluded rural people into the economic mainstream. All these efforts led to the transformation of India into a greater cashless economy. Despite the rapid expansion of digital financial transactions in India, cash still accounts for a significant share of payment. India observed a simultaneous growth of the cash economy and digital payments, which created a paradoxical situation. This situation twisted a lesson for policymakers who imagined all cash was shady and that digital must necessarily dent the cash economy. This research paper analyzes the trends and progress of digital payment for transactions in India and the developments to make India a cashless economy. It also examines whether a long-promised cashless society will become a reality, or will currency continue to play a critical role in everyday transactions, as it had for decades?","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49522349","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

Comparative analysis on the three popular causality modeling methodologies 三种流行的因果关系建模方法的比较分析

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International Journal of Financial Engineering Pub Date : 2022-08-19 DOI: 10.1142/s2424786322500190

Xueyang Shi, Bing-Fen Cheng

{"title":"Comparative analysis on the three popular causality modeling methodologies","authors":"Xueyang Shi, Bing-Fen Cheng","doi":"10.1142/s2424786322500190","DOIUrl":"https://doi.org/10.1142/s2424786322500190","url":null,"abstract":"The idea of causality has lasted for over thousands of years. Unlike the idea of statistical correlation and regression, performing causal modeling and prediction is an even more challenging job. Under the intervention framework of causality, causal modeling is gaining popularity given the advances of big data and computational ability in recent years. In different scientific research areas, there exist three powerful causal modeling methodologies, namely, the potential outcomes method in statistics, the instrumental variables method in economics and Judea Pearl’s causal diagram method (do-calculus) in computer science and artificial intelligence. In this paper, by linear causal modeling assumption, we prove that the above three causal methodologies are equivalent. That is, given a causal problem, all of the three modeling methods will generate the same causal relationship conclusion, despite that they own different causal inference processes. During the past one-and-half years, the global economy suffers severe impacts from the COVID-19 pandemic. To fight the deadly pandemic, various social distancing measures and actions, taken by the countries, are effective in curbing the impact of the pandemic over the population. However, such social distancing policy has an adverse effect over the global economy growth; if more stringent measures were taken, then there would be suffering in the forms of much slower economic growth and higher unemployment. In this paper, we study the causal relationships between social distancing, fatality rate and economy growth. This work provides a useful tool for the governments to keep balance between controlling the pandemic and maintaining economic growth.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43311079","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

Symbolic regression-based adaptive generation of implied volatility 基于符号回归的隐含波动率自适应生成

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International Journal of Financial Engineering Pub Date : 2022-08-17 DOI: 10.1142/s2424786322500189

J. Yen, Y. Qi, Seng Fat Wong, Jiantao Zhou

引用次数: 0

Lie symmetry analysis and exact solutions of time fractional Black–Scholes equation 李对称性分析与时间分数Black-Scholes方程的精确解

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International Journal of Financial Engineering Pub Date : 2022-08-03 DOI: 10.1142/s2424786322500232

Jicheng Yu, Yuqiang Feng, Xianjia Wang

引用次数: 2

The impact of financial risk attitude on objective-oriented investment behavior 金融风险态度对目标导向投资行为的影响

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International Journal of Financial Engineering Pub Date : 2022-07-30 DOI: 10.1142/s2424786322500220

A. Shehzad, Shahzadah Fahed Qureshi, Muhammad Zubair Saeed, Shahid Ali

{"title":"The impact of financial risk attitude on objective-oriented investment behavior","authors":"A. Shehzad, Shahzadah Fahed Qureshi, Muhammad Zubair Saeed, Shahid Ali","doi":"10.1142/s2424786322500220","DOIUrl":"https://doi.org/10.1142/s2424786322500220","url":null,"abstract":"The purpose of this study is to examine the influence of financial risk attitude (FRA) on objective-oriented investment behavior (OOIB) of investors, particularly in underdeveloped countries, by introducing two novel constructs, namely financial satisfaction (FS) as a mediating variable and financial self-efficacy (FSE) as a moderating variable. A cross-sectional and a quantitative approach was used to collect 300 practical responses from active investors through an online questionnaire and a face-to-face interview. To test the hypothesized relationship between the constructed variables, SPSS and Smart PSL were used. According to the analysis, FRA positively impacts OOIB among Pakistani investors. Further, the moderating effect of FSE was found to be significantly positive in the relationship between FRA and FS. Additionally, FS mediates the relationship between FRA and OOIB. Accordingly, a FRA predicts FS and objective-driven investing behavior. This research will be helpful for institutional investors in providing financial services. The study is the first attempt in Pakistan to introduce FS as a mediating construct between FRA and OOIB. Furthermore, this study provides a basis for examining the relationship between FRA and FS as a moderating variable.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49495301","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: 3

Intelligent Stock Prediction: A Neural Network Approach 智能股票预测：一种神经网络方法

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International Journal of Financial Engineering Pub Date : 2022-07-20 DOI: 10.1142/s2424786322500165

M. H. Shahrour, Mostafa Dekmak

引用次数: 0