Digital finance最新文献_第2页

Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements 预测金融市场对联邦公开市场委员会会后声明的反应

Digital finance Pub Date : 2023-09-27 DOI: 10.1007/s42521-023-00096-8

Piotr Wójcik, Ewelina Osowska

{"title":"Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements","authors":"Piotr Wójcik, Ewelina Osowska","doi":"10.1007/s42521-023-00096-8","DOIUrl":"https://doi.org/10.1007/s42521-023-00096-8","url":null,"abstract":"Abstract This article examines the impact of Federal Open Market Committee (FOMC) statements on stock and foreign exchange markets with the use of text-mining and predictive models. We take into account a long period since March 2001 until June 2023. Unlike in most previous studies, both linear and non-linear methods were applied. We also take into account additional explanatory variables that control for the current corporate managers’ and retail customers’ assessment of the economic situation. The proposed methodology is based on calculating the FOMC statements’ tone (called sentiment) and incorporate it as a potential predictor in the modeling process. For the purpose of sentiment calculation, we utilized the FinBERT pre-trained NLP model. Fourteen event windows around the event are considered. We proved that the information content of FOMC statements is an important predictor of the financial markets’ reaction directly after the event. In the case of models explaining the reaction of financial markets in the first minute after the announcement of the FOMC statement, the sentiment score was the first or the second most important feature, after the market surprise component. We also showed that applying non-linear models resulted in better prediction of market reaction due to identified non-linearities in the relationship between the two most important predictors (surprise component and sentiment score) and returns just after the event. Last but not least, the predictive accuracy during the COVID pandemic was indeed lower than in the previous year.","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135535510","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

Market impact and efficiency in cryptoassets markets 加密资产市场的市场影响和效率

Digital finance Pub Date : 2023-09-16 DOI: 10.1007/s42521-023-00095-9

Emilio Barucci, Giancarlo Giuffra Moncayo, Daniele Marazzina

引用次数: 0

Tokenizing assets with dividend payouts—a legally compliant and flexible design 用股息支付代币化资产——一种符合法律规定且灵活的设计

Digital finance Pub Date : 2023-08-31 DOI: 10.1007/s42521-023-00094-w

Efim Zhitomirskiy, Stefan Schmid, M. Walther

引用次数: 0

A primer on the insurability of decentralized finance (DeFi) 分散式金融(DeFi)的可保性初探

Digital finance Pub Date : 2023-08-28 DOI: 10.1007/s42521-023-00093-x

Felix Bekemeier

{"title":"A primer on the insurability of decentralized finance (DeFi)","authors":"Felix Bekemeier","doi":"10.1007/s42521-023-00093-x","DOIUrl":"https://doi.org/10.1007/s42521-023-00093-x","url":null,"abstract":"Abstract Decentralized finance (DeFi), a blockchain-based form of alternative financial markets, has gained significant public attention in recent months. Despite its relatively short history, DeFi offers a range of opportunities for designing and transferring digital assets. This establishes market structures that bear resemblance to traditional financial markets. Notably, the landscape of DeFi projects has expanded to include insurance protocols that offer DeFi-inherent mechanisms for hedging DeFi-specific risks, particularly those associated with smart contracts. These insurance protocols aim to provide similar value propositions as traditional insurance, namely the minimization and transfer of risks in exchange for a premium. However, it is crucial to acknowledge that most of these risk transfer protocols are strongly dependent on subjective expectations and decentralized governance structures. This article aims to develop a taxonomical understanding of DeFi insurance. Moreover, it seeks to assess the insurability of risks related to smart contracts. By doing so, this study contributes to the emerging body of knowledge surrounding DeFi insurance, paving the way for further research and analysis in this evolving field.","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135032952","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

Modelling the assessment of taxpayer perception on the fiscal system by a hybrid approach for the analysis of challenging data structures 通过混合方法对具有挑战性的数据结构进行分析，对纳税人对财政系统的看法进行建模评估

Digital finance Pub Date : 2023-08-23 DOI: 10.1007/s42521-023-00092-y

I. Coita, M. Iannario, Alfonso Iodice D’Enza, C. Mare

引用次数: 0

Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models 半线性退化偏微分方程的深度高阶分裂方法及其在高维非线性定价模型中的应用

Digital finance Pub Date : 2023-08-21 DOI: 10.1007/s42521-023-00091-z

Riu Naito, Toshihiro Yamada

引用次数: 0

Central bank digital currencies (CBDCs) and their potential impact on traditional banking and monetary policy: an initial analysis 央行数字货币及其对传统银行和货币政策的潜在影响：初步分析

Digital finance Pub Date : 2023-08-03 DOI: 10.1007/s42521-023-00090-0

Christoph Wronka

引用次数: 0

Dynamic and context-dependent stock price prediction using attention modules and news sentiment 动态和上下文相关的股票价格预测使用的关注模块和新闻情绪

Digital finance Pub Date : 2023-08-01 DOI: 10.1007/s42521-023-00089-7

Nicole Königstein

{"title":"Dynamic and context-dependent stock price prediction using attention modules and news sentiment","authors":"Nicole Königstein","doi":"10.1007/s42521-023-00089-7","DOIUrl":"https://doi.org/10.1007/s42521-023-00089-7","url":null,"abstract":"The growth of machine-readable data in finance, such as alternative data, requires new modeling techniques that can handle non-stationary and non-parametric data. Due to the underlying causal dependence and the size and complexity of the data, we propose a new modeling approach for financial time series data, the $$alpha _{t}$$ -RIM (recurrent independent mechanism). This architecture makes use of key–value attention to integrate top-down and bottom-up information in a context-dependent and dynamic way. To model the data in such a dynamic manner, the $$alpha _{t}$$ -RIM utilizes an exponentially smoothed recurrent neural network, which can model non-stationary times series data, combined with a modular and independent recurrent structure. We apply our approach to the closing prices of three selected stocks of the S &P 500 universe as well as their news sentiment score. The results suggest that the $$alpha _{t}$$ -RIM is capable of reflecting the causal structure between stock prices and news sentiment, as well as the seasonality and trends. Consequently, this modeling approach markedly improves the generalization performance, that is, the prediction of unseen data, and outperforms state-of-the-art networks, such as long–short-term memory models.","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136020837","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 technology of decentralized finance (DeFi) 分散式金融技术(DeFi)

Digital finance Pub Date : 2023-08-01 DOI: 10.1007/s42521-023-00088-8

Raphael A. Auer, Bernhard Haslhofer, Stefan Kitzler, Pietro Saggese, Friedhelm Victor

引用次数: 9

What drives cryptocurrency returns? A sparse statistical jump model approach 是什么推动了加密货币的回报?一种稀疏统计跳跃模型方法

Digital finance Pub Date : 2023-05-20 DOI: 10.2139/ssrn.4330421

F. Cortese, Petter N. Kolm, Erik Lindström

引用次数: 1