Digital finance最新文献_第9页

Accuracy of deep learning in calibrating HJM forward curves 深度学习在校准HJM正向曲线中的准确性

Digital finance Pub Date : 2020-06-02 DOI: 10.1007/s42521-021-00030-w

F. Benth, Nils Detering, Silvia Lavagnini

引用次数: 8

Forex exchange rate forecasting using deep recurrent neural networks 基于深度递归神经网络的外汇汇率预测

Digital finance Pub Date : 2020-03-27 DOI: 10.1007/s42521-020-00019-x

Alexander Jakob Dautel, W. Härdle, S. Lessmann, H. Seow

引用次数: 42

Effects of initial coin offering characteristics on cross-listing returns 首次代币发行特征对交叉上市收益的影响

Digital finance Pub Date : 2020-03-19 DOI: 10.2139/ssrn.3557733

A. Meyer, Lennart Ante

{"title":"Effects of initial coin offering characteristics on cross-listing returns","authors":"A. Meyer, Lennart Ante","doi":"10.2139/ssrn.3557733","DOIUrl":"https://doi.org/10.2139/ssrn.3557733","url":null,"abstract":"The low level of regulation and publication requirements in cryptocurrency markets leads to little information on cryptocurrency projects being publicly available. Against the background of high information asymmetry, the interpretation of the available information is all the more important. This paper examines how initial coin offering (ICO) characteristics affect cross-listing returns, i.e. whether or not available information is a valuable market signal of quality. For this purpose, we analyze 250 cross-listings of 135 different tokens issued via ICOs and calculate abnormal returns for specific samples using event study methodology. We find that cross-listing returns are driven by success in terms of token performance and project funding, as well as by jurisdiction-specific characteristics like the extent of regulation and domestic market size. Other characteristics such as the choice or change of blockchain infrastructure, token distribution across investors and the project team, campaign duration and whitepaper characteristics also seem to influence perceived project quality and thus cross-listing returns. The results contribute to the literature on cross-listings, cryptocurrency markets and entrepreneurial finance in the form of ICOs. They also make it possible to interpret the information available on the market and enable investors, project teams and cryptocurrency exchanges to evaluate probable market reactions to cross-listings.","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45442499","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: 7

COVID-19 contagion and digital finance. COVID-19传染与数字金融。

Digital finance Pub Date : 2020-01-01 Epub Date: 2020-05-11 DOI: 10.1007/s42521-020-00021-3

Arianna Agosto, Paolo Giudici

引用次数: 1

Neural networks and arbitrage in the VIX: A deep learning approach for the VIX. VIX中的神经网络和套利:VIX的深度学习方法。

Digital finance Pub Date : 2020-01-01 Epub Date: 2020-08-13 DOI: 10.1007/s42521-020-00026-y

Joerg Osterrieder, Daniel Kucharczyk, Silas Rudolf, Daniel Wittwer

{"title":"Neural networks and arbitrage in the VIX: A deep learning approach for the VIX.","authors":"Joerg Osterrieder, Daniel Kucharczyk, Silas Rudolf, Daniel Wittwer","doi":"10.1007/s42521-020-00026-y","DOIUrl":"https://doi.org/10.1007/s42521-020-00026-y","url":null,"abstract":"<p><p>The Chicago Board Options Exchange Volatility Index (VIX) is considered by many market participants as a common measure of market risk and investors' sentiment, representing the market's expectation of the 30-day-ahead looking implied volatility obtained from real-time prices of options on the S&P 500 index. While smaller deviations between implied and realized volatility are a well-known stylized fact of financial markets, large, time-varying differences are also frequently observed throughout the day. Furthermore, substantial deviations between the VIX and its futures might lead to arbitrage opportunities on the VIX market. Arbitrage is hard to exploit as the potential strategy to exploit it requires buying several hundred, mostly illiquid, out-of-the-money (put and call) options on the S&P 500 index. This paper discusses a novel approach to predicting the VIX on an intraday scale by using just a subset of the most liquid options. To the best of the authors' knowledge, this the first paper, that describes a new methodology on how to predict the VIX (to potentially exploit arbitrage opportunities using VIX futures) using most recently developed machine learning models to intraday data of S&P 500 options and the VIX. The presented results are supposed to shed more light on the underlying dynamics in the options markets, help other investors to better understand the market and support regulators to investigate market inefficiencies.</p>","PeriodicalId":72817,"journal":{"name":"Digital finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s42521-020-00026-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"38608677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Multi-objective optimization case study for algorithmic trading strategies in foreign exchange markets 外汇市场算法交易策略的多目标优化案例研究

Digital finance Pub Date : 2019-11-18 DOI: 10.1007/s42521-019-00016-9

Jeonghoe Lee, Navid Sabbaghi

引用次数: 1

Editorial on the Special Issue on Cryptocurrencies 关于加密货币特刊的社论

Digital finance Pub Date : 2019-11-01 DOI: 10.1007/s42521-019-00015-w

Jörg Osterrieder, Andrea Barletta

引用次数: 0

Correction to: Could stock hedge Bitcoin risk(s) and vice versa? 修正:股票能否对冲比特币风险，反之亦然?

Digital finance Pub Date : 2019-09-25 DOI: 10.1007/s42521-019-00013-y

David Iheke Okorie