发布求助
文献互助 智能选刊 最新文献

Journal of interaction science最新文献

筛选
英文 中文
Portfolio allocation based on expected profit and loss measures 基于预期盈亏指标的投资组合配置
Journal of interaction science Pub Date : 2021-04-27 DOI: 10.21314/JOIS.2021.003
J. Venter, P. D. Jongh
{"title":"Portfolio allocation based on expected profit and loss measures","authors":"J. Venter, P. D. Jongh","doi":"10.21314/JOIS.2021.003","DOIUrl":"https://doi.org/10.21314/JOIS.2021.003","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45503586","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
Quant investing in cluster portfolios 集群投资组合的量化投资
Journal of interaction science Pub Date : 2021-04-27 DOI: 10.21314/JOIS.2021.006
A. Akansu, M. Avellaneda, Anqi Xiong
{"title":"Quant investing in cluster portfolios","authors":"A. Akansu, M. Avellaneda, Anqi Xiong","doi":"10.21314/JOIS.2021.006","DOIUrl":"https://doi.org/10.21314/JOIS.2021.006","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47317844","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
Realized profits on the Stationary Offshore Ocean Economy: an analysis 固定式近海经济的实现利润分析
Journal of interaction science Pub Date : 2021-02-09 DOI: 10.21314/JOIS.2021.001
Jeremy Van Dyken, Houshang Habibniya, Maia Chiabrishvili
{"title":"Realized profits on the Stationary Offshore Ocean Economy: an analysis","authors":"Jeremy Van Dyken, Houshang Habibniya, Maia Chiabrishvili","doi":"10.21314/JOIS.2021.001","DOIUrl":"https://doi.org/10.21314/JOIS.2021.001","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43089083","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: 1
The pricing of firm-specific risk in emerging markets 新兴市场企业特定风险的定价
Journal of interaction science Pub Date : 2020-02-28 DOI: 10.21314/jois.2020.115
Hilal Anwar Butt, Mohsin Sadaqat
{"title":"The pricing of firm-specific risk in emerging markets","authors":"Hilal Anwar Butt, Mohsin Sadaqat","doi":"10.21314/jois.2020.115","DOIUrl":"https://doi.org/10.21314/jois.2020.115","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43385100","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
Connecting Equity and Foreign Exchange Markets Through the WM Fix: A Trading Strategy 通过WM Fix连接股票和外汇市场：一种交易策略
Journal of interaction science Pub Date : 2020-02-27 DOI: 10.2139/SSRN.3069629
Arnav Sheth, K. Teeple
{"title":"Connecting Equity and Foreign Exchange Markets Through the WM Fix: A Trading Strategy","authors":"Arnav Sheth, K. Teeple","doi":"10.2139/SSRN.3069629","DOIUrl":"https://doi.org/10.2139/SSRN.3069629","url":null,"abstract":"We examine the relationship between equity and foreign exchange markets at, and around, the WM/Reuters benchmark exchange rate known as the the 'Fix'. Execution at the Fix is a service offered by brokers provided they obtain the trade order before 4pm GMT. We have three main goals with this paper: (i) to show a connection between equities and foreign exchange markets via this window; (ii) to leverage this connection using an algorithmic trading strategy; and (iii) to rank various statistical techniques used to make predictions for trading. We are successful in all three endeavors with the best technique producing an out-of-sample annual cumulative return of 4.02% with an annualized Sharpe ratio of 3.43.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/SSRN.3069629","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47901813","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
Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy 通过WM“Fix”连接股票和外汇市场:一种交易策略
Journal of interaction science Pub Date : 2020-02-27 DOI: 10.21314/jois.2020.114
Arnav Sheth, K. Teeple
{"title":"Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy","authors":"Arnav Sheth, K. Teeple","doi":"10.21314/jois.2020.114","DOIUrl":"https://doi.org/10.21314/jois.2020.114","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45145355","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
Should we invest more in multinational companies when domestic markets decline? 当国内市场下滑时，我们是否应该加大对跨国公司的投资?
Journal of interaction science Pub Date : 2020-02-10 DOI: 10.21314/JOIS.2019.113
Martha O'Hagan‐Luff, J. Berrill, B. Lucey
{"title":"Should we invest more in multinational companies when domestic markets decline?","authors":"Martha O'Hagan‐Luff, J. Berrill, B. Lucey","doi":"10.21314/JOIS.2019.113","DOIUrl":"https://doi.org/10.21314/JOIS.2019.113","url":null,"abstract":"Investments in domestic multinational firms can provide an indirect route for investors to diversify internationally (Farooqi, Huerta, & Ngo, 2015). Therefore, a priori, one would expect investors to increase their exposure to MNCs when the domestic market is declining, and decrease their exposure to domestic firms. Using a 20 year dataset of all publicly listed US firms spanning 1995 to 2014 we find the opposite. We find that investors favour domestic firms to MNCs in declining markets. We analyse share ownership data and propose that the diverging investment preferences of institutional and retail investors may be driving our results.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"8 1","pages":"1-21"},"PeriodicalIF":0.0,"publicationDate":"2020-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47088530","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
Value-ranked equity portfolios via entropy pooling 基于熵池的价值排序股票投资组合
Journal of interaction science Pub Date : 2018-09-28 DOI: 10.21314/JOIS.2018.101
Josef Zorn
{"title":"Value-ranked equity portfolios via entropy pooling","authors":"Josef Zorn","doi":"10.21314/JOIS.2018.101","DOIUrl":"https://doi.org/10.21314/JOIS.2018.101","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"7 1","pages":"51-74"},"PeriodicalIF":0.0,"publicationDate":"2018-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47451917","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: 1
Why are investors’ mutual fund market allocations far from optimal? 为什么投资者的共同基金市场配置远非最佳？
Journal of interaction science Pub Date : 2018-09-10 DOI: 10.21314/JOIS.2018.099
R. Laborda, Ramiro Losada
{"title":"Why are investors’ mutual fund market allocations far from optimal?","authors":"R. Laborda, Ramiro Losada","doi":"10.21314/JOIS.2018.099","DOIUrl":"https://doi.org/10.21314/JOIS.2018.099","url":null,"abstract":"In this paper, we analyze the differences between an optimal portfolio of funds that an investor may take under complete information and the actual structure of the mutual fund market characterized by a fund’s risk profile (conservative or aggressive) as well as the type of investor (retail or wholesale) at which a fund is aimed. We find that, with the exception of the fees, the relationship between the fund age, the market share and the change in the fund’s total net assets and the optimal portfolio of funds depends on the mutual fund market structure.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45355281","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 Kelly criterion in portfolio optimization: a decoupled problem 投资组合优化中的Kelly准则：一个解耦问题
Journal of interaction science Pub Date : 2018-03-27 DOI: 10.20944/PREPRINTS201707.0090.V1
Zachariah Peterson
{"title":"The Kelly criterion in portfolio optimization: a decoupled problem","authors":"Zachariah Peterson","doi":"10.20944/PREPRINTS201707.0090.V1","DOIUrl":"https://doi.org/10.20944/PREPRINTS201707.0090.V1","url":null,"abstract":"Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization problems in the financial and automation literature. This paper will show how Kelly's Criterion can be incorporated into standard portfolio optimization models. The model developed here combines risk and return into a single objective function by incorporating a risk parameter. This model is then solved for a portfolio of 10 stocks from a major stock exchange using a differential evolution algorithm. Monte Carlo calculations are used to verify the accuracy of the results obtained from differential evolution. The results show that evolutionary algorithms can be successfully applied to solve a portfolio optimization problem where returns are calculated by applying Kelly's Criterion to each of the assets in the portfolio.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"7 1","pages":"53-76"},"PeriodicalIF":0.0,"publicationDate":"2018-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45796445","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: 2
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信