Journal articles on the topic 'Risk-taking in trading'
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Apesteguia, Jose, Jörg Oechssler, and Simon Weidenholzer. "Copy Trading." Management Science 66, no. 12 (December 2020): 5608–22. http://dx.doi.org/10.1287/mnsc.2019.3508.
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Copy trading allows traders in social networks to receive information on the success of other agents in financial markets and to directly copy their trades. Internet platforms like eToro, ZuluTrade, and Tradeo have attracted millions of users in recent years. The present paper studies the implications of copy trading for the risk taking of investors. Implementing a novel experimental financial asset market, we show that providing information on the success of others leads to a significant increase in risk taking of subjects. This increase in risk taking is even larger when subjects are provided with the option to directly copy others. We conclude that copy trading leads to excessive risk taking. This paper was accepted by Axel Ockenfels, decision analysis.
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Kusnadi, Yuanto. "Insider trading restrictions and corporate risk-taking." Pacific-Basin Finance Journal 35 (November 2015): 125–42. http://dx.doi.org/10.1016/j.pacfin.2014.11.004.
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Nguyen, Ha D., and Huong T. H. Dang. "Bond liquidity, risk taking and corporate innovation." International Journal of Managerial Finance 16, no. 1 (September 23, 2019): 101–19. http://dx.doi.org/10.1108/ijmf-02-2019-0060.
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Purpose The purpose of this paper is to investigate how market liquidity condition of corporate bonds can affect firm investment policy, specifically its risk taking, via the disciplinary function of trading. Design/methodology/approach The paper uses fixed-effects OLS and Poisson regression for the baseline specifications. It also employs the introduction of TRACE in 2002 as an exogenous shock to bond trading infrastructure in a difference-to-difference framework to address endogeneity concerns and establish causality. Findings The paper documents a positive relationship between bond illiquidity and firms’ risk taking, specifically a one standard deviation increase in Amihud illiquidity measure is associated with nearly 20 percent increase in exploratory investments compared to CAPEX. The shift in risk taking in turn increases firms’ innovation output to some extent. Research limitations/implications The findings have important implications on firm’s risk taking and growth. The paper identifies a new channel through which firm’s choice of risk can be influenced, namely, bondholder disciplining. The study also has implications about externalities of trading beyond liquidity cost for regulators in designing market microstructure. Originality/value This is the first to study the disciplinary role of bond trading. Conventional wisdom holds that bondholders are passive creditors who do not engage in costly monitoring such as banks. The findings in this paper imply that this may not be the case.
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Cherednik, Ivan. "Artificial Intelligence Approach to Momentum Risk-Taking." International Journal of Financial Studies 9, no. 4 (October 21, 2021): 58. http://dx.doi.org/10.3390/ijfs9040058.
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We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It proved to be successful in extensive historical and real-time experiments. Momentum risk-taking is one of the key components of general decision-making, a challenge for artificial intelligence and machine learning. We begin with a new mathematical approach to news impact on share prices, which models well their power-type growth, periodicity, and the market phenomena like price targets and profit-taking. This theory generally requires Bessel and hypergeometric functions. Its discretization results in some tables of bids, basically, expected returns for main investment horizons, the key in our trading system. A preimage of our approach is a new contract card game. There are relations to random processes and the fractional Brownian motion. The ODE we obtained, especially those of Bessel-type, appeared to give surprisingly accurate modeling of the spread of COVID-19.
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Markiewicz, Łukasz, and Elke U. Weber. "DOSPERT's Gambling Risk-Taking Propensity Scale Predicts Excessive Stock Trading." Journal of Behavioral Finance 14, no. 1 (January 2013): 65–78. http://dx.doi.org/10.1080/15427560.2013.762000.
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Hoffmann, Arvid O. I., Thomas Post, and Joost M. E. Pennings. "How Investor Perceptions Drive Actual Trading and Risk-Taking Behavior." Journal of Behavioral Finance 16, no. 1 (January 2, 2015): 94–103. http://dx.doi.org/10.1080/15427560.2015.1000332.
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Ben-David, Itzhak, Justin Birru, and Viktor Prokopenya. "Uninformative Feedback and Risk Taking: Evidence from Retail Forex Trading*." Review of Finance 22, no. 6 (July 10, 2018): 2009–36. http://dx.doi.org/10.1093/rof/rfy022.
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Coates, J. M., and J. Herbert. "Endogenous steroids and financial risk taking on a London trading floor." Proceedings of the National Academy of Sciences 105, no. 16 (April 14, 2008): 6167–72. http://dx.doi.org/10.1073/pnas.0704025105.
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Grigor'eva, E. A., and A. S. Buzhikeeva. "Determining the discount rate when evaluating trade organizations: Some features." Financial Analytics: Science and Experience 13, no. 1 (February 28, 2020): 71–84. http://dx.doi.org/10.24891/fa.13.1.71.
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Subject. This article deals with the issues of determining the market value of the trading business, taking into account a number of characteristics. Objectives. The article aims to develop certain provisions of the methodology and practice of evaluating the business of trading organizations, namely, taking into account the additional risk of inventory feasibility when calculating the discount rate. Methods. For the study, we used a systems approach, and the cognition, and economic and analytical research methods. Results. The article presents a three-tiered classification of stocks and a definition of risk based on the criteria for dividing stocks by purpose, degree of implementation, and shelf life in accordance with the scale. Based on the classification, the article offers certain recommendations for determining the discount rate when evaluating trading organizations, aimed at taking into account additional risk. Conclusions. Various evaluation procedures within the framework of traditional approaches and methods in relation to trading organizations do not take into account risk specific to this type of economic activity. The proposed methodology for calculating the discount rate for trade organizations takes into account the features of their functioning.
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Konstantaras, K., and A. N. Piperopoulou. "Stock market trading: Compulsive gambling and the underestimation of risk." European Psychiatry 26, S2 (March 2011): 66. http://dx.doi.org/10.1016/s0924-9338(11)71777-1.
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IntroductionAlthough gamblers and investors have been found to exhibit many common traits, no existing studies associate retail investors with an explicit addictive behavior, or account for the degree of addiction's influence on investors’ and gamblers’ risk attitude and risk perception.ObjectivesThe study explores whether trading in the stock market is a potentially compulsive form of behavior. Furthermore, it explores the psychological risk perception versus economic risk taking of individuals engaged in active stock market trading and those in gambling, for various degrees of addiction.AimThe study aims to develop the profile of an addicted retail investor across demographic and risk variables.MethodsThe South Oaks Gambling Screen (Lesieur & Blume, 1987), adapted for stock market trading, the financial part of the Risk Taking Scale and Risk Perception Scale (Weber et al., 2002) and a demographics questionnaire was completed by a sample (582 responses) of active investors, gamblers and a control group in Greece at three distinctive time periods.ResultsResults suggest that retail trading in the stock market exhibits significant incidence of compulsive behavior (11.2%) across diverse stock market environments, probably more for females. The decision to become an active investor or gambler entails greater risk friendliness. Pathologically addicted retail investors underestimate the risk of trading in the stock market. Demographics also play a critical role in risk perception and risk underestimation.ConclusionThere is an apparent addiction problem between active retail investors that should be taken into account. Psychotherapeutic interventions are discussed.
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Nguyen, Tran Thai Ha, Massoud Moslehpour, Thi Thuy Van Vo, and Wing-Keung Wong. "State Ownership and Risk-Taking Behavior: An Empirical Approach to Get Better Profitability, Investment, and Trading Strategies for Listed Corporates in Vietnam." Economies 8, no. 2 (June 3, 2020): 46. http://dx.doi.org/10.3390/economies8020046.
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Corporate risk-taking behavior and investment is a crucial factor in order to seek higher profits and a better trading strategy. Competitive advantage and innovation, while maintaining profitability and state ownership, are considered as crucial resources. Furthermore, it is essential to connect the short-term and long-term business and investment objectives plus stakeholder’s expectations to corporate sustainability and development. This connection is especially important in the context of transforming economies and getting better trading strategies. This study estimates the relationship between state ownership, profitability, corporate risk-taking behavior, and investment in Vietnam by using Generalized Method of Moments (GMM) methods. Using the data of 501 listed non-financial corporates during the period 2007–2015 from Ho Chi Minh City and Hanoi Stock Exchanges, we find that profitability is determined as a factor to reduce corporate risk-taking acceptance caused by the chances of entrenchment. Meanwhile, the impact of state ownership on the risk appetite of corporate has a non-linear effect. In particular, state ownership reduces corporate risk-taking behavior and investment but yet increases the risk-taking behavior and investment when the state ownership rate exceeds a threshold. One the one hand, this implies that the low level of state ownership not only prevents risk-taking behavior and investment but also results in more severe agency problems, causing unsustainability due to the imbalance of interests among various stakeholders. On the other hand, a dominant role of state ownership concentration causes a boost in corporate risk-taking decision-making in investment and trading strategy, leveraging the connection of significant external resources to deal with uncertain problems. The study contributes to existing theories of corporate governance in the context of a socialist-oriented market.
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Cheng, Yuan, and Lan Wu. "Optimal Execution considering Trading Signal and Execution Risk Simultaneously." Mathematical Problems in Engineering 2021 (March 27, 2021): 1–12. http://dx.doi.org/10.1155/2021/5514413.
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In this paper, we study the optimal execution problem by considering the trading signal and the transaction risk simultaneously. We propose an optimal execution problem by taking into account the trading signal and the execution risk with the associated decay kernel function and the transient price impact function being of generalized forms. In particular, we solve the stochastic optimal control problems under the assumptions that the decay kernel function is the Dirac function and the transient price function is a linear function. We give the optimal executing strategies in state-feedback form and the Hamilton‐Jacobi‐Bellman equations that the corresponding value functions satisfy in the cases of a constant execution risk and a linear execution risk. We also demonstrate that our results can recover previous results when the process of the trading signal degenerates.
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Berlinger, Edina, Barbara Dömötör, and Balázs Árpád Szűcs. "Irrational risk-taking of professionals? The relationship between risk exposures and previous profits." Risk Management 23, no. 3 (June 11, 2021): 243–59. http://dx.doi.org/10.1057/s41283-021-00076-5.
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AbstractThe risk attitude of investors is a key factor determining financial asset prices and market trends. Changes in risk attitude may be due to the interference of macro-level (business cycle) and micro-level (individual experience) effects. We investigate the impact of individual experience on the subsequent risk-taking attitude of professionals via the analysis of the trading activity of 351 non-financial firms and (non-bank) financial institutions (insurance companies, financial intermediaries, etc.) covering 57,039 FX forward transactions in a highly volatile period between January 2008 and November 2012. Panel regressions for all firms and institutions do not show significant behavioral patterns. When investigating each client separately, however, we find that 39.7% of the clients having enough transactions to analyze statistically tend to increase their risk exposure irrationally after large gains or losses which can be the manifestation of the break-even and house-money effects well-documented in the literature for non-professionals. This irrational behavior may destroy value, so both market players and regulators should pay attention to monitor and control it.
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Abdullah (Leslie Terebessy), Abdul Karim. "The Role of Adjustable-Rate Subprime Mortgages and Credit Default Swaps in the Global Financial Crisis." ICR Journal 1, no. 2 (December 15, 2009): 322–36. http://dx.doi.org/10.52282/icr.v1i2.750.
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This study focuses on three key areas where excessive risk taking created systemic vulnerabilities and thus contributed to the current crisis. The first was the awarding of high-risk adjustable-rate subprime mortgages to people with limited abilities to pay them back. The second was using the same high-risk mortgages as collateral for new borrowings in the form of mortgage-backed securities (MBSs) and ‘collateralised debt obligations’ (CDOs). If the subprime mortgages defaulted, the securities funded by those mortgages would also default. The third area where excessive risk taking took place was in the trading in credit default swaps, essentially unregulated insurance on debt. Trading in ‘naked’ credit default swaps, in particular, added considerably more risk to an overleveraged system by significantly magnifying potential liabilities especially for providers of insurance who did not hedge their sales.
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Venter, Johannes Hendrik, and Pieter Juriaan De Jongh. "Trading Binary Options Using Expected Profit and Loss Metrics." Risks 10, no. 11 (November 8, 2022): 212. http://dx.doi.org/10.3390/risks10110212.
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Trading in binary options is discussed using an approach based on expected profit (EP) and expected loss (EL) as metrics of reward and risk of trades. These metrics are reviewed and the role of the EL/EP ratio as an indicator of quality of trades, taking risk tolerance into account, is discussed. Formulas are derived for the EP and EL of call and put binaries assuming that the price of the underlying asset follows a geometric Brownian motion. The results are illustrated with practical data from the Nadex trading platform. The Black–Scholes notion of implied volatility is extended to wider notions of implied drift and volatility of the price process of the underlying asset. Illustrations show how these notions can be used to identify attractive binary trades, taking anticipated price movement into account. The problem of selecting portfolios of call and put binary options which maximize portfolio EP while constraining the portfolio EL to satisfy risk tolerance and diversification requirements, is formulated and solved by linear programming. This is also illustrated with the Nadex data under various scenarios.
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Oreng, Mariana, Claudia Emiko Yoshinaga, and William Eid Junior. "Disposition effect, demographics and risk taking." RAUSP Management Journal 56, no. 2 (April 14, 2021): 217–33. http://dx.doi.org/10.1108/rausp-08-2019-0164.
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Purpose This study aims to investigate the association of demographic characteristics, market conditions and risk taking with the disposition effect using data on Brazilian individual investors. Design/methodology/approach This study uses a unique data set with monthly data from June 2007 to February 2017 provided by one of the largest asset management firms in Brazil. This paper computes the proportion of gains realized and the proportion of losses realized to see if investors incur the disposition effect. This paper then performs logistic regressions to verify the association between investors’ disposition effects and demographic and portfolio characteristics. This paper analyses the prevalence of cognitive biases depending on market conditions (bull or bear markets) and include regressions by asset class as robustness checks. Findings This paper finds evidence that risk averse investors are more prone to the disposition effect, male subjects are less prone to this cognitive bias and age is not associated with the disposition effect. This paper observes that the tendency to incur the disposition effect decreases during bull markets but increases during bear markets. Also, this paper finds that sophisticated investors are more prone to selling winning assets and holding on to losses. Research limitations/implications First, paper gains and losses are based on the highest and lowest prices of the month and not on the price at the moment the sale occurred. Second, this paper had access only to end-of-month information, not to actual daily trading records. Third, because the data set relates to individual investors who trade investment funds, this paper cannot determine whether firm size is associated with the disposition effect. Fourth, age may not necessarily be a proxy for investor experience, so one should interpret the lack of significance for age in terms of generational differences. Practical implications This paper demonstrates that the disposition effect is prevalent even among wealthier and more educated investors with delegated asset classes. This paper also presents evidence on the association between demographic characteristics and cognitive biases considering a liquidity-constrained, highly volatile and developing market. Social implications This paper demonstrates that gender is an important characteristic to understand cognitive biases and that investor sophistication may not necessarily be an attenuation factor for the disposition effect in a liquidity-constrained market. Originality/value This is the first study to analyse the role of demographic characteristics and risk taking to explain the disposition effect using real information at the individual level about Brazilian investors. It is also the first to analyse the intensity of cognitive biases during bull and bear markets in the Brazilian economy.
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Lee, Kam-hon, Gong-ming Qian, Julie H. Yu, and Ying Ho. "Trading Favors for Marketing Advantage: Evidence from Hong Kong, China, and the United States." Journal of International Marketing 13, no. 1 (March 2005): 1–35. http://dx.doi.org/10.1509/jimk.13.1.1.58535.
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This study examines the risk-taking paradigm in the context of international marketing activities. It explores the causes of questionable business practices of Hong Kong executives in international marketing activities and further substantiates the findings with two replication samples (i.e., Mainland Chinese executives and U.S. executives). The authors find that the nature of the corruption proposal and the operating business environment affect Hong Kong executives’ risk-taking behavior (i.e., risk recognition, risk adjustment, and risky choice). The behaviors of Mainland Chinese executives and U.S. executives show a different picture. Developmental and cultural differences among the three economies explain the discrepancies.
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Majewski, Sebastian, Waldemar Tarczynski, and Malgorzata Tarczynska-Luniewska. "Measuring investors’ emotions using econometric models of trading volume of stock exchange indexes." Investment Management and Financial Innovations 17, no. 3 (September 30, 2020): 281–91. http://dx.doi.org/10.21511/imfi.17(3).2020.21.
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Traditional finance explains all human activity on the ground of rationality and suggests all decisions are rational because all current information is reflected in the prices of goods. Unfortunately, the development of information technology and a growth of demand for new, attractive possibilities of investment caused the process of searching new, unique signals supporting investment decisions. Such a situation is similar to risk-taking, so it must elicit the emotional reactions of individual traders.The paper aims to verify the question that the market risk may be the determinant of traders’ emotions, and if volatility is a useful tool during the investment process as the measure of traders’ optimism, similarly to Majewski’s work (2019). Likewise, various econometric types of models of estimation of the risk parameter were used in the research: classical linear using OLS, general linear using FGLS, and GARCH(p, q) models using maximum likelihood method. Hypotheses were verified using the data collected from the most popular world stock exchanges: New York, Frankfurt, Tokyo, and London. Data concerned stock exchange indexes such as SP500, DAX, Nikkei, and UK100.
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Li, Lei, and Shuili Yang. "The Internet-Based Business Model and Corporate Risk-Taking: An Empirical Study from the Information Empowerment Perspective." Discrete Dynamics in Nature and Society 2022 (June 15, 2022): 1–13. http://dx.doi.org/10.1155/2022/9755719.
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Reasonable risk-taking acts as a solid foreground for sustaining corporate growth. Having companies trading on Chinese stock exchanges between 2010 and 2019 sampled, this paper explored how an Internet-based business model would affect corporate risk-taking from the perspective of information empowerment. Through the mediation effect model and quantitative text analysis, the following findings were obtained here. First, a network-powered business model could significantly enhance the risk tolerance of companies. Second, mechanism testing showed that such a novel model would help reduce the asymmetry of corporate information and thus enhance corporate risk-taking capacity. Third, an analysis on heterogeneity revealed that businesses that enjoy a freer market and fewer financing constraints could better feel the positive impact of an Internet-based business model on corporate risk-taking. Fourth, an examination of economic consequences showed that risk-taking under Internet-based business models allowed enterprises to create sustainable value. Overall, the present work confirmed the positive impact of an Internet-based business model on corporate risk-taking from the information empowerment angle, and it is expected to provide a theoretical basis for enterprises to optimize their investment decision-making strategies and increase their risk-taking willingness and capacity.
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Smutny, Zdenek, Zdenek Sulc, and Jan Lansky. "Motivations, Barriers and Risk-Taking When Investing in Cryptocurrencies." Mathematics 9, no. 14 (July 14, 2021): 1655. http://dx.doi.org/10.3390/math9141655.
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The cryptocurrency market is very young, volatile, and highly risky. By the end of 2020, a new bull run started, and the prices of several cryptocurrencies reached record-breaking highs. The factors affecting this rise of cryptocurrencies include the impacts of the COVID-19 pandemic, the economic crisis and the global increase in the inflation rate, as well as the gradual acceptance and adoption of cryptocurrencies by people worldwide. This exploratory research is focused on this last factor, i.e., using cryptocurrency and with it, the associated support of its ecosystem (e.g., mining, staking). A survey was carried out investigating the motivational factors and barriers to investment in cryptocurrency for Czech representatives of Generations Y and Z (18–42 years; n = 468). The geographic scope was nationwide, and quota sampling was used. Notably, this survey was carried out prior to the global COVID-19 pandemic outbreak, and it is thus not affected by the pandemic and its related economic impacts. The article investigates the dependency between the individual motivational factors and barriers from the perspective of the tendency to take risks (using the risk propensity scale), according to gender and representation of Generations Y and Z. The lack of information on this form of investment is considered as the main barrier to investment in cryptocurrency, with respect to sex and generations. Compared to that, a negative experience with investment in cryptocurrency constitutes the most minor barrier. Respondents that have a tendency to take risks are mostly put off by their lack of experience with investment in general. The main motivational factor for investment in cryptocurrency, with respect to sex and generations, is considered to be the speed of increase in cryptocurrency value. On the other hand, the least encouraging factor is the opportunity to use the high volatility of cryptocurrency for speculative trading. Interestingly, this factor mostly encourages respondents that do not have a tendency to take risks. The findings are discussed, along with the presentation of their implications for practice and the directions of further explanatory research.
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Burchart, Renata, and Adam Tadeusz Ulatowski. "MANAGEMENT OF VAT FOR EXAMPLE ON THE TRADING COMPANY." sj-economics scientific journal 16, no. 1 (May 30, 2015): 24–33. http://dx.doi.org/10.58246/sjeconomics.v16i1.406.
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The article presents the management of VAT in the trading company, in which revenues are seasonal. In order not to lose liquidity in the summer months the owners of the company have developed a way to spread the VAT obligations evenly across all months, increasing inventory in stock in winter’s months, but at the same time using the discounts, extended payment terms, and taking into account the long term orders. As a result, such a way of managing VAT significantly reduces the risk of the company and causing strengthening its market position.
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Fernandes, Camila, Cassandra Berbary, Cory A. Crane, and Caroline J. Easton. "Prevalence of HIV risk behavior among male substance abusing offenders of intimate partner violence." Advances in Dual Diagnosis 11, no. 4 (November 19, 2018): 169–78. http://dx.doi.org/10.1108/add-09-2018-0011.
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PurposeThe purpose of this paper is to assess the rates of HIV risk-taking behavior and sexual violence among clients with co-occurring addiction and intimate partner violence (IPV). The current study also aims to determine whether HIV risk-taking behaviors (e.g. trading sex for money or drugs, having unprotected sex with multiple partners) differ among substance using IPV offenders with and without a history of sexual aggression.Design/methodology/approachSecondary analyses were conducted from Eastonet al.’s (2017) randomized controlled trial of substance use domestic violence treatment among substance using IPV offenders. Correlational analyses were conducted to assess the relationship between pre-treatment sexual aggression, HIV risk-taking behaviors, substance use and aggression. Analyses of covariance were conducted in order to determine differences in participants’ HIV risk-taking behaviors based on their history of sexual aggression while controlling for hours of contact with the female partners.FindingsIn a sample of 63 participants, males with higher rates of sexual aggression were more likely to engage in sexual risk-taking behaviors. This study encountered a correlation between pre-treatment risk-taking behavior and verbal and physical aggression, as well as a correlation between pre-treatment risk-taking behaviors and cocaine use. Results neither suggest a relationship between sexual aggression and alcohol use nor HIV risk-taking behaviors and alcohol use at pre-treatment.Research limitations/implicationsThe present study is limited by sample size and power.Originality/valueThis study is among the first of its kind to investigate HIV risk-taking behaviors among substance using offenders of IPV. This study provides support for the inclusion of treatment targeting HIV risk-taking behaviors among IPV offenders.
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Abuselidze, George, Olga Mohylevska, Nina Merezhko, Nadiia Reznik, and Anna Slobodianyk. "Risks of Traders on the World Stock Market on the Example of Ukraine." SHS Web of Conferences 67 (2019): 06001. http://dx.doi.org/10.1051/shsconf/20196706001.
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The article reveals the essence and features of the development of the stock market in Ukraine. It was established that the vigorous activity of countries in the world financial markets means that they also face a risk of global financial turmoil (the so-called “domino effect”). It is determined that the impact of global financial instability on the country depends on the openness of its economy that will lead to significant external “shocks”. The possibility of providing effective influence on domestic stock market activity with taking into account the changing world situation, development of perfect trading strategies for each participant is substantiated. The conducted analysis of the world market conditions of stock markets in recent years has made it possible to assess the real risks for new participants in the stock market and become the basis for the development of an appropriate effective trading strategy. The practical significance of the results is that they allow for a measurable approach to assessing the existing risk when choosing one or another trading strategy to move to the world stock market.
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Fernandez, Cledwyn Primus Savio. "Futures Trading in Agricultural Commodities: Effects of the Ban on Selected Commodities in India." Artha - Journal of Social Sciences 12, no. 4 (October 18, 2013): 61. http://dx.doi.org/10.12724/ajss.27.5.
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The commodity market is one of the emerging markets in today‟s economy. Given that inflation is increasing alarmingly and the emergence of risk in all activities, the commodity market has a phenomenal contribution to the overall economy of India. The following paper – Futures Trading in Agricultural Commodities: Effects of the ban on selected commodities in India shall focus on the impact of hedging (risk management) and price discovery, which are two major aspects under the agricultural commodity market. Secondary data from two main sources namely the Multi Commodity Exchange Market and National Commodity Derivatives Exchange were used for analysis. The ban on futures trading under agricultural commodities that was implemented by the Government of India shall be dealt with specifically taking seven commodities – Wheat, Rice, Sugar, Chickpea, Potato, Rubber and Guar Seeds. The common element between all these commodities is that they were all banned from futures trading at some point of time or the other. An analysis using econometric and statistical tools shall be performed to check whether there exists any sort of relationship between the ban and the prevailing inflation in the economy and also the correlation between the prices before and after ban. This is purely an explanatory study wherein the strategies for buyers and sellers in the futures market will also be discussed.Keywords: Hedging, ban, futures trading, inflation
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O’Connell, Paul G. J., and Melvyn Teo. "Institutional Investors, Past Performance, and Dynamic Loss Aversion." Journal of Financial and Quantitative Analysis 44, no. 1 (February 2009): 155–88. http://dx.doi.org/10.1017/s0022109009090048.
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AbstractUsing a proprietary database of currency trades, this paper explores the effects of trading gains and losses on risk-taking among large institutional investors. We find that institutional investors, unlike individuals, are not prone to the disposition effect. Instead, institutions aggressively reduce risk following losses and mildly increase risk following gains. This asymmetry is more pronounced later in the calendar year and among older and more experienced funds. We show that such performance dependence is consistent with dynamic loss aversion (Barberis, Huang, and Santos (2001)) and overconfidence. In addition, prior institutional gains and losses have palpable implications for future prices.
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Ma, Zhen. "Uncertainty, Risk, and Merit-Making." Social Analysis 65, no. 3 (September 1, 2021): 88–109. http://dx.doi.org/10.3167/sa.2021.650305.
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The rising importance of the tea business among the Bulang people of Yunnan province, Southwest China, is intimately linked to Theravada Buddhist ideologies and practices. Non-reciprocal merit-making provides a sense of control, and this is particularly important in an increasingly uncertain economic environment. More and more people were ready to engage in high-risk trading, and new rituals emerged precisely at a time when profit margins increased rapidly. The reinvention of local rituals helped people to control risk-taking and to morally legitimize ambiguous market behavior. The result is strong synergies between the ways uncertainty and risk are being addressed in the tea economy and in local religious practice: economic processes are changing religious practices just as much as religious practices are making a difference in economic behavior.
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Kou, Steven, and Xianhua Peng. "Expected shortfall or median shortfall." Journal of Financial Engineering 01, no. 01 (March 2014): 1450007. http://dx.doi.org/10.1142/s234576861450007x.
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In a recent consultative document, the Basel Committee on Banking Supervision suggests replacing Value-at-Risk (VaR) by expected shortfall (ES) for setting capital requirements for banks' trading books because ES better captures tail risk than VaR. However, besides ES, another risk measure called median shortfall (MS) also captures tail risk by taking into account both the size and likelihood of losses. We argue that MS is a better alternative than ES as a risk measure for setting capital requirements because: (i) MS is elicitable but ES is not; (ii) MS has distributional robustness with respect to model misspecification but ES does not; (iii) MS is easy to implement but ES is not.
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Navas, Jalaludeen, Periyasamy Dhanavanthan, and Daniel Lazar. "How Efficient Are Indian Banks in Managing the Risk-Return Trade-Off? An Empirical Analysis." Risks 8, no. 4 (December 8, 2020): 135. http://dx.doi.org/10.3390/risks8040135.
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Risk taking is an inherent element of the banking business. Banks make conscious decisions regarding risk taking as they expect to make more return if they take more risk. The primary objective of this study is to empirically investigate the efficiency of Indian banks in generating return relative to the risk they take. If the efficiency measurement is not adjusted for different risk preferences, then a bank earning lower return at lower risk may be misclassified as less efficient compared to peers earning the same level of return, but operating at a higher level of risk. This paper uses measures of liquidity risk, credit risk, market risk, and insolvency risk to develop a risk-return stochastic frontier in order to examine the risk efficiency of banks, a novel attempt in the Indian context. The paper further analyzes the efficiency of banks with respect to bank specific characteristics and risk management regimes. The models are estimated using data from a sample of 47 major banks for the period 2009–2018. The study reveals that Indian banks, on average, exhibited lower efficiency in trading risk against return during the sample period.
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Pernell, Kim, Jiwook Jung, and Frank Dobbin. "The Hazards of Expert Control: Chief Risk Officers and Risky Derivatives." American Sociological Review 82, no. 3 (May 31, 2017): 511–41. http://dx.doi.org/10.1177/0003122417701115.
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At the turn of the century, regulators introduced policies to control bank risk-taking. Many banks appointed chief risk officers (CROs), yet bank holdings of new, complex, and untested financial derivatives subsequently soared. Why did banks expand use of new derivatives? We suggest that CROs encouraged the rise of new derivatives in two ways. First, we build on institutional arguments about the expert construction of compliance, suggesting that risk experts arrived with an agenda of maximizing risk-adjusted returns, which led them to favor the derivatives. Second, we build on moral licensing arguments to suggest that bank appointment of CROs induced “organizational licensing,” leading trading-desk managers to reduce policing of their own risky behavior. We further argue that CEOs and fund managers bolstered or restrained derivatives use depending on their financial interests. We predict that CEOs favored new derivatives when their compensation rewarded risk-taking, but that both CEOs and fund managers opposed new derivatives when they held large illiquid stakes in banks. We test these predictions using data on derivatives holdings of 157 large banks between 1995 and 2010.
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Akin, Ozlem, José M. Marín, and and José-Luis Peydró. "Anticipating the financial crisis: evidence from insider trading in banks." Economic Policy 35, no. 102 (April 1, 2020): 213–67. http://dx.doi.org/10.1093/epolic/eiaa012.
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Abstract Banking crises are recurrent phenomena, often induced by excessive bank risk-taking, which may be due to behavioural reasons (over-optimistic banks neglecting risks) and to conflicts of interest between bank shareholders/managers and debtholders/taxpayers (banks exploiting moral hazard). We test whether US banks’ stock returns in the 2007–8 financial crisis are associated with bank insiders’ sales of their own bank’s shares in the period prior to 2006Q2 (the peak and reversal in real estate prices). We find that top-five executives’ sales of shares predict bank performance during the crisis. Interestingly, effects are insignificant for the sales of independent directors and other officers. Moreover, the top-five executives’ impact is stronger for banks with higher exposure to the real estate bubble, where a one standard deviation increase of insider sales is associated with a 13.33 percentage point drop in stock returns during the crisis period. Finally, even though bankers in riskier banks sold more shares (furthering their own interests), they did not change their bank’s policies, for example, by reducing bank-level exposure to real estate. The informational content of bank insider trading before the crisis suggests that insiders knew that their banks were taking excessive risks, which has important implications for theory, public policy and the understanding of crises, as well as a supervisory tool for early warning signals.
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KARPENKO, VITALII. "GENERALIZED CHARACTERISTICS TYPES OF EXCHANGE TRADING STRATEGIES." HERALD OF KHMELNYTSKYI NATIONAL UNIVERSITY 298, no. 5 Part 1 (October 4, 2021): 163–69. http://dx.doi.org/10.31891/2307-5740-2021-298-5(1)-27.
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It has been determined that online trading is associated with a significant degree of risk, which can be reduced through a thorough and systematic approach to the choice of exchange trading strategies. The strategy (system) of exchange trading is a personal trading rules that take into account the market situation, knowledge and understanding of the trader of this situation, as well as the trader’s wishes regarding the profitability of trading, taking into account the risks. Trading systems based on technical analysis of stock charts are considered: trend (based on the assumption that the price will rise or fall according to market trends), flat (assumes that prices change within a corridor that has clearly defined borders, supported by levels of resistance or support), counter-trend (involves determining the turning point of the price movement), trading on forex patterns (involves determining the figures of graphical analysis of stock charts, resulting in, according to statistics, there is a high probability predict price movements), wave analysis (assumes that market behavior depends on the psychology of participants, which is expressed in the impulsiveness of behavior), breakthrough volatility (assumes that a significant event is the actual exit of the price from the established channel, creating opportunities for trends), session trade (involves work in the market within a specific trade session), trading at Fibonacci levels (assumes that the price should create adjustments to the trend, reflecting the special levels, which are based on the numerical sequence of Fibonacci), scalping (provides trading within the trading day and is characterized by small levels of take profits and relatively large levels of stop-losses) and universal (provide a different combination of the above systems depending on the preferences and experience of the trader). It is concluded that all types of trading systems can be profitable, but first of all it all depends on the knowledge and skills of the person who carries out trading operations.
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杨, 月. "Research on Credit Risk Early Warning Based on RBF Neural Network—Taking Internet Financial Trading Platform as an Example." Modeling and Simulation 10, no. 02 (2021): 257–67. http://dx.doi.org/10.12677/mos.2021.102027.
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Htwe, Tin Tin, and Nay Zin Win. "Investment Behavior of Women Business Owners in Myanmar." International Review of Financial Consumers 4, No. 2 Oct 2019 (December 2019): 13–28. http://dx.doi.org/10.36544/irfc.2019.1-2.2.
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Individuals invest in different types of investment based on their preference and risk taking behavior. Depending on their financial knowledge and awareness, tax and social factors and personal factors, their investment decisions are different. The study aims to identify the investment behavior of women business owners in Yangon, to examine factors of investment behavior and to analyze the relationship between them. The studied population is about 2000 woman business owners, members of Myanmar Women Entrepreneur Association (MWEA). The sample was selected by using random sampling method with the sample size of 120 respondents. The result shows that respondents mostly invest in traditional assets such as bank deposits, gold and real estate, rather than modern financial assets such as bonds, stocks and insurance. They mostly used the traditional off-line trading method for investment except for securities trading using on-line means.
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CACCIOLI, FABIO, IMRE KONDOR, MATTEO MARSILI, and SUSANNE STILL. "LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION." International Journal of Theoretical and Applied Finance 19, no. 05 (July 29, 2016): 1650035. http://dx.doi.org/10.1142/s0219024916500357.
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We show that including a term which accounts for finite liquidity in portfolio optimization naturally mitigates the instabilities that arise in the estimation of coherent risk measures on finite samples. This is because taking into account the impact of trading in the market is mathematically equivalent to introducing a regularization on the risk measure. We show here that the impact function determines which regularizer is to be used. We also show that any regularizer based on the norm [Formula: see text] with [Formula: see text] makes the sensitivity of coherent risk measures to estimation error disappear, while regularizers with [Formula: see text] do not. The [Formula: see text] norm represents a border case: its “soft” implementation does not remove the instability, but rather shifts its locus, whereas its “hard” implementation (including hard limits or a ban on short selling) eliminates it. We demonstrate these effects on the important special case of expected shortfall (ES) which has recently become the global regulatory market risk measure.
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Yue, Han, Jiapeng Liu, Dongmei Tian, and Qin Zhang. "A Novel Anti-Risk Method for Portfolio Trading Using Deep Reinforcement Learning." Electronics 11, no. 9 (May 7, 2022): 1506. http://dx.doi.org/10.3390/electronics11091506.
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In the past decade, the application of deep reinforcement learning (DRL) in portfolio management has attracted extensive attention. However, most classical RL algorithms do not consider the exogenous and noise of financial time series data, which may lead to treacherous trading decisions. To address this issue, we propose a novel anti-risk portfolio trading method based on deep reinforcement learning (DRL). It consists of a stacked sparse denoising autoencoder (SSDAE) network and an actor–critic based reinforcement learning (RL) agent. SSDAE will carry out off-line training first, while the decoder will used for on-line feature extraction in each state. The SSDAE network is used for the noise resistance training of financial data. The actor–critic algorithm we use is advantage actor–critic (A2C) and consists of two networks: the actor network learns and implements an investment policy, which is then evaluated by the critic network to determine the best action plan by continuously redistributing various portfolio assets, taking Sharp ratio as the optimization function. Through extensive experiments, the results show that our proposed method is effective and superior to the Dow Jones Industrial Average index (DJIA), several variants of our proposed method, and a state-of-the-art (SOTA) method.
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Sandoval, Alberto, Javier Márquez, and Ignacio Cervera. "The countercyclical long-term operating accrual-based trading strategy in the Stoxx Europe 600 index: The importance of asset and liability components." PLOS ONE 17, no. 5 (May 26, 2022): e0266045. http://dx.doi.org/10.1371/journal.pone.0266045.
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This work uses long-term operating accruals, rather than current, as an accounting measure to identify major anomalies. Past and abundant accounting and financial literature associates anomalies with problems of reliability and assigns lower reliability to long-term operating accruals than to current accruals. We investigate the relation between scaled operating accruals and size-adjusted abnormal returns for nonfinancial firms listed in the Stoxx Europe 600 index for the period 2000–2021. We find consistent evidence of (1) a higher long-term operating accrual anomaly than working capital accrual, especially, when asset and liability components are separated (2) long-short trading strategies aimed at taking advantage of the anomaly that achieves significant annual returns between 2% and 6% and (3) this trading strategy strongly reduces the risk of stock portfolios during an economic crisis due to its countercyclical nature. These findings have important implications not only for academics, but also for asset managers who want to protect the return of their stock portfolios from high market volatility.
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Marx, Johan, and Ronald Henry Mynhardt. "Towards an implementation framework for governance in the Ghanaian securities trading industry." Qualitative Research in Financial Markets 13, no. 3 (April 11, 2021): 342–58. http://dx.doi.org/10.1108/qrfm-04-2020-0061.
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Purpose The purpose of this paper is to propose an implementation framework for governance in the Ghanaian securities trading industry. Design/methodology/approach A qualitative research approach was followed, using participatory action research (PAR) by involving stakeholders from the Ghanaian securities trading industry. Findings A governance framework for the Ghanaian securities trading industry is proposed, taking into account the regulatory environment of Ghana, the role of ethical leadership, boards of directors, audit committees, the governance of risk, information technology and internal audit. Research limitations/implications This study used PAR because it is a recognised research methodology aimed at problem resolution, knowledge creation and improving professional practice, through the involvement of the interest group. This paper provides a starting point – a practical solution for the securities industry of Ghana, but not generalisable results. Practical implications Applying the governance framework will create safeguards against corruption and mismanagement, promote transparency in economic life and assist Ghana in attracting investment, ultimately lowering its cost of capital and contributing to economic growth and development in the country. Social implications The implementation of the governance framework will benefit all stakeholders (employees, suppliers and the community at large) as a result of a culture conducive to influencing behaviour, strategy planning and implementation, as well as corporate results and financial sustainability. Originality/value The use of PAR assists the practitioners from the Ghanaian securities trading industry in improving their competencies (knowledge, skills, values and attributes) whilst generating a workable solution for their current governance challenges.
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Tavasoli, Amirhamzeh. "Identification and prioritization of the challenges of using cryptocurrencies in international transactions." REICE: Revista Electrónica de Investigación en Ciencias Económicas 8, no. 16 (December 29, 2020): 226–43. http://dx.doi.org/10.5377/reice.v8i16.10697.
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Cryptocurrencies have attracted the attention of many investors, entrepreneurs, regulators and the public today. By popular definition, the cryptocurrency is an asset in a blockchain that can be transferred between actors on the scene of exchange and hence used as a payment instrument. Completely decentralized cryptocurrencies such as Bitcoin have attracted public interest and are far more successful than previous e-money. Despite the importance of these currencies, in third world countries like Iran country, people don't interest in using these types of currencies to their trading. So, in this study, we find and rank the challenges of using cryptocurrencies in international trading. To this end, the challenges of using cryptocurrencies were identified by reviewing the literature. Then, the identified factors were prioritized using the AHP technique. In general, four criteria and twenty-eight criteria were compared. The results show that technical factors are the most important criteria in comparison with the purpose; the risk-taking is the most important person reason; the negative attitude to cryptocurrencies in society is the most important social reason; the lack of sufficient funds to develop the use of cryptocurrencies, and the failure to properly find the parties to the transaction is the most important technical reason which can affect cryptocurrencies adoption in international trading.
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Kalife, Aymeric, and Saad Mouti. "On Optimal Options Book Execution Strategies with Market Impact." Market Microstructure and Liquidity 02, no. 03n04 (December 2016): 1750002. http://dx.doi.org/10.1142/s2382626617500022.
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We consider the optimal execution of a book of options when market impact is a driver of the option price. We aim at minimizing the mean-variance risk criterion for a given market impact function. First, we develop a framework to justify the choice of our market impact function. Our model is inspired from Leland’s option replication with transaction costs where the market impact is directly part of the implied volatility function. The option price is then expressed through a Black– Scholes-like PDE with a modified implied volatility directly dependent on the market impact. We set up a stochastic control framework and solve an Hamilton–Jacobi–Bellman equation using finite differences methods. The expected cost problem suggests that the optimal execution strategy is characterized by a convex increasing trading speed, in contrast to the equity case where the optimal execution strategy results in a rather constant trading speed. However, in such mean valuation framework, the underlying spot price does not seem to affect the agent’s decision. By taking the agent risk aversion into account through a mean-variance approach, the strategy becomes more sensitive to the underlying price evolution, urging the agent to trade faster at the beginning of the strategy.
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Matveevskii, S. S. "PROSPECTS FOR THE APPLICATION OF DISTRIBUTED LEDGER TECHNOLOGY TO IMPROVE FINANCING OF START-UP (JAPAN EXPERIENCE)." Vestnik Universiteta, no. 9 (October 26, 2019): 166–72. http://dx.doi.org/10.26425/1816-4277-2019-9-166-172.
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A project on the use of distributed registry technology to improve funding for start-ups in Japan has been considered. The project is based on the application of distributed registry technology, smart contracts, a big database of start-ups credit risk (in Japan CRDS), a local investment fund, a unified marketing and trading platform. The model of investor behavior (taking into account risk and profitability) has made it possible to show, that with growing investor confidence (individuals and households) and a certain level of profitability of startups, investing in startups will be more preferable, than a bank deposit. The features of the project have been highlighted and a conclusion has been made, that under certain conditions, the adduced scheme for financing start-ups can be used in Russia, for example, by the Industry Development Fund.
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Guryanova, Lidiya, and Natalia Chernova. "Metals futures market: a comparative analysis of investment and arbitrage strategies." Development Management 17, no. 4 (March 3, 2020): 42–54. http://dx.doi.org/10.21511/dm.17(4).2019.04.
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The article deals with the application of optimal portfolio theory and pair trading theory on the metals futures market. Advantages of the futures market over the spot market include relatively small initial price, low transaction costs, and high volatility. The main aim of the study is to explore the potential of both strategies for effective trading. The following financial instruments were chosen as the inputs of the models: futures on industrial metals (aluminum, copper, nickel, zinc, lead, tin), futures on precious metals (gold and silver). When building the optimal portfolio, it was decided to include Dow Jones Index futures and S&P Index futures among metals. This is because these instruments are extremely volatile and may play the role of a hedge in the portfolio. A drawdown indicator was used to assess the effectiveness of each strategy. The results show that both strategies can be applied on the real-life market. The final choice will depend on the level of risk taking by investors and the desired value of return.
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MAI, JAN-FREDERIK. "PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE." International Journal of Theoretical and Applied Finance 22, no. 06 (September 2019): 1950032. http://dx.doi.org/10.1142/s0219024919500328.
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Assuming the absence of arbitrage in a single-name credit risk model, it is shown how to replicate the risk-free bank account until a credit event by a static portfolio of a bond and infinitely many credit default swap (CDS) contracts. This static portfolio can be viewed as the solution of a credit risk hedging problem whose dual problem is to price the bond consistently with observed CDSs. This duality is maintained when the risk-free rate is shifted parallel. In practice, there is a unique parallel shift [Formula: see text] that is consistent with observed market prices for bond and CDSs. The resulting, risk-free trading strategy in case of positive [Formula: see text] earns more than the risk-free rate, is referred to as negative basis arbitrage in the market, and [Formula: see text] defined in this way is a scientifically well-justified definition for what the market calls negative basis. In economic terms, [Formula: see text] is a premium for taking the residual risks of a bond investment after interest rate risk and credit risk are hedged away. Chiefly, these are liquidity and legal risks.
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Aquilina, Matteo, and Carla Ysusi. "Are High-Frequency Traders Anticipating the Order Flow? Cross-Venue Evidence from the UK Market." Market Microstructure and Liquidity 02, no. 03n04 (December 2016): 1750005. http://dx.doi.org/10.1142/s2382626617500058.
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There have been allegations that high-frequency traders prey on other participants making profits taking no or minimal risk in the process by predicting with near certainty where orders will be routed. We investigate whether there is evidence of this happening systematically in the UK equity market. We examine whether high-frequency traders exploit their milliseconds latency advantages to anticipate orders arriving in quick succession at different trading venues. We also analyze whether they can anticipate the order flow over longer timeframes. We do not find evidence that the first behavior is occurring systematically in UK markets. We find patterns consistent with the later but we cannot say whether this is due to them reacting faster to information.
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Falces Marin, Javier, David Díaz Pardo de Vera, and Eduardo Lopez Gonzalo. "A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-making algorithm." PLOS ONE 17, no. 12 (December 20, 2022): e0277042. http://dx.doi.org/10.1371/journal.pone.0277042.
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Market making is a high-frequency trading problem for which solutions based on reinforcement learning (RL) are being explored increasingly. This paper presents an approach to market making using deep reinforcement learning, with the novelty that, rather than to set the bid and ask prices directly, the neural network output is used to tweak the risk aversion parameter and the output of the Avellaneda-Stoikov procedure to obtain bid and ask prices that minimise inventory risk. Two further contributions are, first, that the initial parameters for the Avellaneda-Stoikov equations are optimised with a genetic algorithm, which parameters are also used to create a baseline Avellaneda-Stoikov agent (Gen-AS); and second, that state-defining features forming the RL agent’s neural network input are selected based on their relative importance by means of a random forest. Two variants of the deep RL model (Alpha-AS-1 and Alpha-AS-2) were backtested on real data (L2 tick data from 30 days of bitcoin–dollar pair trading) alongside the Gen-AS model and two other baselines. The performance of the five models was recorded through four indicators (the Sharpe, Sortino and P&L-to-MAP ratios, and the maximum drawdown). Gen-AS outperformed the two other baseline models on all indicators, and in turn the two Alpha-AS models substantially outperformed Gen-AS on Sharpe, Sortino and P&L-to-MAP. Localised excessive risk-taking by the Alpha-AS models, as reflected in a few heavy dropdowns, is a source of concern for which possible solutions are discussed.
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Škrinjarić, Tihana, and Boško Šego. "Using Grey Incidence Analysis Approach in Portfolio Selection." International Journal of Financial Studies 7, no. 1 (December 23, 2018): 1. http://dx.doi.org/10.3390/ijfs7010001.
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Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial statements information. This research applies a Grey Relational Analysis (GRA) approach to evaluate the performance on a sample of stocks by taking those different factors into consideration. The results based upon a sample of 55 stocks for the trading year 2017 on the Croatian capital market show that using GRA approach in portfolio selection provides useful guidance for investors when making investment decisions, and better portfolio results in terms of risk and return are reachable compared to an equally weighted portfolio benchmark.
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Gibb, Jenny, and Linda Twiname. "Information technology risk management teaching exercise: integrating online and offline communication techniques." Journal of Project, Program & Portfolio Management 2, no. 2 (January 17, 2012): 66. http://dx.doi.org/10.5130/pppm.v2i2.2252.
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We introduce a risk management project teaching case where students work in consulting teams with a mentor from the information technology industry. The case describes in rich detail the issues and challenges confronting Linny, the owner and CEO of ACE Technologies, a New Zealand-based software-development firm, as she begins to implement an information technology data exchange trading link between a supplier firm in one country and a logistics company and large buyer firm in another country. Linny calls on Jade Consulting (student groups) to identify potential risks in the implementation process. Taking this case design approach introduces students to two levels of project management education. First, we introduce strategies and techniques to develop e-learning and face-to-face communication skills in a team setting. Second, students manage the stages of a "real" industry project with a mentor. Our findings are relevant for management educators and practitioners involved in project management.
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Wildan, Rachmat, Noer Azam Achsani, and Bagus Sartono. "Evaluation of Optimal Stock Portfolio Performance by Grouping Issuers Based on Stock Price Movements." International Journal of Research and Review 9, no. 3 (March 16, 2022): 295–307. http://dx.doi.org/10.52403/ijrr.20220333.
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Stock investment has a high risk, one of which is caused by changes in stock prices that occur in trading on the stock exchange every day, thus affecting the level of stock returns which also changes. Investors will face uncertainty in making choices and evaluating stock performance in the future because the returns obtained are uncertain and depend on the risks that affect it. Risk in investing can be reduced by investing in various types of stocks by forming an optimal stock portfolio. These problems are solved in this study by taking a calculation approach in selecting stocks and determining the optimal portfolio with the advantage of a single index model that can explain the relationship between the returns of each stock and the market index returns to calculate the variance of a stock. portfolio. There are 4 stocks with the largest excess return to beta, namely MEGA, JECC, UNIC, and KICI stocks. Performance measurement in this study was carried out using the Treynor Index, because this index used systematic risk as measured by Beta. Keywords: Single Index Model, Treynor, Dynamic Time Wraping.
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NekoeiQachkanloo, Hadi, Benyamin Ghojogh, Ali Saheb Pasand, and Mark Crowley. "Artificial Counselor System for Stock Investment." Proceedings of the AAAI Conference on Artificial Intelligence 33 (July 17, 2019): 9558–64. http://dx.doi.org/10.1609/aaai.v33i01.33019558.
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This paper proposes a novel trading system which plays the role of an artificial counselor for stock investment. In this paper, the stock future prices (technical features) are predicted using Support Vector Regression. Thereafter, the predicted prices are used to recommend which portions of the budget an investor should invest in different existing stocks to have an optimum expected profit considering their level of risk tolerance. Two different methods are used for suggesting best portions, which are Markowitz portfolio theory and fuzzy investment counselor. The first approach is an optimization-based method which considers merely technical features, while the second approach is based on Fuzzy Logic taking into account both technical and fundamental features of the stock market. The experimental results on New York Stock Exchange (NYSE) show the effectiveness of the proposed system.
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Demir, Banu, and Beata Javorcik. "Trade finance matters: evidence from the COVID-19 crisis." Oxford Review of Economic Policy 36, Supplement_1 (2020): S397—S408. http://dx.doi.org/10.1093/oxrep/graa034.
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Abstract This study documents a substantial decline in the exports of major trading nations taking place in March 2020. Accounting for product-specific seasonality and annual trends, the data suggest a drop by 38 per cent in France, about a quarter in Turkey and Germany, and 12 per cent in the US, relative to their historical averages. Detailed export data from Turkey, disaggregated by financing terms, show another striking pattern. Flows using bank intermediation which eliminates or reduces the risk of non-payment or non-arrival of prepaid goods, such as letters of credit or documentary collection, appear to have been much more resilient to the current downturn relative to flows using other financing terms. These findings suggest that access to trade finance is vital during times of heightened uncertainty.
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Kang, Byung Jin. "Determinants of the Index Straddle Returns." Journal of Derivatives and Quantitative Studies 21, no. 4 (November 30, 2013): 411–34. http://dx.doi.org/10.1108/jdqs-04-2013-b0003.
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This paper investigates ATM zero-beta straddle (i.e., ZBS) returns, one of the most widely used volatility trading strategies, and then examines the determinants of them. First, from a point of theoretical view, we find that the determinants of the ZBS returns without rebalancing are different from those with rebalancing. This means that most previous studies overlooking the return characteristics by difference of rebalancing frequency could result in misleading implications. Next, from a point of empirical view, we find that the negative excess returns are also obtained by taking a long position in ZBS on the KOSPI 200 index options, as in most other markets. Even though these negative excess returns are not strongly significant, but they are found to be closely related to the volatility risk premium.