2020 July - 21 articles
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a point est...
This paper investigates the decoupling and integration between the region-wise (Asia, Europe, Africa and the Americas) developed and emerging market’s equity pairs of Islamic and conventional stock returns with the focus on multi-horizons. In d...
An important aspect of liquidity is price risk, i.e., the risk that a small transaction leads to a large price change. This usually happens in a thin market, when trading opportunities are scarce and the time between subsequent trades is long. We rel...
We propose a portfolio rebalance framework that integrates machine learning models into the mean-risk portfolios in multi-period settings with risk-aversion adjustment. In each period, the risk-aversion coefficient is adjusted automatically according...
The purpose of this paper is to investigate the effect of corporate governance quality and ownership structure on the relationship between the agency cost and firm performance. Both the fixed-effects model and a more robust dynamic panel generalized...
In order to highlight the extent to which young consumers, or members of Generation Z, are familiar with the sustainability principles implemented by retailers operating in emerging markets, the authors conducted a qualitative empirical research stud...
Big data has become a very frequent research topic, due to the increase in data availability. In this introductory paper, we make the linkage between the use of big data and Econophysics, a research field which uses a large amount of data and deals w...
The purpose of this paper is to approach the way investors perceive the risk associated with unexpected environmental disasters. For that reason, we examine certain types of natural and technological disasters, also known as “na-tech”. Ba...
The recent financial crisis offered an interesting opportunity to analyze the markets’ behavior in a high-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads...
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese...
Medical disputes that result in medical compensation and losses affect the financial management and sustainable operational risks of enterprises. Employee training plays an important role in the sustainable growth of human resource management and als...
The purpose of this paper is to explore how organisational culture, represented by the competing values framework (CVF), and the relationship mechanisms of situational strength and power influence an organisation’s approach to supply chain resi...
The study focuses on the effects of imports, exports, financial direct investment inflow and financial direct investment outflow on sustainable economic growth expressed by various macroeconomic indicators (gross domestic product, gross domestic savi...
The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numeric...
Socially responsible firms receive more finance and have been well researched in the corporate finance literature. In this paper, we examine the relationship between CSR and trade credit. Using data from the US manufacturing industry, we find that CS...
This paper examines the current No-Claim Discount (NCD) system used in Ghana’s auto insurance market as inefficient and outmoded and, therefore, proposes an alternative optimal Bonus-Malus System (BMS) intended to meet the present market condit...
This paper investigates the clustering or dependency of extremes in financial returns by estimating the extremal index value, in which smaller values of the extremal index correspond to more clustering. We apply the interval estimator method to deter...
Despite the fact that a comprehensive analysis of digitalization processes in the EU member states has been carried out, the impact of a country’s digitalization level on the risks of poverty and social exclusion requires further investigation....
The purpose of this paper is to assess the impact of ambiguity on financial analyst forecast incentives and the associated abnormal stock returns. I present a model incorporating ambiguity aversion into a two-period Lucas tree model. The resulting mo...
The aim of this study is to determine if capital flows can account for the international effects on domestic monetary policy, using an augmented Taylor rule model. In addition to the standard determinants of nominal interest rates, we include capital...
Presently, one of the most critical challenges for e-government and e-banking is the accurate and correct realization of factors that have a significant impact on customer behavior. Without appropriate knowledge of these factors, it would be impossib...
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