Search Results (1,078)

This study investigates how on-chain trading activity influences liquidity and market microstructure in blockchain-based voluntary carbon markets (VCMs) while accounting for the regulation index as a conditioning factor. Using mean-centered MMRM with HAC corrections on daily data for $KLIMA, BCT, and MCO2, the results indicate that liquidity is associated with distinct trading channels across tokens. Transaction value is positively associated with market depth, while fragmented trading intensity is associated with wider bid-ask spreads. Market expansion is further linked to higher price volatility, particularly in structurally thin markets. The regulation index predominantly acts as a homologizer moderator, reinforcing existing relationships rather than fundamentally altering their direction, with stronger conditioning effects observed in thinner markets. Overall, the findings suggest that liquidity in tokenized carbon markets is more closely associated with market microstructure, trading behavior, and token design than with underlying carbon asset fundamentals. By integrating on-chain trading metrics with macro-structural regulatory conditions in a high-frequency framework, this study provides new evidence on how liquidity emerges in decentralized carbon markets under heterogeneous structural constraints. Full article

Market indices serve as a benchmark for performance comparison, guide asset allocation decisions, and reflect overall market sentiment and economic conditions, thereby influencing investment strategies by representing a segment of the market. Unquestionably, investor sentiment impacts price movement. In this paper, the objectives were to study the effectiveness of the Money Flow Index (MFI) in enhancing the performance of predictive analysis by capturing market psychology, developing an investment strategy, and analyzing the performance of the method mentioned. This study applies machine learning algorithms with technical indicators and optimizes portfolio allocation based on three notable market indices in Southeast Asia (SEA): SET50 in Thailand, STI in Singapore, and VN30 in Vietnam. Firstly, we combined technical indicators with machine learning—Support Vector Classifier (SVC), Random Forest (RF), and Extreme Gradient Boosting (XGBoost)—by comparing datasets with and without MFI over the period from 2013 to 2023. The results showed that XGBoost with MFI delivered the best predictive performance across three indices. These findings indicate that MFI significantly enhances prediction accuracy, even during volatile market conditions (COVID-19). Additionally, the predictions were integrated into the Markowitz Mean-Variance (MV) model to construct an optimal portfolio, which was then benchmarked against an equal-weight portfolio (1/N). Ultimately, the findings demonstrate that incorporating the machine learning predictions into the MV framework efficiently generates wealth. Full article

This paper develops a tractable theoretical framework to study how network participation shapes the boom–bust dynamics of non-fungible token (NFT) prices. We model NFT pricing under network effects and heterogeneous consumers, and show that prices and participation are jointly determined in equilibrium. The model implies a critical participation threshold that separates expansion from contraction regimes: above this threshold, positive feedback between participation and valuation generates self-reinforcing growth, while below it, weakening network benefits lead to contraction. We provide empirical evidence using data from the aggregate NFT market and prominent collections including Bored Ape Yacht Club (BAYC) and CryptoPunks. Reduced-form regressions show a positive association between prices and network participation, with stronger effects at the collection level than in the aggregate market. Threshold estimation further provides evidence consistent with regime-dependent dynamics, with clearer tipping behaviour in well-defined NFT communities than in the aggregate market. These findings suggest that NFT valuation is closely tied to network structure and participation dynamics. More broadly, this paper contributes a unified framework that links participation, price formation, and threshold behaviour in NFT markets. Full article

This study analyzes the econometric correlation between resale prices and CO₂ emissions of 832 bulk carriers sold from 2018 to 2025. It uses a cross-sectional hedonic pricing model to look at how environmental performance affects the value of sub-types of dry bulk vessels (Capesize, Panamax, Supramax, and Handysize) and age groups (0–5, 6–10, 11–15, and 16+). The findings show that emission efficiency has a statistically significant and negative effect on second-hand prices for all models. Results indicate that higher emission intensity (higher technical efficiency values) reduces vessel values. The magnitude of this effect varies by ship type and age group. Based on the Technical Efficiency Indicator (TEI), refers to Energy Efficiency Existing Ship Index (EEXI) or Energy Efficiency Design Index (EEDI) coefficients, the Supramax segment appears to be the most price-sensitive, followed by Panamax, Capesize, and Handysize. Age has a consistently negative and significant effect on prices, while vessel size positively affects asset values. Further analysis shows that TEI levels increase with vessel age, whereas they decrease with larger vessel size and more recent measurement years. These results are consistent with tightening regulatory pressures under the International Maritime Organization (IMO) frameworks. The economic implications of IMO’s environmental regulations on carbon intensity indicate that compliance with regulation standards creates a measurable price differential in the second-hand ship market. These findings have important implications for shipowners’ investment strategies, regulatory policy design, and the decarbonization path of the maritime sector. This study contributes to the growing research on environmental economics in maritime transport by providing empirical evidence on how carbon regulations translate into tangible asset value impacts. Full article

Predicting garlic prices is difficult because the crop behaves as both an agricultural commodity and a speculative asset. Unlike staple grains, which follow more predictable seasonal supply cycles, garlic can be stored for over a year, its production is geographically concentrated, and its demand remains inelastic. This industry structure makes it susceptible to speculative hoarding, where even minor harvest deficits may trigger sharp price spikes. A typical example is the “Suan Ni Hen” (crazy garlic) phenomenon in the Chinese market: during the 2009–2010 and 2016 periods, speculative capital repeatedly exploited expectations of harvest reduction to engage in large-scale hoarding. According to data released by China’s National Development and Reform Commission (NDRC) at the end of October 2016, national wholesale garlic prices surged by 90% year-on-year, with purchase prices in some major producing areas doubling or multiplying within a short period. Such short-term price bubbles, together with severe volatility and abrupt regime shifts, can make standard forecasting models unreliable in this uncertain environment. Existing methods, ranging from traditional seasonal algorithms to deep learning networks, often overlook the need to decouple the local trend-weekly-seasonal baseline from the dynamic effects of multi-source external signals. This paper proposes GPF-EVMoLE, a compositional multi-step forecasting framework built on an explicit division of labor. The framework first extracts an interpretable local trend and weekly-seasonal baseline through an ETS decomposition module. Two specialized components then process the residual signal: a temporal fusion Transformer-style variable selection network (VSN) uses multi-source external features to identify informative macroeconomic and environmental signals at each forecasting step, while a Mixture of Linear Experts (MoLE) models phase-wise regime shifts within the residual series. Together, these modules adaptively integrate heterogeneous information. This study evaluates the framework on a custom daily evaluation dataset containing 17,685 records across six major producing regions in three provinces. At 7-day and 14-day forecasting horizons, GPF-EVMoLE consistently outperforms eight representative statistical, machine learning, and deep learning baselines across MAE, RMSE, and MAPE metrics. Ablation studies verify the necessity of each component, showing that structural separation of the forecasting tasks helps overcome the limitations of monolithic models and provides an accurate and interpretable solution for complex agricultural markets. Full article

This study re-examines the monetary “black box” in India by investigating whether monetary-policy transmission is state-dependent across different interest-rate environments. Using quarterly data spanning 1993Q1–2024Q2, it constructs a Taylor rule-based monetary-policy shock to mitigate the endogeneity of raw policy rates and estimates dynamic discrete-threshold regressions with endogenously determined regimes. The results provide strong evidence of nonlinearity and structural instability in India’s transmission process. For real output, the weighted average call money rate (WACR) emerges as the more informative threshold variable, while wholesale price inflation is more effectively segmented by the 91-day Treasury bill yield. The findings show that the contractionary effect of monetary policy on output is most evident in the intermediate-rate regime, whereas low- and high-rate regimes exhibit weaker or counterintuitive short-run responses, consistent with crisis accommodation, delayed pass-through, and state-specific frictions. For inflation, monetary tightening is associated with a short-run price puzzle in low- and intermediate-yield regimes but produces the expected disinflationary effect in the high-yield regime. Across channels, the credit and asset-price channels matter selectively for output, while the exchange-rate channel is the most relevant for inflation only in the intermediate regime. Overall, the evidence suggests that monetary-policy transmission in India is regime-dependent and that policy assessment should distinguish between operating-rate conditions and broader market-rate regimes. Full article

This study examines the dynamic interlinkages among energy, food, and metal commodity markets under geopolitical tensions using daily data from January 2022 to July 2025. The empirical framework integrates correlation analysis, Granger causality tests, and a Vector Error Correction Model (VECM) to capture both short- and long-run transmission mechanisms, with robustness assessed through impulse response functions, forecast error variance decomposition, and a Diebold–Yilmaz connectedness analysis across three structurally distinct geopolitical event windows. The results reveal asymmetric and sector-specific transmission patterns in which geopolitical risk significantly influences key commodity prices—particularly WTI crude oil, wheat, copper, and aluminium—confirming its role as a primary external shock driver. WTI emerges as the dominant transmitter of shocks, while industrial metals exhibit strong internal connectedness. Critically, gold’s role proves to be conditional and context-dependent: within an integrated energy–food–metal network under geopolitical stress, it functions primarily as a net receiver and passive absorber of macroeconomic uncertainty rather than as a systemic transmitter, a finding that complements, rather than contradicts, its established safe-haven role in financial asset pricing frameworks. These findings are subject to limitations, including reliance on futures price data and a linear VECM framework that may not fully capture nonlinear or regime-dependent dynamics. Full article

American options are more complex to price than European options because they grant holders the right to exercise at any time before expiration, especially in realistic market environments that consider both stochastic volatility and asset price jumps. Therefore, this paper studies the pricing of American options under the Heston stochastic volatility model, incorporating the Merton jump-diffusion process. For this high-dimensional, nonlinear free boundary problem, this paper adopts the Fourier space time-stepping method for numerical solution. This method utilizes the characteristic function in Fourier space to implement time-stepping, effectively addressing computational difficulties caused by stochastic volatility and jump processes, and it determines the optimal exercise boundary by comparing the holding value with the immediate exercise value at each step. Numerical experiments show that the method is computationally stable and accurate, clearly capturing the early exercise premium and dynamic changes in the exercise boundary. Additionally, parameter sensitivity analysis reveals that the jump component significantly affects option value (with a premium of approximately 6.74%), highlighting the necessity of incorporating jump risk into pricing models. This work provides an effective numerical framework for American option pricing under stochastic volatility and jump environments, possessing both theoretical significance and practical application value. Full article

Against the background of deepening “dual carbon” goals and the continuously tightening policies of the national carbon market, the carbon asset risks faced by thermal power enterprises have shifted from short-term compliance cost fluctuations to medium- and long-term systemic risks. Managing these risks effectively is essential for ensuring the financial viability of thermal power operations during the low-carbon transition, thereby supporting the long-term sustainability of the energy sector. This study constructs a risk management framework for carbon assets in thermal power enterprises based on the LSTM model and option portfolios. First, the multi-dimensional characteristics of medium- and long-term carbon asset risks are systematically identified at the policy, market, and enterprise levels. Second, a dual-layer LSTM model with Dropout regularization is employed to simulate medium- and long-term carbon prices. The prediction results indicate a moderate upward trend in future carbon prices, with the fluctuation range gradually narrowing. On this basis, a combined hedging strategy of “core call options + auxiliary put options” is designed, capping the maximum procurement cost at 72.63 CNY/ton and covering over 90% of the risk of carbon price increases. Monte Carlo simulations and rolling window backtesting, conducted using operational data from a thermal power enterprise to validate the framework, verify the effectiveness and robustness of the strategy. The study shows that, through the integration of accurate LSTM predictions and proactive option hedging, thermal power enterprises can transform their carbon asset management from passive compliance to active value creation, thereby enhancing their operational sustainability and resilience during the energy transition. Full article

Short-horizon equity forecasting remains challenging because daily prices are noisy, heavy-tailed, and subject to structural breaks and regime shifts. We develop a fully automated, reproducible, and leakage-controlled multi-model pipeline for daily forecasting with horizon-specific configuration selection. The task is formulated as predicting cumulative H-day log-returns from OHLCV-derived information and converting them to implied price forecasts. All model families share a homologated design: causal feature construction, a strictly chronological split with an explicit purging rule to prevent label-window overlap for multi-day targets, training-only robustification (winsorization and adaptive clipping), and a unified metric suite computed consistently in return and price spaces. The framework benchmarks transparent baselines (zero- and mean-return), gradient-boosted trees (XGBoost), and deep temporal models (LSTM and CNN/TCN). Lookback length $L\in \{60,180,500\}$ is selected via an internal walk-forward procedure on the pre-evaluation block, and final performance is reported on an external hold-out segment (last 15% of instances). Experiments on daily data for MT, DELL, and the S&P 500 index (through 3 February 2026) show that all families achieve similarly strong price-level fit at $H=1$, largely driven by persistence in the price process, while separation across families becomes more visible at $H=5$. However, predictive performance in return space remains weak, with $R^2$ close to zero or negative, and Diebold–Mariano tests do not provide consistent evidence of statistical superiority over naive benchmarks. Under an operational rule that minimizes hold-out RMSE on the price scale, selected models are asset- and horizon-dependent, supporting horizon-wise selection rather than a single global architecture. Overall, the primary contribution lies in the proposed leakage-controlled evaluation and benchmarking framework rather than in demonstrating consistent predictive gains in financial time series forecasting. Full article

Customer loyalty is a critical asset for the restaurant industry, yet the mechanisms linking the physical environment, price perception, and satisfaction remain underexplored in emerging Latin American gastronomy markets. This study examines the relationships among three servicescape dimensions—décor and artifacts, spatial layout, and ambient conditions—price perception, customer satisfaction, and loyalty in full-service restaurants in northern Peru (Chiclayo, Trujillo, and Piura). A cross-sectional survey was administered to 310 diners, and the proposed model was tested using partial least squares structural equation modeling (PLS-SEM) with 10,000 bootstrap resamples. Results supported seven of nine direct hypotheses and three of four mediation hypotheses. Décor and artifacts and ambient conditions significantly predicted both price perception and satisfaction, while spatial layout showed no significant effect on any path. Price perception partially mediated the effect of décor and ambient conditions on satisfaction, and satisfaction partially mediated the relationship between price perception and loyalty. The satisfaction–loyalty path yielded the largest effect size (β = 0.708, f² = 0.798). Serial chain analyses revealed that the physical environment shapes diner loyalty through sequential cognitive and evaluative mechanisms. These findings offer actionable insights for hospitality managers seeking to enhance gastronomy destination competitiveness through strategic servicescape investment. Full article

The transition toward sustainable food systems requires innovative approaches to managing perishable products, where inefficient inventory practices contribute significantly to global food loss and environmental degradation. This study develops a circular-economy-oriented inventory optimisation framework for dairy supply chains that integrates environmental externalities and waste valorisation pathways into operational decision-making. Departing from traditional linear “produce–consume–dispose” models, this study embeds three core sustainability mechanisms into a stochastic dynamic-programming framework: (1) progressive environmental cost internalisation aligned with EU Emissions-Trading System carbon pricing, capturing both waste-related emissions and cold-chain energy footprints; (2) circular-economy value-recovery channels that redirect near-expiry products to secondary applications (animal feed, biogas production, industrial processing) rather than disposal; and (3) deterioration-aware demand management that minimises resource throughput while maintaining service levels. Empirical calibration using Ukrainian dairy industry data demonstrates that sustainability-integrated inventory policies reduce waste generation by 4.8–10% relative to conventional approaches, with high-deterioration products showing the greatest potential for improvement. The authors identify a critical threshold in the circular economy: when salvage recovery rates exceed 35%, waste becomes an economic and ecological asset, fundamentally altering the sustainability calculus of inventory decisions. Environmental costs account for 4.6% of total operating expenses at current carbon prices, a share projected to increase substantially as climate regulations tighten. The findings provide actionable guidance for dairy supply chain stakeholders pursuing the Sustainable Development Goals (SDGs 2, 12, 13): processors should establish circular-economy partnerships that achieve salvage rates above 35%, implement product-specific policies for high-deterioration items, and proactively integrate carbon pricing into inventory optimisation. The framework bridges sustainable operations theory and circular economy practice, offering a replicable model for transitioning perishable food supply chains toward closed-loop, low-waste configurations that simultaneously reduce environmental impact and enhance economic performance. Full article

The life insurance sector plays a critical role in financial system stability but is inherently exposed to extreme market fluctuations due to long-term liabilities and asset–liability mismatches. This study investigates extreme losses in the growth rates of the JSE Life Insurance Price Index (LIPI) using the Generalised Extreme Value Distribution (GEVD) and the Generalised Pareto Distribution (GPD) under the Extreme Value Theory (EVT) framework. Monthly data from January 2000 to October 2023 were transformed into a loss series, and extreme events were captured using quarterly block maxima and a POT threshold at the 95th percentile. Model parameters were estimated through Maximum Likelihood Estimation, and downside risk was assessed using return levels, Value-at-Risk (VaR), and Tail Value-at-Risk (tVaR). The GEVD model produced a negative shape parameter, consistent with a bounded Weibull-type tail, while the GPD indicated a heavy-tailed distribution. Return level estimates show escalating loss magnitudes and widening uncertainty over longer horizons, reflecting the challenges of projecting rare events. Kupiec backtesting confirms the adequacy and reliability of the GEVD-based VaR across all confidence levels, whereas the GPD underestimates risk at lower thresholds. These findings indicate significant tail risk within the South African life insurance equity segment and underscore the importance of EVT-based risk measures for capital planning and regulatory oversight. The study contributes to financial risk modelling in the life insurance sector and offers practical insights for strengthening solvency assessment and enterprise risk management frameworks. Full article

This study examines the predictability of monthly excess returns for the “Magnificent Seven” U.S. technology firms using machine learning and economically motivated thematic feature grouping. Framed as a focused study of the most systemically consequential equity panel in modern markets—seven firms representing over 30% of the S&P 500—the analysis confronts a small-N, large-P environment where economically structured dimensionality reduction is essential. Using 154 firm-level characteristics categorized into 13 economic themes, we evaluate linear, penalized, tree-based, and neural network models in a small-N, large-P setting. Unrestricted models suffer substantial overfitting and fail to outperform the historical average benchmark out-of-sample. In contrast, theme-based models generate economically meaningful and regime-dependent predictive gains. Short-Term Reversal and seasonality exhibit stronger expansion-period predictability, while size and profitability perform better during recessions. Regularized linear models provide the most stable performance in limited-data environments, whereas nonlinear ensemble methods improve only when training windows are extended. The findings underscore the importance of economically structured dimensionality reduction and adaptive factor allocation in managing concentration risk among systemically important mega-cap firms. Full article

A major connectivity gap arises from the misalignment between the forward-looking climate disclosures required by IFRS S2 and the historically rooted asset valuations mandated by IAS 36. This misalignment can cause the overvaluation of carbon-intensive assets and disrupt capital allocation decisions. This research specifically examines transition risks, such as carbon pricing, regulatory shocks, and technological disruption, and quantifies the financial externality using a combination of deterministic impairment testing and stochastic climate scenarios. We create a constructive framework and develop a model of a Synthetic Representative Firm, calibrated to major integrated steel producers in Europe. To generate nonlinear Green Swan shocks for Value-in-Use, the process combines Monte Carlo simulation with the Merton Jump-Diffusion model. This comparison shows the difference between the steady Management View and the volatile Market View. Empirical results reveal a material Sustainability Discount, representing a substantial erosion in the recoverable amount under IFRS S2 transition risk scenarios compared to the IAS 36 Deterministic Baseline. Simulations show a strong probability of asset stranding due to restricted cost pass-through, indicating that older assets may face elevated impairment risks under disorderly transition scenarios. Traditional deterministic models may not fully capture aspects of Double Materiality, potentially leaving balance sheets less responsive to transition risks. Integrating digitalization and the Circular Carbon Economy (CCE) framework presents a strategic method for averting value destruction. Therefore, this research supports the integration of stochastic transition risk modeling into impairment testing to achieve faithful financial representation. Full article