With the deepening of globalization,the development speed of capital markets is constantly accelerating,presenting a trend of globalization.At the same time,the emergence of multiple forms of trading platforms and div...With the deepening of globalization,the development speed of capital markets is constantly accelerating,presenting a trend of globalization.At the same time,the emergence of multiple forms of trading platforms and diversified financial products further highlights the competitive relationship between security exchanges and other trading platforms.While promoting the transformation of security exchange forms in various countries,it also prompts governments to re-examine the financial regulatory system of securities markets.In this situation,it is very important to research the international financial market and financial regulatory system.This article explores the regulatory issues and countermeasures in the international financial market,intending to promote the stability and healthy development of the international financial market.展开更多
High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorith...High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds.HFT practices exist because a variety of new technologies have made them possible,and because financial market infrastructure capabilities have also been changing so rapidly.The U.S.markets,such as the National Association for Securities Dealers Automated Quote(NASDAQ)market and the New York Stock Exchange(NYSE),have maintained relevance and centrality in financial intermediation in financial markets settings that have changed so much in the past 20 years that they are hardly recognizable.In this article,we explore the technological,institutional and market developments in leading financial markets around the world that have embraced HFT trading.From these examples,we will distill a number of common characteristics that seem to be in operation,and then assess the extent to which HFT practices have begun to be observed in Asian regional financial markets,and what will be their likely impacts.We also discuss a number of theoretical and empirical research directions of interest.展开更多
The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the for...The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.展开更多
We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the M...We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors: broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.展开更多
Tail dependence structure model based on Copula theory and extreme value theory (EVT) is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the ...Tail dependence structure model based on Copula theory and extreme value theory (EVT) is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.展开更多
In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous beha...In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.展开更多
A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data e...A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/f^β processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis (DFA) of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.展开更多
This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the ...This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.展开更多
We establish an exchange rate determination model for central banks' interventions in financial markets. The model shows that central banks can adjust exchange rate by several policy instruments and that different...We establish an exchange rate determination model for central banks' interventions in financial markets. The model shows that central banks can adjust exchange rate by several policy instruments and that different instruments may have different effects on exchange rate determination. It specifies potential policy instruments for central banks as well as their policy effects. Based on these effects, feasible matches of policy instruments in contingent intervention are put forth.展开更多
This working paper aims to investigate one of the most present markets in whole economic life: financial market. Even if not everyone is playing on financial market, the result of trading on this markets can be seen ...This working paper aims to investigate one of the most present markets in whole economic life: financial market. Even if not everyone is playing on financial market, the result of trading on this markets can be seen and felt by any participant on economic life--individuals, businesses, and government. Those which are participating and trading on financial markets influence economic and social life in a way or another. The paper comes to showing how existence and trading on financial markets can change the money supply and behavior of individuals, businesses, and later they can affect entire economic and social life. The author uses financial data provided by international database such as: Eurostat, central banks, International Monetary Fund, World Bank, BMI Research, website of domestic ministries of finance, and/or economy. The research concluded that in those countries where there is an active and experienced financial market, with a huge volume of transactions, also exists a financial and fiscal stability. Unemployment rate is lower, and a higher level of confidence of investors. A very active financial market can also help governments to maintain their balance of payment in equilibrium and/or to accelerate the development of productive capacity, and for raising and maintaining social stability level.展开更多
Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the...Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective.In this article,we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market.In particular,we consider,over a 12-month period,Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index.We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.展开更多
We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency markets.The period of study covers Feb 2006 until August 2018.We utilize and expand Die...We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency markets.The period of study covers Feb 2006 until August 2018.We utilize and expand Diebold and Yilmaz(20142015)connectedness measurement;accordingly,in the variance decomposition structure,we use Hierarchical Vector Autoregression(HVAR)to estimate high dimensional networks more accurately.Our empirical results show that markets are highly connected,especially during 2008-2009.Asian stock markets are the net receiver of shocks,while European and American stock markets are the net transmitter of shocks to other markets.The pairwise connectedness results suggest that among stock markets,DAX-CAC 40,FTSE 100-CAC 40 and S&P 500-S&P_TSX index are more integrated through connectedness than the others.For other markets,WTI crude oil-Brent crude oil,30-Year bond and 10-Year bond,Dollar Index futures-EUR/USD have notable connections.In terms of cryptocurrencies,they contribute insignificantly to other markets and are highly integrated with each other.Gold and cryptocurrencies seem to be good choices for investors to hedge during a crisis.展开更多
Transitioning from a“planned”economy to a“market”economy may be a long and arduous task for China,but opening its financial markets to foreign competition will help build stability and strength for the Chinese eco...Transitioning from a“planned”economy to a“market”economy may be a long and arduous task for China,but opening its financial markets to foreign competition will help build stability and strength for the Chinese economy, says U.S.Ambassador Alan Holmer.Holmer,who was recently named as Special Envoy for China and for the Strategic Economic Dialogue,answered written questions by Beijing Review on his views of the economic relationship between China and the United States and the reforms he sees as vital to a good bilateral relationship.展开更多
In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-ti...In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-time market model in which the assets' returns in different times are independent.展开更多
This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This pa...This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.展开更多
This paper examines the impact of financial market development on firm R&D investment.Using hand-collected R&D investment data of 221 high-tech firms listed in China’s small and mediumsized board in the perio...This paper examines the impact of financial market development on firm R&D investment.Using hand-collected R&D investment data of 221 high-tech firms listed in China’s small and mediumsized board in the period of 2009–2015,we find that equity financing,particularly internal cash flow,is the main source for R&D investment of high-tech firms.Mature firms make more use of debt financing than young ones and are faced with less severe financial constraints.The development of financial markets relieves the dependence of R&D investment on internal capital,and the effect is more recognisable in young firms than in mature ones.However,the constraint of debt financing is not alleviated as much as that of equity financing by financial deepening,which suggests that debt markets still need developing,and more favourable policies are necessary for innovative firms.展开更多
The methods adopted by static physics corroborating the existence of electromagnetic forces are applicable to the theory of financial markets. Perceived from a classically physical angle, the financial market is defin...The methods adopted by static physics corroborating the existence of electromagnetic forces are applicable to the theory of financial markets. Perceived from a classically physical angle, the financial market is defined as a system composed of several individual entries cooperating upon electromagnetic principles. The approach concerned gives rise to a certain model of financial market, otherwise known as a minority game. In the case of minority game, the allocation of securities and funds is conditioned exclusively upon the fluctuation of prices, where a higher tendency to purchase goods and stocks results in the scale being more profitable and vice versa. Thus players from a minority group gain a prevailing position.展开更多
This article continues to study the research suggestions in depth made by M.Z.Nashed and G.F.Votruba in the journal"Bull.Amer.Math.Soc."in 1974.Concerned with the pricing of non-reachable"contingent cla...This article continues to study the research suggestions in depth made by M.Z.Nashed and G.F.Votruba in the journal"Bull.Amer.Math.Soc."in 1974.Concerned with the pricing of non-reachable"contingent claims"in an incomplete financial market,when constructing a specific bounded linear operator A:l_(1)^(n)→l_(2) from a non-reflexive Banach space l_(1)^(n) to a Hilbert space l_(2),the problem of non-reachable"contingent claims"pricing is reduced to researching the(single-valued)selection of the(set-valued)metric generalized inverse A■ of the operator A.In this paper,by using the Banach space structure theory and the generalized inverse method of operators,we obtain a bounded linear single-valued selection A^(σ)=A+of A■.展开更多
It’s known to all that under ideal condition the s to rage cost is kept in lower level when storage management be arranged by Economic Order Quantity(EOQ).Does this mean that any companies should set up their own sto...It’s known to all that under ideal condition the s to rage cost is kept in lower level when storage management be arranged by Economic Order Quantity(EOQ).Does this mean that any companies should set up their own storing system in proportion to the scale of the commodities’ producing or sell ing Furthermore, even if they manage storage in EOQ, because of different oper ation scale, geographical condition or ability borrowing money from financial ma rket, different companies pay unequal cost in storing the same commodity.In thi s paper, except for supplying commodities from our own storage system, the autho rs have analyzed other two supplying ways without whole storage system, they are forward contracts and futures contracts.The authors have discussed variable su pply cost for above different supply measures.According to the cost of each sup ply way, the managers can choose the most economical way in supplying the commod ity and predict the price of futures from storage management arranged by EOQ.Th e summary content is as follow: 1. The comparing of supply cost between forward contracts and storing system a rranged by EOQ. (1) The supply cost from forward contracts (2) The supply cost from storage system arranged by Economic Order Quantity (3) The application example for comparing cost in different supply way 2.The comparing of supply cost between futures going physical and storing syst em arranged by Economic Order Quantity. (1) The supply cost from futures going physical (2) The correlation between futures contracts and storage management arranged b y EOQ (3) The application example for comparing cost in different supply way 3.How does storing system of scale economic affect the price of forward and fu tures contracts (1) How does the price of forward and futures contracts fluctuate (2) How do we calculate the price of a commodity at future point from the cost of scale economic storing (3) How do we operate efficiently in derivatives market by using the cost of sc ale economic storing (4) The application example for analyzing the price of futures 4.The correlation among storage managementforward contracts and futures mark et.展开更多
Considering the environment of risks and influences inherent in the decision-making process for credit-granting operations,it has become a matter of survival for financial organizations to seek to improve how they eng...Considering the environment of risks and influences inherent in the decision-making process for credit-granting operations,it has become a matter of survival for financial organizations to seek to improve how they engage in effective decision-making to ensure that their returns on invested capital will meet the expectations established at the beginning of the process.A credit-granting sorting model for financial organizations is proposed.The model aggregates the perspectives of different decision-makers to support an organization in the process of credit analysis and,consequently,to improve its operationality.The decision-making model is based on the ELECTRE TRI-B multicriteria method.It sorts credit-granting proposals into three classes,namely credit approved,technical analysis,and credit rejected.The group decision emerges from the decision rules of the organization’s executive board.This new proposed approach to dealing with credit-granting results in the systematization of credit analysis,reduction of doubt among decision-makers,avoidance of the emergence of informal groups,reduction of conflicts within a financial organization,and external interferences.展开更多
文摘With the deepening of globalization,the development speed of capital markets is constantly accelerating,presenting a trend of globalization.At the same time,the emergence of multiple forms of trading platforms and diversified financial products further highlights the competitive relationship between security exchanges and other trading platforms.While promoting the transformation of security exchange forms in various countries,it also prompts governments to re-examine the financial regulatory system of securities markets.In this situation,it is very important to research the international financial market and financial regulatory system.This article explores the regulatory issues and countermeasures in the international financial market,intending to promote the stability and healthy development of the international financial market.
文摘High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds.HFT practices exist because a variety of new technologies have made them possible,and because financial market infrastructure capabilities have also been changing so rapidly.The U.S.markets,such as the National Association for Securities Dealers Automated Quote(NASDAQ)market and the New York Stock Exchange(NYSE),have maintained relevance and centrality in financial intermediation in financial markets settings that have changed so much in the past 20 years that they are hardly recognizable.In this article,we explore the technological,institutional and market developments in leading financial markets around the world that have embraced HFT trading.From these examples,we will distill a number of common characteristics that seem to be in operation,and then assess the extent to which HFT practices have begun to be observed in Asian regional financial markets,and what will be their likely impacts.We also discuss a number of theoretical and empirical research directions of interest.
基金supported by four funding projects,including National Social Science Foundation of ChinaFunding Project of Education Ministry for the Development of Liberal Arts and Social Sciences+1 种基金National Natural Science Foundation of ChinaProgram for Changjiang Scholars and Innovative Research Team in University of Ministry of Education of China.
文摘The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.
基金Supported by the Scientific Research Foundation for the Returned Overseas Chinese Scholars of State Education Ministry
文摘We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors: broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.
基金The National Natural Science Foundation of China (No70331001)
文摘Tail dependence structure model based on Copula theory and extreme value theory (EVT) is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.
基金supported by the National Natural Science Foundation of China(Grant No.11222544)the Fok Ying Tung Education Foundation(Grant No.131008)the Program for New Century Excellent Talents in University,China(Grant No.NCET-12-0121)
文摘In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.
基金supported in part by National Natural Science Foundations of China under Grant Nos.70571027,70401020,10647125,and 10635020by the Ministry of Education of China under Grant No.306022
文摘A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/f^β processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis (DFA) of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.
基金supported by grants PGC2018-101555-B-I00(Ministerio Español de Ciencia,Innovación y Universidades and FEDER),PID2021-127836NB-I00(Ministerio Español de Ciencia e Innovación and FEDER)and UAL18-FQM-B038-A(UAL/CECEU/FEDER).
文摘This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.
文摘We establish an exchange rate determination model for central banks' interventions in financial markets. The model shows that central banks can adjust exchange rate by several policy instruments and that different instruments may have different effects on exchange rate determination. It specifies potential policy instruments for central banks as well as their policy effects. Based on these effects, feasible matches of policy instruments in contingent intervention are put forth.
文摘This working paper aims to investigate one of the most present markets in whole economic life: financial market. Even if not everyone is playing on financial market, the result of trading on this markets can be seen and felt by any participant on economic life--individuals, businesses, and government. Those which are participating and trading on financial markets influence economic and social life in a way or another. The paper comes to showing how existence and trading on financial markets can change the money supply and behavior of individuals, businesses, and later they can affect entire economic and social life. The author uses financial data provided by international database such as: Eurostat, central banks, International Monetary Fund, World Bank, BMI Research, website of domestic ministries of finance, and/or economy. The research concluded that in those countries where there is an active and experienced financial market, with a huge volume of transactions, also exists a financial and fiscal stability. Unemployment rate is lower, and a higher level of confidence of investors. A very active financial market can also help governments to maintain their balance of payment in equilibrium and/or to accelerate the development of productive capacity, and for raising and maintaining social stability level.
文摘Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective.In this article,we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market.In particular,we consider,over a 12-month period,Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index.We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.
文摘We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency markets.The period of study covers Feb 2006 until August 2018.We utilize and expand Diebold and Yilmaz(20142015)connectedness measurement;accordingly,in the variance decomposition structure,we use Hierarchical Vector Autoregression(HVAR)to estimate high dimensional networks more accurately.Our empirical results show that markets are highly connected,especially during 2008-2009.Asian stock markets are the net receiver of shocks,while European and American stock markets are the net transmitter of shocks to other markets.The pairwise connectedness results suggest that among stock markets,DAX-CAC 40,FTSE 100-CAC 40 and S&P 500-S&P_TSX index are more integrated through connectedness than the others.For other markets,WTI crude oil-Brent crude oil,30-Year bond and 10-Year bond,Dollar Index futures-EUR/USD have notable connections.In terms of cryptocurrencies,they contribute insignificantly to other markets and are highly integrated with each other.Gold and cryptocurrencies seem to be good choices for investors to hedge during a crisis.
文摘Transitioning from a“planned”economy to a“market”economy may be a long and arduous task for China,but opening its financial markets to foreign competition will help build stability and strength for the Chinese economy, says U.S.Ambassador Alan Holmer.Holmer,who was recently named as Special Envoy for China and for the Strategic Economic Dialogue,answered written questions by Beijing Review on his views of the economic relationship between China and the United States and the reforms he sees as vital to a good bilateral relationship.
文摘In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-time market model in which the assets' returns in different times are independent.
文摘This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.
基金This paper is supported by the Fundamental Research Funds for the Central Universities,and the Research Funds of Renmin University of China[No.15XNI010].
文摘This paper examines the impact of financial market development on firm R&D investment.Using hand-collected R&D investment data of 221 high-tech firms listed in China’s small and mediumsized board in the period of 2009–2015,we find that equity financing,particularly internal cash flow,is the main source for R&D investment of high-tech firms.Mature firms make more use of debt financing than young ones and are faced with less severe financial constraints.The development of financial markets relieves the dependence of R&D investment on internal capital,and the effect is more recognisable in young firms than in mature ones.However,the constraint of debt financing is not alleviated as much as that of equity financing by financial deepening,which suggests that debt markets still need developing,and more favourable policies are necessary for innovative firms.
文摘The methods adopted by static physics corroborating the existence of electromagnetic forces are applicable to the theory of financial markets. Perceived from a classically physical angle, the financial market is defined as a system composed of several individual entries cooperating upon electromagnetic principles. The approach concerned gives rise to a certain model of financial market, otherwise known as a minority game. In the case of minority game, the allocation of securities and funds is conditioned exclusively upon the fluctuation of prices, where a higher tendency to purchase goods and stocks results in the scale being more profitable and vice versa. Thus players from a minority group gain a prevailing position.
基金supported by the National Science Foundation (12001142)Harbin Normal University doctoral initiation Fund (XKB201812)supported by the Science Foundation Grant of Heilongjiang Province (LH2019A017)
文摘This article continues to study the research suggestions in depth made by M.Z.Nashed and G.F.Votruba in the journal"Bull.Amer.Math.Soc."in 1974.Concerned with the pricing of non-reachable"contingent claims"in an incomplete financial market,when constructing a specific bounded linear operator A:l_(1)^(n)→l_(2) from a non-reflexive Banach space l_(1)^(n) to a Hilbert space l_(2),the problem of non-reachable"contingent claims"pricing is reduced to researching the(single-valued)selection of the(set-valued)metric generalized inverse A■ of the operator A.In this paper,by using the Banach space structure theory and the generalized inverse method of operators,we obtain a bounded linear single-valued selection A^(σ)=A+of A■.
文摘It’s known to all that under ideal condition the s to rage cost is kept in lower level when storage management be arranged by Economic Order Quantity(EOQ).Does this mean that any companies should set up their own storing system in proportion to the scale of the commodities’ producing or sell ing Furthermore, even if they manage storage in EOQ, because of different oper ation scale, geographical condition or ability borrowing money from financial ma rket, different companies pay unequal cost in storing the same commodity.In thi s paper, except for supplying commodities from our own storage system, the autho rs have analyzed other two supplying ways without whole storage system, they are forward contracts and futures contracts.The authors have discussed variable su pply cost for above different supply measures.According to the cost of each sup ply way, the managers can choose the most economical way in supplying the commod ity and predict the price of futures from storage management arranged by EOQ.Th e summary content is as follow: 1. The comparing of supply cost between forward contracts and storing system a rranged by EOQ. (1) The supply cost from forward contracts (2) The supply cost from storage system arranged by Economic Order Quantity (3) The application example for comparing cost in different supply way 2.The comparing of supply cost between futures going physical and storing syst em arranged by Economic Order Quantity. (1) The supply cost from futures going physical (2) The correlation between futures contracts and storage management arranged b y EOQ (3) The application example for comparing cost in different supply way 3.How does storing system of scale economic affect the price of forward and fu tures contracts (1) How does the price of forward and futures contracts fluctuate (2) How do we calculate the price of a commodity at future point from the cost of scale economic storing (3) How do we operate efficiently in derivatives market by using the cost of sc ale economic storing (4) The application example for analyzing the price of futures 4.The correlation among storage managementforward contracts and futures mark et.
基金Brazilian Research Council(CNPq)-Process:309143/2014-4。
文摘Considering the environment of risks and influences inherent in the decision-making process for credit-granting operations,it has become a matter of survival for financial organizations to seek to improve how they engage in effective decision-making to ensure that their returns on invested capital will meet the expectations established at the beginning of the process.A credit-granting sorting model for financial organizations is proposed.The model aggregates the perspectives of different decision-makers to support an organization in the process of credit analysis and,consequently,to improve its operationality.The decision-making model is based on the ELECTRE TRI-B multicriteria method.It sorts credit-granting proposals into three classes,namely credit approved,technical analysis,and credit rejected.The group decision emerges from the decision rules of the organization’s executive board.This new proposed approach to dealing with credit-granting results in the systematization of credit analysis,reduction of doubt among decision-makers,avoidance of the emergence of informal groups,reduction of conflicts within a financial organization,and external interferences.