A new general optimal principle of designing explicit finite difference method was obtained. Several applied cases were put forward to explain the uses of the principle. The validity of the principal was tested by a n...A new general optimal principle of designing explicit finite difference method was obtained. Several applied cases were put forward to explain the uses of the principle. The validity of the principal was tested by a numeric example.展开更多
Company bankruptcies cost billions of dollars in losses to banks each year. Thus credit risk prediction is a critical part of a bank's loan approval decision process. Traditional financial models for credit risk pred...Company bankruptcies cost billions of dollars in losses to banks each year. Thus credit risk prediction is a critical part of a bank's loan approval decision process. Traditional financial models for credit risk prediction are no longer adequate for describing today's complex relationship between the financial health and potential bankruptcy of a company. In this work, a multiple classifier system (embedded in a multiple intelligent agent system) is proposed to predict the financial health of a company. In our model, each individual agent (classifier) makes a prediction on the likelihood of credit risk based on only partial information of the company. Each of the agents is an expert, but has limited knowledge (represented by features) about the company. The decisions of all agents are combined together to form a final credit risk prediction. Experiments show that our model out-performs other existing methods using the benchmarking Compustat American Corporations dataset.展开更多
Prior empirical studies find positive and negative momentum effect across the global nations, but few focus on explaining the mixed results. In order to address this issue, we apply the quantile regression approach to...Prior empirical studies find positive and negative momentum effect across the global nations, but few focus on explaining the mixed results. In order to address this issue, we apply the quantile regression approach to analyze the momentum effect in the context of Chinese stock market in this paper. The evidence suggests that the momentum effect in Chinese stock is not stable across firms with different levels of performance. We find that negative momentum effect in the short and medium horizon (3 months and 9 months) increases with the quantile of stock returns. And the positive momentum effect is observed in the long horizon (12 months), which also intensifies for the high performing stocks. According to our study, momentum effect needs to be examined on the basis of stock returns. OLS estimation, which gives an exclusive and biased result, provides misguiding intuitions for momentum effect across the global nations. Based on the empirical results of quantile regression, effective risk control strategies can also be inspired by adjusting the proportion of assets with past performances.展开更多
The stochastic alpha beta rho(SABR)model introduced by Hagan et al.(2002)is widely used in both fixed income and the foreign exchange(FX)markets.Continuously monitored barrier option contracts are among the most popul...The stochastic alpha beta rho(SABR)model introduced by Hagan et al.(2002)is widely used in both fixed income and the foreign exchange(FX)markets.Continuously monitored barrier option contracts are among the most popular derivative contracts in the FX markets.In this paper,we develop closed-form formulas to approximate various types of barrier option prices(down-and-out/in,up-and-out/in)under the SABR model.We first derive an approximate formula for the survival density.The barrier option price is the one-dimensional integral of its payoff function and the survival density,which can be easily implemented and quickly evaluated.The approximation error of the survival density is also analyzed.To the best of our knowledge,it is the first time that analytical(approximate)formulas for the survival density and the barrier option prices for the SABR model are derived.Numerical experiments demonstrate the validity and efficiency of these formulas.展开更多
文摘A new general optimal principle of designing explicit finite difference method was obtained. Several applied cases were put forward to explain the uses of the principle. The validity of the principal was tested by a numeric example.
文摘Company bankruptcies cost billions of dollars in losses to banks each year. Thus credit risk prediction is a critical part of a bank's loan approval decision process. Traditional financial models for credit risk prediction are no longer adequate for describing today's complex relationship between the financial health and potential bankruptcy of a company. In this work, a multiple classifier system (embedded in a multiple intelligent agent system) is proposed to predict the financial health of a company. In our model, each individual agent (classifier) makes a prediction on the likelihood of credit risk based on only partial information of the company. Each of the agents is an expert, but has limited knowledge (represented by features) about the company. The decisions of all agents are combined together to form a final credit risk prediction. Experiments show that our model out-performs other existing methods using the benchmarking Compustat American Corporations dataset.
基金Supported in part by National Natural Science Foundation of China(No.11271368)Beijing Philosophy and Social Science Foundation Grant(No.12JGB051)+3 种基金Project of Ministry of Education supported by the Specialized Research Fund for the Doctoral Program of Higher Education of China(Grant No.20130004110007)The Key Program of National Philosophy and Social Science Foundation Grant(No.13AZD064)Fundamental Research Funds for the Central Universities and the Research Funds of Renmin University of China(No.10XNK025)China Statistical Research Project(No.2011LZ031)
文摘Prior empirical studies find positive and negative momentum effect across the global nations, but few focus on explaining the mixed results. In order to address this issue, we apply the quantile regression approach to analyze the momentum effect in the context of Chinese stock market in this paper. The evidence suggests that the momentum effect in Chinese stock is not stable across firms with different levels of performance. We find that negative momentum effect in the short and medium horizon (3 months and 9 months) increases with the quantile of stock returns. And the positive momentum effect is observed in the long horizon (12 months), which also intensifies for the high performing stocks. According to our study, momentum effect needs to be examined on the basis of stock returns. OLS estimation, which gives an exclusive and biased result, provides misguiding intuitions for momentum effect across the global nations. Based on the empirical results of quantile regression, effective risk control strategies can also be inspired by adjusting the proportion of assets with past performances.
基金support of the China National Social Science Fund under Grant No.15BJL093Yanchu Liu is partially supported by the National Natural Science Foundation of China under Grant No.71501196,No.71231008,No.71721001+4 种基金the China National Social Science Fund under Grant No.17ZDA073the Natural Science Foundation of Guangdong Province of China under Grant No.2014A030312003the Innovative Research Team Project of Guangdong Province of China under Grant No.2016WCXTD001the Fundamental Research Funds for the Central Universities under Grant No.14wkpy63research grants from Lingnan(University)College and Advanced Research Institute of Finance at Sun Yat-sen University.
文摘The stochastic alpha beta rho(SABR)model introduced by Hagan et al.(2002)is widely used in both fixed income and the foreign exchange(FX)markets.Continuously monitored barrier option contracts are among the most popular derivative contracts in the FX markets.In this paper,we develop closed-form formulas to approximate various types of barrier option prices(down-and-out/in,up-and-out/in)under the SABR model.We first derive an approximate formula for the survival density.The barrier option price is the one-dimensional integral of its payoff function and the survival density,which can be easily implemented and quickly evaluated.The approximation error of the survival density is also analyzed.To the best of our knowledge,it is the first time that analytical(approximate)formulas for the survival density and the barrier option prices for the SABR model are derived.Numerical experiments demonstrate the validity and efficiency of these formulas.