Investigating the relationship between processes and profit: A work-based assessment of process used in Australian financial planning firms
December 2024
The research explores relationship dynamics between process and profit in Australian professional practise. We analyse data collected from 134 financial planning firms located in Southeast Queensland...
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Revising data collection methodology - evidence from the Australian financial sector
December 2024
Time requirements of data collection account for a significant portion of the total time required to provide financial advice. This research applies data collection software to the financial planning...
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Cluster-based regression using variational inference and applications in financial forecasting
December 2024
This paper describes an approach to simultaneously identify clusters and estimate cluster-specific regression parameters from the given data. Such an approach can be useful in learning the relationship...
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Deep unsupervised anomaly detection in high-frequency markets
December 2024
Inspired by recent advances in the deep learning literature, this article introduces a novel hybrid anomaly detection framework specifically designed for limit order book (LOB) data. A modified Transformer...
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Explicit formulae for the valuation of European options with price impacts
December 2024
In this work, we examine the consequences of trading a large position in vanilla European options within a multi-period binomial model framework for the underlying asset price, S. Given the significant...
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CPC-SAX: Data mining of financial chart patterns with symbolic aggregate approXimation and instance-based multilabel classification
December 2024
In order to be able to classify financial chart patterns through machine learning, we introduced and applied a novel classification algorithm on time series data of different financial assets through...
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Overlooked biases from misidentifications of causal structures
December 2024
Testing theories and explaining phenomena in empirical finance often requires estimating causal effects from observational data. In this note, we argue that some of the standard practices to address...
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Research on credit card default repayment prediction model
December 2024
This study compares the predictive ability of various machine learning models for credit card default repayment within different prediction frameworks, using data from a commercial bank in China. Firstly,...
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Reinforcement prompting for financial synthetic data generation
December 2024
The emergence of Large Language Models (LLMs) has unlocked unprecedented potential for comprehending and generating human-like text, fueling advances in the finance domain – a tool that can shape investment...
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Liquidity risk analysis via drawdown-based measures
December 2024
Trading volumes are key variables in determining the degree of an asset's liquidity. We examine the volume drawdown process and crash recovery measures in rolling-time windows to assess exposure to...
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What drives liquidity in the Chinese credit bond markets?
December 2024
We study the drivers and pricing of liquidity in the Chinese credit bond markets. We document that the liquidity and liquidity effects priced into yield spreads differ significantly across the four...
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China's GDP at risk: The role of housing prices
December 2024
This paper studies the impact of house prices on the distribution of GDP growth in China (the 5th, median, and 95th percentiles). We show that house price appre-ciation positively affects future GDP...
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Machine learning private equity returns
December 2024
In this paper, we use two machine learning techniques to learn the aggregated return time series of complete private capital fund segments. First, we propose Stochastic Discount Factor (SDF) model combination...
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Do commodity prices matter for global systemic risk? Evidence from ML variable selection
December 2024
We identify robust predictors of global systemic risk proxied by conditional capital shortfall (SRISK) among a comprehensive set of commodity prices for the period between January 2004 and December...
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Tail-driven portfolios: Unveiling financial contagion and enhancing risk management
December 2024
In financial markets, tail risks, representing the potential for substantial losses, bear significant implications for the formulation of effective risk management strategies. Yet, there exists a notable...
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NFT Price and Sales Characteristics Prediction by Transfer Learning of Visual Attributes
Available online 16 November 2024
Non-fungible tokens (NFTs) are unique digital assets whose possession is defined over a blockchain. NFTs can represent multiple distinct objects such as art, images, videos, etc. There was a recent...
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Technical Patterns and News Sentiment in Stock Markets
Available online 16 November 2024
This paper explores the effectiveness of technical patterns in predicting asset prices and market movements, emphasizing the role of news sentiment. We employ an image recognition method to detect technical...
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Detecting Hawala Network for Money Laundering by Graph Mining
Available online 16 November 2024
Hawala, a traditional but informal money transfer system, has been prevalent in many parts of the world, such as money laundering. Despite the regulatory actions taken by financial institutions, Hawala...
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Time-mixing and Feature-mixing Modelling for Realized Volatility Forecast: Evidence from TSMixer Model
Available online 26 October 2024
This study evaluates the effectiveness of the TSMixer neural network model in forecasting stock realized volatility, comparing it with traditional and contemporary benchmark models. Using data from...
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A general framework for portfolio construction based on generative models of asset returns
November 2023
In this paper, we present an integrated approach to portfolio construction and optimization, leveraging high-performance computing capabilities. We first explore diverse pairings of generative model...
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Fintech, financial inclusion, digital currency, and CBDC
November 2023
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A dynamic partial equilibrium model of capital gains taxation
November 2023
We analyze a multi-period model of capital gains taxation with endogenous prices. Relative to an economy without taxation, a capital gains tax tends to lower prices and increase returns. Abstracting...
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CentralBankRoBERTa: A fine-tuned large language model for central bank communications
November 2023
Central bank communications are an important tool for guiding the economy and fulfilling monetary policy goals. Natural language processing (NLP) algorithms have been used to analyze central bank communications....
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The cross-section of Chinese corporate bond returns
November 2023
We study the relation between bond characteristics and corporate bond returns in China's two distinct and segmented bond markets—the interbank market and the exchange market—with a large cross-sectional...
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Machine learning in classifying bitcoin addresses
November 2023
The emergence of the Bitcoin cryptocurrency marked a new era of illegal transactions. Cryptocurrency provides some level of anonymity allowing its users to create an unlimited number of wallets with...
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