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...
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...
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...
Time-mixing and feature-mixing modelling for realized volatility forecast: Evidence from TSMixer model
December 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...
NFT price and sales characteristics prediction by transfer learning of visual attributes
December 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...
Technical patterns and news sentiment in stock markets
December 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...
Detecting Hawala network for money laundering by graph mining
December 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...
Interpretable machine learning model for predicting activist investment targets
December 2024
This research presents a predictive model to identify potential targets of activist investment funds—entities that acquire significant corporate stakes to influence strategic and operational decisions,...
Learning from AI-Finance: A selected synopsis
December 2024
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...
Fintech, financial inclusion, digital currency, and CBDC
November 2023
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...
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....
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...
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...
Research frontiers of the Chinese financial markets
November 2023
OptionNet: A multiscale residual deep learning model with confidence interval to predict option price
November 2023
Option is an important financial derivative. Accurate option pricing is essential to the development of financial markets. For option pricing, existing time series models and neural networks are difficult...
Investigating the impact financial content structure has on consumer appreciation: An empirical study of Australian statement of advice documents
November 2023
This study investigates the impact of financial content structure on consumer appreciation in Australian Statement of Advice (SOA) documents. SOAs are essential for regulatory adherence and consumer...
The great wall of debt: Real estate, political risk, and Chinese local government financing cost
November 2023
Chengtou bond is the only asset with market prices that can capture the funding cost of Chinese local government debt. In contrast to the U.S. municipal bonds, Chengtou bonds are issued by private corporations...
What do we learn from stock price reactions to China's first announcement of anti-corruption reforms?
November 2023
China's markets gained 3.86% around December 4, 2012, when the Party announced anti-corruption reforms. State-owned enterprises (SOEs) with higher past entertainment and travel costs (ETC) gained more....
Asset allocation using a Markov process of clustered efficient frontier coefficients states
November 2023
We propose a novel asset allocation model using a Markov process of states defined by clustered efficient frontier coefficients. While most research in Markov models of the market characterize regimes...
Topological tail dependence: Evidence from forecasting realized volatility
November 2023
This paper proposes a novel theory, coined as Topological Tail Dependence Theory, that links the mathematical theory behind Persistent Homology (PH) and the financial stock market theory. This study...
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