Recent Articles

A general framework for portfolio construction based on generative models of asset returns

November 2023

Tuoyuan Cheng | Kan Chen

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

Huining (Henry) Cao | Yi Huang | Yiping Huang | Bernard Yeung | Xiaoyan Zhang

A dynamic partial equilibrium model of capital gains taxation

November 2023

Stephen L. Lenkey | Timothy T. Simin

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

Moritz Pfeifer | Vincent P. Marohl

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

Xiaoyan Zhang | Zijian Zhang

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

Leonid Garin | Vladimir Gisin

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

Hao Zhou

OptionNet: A multiscale residual deep learning model with confidence interval to predict option price

November 2023

Luwei Lin | Meiqing Wang | Hang Cheng | Rong Liu | Fei Chen

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

Ben Neilson

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

Andrew Ang | Jennie Bai | Hao Zhou

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

Chen Lin | Randall Morck | Bernard Yeung | Xiaofeng Zhao

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

Nolan Alexander | William Scherer | Jamey Thompson

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

Hugo Gobato Souto

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...

Does one size fit all? Comparing the determinants of the FinTech market segments expansion

November 2023

Mikhail Stolbov | Maria Shchepeleva

The paper aims to indentify and compare the determinants of the overall FinTech market expansion and its major segments – cryptocurrency and peer-to-peer lending markets – in a dataset, which covers...

An analysis of conditional mean-variance portfolio performance using hierarchical clustering

November 2023

Stephen R. Owen

This paper studies portfolio optimization through improvements of ex-ante conditional covariance estimates. We use the cross-section of stock returns over a 52-year sample to analyze trading performance...

Data-driven estimation of economic indicators with search big data in discontinuous situation

November 2023

Goshi Aoki | Kazuto Ataka | Takero Doi | Kota Tsubouchi

Economic indicators are essential for policymaking and strategic decisions in both the public and private sectors. However, due to delays in the release of government indicators based on macroeconomic...

The applications of big data in the insurance industry: A bibliometric and systematic review of relevant literature

November 2023

Nejla Ellili | Haitham Nobanee | Lama Alsaiari | Hiba Shanti | Bettylucille Hillebrand | Nadeen Hassanain | Leen Elfout

The insurance industry has changed rapidly over the last few decades. One factor in this change is the continuous growth of massive amounts of data that need to be processed properly to be optimally...

Making it into a successful series A funding: An analysis of Crunchbase and LinkedIn data

November 2023

Yiea-Funk Te | Michèle Wieland | Martin Frey | Asya Pyatigorskaya | Penny Schiffer | Helmut Grabner

Startups are a key force driving economic development, and the success of these high-risk ventures can bring huge profits to venture capital firms. The ability to predict the success of startups is...

Stock pledged loans and market crash risk: Evidence from China

November 2023

Feng Li | Jun Qian | Haofei Wang | Julie Lei Zhu

Stock pledged loans have become prevalent among large shareholders of listed firms in China. The largest shareholder pledges a greater fraction of her holdings as collateral for credit when the firm...

Hedging using reinforcement learning: Contextual k-armed bandit versus Q-learning

November 2023

Loris Cannelli | Giuseppe Nuti | Marzio Sala | Oleg Szehr

The construction of replication strategies for contingent claims in the presence of risk and market friction is a key problem of financial engineering. In real markets, continuous replication, such...

Expert aggregation for financial forecasting

November 2023

Carl Remlinger | Clémence Alasseur | Marie Brière | Joseph Mikael

Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. But choosing between several algorithms can be challenging, as their estimation accuracy may...