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Recent The Journal of Finance and Data Science Articles

Recently published articles from The Journal of Finance and Data Science.

Quadratic hedging strategies for private equity fund payment streams

September 2019
Christian Tausch

To better understand the relation between public markets and private equity, we consider quadratic hedging strategies to replicate the typical payment stream pattern associated with private equity funds...

WITHDRAWN:Investor's anticipation and future market movement: Evidence of self-fulfilling prophecy effect from the The Chinese stock market

September 2019
Yun Wan | Xiaoguang Yang

The Publisher regrets that this article is an accidental duplication of an article that has already been published in ,http://dx.doi.org/10.1016/j.jfds.2019.04.001.The duplicate...

Predicting bitcoin returns using high-dimensional technical indicators

September 2019
Jing-Zhi Huang | William Huang | Jun Ni

There has been much debate about whether returns on financial assets, such as stock returns or commodity returns, are predictable; however, few studies have investigated cryptocurrency return predictability....

Efficiency and technology gaps in Indian banking sector: Application of meta-frontier directional distance function DEA approach

September 2019
Jatin Goyal | Manjit Singh | Rajdeep Singh | Arun Aggarwal

Government of India aims at making the Indian Banks internationally competitive. In the wake of intense competition and changing global and national business environment, the efficiency issues have...

An empirical study of the self-fulfilling prophecy effect in Chinese stock market

June 2019
Yun Wan | Xiaoguang Yang

We analyzed data collected from retail investors in the Chinese stock market from a Fintech mobile platform to find evidence of the self-fulfilling prophecy effect. We found a statistically significant...

COSMOS trader – Chaotic Neuro-oscillatory multiagent financial prediction and trading system

June 2019
Raymond S.T. Lee

Over the years, financial engineering ranging from the study of financial signals to the modelling of financial prediction is one of the most stimulating topics for both academia and financial community....

Can artificial intelligence enhance the Bitcoin bonanza

June 2019
Matheus José Silva de Souza | Fahad W. Almudhaf | Bruno Miranda Henrique | Ana Beatriz Silveira Negredo | Danilo Guimarães Franco Ramos | Vinicius Amorim Sobreiro | Herbert Kimura

This paper aims to investigate how Machine Learning (ML) techniques perform in the prediction of cryptocurrency prices. We answer if Support Vector Machines (SVM) and Artificial Neural Networks (ANN)...

Volatility transmission in the Nigerian financial market

June 2019
Ismail O. Fasanya | Mary A. Akinde

This paper examines the return and volatility spillovers in the Nigerian Financial market. We specifically analyse the spillovers in the capital market, money market and foreign exchange market utilizing...

An ability to forecast market liquidity – Evidence from South East Asia Mutual fund industry

March 2019
Woraphon Wattanatorn | Pimpika Tansupswatdikul

In this study, a liquidity timing ability of mutual fund managers in emerging markets had been examined. The analysis based on three important emerging markets in ASEAN Economic Community, namely Indonesia,...

Improving trading technical analysis with TensorFlow Long Short-Term Memory (LSTM) Neural Network

March 2019
Chenjie Sang | Massimo Di Pierro

In this paper we utilize a Long Short-Term Memory Neural Network to learn from and improve upon traditional trading algorithms used in technical analysis. The rationale behind our study is that the...

The value of publicly available predicted earnings surprises

March 2019
Samuel J. Frame | Robin Tu | Jessica M. Martin | Justin M. Berding

This paper demonstrates how to collect and manage free predicted earnings surprises available in the public domain. The predicted earnings surprises we collect are expected to be more accurate than...

Testing market response to auditor change filings: A comparison of machine learning classifiers

March 2019
Richard Holowczak | David Louton | Hakan Saraoglu

The use of textual information contained in company filings with the Securities Exchange Commission (SEC), including annual reports on Form 10-K, quarterly reports on Form 10-Q, and current reports...

Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index

March 2019
Usman M. Umer | Tuba Sevil | Güven Sevil

Travel and leisure market records a consecutive robust growth and become among the fastest economic sectors. Numerous studies proposed distinct forecasting models to predict the dynamics of this sector...

Return smoothing and its implications for performance analysis of hedge funds

December 2018
Jing-zhi Huang | John Liechty | Marco Rossi

Return smoothing and performance persistence are both sources of autocorrelation in hedge fund returns. The practice of pre-processing the data in order to remove smoothing before conducting performance...

Effect of daily dividend on arithmetic and logarithmic return

December 2018
Md. Noman Siddikee

I have extended the arithmetic and logarithmic equations of the daily return by including daily dividend. To do this, firstly, I have mathematically broadened the scope of the two mostly used formulas...

Index option returns and systemic equity risk

December 2018
Weiping Li | Tim Krehbiel

In an environment characterized by stochastic variances and correlations, we demonstrate through construction of the equilibrium index option value from constituent components, that the generalized...

Does public expenditure on education promote Tunisian and Moroccan GDP per capita? ARDL approach

December 2018
Adel Ifa | Imène Guetat

This paper aims to analyze the impact of public education expenditures on GDP per capita of Tunisia and Morocco during the period 1980–2015. This study is based on the Auto-Regressive Distributive Lags...

An equity fund recommendation system by combing transfer learning and the utility function of the prospect theory

December 2018
Li Zhang | Han Zhang | SuMin Hao

Investors in financial markets are often at a loss when facing a huge range of products. For financial institutions also, how to recommend products to the right investors, especially those without previous...

Stock price prediction using support vector regression on daily and up to the minute prices

September 2018
Bruno Miranda Henrique | Vinicius Amorim Sobreiro | Herbert Kimura

The purpose of predictive stock price systems is to provide abnormal returns for financial market operators and serve as a basis for risk management tools. Although the Efficient Market Hypothesis (EMH)...

Regulatory learning: How to supervise machine learning models? An application to credit scoring

September 2018
Dominique Guégan | Bertrand Hassani

The arrival of Big Data strategies is threatening the latest trends in financial regulation related to the simplification of models and the enhancement of the comparability of approaches chosen by financial...

Improved parameter estimation of Time Dependent Kernel Density by using Artificial Neural Networks

September 2018
Xing Wang | Chris P. Tsokos | Abolfazl Saghafi

Time Dependent Kernel Density Estimation (TDKDE) used in modelling time-varying phenomenon requires two input parameters known as bandwidth and discount to perform. A Maximum Likelihood Estimation (MLE)...

Estimation of market immediacy by Coefficient of Elasticity of Trading three approach

September 2018
Richard Wamalwa Wanzala

This paper promulgates an innovative measure of market immediacy; that is, Coefficient of Elasticity Trading Three (CET3). The data from Nairobi Securities Exchange has been used to estimate market...

Financial news predicts stock market volatility better than close price

June 2018
Adam Atkins | Mahesan Niranjan | Enrico Gerding

The behaviour of time series data from financial markets is influenced by a rich mixture of quantitative information from the dynamics of the system, captured in its past behaviour, and qualitative...

On the design of financial products along OBOR

June 2018
Weiping Li | Daxiang Jin

We propose a design of fundamental indexes of equity and bond for the One Belt One Road (OBOR) to increase the market effect, instead of only using the OBOR construction investment funds to initiate...

Selecting appropriate methodological framework for time series data analysis

June 2018
Min B. Shrestha | Guna R. Bhatta

Economists face method selection problem while working with time series data. As time series data may possess specific properties such as trend and structural break, common methods used to analyze other...

Twitter as a tool for forecasting stock market movements: A short-window event study

June 2018
Tahir M. Nisar | Man Yeung

In order to explore the relationship between politics-related sentiment and FTSE 100 movements, we conducted a short-window event study of a UK based political event. We collected a sample of over 60,000...

Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index

June 2018
Usman M. Umer | Tuba Sevil | Güven Sevil

Travel and leisure recorded a consecutive robust growth and become among the fastest economic sectors in the world. Various forecasting models are proposed by researchers that serve as an early recommendation...

Market resiliency conundrum: is it a predicator of economic growth?

March 2018
Richard Wamalwa Wanzala | Willy Muturi | Tobias Olweny

Resiliency provides fundamental insights on the speed at which the marginal price impact increases as transaction volume increases in the stock market yet very few empirical research has been dedicated...

Stock repurchase and Arab Spring empirical evidence from the MENA region

March 2018
Foued Hamouda

This paper examines how repurchase programs are used in the MENA region in the context of the political instability associated with the Arab Spring. We extend the knowledge regarding the relationship...

The effects of mergers and acquisitions on stock price behavior in banking sector of Pakistan

March 2018
Zahoor Rahman | Arshad Ali | Khalil Jebran

Mergers and Acquisitions are considered as one of the useful strategies for growth and expansion of businesses. These strategies have widely been adopted in developed economies while are quite often...

Participation against competition in banking markets based on cooperative game theory

March 2018
Rahim Khanizad | Gholamali Montazer

The issue of increasing profit and reducing operational costs is the most important subject in banking management. One of the ways to solve this problem, is the cooperation (coalition) of banks together...

Research on impact factors for online donation behavior of bank customer

Qing Li

Donation in various service channels of financial institutions helps people in need and makes great impact on social charity. The purpose of this paper is to analyze impact factors of donation behavior...

The extent of voluntary disclosure and its determinants in emerging markets: Evidence from Egypt

Mostafa I. Elfeky

The primary objective of this study is to test a theoretical framework relating eight major corporate governance determinants with the extent of the voluntary disclosure provided by listed firms listed...

High-frequency volatility combine forecast evaluations: An empirical study for DAX

Wen Cheong Chin | Min Cherng Lee

This study aims to examine the benefits of combining realized volatility, higher power variation volatility and nearest neighbour truncation volatility in the forecasts of financial stock market of...

Is credit the devil in the agriculture? The role of credit in Pakistan's agricultural sector

Abdul Rehman | Abbas Ali Chandio | Imran Hussain | Luan Jingdong

The aim of this study was to use an econometric analysis to investigate the relationship between the agricultural gross domestic product (AGDP) and variables, such as total food production, cropped...

Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia

Khalil Jebran | Shihua Chen | Irfan Ullah | Sultan Sikandar Mirza

This study investigates the volatility spillover effect among Asian emerging markets in pre and post 2007 financial crisis period. The sample includes five emerging markets of Asia named; China, Pakistan,...

An overview on data representation learning: From traditional feature learning to recent deep learning

December 2016
Guoqiang Zhong | Li-Na Wang | Xiao Ling | Junyu Dong

Since about 100 years ago, to learn the intrinsic structure of data, many representation learning approaches have been proposed, either linear or nonlinear, either supervised or unsupervised, either...

Assessing nature of competition in banking sector of Pakistan

December 2016
Muhammad Tahir | Syed Sadaqat Ali Shah | Muhammad Asim Afridi

This study examines the nature of competition in banking sector of Pakistan and assesses whether the banking sector is in long-run equilibrium or not. The study uses annual panel data for a sample of...

Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets

December 2016
Mohd Tahir Ismail | Buba Audu | Mohammed Musa Tumala

Many researchers documented that if stock markets' returns series are significantly skewed, linear-GARCH(1,1) grossly underestimates the forecast values of the returns. However, this study showed that...

Volatility and returns of the New Third Board market in China

December 2016
Weiping Li | Gaoxiu Qiao

In this paper, we analyze the return–volatility relation for the New Third Board market in China. Various properties for cross sectional (daily and weekly) returns and volatility are obtained and interpreted....

Textual analysis and machine leaning: Crack unstructured data in finance and accounting

September 2016
Li Guo | Feng Shi | Jun Tu

In finance and accounting, relative to quantitative methods traditionally used, textual analysis becomes popular recently despite of its substantially less precise manner. In an overview of the literature,...

Chebyshev polynomial functions based locally recurrent neuro-fuzzy information system for prediction of financial and energy market data

September 2016
A.K. Parida | R. Bisoi | P.K. Dash

In this paper Chebyshev polynomial functions based locally recurrent neuro-fuzzy information system is presented for the prediction and analysis of financial and electrical energy market data. The normally...

Development and evaluation of novel forecasting adaptive ensemble model

September 2016
C.M. Anish | Babita Majhi | Ritanjali Majhi

This paper proposes a new ensemble based adaptive forecasting structure for efficient different interval days' ahead prediction of five different asset values (NAV). In this approach three individual...

Daily value-at-risk modeling and forecast evaluation: The realized volatility approach

September 2016
Zhen Yao Wong | Wen Cheong Chin | Siow Hooi Tan

One of the main applications of conditional volatility modeling and forecasting of financial assets is the value-at-risk (VaR) estimation that is used by financial institutions for reporting the daily...

Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets

June 2016
Mohd Tahir Ismail | Buba Audu | Mohammed Musa Tumala

The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap...

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