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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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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Deep Unsupervised Anomaly Detection in High-Frequency Markets
Available online 19 April 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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Does one size fit all? Comparing the determinants of the FinTech market segments expansion
November 2023
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...
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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....
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Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets
November 2023
This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using...
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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...
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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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Making it into a successful series A funding: An analysis of Crunchbase and LinkedIn data
November 2023
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...
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Hedging using reinforcement learning: Contextual k-armed bandit versus Q-learning
November 2023
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...
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The applications of big data in the insurance industry: A bibliometric and systematic review of relevant literature
November 2023
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...
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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...
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Stock pledged loans and market crash risk: Evidence from China
November 2023
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...
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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...
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Data-driven estimation of economic indicators with search big data in discontinuous situation
November 2023
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...
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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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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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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...
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An analysis of conditional mean-variance portfolio performance using hierarchical clustering
November 2023
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...
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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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Expert aggregation for financial forecasting
November 2023
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...
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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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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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Fintech, financial inclusion, digital currency, and CBDC
November 2023
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Research frontiers of the Chinese financial markets
November 2023
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