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Recent The Journal of Finance and Data Science Articles

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

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...

Index Option Returns and Systemic Equity Risk

Available online 26 May 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...

Stock Price Prediction Using Support Vector Regression on Daily and Up to the Minute Prices

Available online 27 April 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

Available online 18 April 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

Available online 17 April 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

Available online 6 March 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...

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...

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

Available online 24 February 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...

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

Available online 24 February 2018
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...

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

Available online 14 February 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...

Research on impact factors for online donation behavior of bank customer

2017
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

2017
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

2017
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

2017
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

2017
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...

US financial conditions index and its empirical impact on information transmissions across US-BRIC equity markets

June 2016
Amanjot Singh | Manjit Singh

Both price discovery and volatility spillovers act as information transmission mechanisms across foreign boundaries. In this regard, the present study attempts to extend the findings reported by Singh...

The effect of firm and stock characteristics on stock returns: Stock market crash analysis

June 2016
Rizaldi Fauzi | Imam Wahyudi

This study aims to determine characteristics of stocks and firms that are deliberately affected by stock market crash occurring in Indonesia. The study uses data for three major stock market crashes...

Forecasting daily conditional volatility and h-step-ahead short and long Value-at-Risk accuracy: Evidence from financial data

June 2016
Samir Mabrouk

In this article we evaluate the daily conditional volatility and h-step-ahead Value at Risk (VaR) forecasting power of three long memory GARCH-type models (FIGARCH, HYGARCH & FIAPARCH). The forecasting...

Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach

March 2016
Weiping Li | Su Chen

In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. Our pricing formula consists of a Black-Scholes-Merton type formula and a finite sum...

A hybrid stock trading framework integrating technical analysis with machine learning techniques

March 2016
Rajashree Dash | Pradipta Kishore Dash

In this paper, a novel decision support system using a computational efficient functional link artificial neural network (CEFLANN) and a set of rules is proposed to generate the trading decisions more...

BRICS market nexus for cross listed stocks: A VECX* framework

March 2016
S. Visalakshmi | P. Lakshmi

This paper delves into the dynamic price transmissions of the dually listed BRICS shares traded in the US market based on a value-weighted portfolio using efficient estimation of vector error correction...

Auto insurance fraud detection using unsupervised spectral ranking for anomaly

March 2016
Ke Nian | Haofan Zhang | Aditya Tayal | Thomas Coleman | Yuying Li

For many data mining problems, obtaining labels is costly and time consuming, if not practically infeasible. In addition, unlabeled data often includes categorical or ordinal features which, compared...

Foreign exchange market microstructure and the WM/Reuters 4 pm fix

March 2016
P.S. Michelberger | J.H. Witte

A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently...

Required Market Risk Premium among countries in 2012

December 2015
Pablo Fernandez | Javier Aguirreamalloa | Isabel Fernandez Acín

This paper contains the statistics of the Equity Premium or Market Risk Premium (MRP) used in 2012 for 82 countries. We got 7192 answers for 93 countries, but we only report the results for 82 countries...

Latency critical big data computing in finance

December 2015
Xinhui Tian | Rui Han | Lei Wang | Gang Lu | Jianfeng Zhan

Analytics based on big data computing can benefit today's banking and financial organizations on many aspects, and provide much valuable information for organizations to achieve more intelligent trading,...

Big data based fraud risk management at Alibaba

December 2015
Jidong Chen | Ye Tao | Haoran Wang | Tao Chen

With development of mobile internet and finance, fraud risk comes in all shapes and sizes. This paper is to introduce the Fraud Risk Management at Alibaba under big data. Alibaba has built a fraud risk...

A case study on loan loss analysis of a community bank

December 2015
Weiping Li | Philip McMahan

In this paper, we perform a case study on a community bank from the aspect of the terms structure of the banks historical loan losses and the loan quality rating matrix used by the bank. The data source...

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