Recent Articles

Cluster-based regression using variational inference and applications in financial forecasting

December 2024

Udai Nagpal | Krishan Nagpal

This paper describes an approach to simultaneously identify clusters and estimate cluster-specific regression parameters from the given data. Such an approach can be useful in learning the relationship...

Deep unsupervised anomaly detection in high-frequency markets

December 2024

Cédric Poutré | Didier Chételat | Manuel Morales

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...

Explicit formulae for the valuation of European options with price impacts

December 2024

Gerardo Hernández-del-Valle | Julio César Rodríguez-Burgos | Héctor Jasso-Fuentes

In this work, we examine the consequences of trading a large position in vanilla European options within a multi-period binomial model framework for the underlying asset price, S. Given the significant...

CPC-SAX: Data mining of financial chart patterns with symbolic aggregate approXimation and instance-based multilabel classification

December 2024

Konstantinos Nikolaou

In order to be able to classify financial chart patterns through machine learning, we introduced and applied a novel classification algorithm on time series data of different financial assets through...

Overlooked biases from misidentifications of causal structures

December 2024

Simone Cenci

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...

Research on credit card default repayment prediction model

December 2024

Junhong Li | Jijia Kang | Jie Wu | Hongpin Wang | Xiaoguang Yang

This study compares the predictive ability of various machine learning models for credit card default repayment within different prediction frameworks, using data from a commercial bank in China. Firstly,...

Reinforcement prompting for financial synthetic data generation

December 2024

Xiangwu Zuo | Anxiao (Andrew) Jiang | Kaixiong Zhou

The emergence of Large Language Models (LLMs) has unlocked unprecedented potential for comprehending and generating human-like text, fueling advances in the finance domain – a tool that can shape investment...

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...