High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorith...High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds.HFT practices exist because a variety of new technologies have made them possible,and because financial market infrastructure capabilities have also been changing so rapidly.The U.S.markets,such as the National Association for Securities Dealers Automated Quote(NASDAQ)market and the New York Stock Exchange(NYSE),have maintained relevance and centrality in financial intermediation in financial markets settings that have changed so much in the past 20 years that they are hardly recognizable.In this article,we explore the technological,institutional and market developments in leading financial markets around the world that have embraced HFT trading.From these examples,we will distill a number of common characteristics that seem to be in operation,and then assess the extent to which HFT practices have begun to be observed in Asian regional financial markets,and what will be their likely impacts.We also discuss a number of theoretical and empirical research directions of interest.展开更多
The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the for...The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.展开更多
We present a multifractal detrended fluctuation analysis （MFDFA） of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the M...We present a multifractal detrended fluctuation analysis （MFDFA） of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors： broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.展开更多
With the deepening of globalization,the development speed of capital markets is constantly accelerating,presenting a trend of globalization.At the same time,the emergence of multiple forms of trading platforms and div...With the deepening of globalization,the development speed of capital markets is constantly accelerating,presenting a trend of globalization.At the same time,the emergence of multiple forms of trading platforms and diversified financial products further highlights the competitive relationship between security exchanges and other trading platforms.While promoting the transformation of security exchange forms in various countries,it also prompts governments to re-examine the financial regulatory system of securities markets.In this situation,it is very important to research the international financial market and financial regulatory system.This article explores the regulatory issues and countermeasures in the international financial market,intending to promote the stability and healthy development of the international financial market.展开更多
The essence of finance lies in the circulation of value. Financial transaction activities also belong to the process of value discovery. From this aspect, transaction subjects with greater information advantages are m...The essence of finance lies in the circulation of value. Financial transaction activities also belong to the process of value discovery. From this aspect, transaction subjects with greater information advantages are more likely to occupy a dominant position in financial activities and obtain more profits. The increasing popularity of Internet technology has brought new vitality to social network services, and at the same time, this best carrier for information dissemination is playing an increasingly important role in financial markets. Therefore, this paper starts from the basic connotation of social network through the literature method, combs the development process of social network at home and abroad in recent decades, discusses the interactive relationship between social network and financial market, especially focuses on financial model, market structure, business form and other aspects to analyze the changes brought by social network to the current financial market, and according to the actual application of social network in financial market, seeks how to effectively use social network to improve the efficiency of financial activities.展开更多
Tail dependence structure model based on Copula theory and extreme value theory （EVT） is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the ...Tail dependence structure model based on Copula theory and extreme value theory （EVT） is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.展开更多
In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous beha...In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.展开更多
A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF （Augmented Dickey-Fuller） test, the power spectrum of the data e...A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF （Augmented Dickey-Fuller） test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/f^β processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis （DFA） of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.展开更多
This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the ...This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.展开更多
We establish an exchange rate determination model for central banks' interventions in financial markets. The model shows that central banks can adjust exchange rate by several policy instruments and that different...We establish an exchange rate determination model for central banks' interventions in financial markets. The model shows that central banks can adjust exchange rate by several policy instruments and that different instruments may have different effects on exchange rate determination. It specifies potential policy instruments for central banks as well as their policy effects. Based on these effects, feasible matches of policy instruments in contingent intervention are put forth.展开更多
This working paper aims to investigate one of the most present markets in whole economic life： financial market. Even if not everyone is playing on financial market, the result of trading on this markets can be seen ...This working paper aims to investigate one of the most present markets in whole economic life： financial market. Even if not everyone is playing on financial market, the result of trading on this markets can be seen and felt by any participant on economic life--individuals, businesses, and government. Those which are participating and trading on financial markets influence economic and social life in a way or another. The paper comes to showing how existence and trading on financial markets can change the money supply and behavior of individuals, businesses, and later they can affect entire economic and social life. The author uses financial data provided by international database such as： Eurostat, central banks, International Monetary Fund, World Bank, BMI Research, website of domestic ministries of finance, and/or economy. The research concluded that in those countries where there is an active and experienced financial market, with a huge volume of transactions, also exists a financial and fiscal stability. Unemployment rate is lower, and a higher level of confidence of investors. A very active financial market can also help governments to maintain their balance of payment in equilibrium and/or to accelerate the development of productive capacity, and for raising and maintaining social stability level.展开更多
Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the...Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective.In this article,we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market.In particular,we consider,over a 12-month period,Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index.We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.展开更多
The asymptotic analysis theory is a powerful mathematical tool employed in the study of complex systems.By exploring the behavior of mathematical models in the limit as certain parameters tend toward infinity or zero,...The asymptotic analysis theory is a powerful mathematical tool employed in the study of complex systems.By exploring the behavior of mathematical models in the limit as certain parameters tend toward infinity or zero,the asymptotic analysis facilitates the extraction of simplified limit-equations,revealing fundamental principles governing the original complex dynamics.We will highlight the versatility of asymptotic methods in handling different scenarios,ranging from fluid mechanics to biological systems and economic mechanisms,with a greater focus on the financial markets models.This short overview aims to convey the broad applicability of the asymptotic analysis theory in advancing our comprehension of complex systems,making it an indispensable tool for researchers and practitioners across different disciplines.In particular,such a theory could be applied to reshape intricate financial models(e.g.,stock market volatility models)into more manageable forms,which could be tackled with time-saving numerical implementations.展开更多
Financial power constitutes a pivotal support for fostering high-quality economic development,and financial stability serves as a fundamental prerequisite for the seamless operation of the financial system.Financial s...Financial power constitutes a pivotal support for fostering high-quality economic development,and financial stability serves as a fundamental prerequisite for the seamless operation of the financial system.Financial stability is primarily manifested in the interlinkages across different financial markets and their internal structural dynamics,which is especially embodied in volatility transmission under extreme conditions.Building upon existing research,this paper broadens the scope of analysis regarding volatility connectedness across markets,offering a more comprehensive portrayal of their interconnected structure.There exists a significant tail structure among different financial markets in China,characterized by heterogeneity in the volatility transmission of upward and downward fluctuations,along with notable bidirectional volatility transmission between distinct financial markets.Consequently,systems leveraging big data and AI technology should be used to monitor the tail linkage of financial markets in real-time,issue risk warnings,and devise preventive strategies.Additionally,hedging instruments and cross-border liquidity support mechanisms should be designed,taking into account the tail correlations between markets,to uphold market stability and propel high-quality economic development.展开更多
We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency markets.The period of study covers Feb 2006 until August 2018.We utilize and expand Die...We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency markets.The period of study covers Feb 2006 until August 2018.We utilize and expand Diebold and Yilmaz(20142015)connectedness measurement;accordingly,in the variance decomposition structure,we use Hierarchical Vector Autoregression(HVAR)to estimate high dimensional networks more accurately.Our empirical results show that markets are highly connected,especially during 2008-2009.Asian stock markets are the net receiver of shocks,while European and American stock markets are the net transmitter of shocks to other markets.The pairwise connectedness results suggest that among stock markets,DAX-CAC 40,FTSE 100-CAC 40 and S&P 500-S&P_TSX index are more integrated through connectedness than the others.For other markets,WTI crude oil-Brent crude oil,30-Year bond and 10-Year bond,Dollar Index futures-EUR/USD have notable connections.In terms of cryptocurrencies,they contribute insignificantly to other markets and are highly integrated with each other.Gold and cryptocurrencies seem to be good choices for investors to hedge during a crisis.展开更多
Transitioning from a“planned”economy to a“market”economy may be a long and arduous task for China,but opening its financial markets to foreign competition will help build stability and strength for the Chinese eco...Transitioning from a“planned”economy to a“market”economy may be a long and arduous task for China,but opening its financial markets to foreign competition will help build stability and strength for the Chinese economy, says U.S.Ambassador Alan Holmer.Holmer,who was recently named as Special Envoy for China and for the Strategic Economic Dialogue,answered written questions by Beijing Review on his views of the economic relationship between China and the United States and the reforms he sees as vital to a good bilateral relationship.展开更多
In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-ti...In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-time market model in which the assets' returns in different times are independent.展开更多
This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This pa...This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.展开更多
This study delves into the intricate connection between financial development and green growth in India.The study considers the development in financial institutions and financial markets as a proxy of financial devel...This study delves into the intricate connection between financial development and green growth in India.The study considers the development in financial institutions and financial markets as a proxy of financial development.By employing an autoregressive distributed lag model for the period 1990–2019,the results reveal a mixed impact of financial development on green growth in India.The study confirms a cointegrating relationship among the interested variables through the autoregressive distributed lag-bound test approach.Further,the results reported that financial institutions have a positive and statistically significant influence on green growth in India both in the short and long terms.However,financial markets have no statistically significant effect on green growth.These findings are important for policymakers,offering valuable insights into India’s intricate interplay between financial development and green growth.These findings suggest the way for targeted policy interventions to achieve green growth and better investment strategies in India’s economic landscape.展开更多
With the continuous growth of China's economy,financial opening to the outside world has become one of the important means to promote economic development.However,with the continuous acceleration of capital flow,t...With the continuous growth of China's economy,financial opening to the outside world has become one of the important means to promote economic development.However,with the continuous acceleration of capital flow,the problem of balance in and out is becoming increasingly prominent.Taking China's financial opening to the outside world as the research object,this paper discusses how China strategically achieves the balance of entry and exit in the field of financial opening to the outside world,and the impact of this balance.Through the quantitative analysis of China's financial opening to the outside world and foreign capital flows,it is found that China needs to strengthen the management of capital items and optimize the structure of capital flows in the process of financial opening to the outside world,to achieve the balance of financial flows in and out.As for the impact of the balance of access and access,the analysis of the impact mechanism shows that the financial opening and access and balance can improve the stability of the financial market,provide sufficient liquidity for the healthy development of the financial market,and alleviate financial risks.Such a strategy is of great practical significance for promoting the sustained and healthy development of China's economy.Therefore,based on the actual situation of China,this paper puts forward some relevant strategy suggestions to guide the practical operation of China's financial opening up.展开更多
文摘High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in milliseconds.HFT practices exist because a variety of new technologies have made them possible,and because financial market infrastructure capabilities have also been changing so rapidly.The U.S.markets,such as the National Association for Securities Dealers Automated Quote(NASDAQ)market and the New York Stock Exchange(NYSE),have maintained relevance and centrality in financial intermediation in financial markets settings that have changed so much in the past 20 years that they are hardly recognizable.In this article,we explore the technological,institutional and market developments in leading financial markets around the world that have embraced HFT trading.From these examples,we will distill a number of common characteristics that seem to be in operation,and then assess the extent to which HFT practices have begun to be observed in Asian regional financial markets,and what will be their likely impacts.We also discuss a number of theoretical and empirical research directions of interest.
基金supported by four funding projects,including National Social Science Foundation of ChinaFunding Project of Education Ministry for the Development of Liberal Arts and Social Sciences+1 种基金National Natural Science Foundation of ChinaProgram for Changjiang Scholars and Innovative Research Team in University of Ministry of Education of China.
文摘The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and financial studies.In this paper,GC-MSV model was used to study the spillover effect between the foreign exchange market and the stock market after the reform of the RMB exchange rate mechanism.The empirical results show that there is a negative correlation of dynamic price spillovers between the foreign exchange and stock markets.There are asymmetric volatility spillover effects between these two markets for both RMB stages—continued RMB appreciation or constant RMB shock(a significant reduction in appreciation).However,this has been reduced over time.In conclusion,The RMB exchange rate is a key variable that can affect the internal and external equilibrium of the national economy in an open economic environment,and the stock market is capable of quickly reflecting subtle changes in the real economy.In order to keep the stability of the financial markets and the healthy and rapid development of national economy,some suggestions were proposed.
基金Supported by the Scientific Research Foundation for the Returned Overseas Chinese Scholars of State Education Ministry
文摘We present a multifractal detrended fluctuation analysis （MFDFA） of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors： broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.
文摘With the deepening of globalization,the development speed of capital markets is constantly accelerating,presenting a trend of globalization.At the same time,the emergence of multiple forms of trading platforms and diversified financial products further highlights the competitive relationship between security exchanges and other trading platforms.While promoting the transformation of security exchange forms in various countries,it also prompts governments to re-examine the financial regulatory system of securities markets.In this situation,it is very important to research the international financial market and financial regulatory system.This article explores the regulatory issues and countermeasures in the international financial market,intending to promote the stability and healthy development of the international financial market.
文摘The essence of finance lies in the circulation of value. Financial transaction activities also belong to the process of value discovery. From this aspect, transaction subjects with greater information advantages are more likely to occupy a dominant position in financial activities and obtain more profits. The increasing popularity of Internet technology has brought new vitality to social network services, and at the same time, this best carrier for information dissemination is playing an increasingly important role in financial markets. Therefore, this paper starts from the basic connotation of social network through the literature method, combs the development process of social network at home and abroad in recent decades, discusses the interactive relationship between social network and financial market, especially focuses on financial model, market structure, business form and other aspects to analyze the changes brought by social network to the current financial market, and according to the actual application of social network in financial market, seeks how to effectively use social network to improve the efficiency of financial activities.
基金The National Natural Science Foundation of China (No70331001)
文摘Tail dependence structure model based on Copula theory and extreme value theory （EVT） is constructed to picture the tail correlation of financial time series more exact. The empirical research results show that the Gumbel Copula can fit the upper and lower tail dependence structures of Shanghai A share index and Shenzhen A share index, and correlation of upper tails of both indices is stronger than that of lower-tails.
基金supported by the National Natural Science Foundation of China(Grant No.11222544)the Fok Ying Tung Education Foundation(Grant No.131008)the Program for New Century Excellent Talents in University,China(Grant No.NCET-12-0121)
文摘In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.
基金supported in part by National Natural Science Foundations of China under Grant Nos.70571027,70401020,10647125,and 10635020by the Ministry of Education of China under Grant No.306022
文摘A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF （Augmented Dickey-Fuller） test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/f^β processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis （DFA） of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.
基金supported by grants PGC2018-101555-B-I00(Ministerio Español de Ciencia,Innovación y Universidades and FEDER),PID2021-127836NB-I00(Ministerio Español de Ciencia e Innovación and FEDER)and UAL18-FQM-B038-A(UAL/CECEU/FEDER).
文摘This research aims to improve the efficiency in estimating the Hurst exponent in financial time series.A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent.We show how to use this new procedure with three of the most popular algorithms(generalized Hurst exponet,total triangles area,and fractal dimension)in the literature.Findings show that this new approach improves the accuracy of the original methods,mainly for longer series.The second contribution of this study is that we show how to use this methodology to test whether the series is self-similar,constructing a confidence interval for the Hurst exponent for which the series satisfies this property.Finally,we present an empirical application of this new procedure to stocks of the S&P500 index.Similar to previous contributions,we consider this to be relevant to financial literature,as it helps to avoid inappropriate interpretations of market efficiency that can lead to erroneous decisions not only by market participants but also by policymakers.
文摘We establish an exchange rate determination model for central banks' interventions in financial markets. The model shows that central banks can adjust exchange rate by several policy instruments and that different instruments may have different effects on exchange rate determination. It specifies potential policy instruments for central banks as well as their policy effects. Based on these effects, feasible matches of policy instruments in contingent intervention are put forth.
文摘This working paper aims to investigate one of the most present markets in whole economic life： financial market. Even if not everyone is playing on financial market, the result of trading on this markets can be seen and felt by any participant on economic life--individuals, businesses, and government. Those which are participating and trading on financial markets influence economic and social life in a way or another. The paper comes to showing how existence and trading on financial markets can change the money supply and behavior of individuals, businesses, and later they can affect entire economic and social life. The author uses financial data provided by international database such as： Eurostat, central banks, International Monetary Fund, World Bank, BMI Research, website of domestic ministries of finance, and/or economy. The research concluded that in those countries where there is an active and experienced financial market, with a huge volume of transactions, also exists a financial and fiscal stability. Unemployment rate is lower, and a higher level of confidence of investors. A very active financial market can also help governments to maintain their balance of payment in equilibrium and/or to accelerate the development of productive capacity, and for raising and maintaining social stability level.
文摘Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective.In this article,we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market.In particular,we consider,over a 12-month period,Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index.We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.
文摘The asymptotic analysis theory is a powerful mathematical tool employed in the study of complex systems.By exploring the behavior of mathematical models in the limit as certain parameters tend toward infinity or zero,the asymptotic analysis facilitates the extraction of simplified limit-equations,revealing fundamental principles governing the original complex dynamics.We will highlight the versatility of asymptotic methods in handling different scenarios,ranging from fluid mechanics to biological systems and economic mechanisms,with a greater focus on the financial markets models.This short overview aims to convey the broad applicability of the asymptotic analysis theory in advancing our comprehension of complex systems,making it an indispensable tool for researchers and practitioners across different disciplines.In particular,such a theory could be applied to reshape intricate financial models(e.g.,stock market volatility models)into more manageable forms,which could be tackled with time-saving numerical implementations.
文摘Financial power constitutes a pivotal support for fostering high-quality economic development,and financial stability serves as a fundamental prerequisite for the seamless operation of the financial system.Financial stability is primarily manifested in the interlinkages across different financial markets and their internal structural dynamics,which is especially embodied in volatility transmission under extreme conditions.Building upon existing research,this paper broadens the scope of analysis regarding volatility connectedness across markets,offering a more comprehensive portrayal of their interconnected structure.There exists a significant tail structure among different financial markets in China,characterized by heterogeneity in the volatility transmission of upward and downward fluctuations,along with notable bidirectional volatility transmission between distinct financial markets.Consequently,systems leveraging big data and AI technology should be used to monitor the tail linkage of financial markets in real-time,issue risk warnings,and devise preventive strategies.Additionally,hedging instruments and cross-border liquidity support mechanisms should be designed,taking into account the tail correlations between markets,to uphold market stability and propel high-quality economic development.
文摘We investigate the directional volatility and return network connectedness among stock,commodity,bond,currency and cryptocurrency markets.The period of study covers Feb 2006 until August 2018.We utilize and expand Diebold and Yilmaz(20142015)connectedness measurement;accordingly,in the variance decomposition structure,we use Hierarchical Vector Autoregression(HVAR)to estimate high dimensional networks more accurately.Our empirical results show that markets are highly connected,especially during 2008-2009.Asian stock markets are the net receiver of shocks,while European and American stock markets are the net transmitter of shocks to other markets.The pairwise connectedness results suggest that among stock markets,DAX-CAC 40,FTSE 100-CAC 40 and S&P 500-S&P_TSX index are more integrated through connectedness than the others.For other markets,WTI crude oil-Brent crude oil,30-Year bond and 10-Year bond,Dollar Index futures-EUR/USD have notable connections.In terms of cryptocurrencies,they contribute insignificantly to other markets and are highly integrated with each other.Gold and cryptocurrencies seem to be good choices for investors to hedge during a crisis.
文摘Transitioning from a“planned”economy to a“market”economy may be a long and arduous task for China,but opening its financial markets to foreign competition will help build stability and strength for the Chinese economy, says U.S.Ambassador Alan Holmer.Holmer,who was recently named as Special Envoy for China and for the Strategic Economic Dialogue,answered written questions by Beijing Review on his views of the economic relationship between China and the United States and the reforms he sees as vital to a good bilateral relationship.
文摘In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-time market model in which the assets' returns in different times are independent.
文摘This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.
文摘This study delves into the intricate connection between financial development and green growth in India.The study considers the development in financial institutions and financial markets as a proxy of financial development.By employing an autoregressive distributed lag model for the period 1990–2019,the results reveal a mixed impact of financial development on green growth in India.The study confirms a cointegrating relationship among the interested variables through the autoregressive distributed lag-bound test approach.Further,the results reported that financial institutions have a positive and statistically significant influence on green growth in India both in the short and long terms.However,financial markets have no statistically significant effect on green growth.These findings are important for policymakers,offering valuable insights into India’s intricate interplay between financial development and green growth.These findings suggest the way for targeted policy interventions to achieve green growth and better investment strategies in India’s economic landscape.
文摘With the continuous growth of China's economy,financial opening to the outside world has become one of the important means to promote economic development.However,with the continuous acceleration of capital flow,the problem of balance in and out is becoming increasingly prominent.Taking China's financial opening to the outside world as the research object,this paper discusses how China strategically achieves the balance of entry and exit in the field of financial opening to the outside world,and the impact of this balance.Through the quantitative analysis of China's financial opening to the outside world and foreign capital flows,it is found that China needs to strengthen the management of capital items and optimize the structure of capital flows in the process of financial opening to the outside world,to achieve the balance of financial flows in and out.As for the impact of the balance of access and access,the analysis of the impact mechanism shows that the financial opening and access and balance can improve the stability of the financial market,provide sufficient liquidity for the healthy development of the financial market,and alleviate financial risks.Such a strategy is of great practical significance for promoting the sustained and healthy development of China's economy.Therefore,based on the actual situation of China,this paper puts forward some relevant strategy suggestions to guide the practical operation of China's financial opening up.
