127 hasil
Menampilkan 1–20 · 0,80 detik · RSS
Journal of Finance and Data Science
Scopus
ISSN 2405-9188 · KeAi Communications Co., Ltd. · 127 artikel di indeks
-
Artikel Jurnal
Sample reconstruction and prediction of stock time series based on trend structure extraction
Financial time series are characterized by strong noise, frequent fluctuations, and dense local trend switching, making raw-sequence prediction difficult. This paper investigates stock time-series prediction from the perspective of pre-training sample construction and proposes Multi-step Trend…
-
Artikel Jurnal
International financial markets through 150 years: Evaluating stylized facts
In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized facts proposed in econophysics context for financial market…
-
Artikel Jurnal
Finding money launderers using heterogeneous graph neural networks
The finance industry depends on effective anti-money laundering (AML) systems to ensure compliance and maintain operational efficiency. However, existing AML systems, which are predominantly rule-based, frequently struggle to detect money laundering accurately.In particular, their inability to…
-
Artikel Jurnal
GARCH-PDE models for option pricing under stochastic volatility and their finite difference solvers
This paper presents numerical solvers for generative and hybrid option pricing models that unify econometric and diffusion-based approaches. These models are formulated as systems of continuous partial differential equations (PDEs), with stochastic volatility updated at discrete reset dates…
-
Artikel Jurnal
Pairs trading with time-series deep learning models
Pairs trading is a well-studied statistical arbitrage strategy including the identification of asset pairs exhibiting correlated changes in their historical prices. This statistical arbitrage strategy focuses on benefiting from non-permanent divergent behaviour of price, and it forecasts that the…
-
Artikel Jurnal
Multifractal and low-dimensional representations of high-frequency return distribution sequences
High-frequency returns are of great significance to financial risk management and investment. This study analyzes the dynamics of the high-frequency return distributions. The calculations show that the high-frequency return distribution sequence has a small intrinsic dimension and exhibits…
-
Artikel Jurnal
Informed trading and expected returns
Does information asymmetry affect the cross-section of expected stock returns? We explore this question using representative portfolio holdings data from the Shanghai Stock Exchange. We show that institutional investors have a strong information advantage, and that past aggressiveness of…
-
Artikel Jurnal
Persistent cointegration and regime-sensitive market leadership: Evidence from international tobacco stocks
This paper develops a data-driven framework combining fractional cointegration and structural break detection to examine long-run interdependence and market leadership among international tobacco equities. Using weekly data from May 2008 to October 2024 for Philip Morris International, Altria…
-
Artikel Jurnal
Enhancing bookkeeper decision support through graph representation learning for bank reconciliation
The emergence of cloud-based bookkeeping platforms has made it possible to streamline decision-making in tedious accounting tasks, such as bank reconciliation. Bank reconciliation involves tracing the expected cash flow from invoices and bills to the actual payments recorded in a business's bank…
-
Artikel Jurnal
Integrating Choquet portfolios and machine learning interpretability for robust cryptocurrency investment strategies
This study proposes an alternative approach to portfolio optimization in the cryptocurrency market by applying the Choquet integral portfolio, positioning it within the broader context of Robo-Advisor literature. This approach is based on pessimistic decision-making and employs higher order moments…
-
Artikel Jurnal
Dumb money? Social network attention herding, sentiment, and markets
Wallstreetbets (WSB) is the perfect echo chamber to study retail investor behaviour and markets. We introduce a direct measure of individual stock attention and the concept of forum-wide attention herding. We fine-tune a large language model to classify investor sentiment. We find that WSB…
-
Artikel Jurnal
The economic impact of DeFi crime events on decentralized autonomous organizations (DAOs)
The Decentralized Finance (DeFi) ecosystem has experienced over $10 billion in direct losses due to crime events. Beyond these immediate losses, such events often trigger broader market reactions, including price declines, trading activity changes, and reductions in market capitalization…
-
Artikel Jurnal
Using Bell violations as an indicator for financial market crisis
The failure to identify and measure financial risk carries significant social and economic consequences. This paper introduces a novel framework for analyzing financial stress and crises, based on the Bell inequalities, a foundational framework in causal analysis, originally developed in quantum…
-
Artikel Jurnal
Integrating credit and debit data for enhanced insights into borrowing behavior and predictive modeling of credit card delinquency
This research delves into the predictive modeling of credit card delinquency by harnessing both credit and debit data, offering a nuanced perspective on consumer financial behavior. The study introduces a novel hierarchical Bayesian regression model that significantly surpasses traditional machine…
-
Artikel Jurnal
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients☆
This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process. This problem is particularly challenging due to the scarcity of observations in the far tail of the distribution of…
-
Artikel Jurnal
Leveraging financial interdependencies in emerging markets via graph neural networks
This study examines the role of interdependencies in forecasting sovereign yield spreads in emerging markets using Graph Neural Networks (GNNs). Sovereign yield spreads reflect economic conditions and investor sentiment, making accurate predictions crucial for investors, policymakers, and financial…
-
Artikel Jurnal
Finding a needle in a haystack: A machine learning framework for anomaly detection in payment systems
We propose a flexible machine learning (ML) framework for real-time transaction monitoring in high-value payment systems (HVPS), which are central to a country’s financial infrastructure and integral to financial stability. This framework can be used by system operators and overseers to detect…
-
Artikel Jurnal
Unsupervised generation of tradable topic indices through textual analysis
Stock returns are moved by many risk factors. Thematic stock indices try to represent these factors, but are limited by the fact that risk factors are not directly observable. This paper introduces a method to uncover hidden risk factors through text analysis. It applies the dynamic variant of the…
-
Artikel Jurnal
Financial inclusion, technologies, and worldwide economic development: A spatial Durbin model approach
Using panel data from 144 countries, this study constructed an inclusive financial evaluation index and depicted the inclusive finance development worldwide under digital empowerment through classification. It reviewed the spatial effect of financial inclusion in developed and developing countries…