75 Result(s)
within
Economics
Math Applications in Computer Science
Operations Research/Decision Theory
**mo Wang
Article
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Article
LightGBM-BES-BiLSTM Carbon Price Prediction Based on Environmental Impact Factors
A carbon trading price fusion prediction model is proposed to capture the non-linear, non-stationary, multi-frequency, and other irregular characteristics of carbon price data, as well as the temporal periodic...
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Article
Stock Returns Prediction Based on Implied Volatility Spread Under Network Perspective
Using 50 ETF options data from the Shanghai Stock Exchange as samples, this paper explores the predictive power of option implied volatility spread (IVS) on stock market returns, mainly from a network perspect...
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Article
The Effect of News Photo Sentiment on Stock Price Crash Risk Based on Deep Learning Models
This study examines the impact of investor sentiment on stock price crash risk from the perspective of news photo sentiment. First, the paper derives investor sentiment from news photos based on deep learning ...
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Rational Spectral Collocation Method for Solving Black-Scholes and Heston Equations
In this paper, we raise a new method for numerically solving the partial differential equations (PDEs) of the Black-Scholes and Heston models, which play an important role in financial option pricing theory. O...
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Article
A Hybrid Parallel Processing Strategy for Large-Scale DEA Computation
Using data envelopment analysis (DEA) with large-scale data poses a big challenge to applications due to its computing-intensive nature. So far, various strategies have been proposed in academia to accelerate ...
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Improving Sliding Window Effect of LSTM in Stock Prediction Based on Econometrics Theory
This study examines the influence of the sliding window in the LSTM model on its predictive performance in the stock market. The investigation encompasses three aspects: the impact of the stationarity of the o...
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Article
Cross-Correlation Analysis of Crude Oil-Related Stock Markets in China Caused by the Conflict Between Russia and Ukraine
In this study, we apply multifractal detrended fluctuation analysis (MF-DFA) to explore the differences in China’s financial markets efficiency around the Russia-Ukraine Conflict. We investigate the stock mark...
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Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility
In this paper, we study the variance and volatility swaps pricing problem under the framework of double Heston jump diffusion model with approximative fractional stochastic volatility. The pricing formulas of ...
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Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models
Valuation of large portfolios of variable annuities (VAs) is a well-researched area in the actuarial science field. However, the study of producing reliable prediction intervals for prices has received compara...
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Article
Evolution of Complex Network Topology for Chinese Listed Companies Under the COVID-19 Pandemic
The purpose of this study is to analyze the topological structure dynamics of the complex network of stocks before and after the outbreak of the COVID-19, so as to provide a basis for preventing financial risk...
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Article
Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test
This paper extends the fixed-b Phillips–Perron unit root test, namely PP(fb), by using a sieve bootstrap method to deal with serial-correlated errors, especially negative moving average errors. We derive the asym...
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Article
Intelligent Prediction of Annual CO2 Emissions Under Data Decomposition Mode
CO2 emissions have contributed to global warming and belong to high-noise, non-stationary and nonlinear systems. An accurate prediction method for annual CO2 emissions can improve the effectiveness of emission re...
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Article
Open AccessImproving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters
A pairs trading strategy (PTS) constructs a mean-reverting portfolio whose logarithmic value moves back and forth around a mean price level. It makes profits by longing (or shorting) the portfolio when it is u...
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Pricing Fade-in Options Under GARCH-Jump Processes
In this paper, we investigate fade-in options under GARCH-jump processes. Specifically, we adopt NIG distributions to capture jump risk, and both market and individual jumps are considered. In the pricing mode...
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Article
Identifying Systemically Important Banks Based on an Improved DebtRank Model
Considering two risk contagion channels, namely interbank lending and common asset holdings, we introduce the bank's default probability into the DebtRank model to construct an improved one and measured the ba...
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Article
Bayesian Quantile Regression Analysis for Bivariate Vector Autoregressive Models with an Application to Financial Time Series
To capture the conditional correlations between bivariate financial responses at different quantile levels, this paper considers the Bayesian quantile regression for bivariate vector autoregressive models. Wit...
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Article
Research on ESG Investment Efficiency Regulation from the Perspective of Reciprocity and Evolutionary Game
According to the information disclosure quality and investment return efficiency of ESG enterprises, this paper establishes a dynamic incentive mechanism based on return regulation considering the reciprocal p...
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Article
Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
Despite the upgrading of the attention and investment of new energy in Chinese public, its market efficiency and associations with other assets are relatively rarely explored. This paper, firstly, explores the...
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Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry
The extreme risks of banks not only cause losses to themselves but also bring external risks to other financial institutions. Current research mainly focuses on the one-way risk spillover of financial institut...
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Article
Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks
Although many methods for computing the Greeks of discrete-time Asian options are proposed, few methods to calculate the Greeks of continuous-time Asian options are known. In this paper, we develop an integrat...
