Paper finds political networks reduce bond issuance costs in China.
problem The financial value of within-government political networks in China.
method Using municipal leaders' working experience to measure political networks, the study examines the effect on bond issuance yield spreads.
result Political networks reduce bond issuance yield spreads by improving issuer credit ratings, especially in less developed financial markets.
Study finds implicit government guarantee improves municipal investment bond ratings.
problem Questioning the objectivity of municipal investment bond ratings due to implicit government guarantee.
method Text mining of policy documents and PMC index model for implicit guarantee strength calculation.
result Implicit government guarantee boosts municipal investment bond ratings, especially in less developed regions.
Study shows fiduciary duty reduces municipal bond yields by 9% after SEC rule.
problem Effect of fiduciary duty on municipal bond yields and fees.
method Difference-in-differences analysis using hand-collected data.
result Bond yields decrease by 9% after SEC rule, but smaller issuers see increased borrowing costs.
A machine learning model improves relative valuation of municipal bonds.
problem Challenges in determining the value or relative value of municipal bonds.
method Proposes a supervised similarity framework using CatBoost algorithm to identify similar bonds based on risk profiles.
result The similarity-based method outperforms rule-based and heuristic-based methods in back-testing.
Paper uses PCA to analyze Chinese sovereign bonds and discusses bond immunization.
problem Analyzing factors affecting Chinese sovereign bond yield changes.
method Applied Principal Component Analysis (PCA) on bond yield data.
result Identified principal factors influencing Chinese sovereign bond yield changes.
This paper measures the intensity of implicit government guarantees using PMC index model.
problem Excessive local government debt due to implicit government guarantees.
method Text mining of policy documents related to municipal investment bonds, PMC index model.
result Recent policies have reduced the intensity of implicit government guarantees.
Research explores how local communities and corporations interact in finance.
problem Impact of local government subsidies and corporate bankruptcy on bond yields.
method Difference-in-differences analysis, econometric models, deep-learning model.
result Corporate subsidies and bankruptcy filings affect bond yields significantly.
Pricing Chinese convertible bonds using Monte Carlo simulation and dynamic programming.
problem Pricing Chinese convertible bonds accurately.
method Monte Carlo simulation and dynamic programming with regression and backward induction.
result An underpriced strategy significantly outperforms benchmarks.
Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
problem Inadequate and inaccurate bond information disclosure creates risk of default for investors.
method Framework includes summarizing factors impacting defaults, constructing a risk index system, and using ConvLSTM neural network for prediction.
result The model provides more responsive and accurate daily default risk predictions than authoritative ratings.
Study predicts bond yields using machine learning and ultimate forward rates.
problem Forecasting bond yields using ultimate forward rates.
method Applied de Kort-Vellekooptype methodology for UFR estimation, used linear and nonlinear machine learning techniques.
result Nonlinear machine learning models outperform linear models in bond yield forecasting.
This study analyzes factors affecting China's stock market volatility.
problem Investigating factors influencing China's stock market volatility.
method Used ARDL model and principal component analysis on daily data from 2010-2024.
result Exchange rate and bond yields significantly impact stock market volatility.
Model predicts Chinese stock market liquidity and customer order behavior.
problem Understanding market liquidity and customer order behavior in the Chinese stock market.
method Dual state-space model using Fourier transform to connect volume-at-price buckets to correlations.
result Customer orders are correlated with market sentiment and stock returns, not with bond returns.
EMDLOT predicts bond defaults better than traditional methods.
problem Lack of interpretability and irregular temporal dependencies in financial data.
method Integrates time-series and textual data, uses Time-Aware LSTM, soft clustering, and multi-level attention.
result EMDLOT outperforms traditional and deep learning benchmarks in recall, F1-score, and mAP.
Develops a new model to better predict corporate bond yields.
problem Persistent shifts in interest rates undermine single-regime models.
method Regime-switching generalized CIR model with two-state short-rate process and credit factors.
result The model improves joint curve fit and delivers interpretable probabilities.
This dataset contains the annual aggregated income taxes of all the Italian municipalities over the years 2007-2011. Data are clustered over the Italian regions and provinces. The source of the data is the Italian Ministry of Economics and Finance. The administrative variations in Italy over the quinquennium have been …
Mapping the spatial distribution of poverty in developing countries remains an important and costly challenge. These "poverty maps" are key inputs for poverty targeting, public goods provision, political accountability, and impact evaluation, that are all the more important given the geographic dispersion of the remain…
This paper uses alternative data to forecast Japanese real estate performance.
problem Accurate rent and price forecasting in Japanese real estate markets.
method Created a comprehensive house price index using over 5 million transactions and economic factors.
result Alternative data variables can forecast real estate performance effectively.
New method measures price elasticity from daily sales data.
problem Estimating price elasticity from heterogeneous data.
method Factor-Adjusted Regularized Method for Treatment evaluation (FarmTreat).
result High degree of heterogeneity in pricing strategies.
Chinese word segmentation (CWS) is an important task for Chinese NLP. Recently, many neural network based methods have been proposed for CWS. However, these methods require a large number of labeled sentences for model training, and usually cannot utilize the useful information in Chinese dictionary. In this paper, we …
Study reveals risk transmission channels among Chinese sectors.
problem Understanding risk transmission within Chinese economic sectors.
method Volatility spillovers analysis using VAR model and rolling window approach.
result 17 sectors are risk transmitters and 11 are risk takers.
FGN improves Chinese NER by integrating glyph information and interactive context.
problem Chinese named entity recognition is challenging due to the complexity of characters and their glyphs.
method FGN uses a novel CGS-CNN structure to capture glyph and interactive information, and a sliding window method to fuse BERT and glyph representations.
result FGN achieves state-of-the-art performance on four NER datasets, improving over previous methods.
L. Kauffman conjectured that a particular solution of the Chinese Rings puzzle is the simplest possible. We prove his conjecture by using low-dimensional topology and group theory. We notice also a surprising connection between the Chinese Rings and Habiro moves (related to Vassiliev invariants).
Deep learning system generates new Chinese fonts via style variables.
problem Efficiently design new Chinese fonts.
method End-to-end deep learning system generating new style fonts via interpolation of latent style-related embedding variables.
result Smooth transition between different font styles achieved.
Study of bonded knots and braids with new algebraic models.
problem Classifying and understanding physical or chemical bonds in knots and braids.
method Developed new algebraic models (bonded knots, braids, braidoids) and invariants.
result New algebraic structures and invariants for bonded knots and braids.
Automatically writing stylized Chinese characters is an attractive yet challenging task due to its wide applicabilities. In this paper, we propose a novel framework named Style-Aware Variational Auto-Encoder (SA-VAE) to flexibly generate Chinese characters. Specifically, we propose to capture the different characterist…
Analysis shows preference for Chinese yuan in global trade network.
problem Analyzing the preference of countries to trade in US dollars or Chinese yuan.
method Mathematical analysis of world trade network using Ising spin interactions.
result Majority of countries prefer trading in Chinese yuan due to network structure.
Chinese named entity recognition (CNER) is an important task in Chinese natural language processing field. However, CNER is very challenging since Chinese entity names are highly context-dependent. In addition, Chinese texts lack delimiters to separate words, making it difficult to identify the boundary of entities. Be…
Developed algebraic theory of bonded braids, proving Markov theorem.
problem Studied bonded knots and their algebraic properties.
method Introduced bonded braid monoid, proved Alexander and Markov theorems.
result Every bonded knot is the closure of a bonded braid, and equivalent knots have related braid representatives.
Study examines volatility-based strategy for Chinese ETF options, improving returns in volatile markets.
problem Lack of effective trading strategies in volatile Chinese equity markets.
method Volatility forecasting using GARCH models to dynamically adjust positions and exposures.
result Dynamic adjustment of positions and exposures enhances returns in volatile markets.
Study finds it hard to establish common factor pricing in corporate bonds.
problem Difficulty in establishing common factor pricing in corporate bonds.
method Portfolio- and bond-level analyses using multifactor models.
result Common factor pricing in corporate bonds is not significantly explanatory.
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
Study evaluates LLMs for predicting Chinese stock movements using financial news sentiments.
problem Evaluating LLMs' ability to predict stock price movements using financial news sentiments.
method Standardized experimental procedure with three LLMs, each with unique performance enhancement methods.
result Developed quantitative trading strategies and conducted back-tests to assess LLMs' performance.
In this paper, we design an integrated algorithm to evaluate the sentiment of Chinese market. Firstly, with the help of the web browser automation, we crawl a lot of news and comments from several influential financial websites automatically. Secondly, we use techniques of Natural Language Processing(NLP) under Chinese…
Model shows government incentives boost green bond investment.
problem Increasing green investments through government incentives.
method Optimal incentives indexed on bond prices and covariation, applied to a portfolio of bonds.
result Method outperforms current tax-incentives systems in green investments.
Model proteins with bonds using Kauffman bracket skein module.
problem Modeling proteins with bonds for structural analysis.
method Extend Kauffman bracket polynomial to bonded knots.
result Infinite generation and torsion-freeness of the bonded skein module.
This study uses NLP to predict stock performance based on analyst reports.
problem Predicting stock performance using textual information from analyst reports.
method Natural language processing (NLP) and a customized BERT deep learning model for Chinese text.
result Strong positive sentiment in analyst reports increases excess return and intraday volatility, while strong negative sentiment increases volatility and trading volume but decreases excess return.
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
This paper analyzes the quantitative relations between stock prices and quantities of tradable stock shares in Chinese stock markets at six time points by means of Exploratory Data Analysis (EDA) method. It is found the resulting formulae have the same structure but different parameters. This paper also uses these rela…
This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection o…
Classifies uncolored bonded knots with up to 7 singularity points.
problem Classifying uncolored bonded knots with up to 7 singularity points.
method Generation of planar graphs, conversion into bonded knot diagrams, use of Yamada polynomial, and brute-force Reidemeister moves.
result Systematic classification of uncolored bonded knots with singularity number at most seven.
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an important emerging market, the Chinese market exhibits much stronger correlations…
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In…
Study replicates reference-dependent preferences impact on risk-return trade-off in Chinese stock market.
problem Impact of reference-dependent preferences on risk-return trade-off in Chinese stock market.
method Utilized CGO proxy, econometric techniques (Dependent Double Sorting, Fama-MacBeth regressions), and data from 1995-2024.
result Reference-dependent preferences have a weaker or absent positive risk-return relationship in the Chinese market.
Paper analyzes pricing model for bonds with early redemption.
problem Analyzing pricing of bonds with early redemption features.
method Structural approach for mathematical modeling of bond prices.
result Existence and uniqueness of default and early redemption boundaries proved.
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The underlying risk factors have nat…
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap automatic varia…
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying shares in IPOs. This approach describes a quite common situation in the fixed income market: it is rather usual to find issuers that, besides liq…
Article proposes a profitable intraday trading strategy for Chinese stocks.
problem Intraday trading opportunities in Chinese stock market.
method Markowitz optimization and Multilayer Perceptron (MLP) for stock price prediction.
result Validation of Markowitz portfolio optimization and MLP for intraday stock price prediction.