Study shows how financial report sentiment impacts bank profitability.
problem Understanding causal effects of financial report sentiment on bank profitability.
method Causal forest machine learning methodology, FinancialBERT sentiment scores, SHAP analysis, comprehensive dataset.
result Statistically significant causal associations between balance sheet and expense management variables and profitability.
Study finds WACC negatively impacts firm profitability in Bangladesh's food industry.
problem Determining the impact of Weighted Average Cost of Capital (WACC) on firm profitability.
method Fixed Effects Panel Regression Model using 12 food and allied industry companies from 2005-2019.
result WACC negatively correlates with firm profitability (ROA), significant relationship.
The study analyzes trading imbalances from SEC Form 13F-HR filings to identify profitable trading opportunities.
problem Identifying profitable trading opportunities based on SEC Form 13F-HR filings.
method Statistical analysis of holdings variations and imbalances between consecutive reporting periods.
result A profitable trading strategy can be implemented by betting against the sign of imbalances with a 1-2 month time horizon.
Model assesses loan profitability under changing credit conditions.
problem Financial institutions face risks of default and prepayment.
method Develops a Random Net Present Value (RNPV) model to evaluate profitability.
result Mean and variance of RNPV calculated at individual and portfolio levels.
VGRSI uses price visibility graphs to generate profitable trading signals.
problem Ineffective traditional technical analysis indicators in financial markets.
method Visibility Graphs Relative Strength Index (VGRSI) based on backward visibility relations in price data.
result VGRSI signals generated substantial profits across different asset classes.
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An associated Markov process method for finding an optimal choice strategy for monovariant…
Study shows adding similar investors can either increase or decrease profits, depending on their strategy.
problem Investors argue conflictingly about the impact of adding similar investors on their profits.
method Built an agent-based financial market model with additional agents and investigated their earnings.
result Adding similar fundamental agents stabilizes market prices and decreases profits, while adding similar technical agents makes prices unstable and increases profits.
This paper examines if CTE risk measure aligns with profit-maximizing risk capital allocations.
problem Whether CTE risk measure aligns with profit-maximizing risk capital allocations.
method Exhaustive probabilistic model settings analysis.
result CTE risk measure may align with profit-maximizing risk capital allocations under certain conditions.
This paper introduces strategies to maximize arbitrage profits in decentralized exchanges.
problem Maximizing profits from arbitrage loops in decentralized exchanges.
method Three strategies: MaxPrice, MaxMax, and Convex Optimization.
result The Convex Optimization strategy yields the highest monetized arbitrage profit in theory and practice.
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At each point in time, the firm can continue operations, or it can stop and exit th…
The paper analyzes CEX-DEX arbitrage and profitability on Ethereum, revealing centralization trends and market impacts.
problem Ethereum's decentralization and CEX-DEX arbitrages.
method Empirical analysis of 19 months' data from 7.2M CEX-DEX transactions, refining heuristics to identify and estimate arbitrage revenue.
result Three searchers captured three-quarters of volume and extracted value, and profitability is tied to integration with block builders.
Study examines downsizing impact on Indian construction firms' profitability.
problem Impact of downsizing layoffs on construction firms' profitability in India.
method Used Co-integration test, OLS, and VAR models on secondary data of 15 companies.
result Employee Expenses and Number of Employees have significant impact on profitability.
Study analyzes profitability and efficiency of Chinese banks, finding state-owned banks superior.
problem Analyzing efficiency and profitability of Chinese banks over time.
method Used Data envelopment analysis (Super-SBM-UND-VRS based DEA) model considering non-performing loans as undesired output.
result State-owned banks and Rural/City Commercial Banks have better profitability super-efficiency than Joint-stock Banks.
Corporate transparency reduces investors' disposition effect by increasing confidence in holding profitable and losing stocks.
problem Irrational disposition effect in investors selling profitable assets too soon and holding onto losing assets for too long.
method Examined the impact of corporate transparency on individual investors' disposition effect.
result Increased corporate transparency significantly reduces the disposition effect.
Investment strategies derived from commodity futures curves exploit dynamics in price movements.
problem Modeling and predicting the term structure of commodity futures prices.
method Employed the Nelson-Siegel framework to model term structure, and developed investment strategies based on changes in slope and curvature parameters.
result Significant profits generated from systematic strategies based on the change in slope, unrelated to risk factors and robust to transaction costs.
This paper analyzes the profitability of selfish mining on blockchain, considering the risk of ruin.
problem The profitability of selfish mining on blockchain, considering the risk of ruin.
method Formulated a stochastic model and used tools from applied probability and analysis to determine expected profit.
result Explicit expressions for expected profit under different scenarios were derived, identifying conditions for selfish mining as a strategic advantage.
The paper uses LSTM to predict stock prices and analyzes sector profitability.
problem Predicting future stock prices in a volatile market.
method LSTM architecture for predicting stock prices from historical data.
result The model accurately predicts stock prices and analyzes sector profitability.
Study uses machine learning to predict stock trends based on fundamental data.
problem Predicting stock trends using fundamental analysis.
method Used LSTM, 1D CNN, and LR models on financial data.
result Logistic Regression models outperformed other models.
This paper compares forecasting techniques for sales data, focusing on profit-driven models.
problem Choosing the best forecasting technique for sales data is challenging.
method Compares various forecasting methods including ML, statistics, and econometrics.
result Simple seasonal models consistently outperform other methodologies.
Myopic optimization outperforms reinforcement learning in portfolio management, leading to lower returns and higher risks.
problem Reinforcement learning strategies in portfolio management yield lower or negative returns and higher risks compared to myopic optimization.
method Modeling execution/liquidation frictions with mark-to-market accounting, using Malliavin calculus to derive policy gradients and risk shadow price, and quantifying phantom profit.
result Myopic optimization outperforms reinforcement learning in portfolio management, leading to better returns and lower risks.
Winterization of Texas power system profitable but risky, estimated at $11.74bn over 30 years.
problem Profitability and risk of winterizing Texas power system infrastructure.
method Combined temperature-dependent load and outage estimates over 71 years of climate data.
result Large-scale winterization of gas infrastructure and power plants is profitable, but risks are high due to low-frequency of cold spells.
We investigate the performance of dynamic portfolios constructed using more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period, on rolling forward structures of different lengths. We also introduce a discrete false discovery rate (DFRD+/-) method for contr…
Neoclassical economics has two theories of competition between profit-maximizing firms (Marshallian and Cournot-Nash) that start from different premises about the degree of strategic interaction between firms, yet reach the same result, that market price falls as the number of firms in an industry increases. The Marsha…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the …
Study refines trend-following strategy to improve adaptability.
problem Challenges in practical implementation of historical trend-following strategies.
method Modifications to historical strategy, including T-bills exclusion, alternative allocations, industry exclusions, momentum signals, and Walk-Forward Analysis.
result Persistent challenges in adapting historical strategies to modern markets.
We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is provided. In particular, closed-form expressions for the probability density functi…
Toehold purchase, defined here as purchase of one share in a firm by an investor preparing a tender offer to acquire majority of shares in it, reduces by one the number of shares this investor needs for majority. In the paper we construct mathematical models for the toehold and no-toehold strategies and compare the exp…
The study compares profitability of conventional and Islamic banks in Bangladesh.
problem Evaluating profitability of commercial banks in Bangladesh.
method Examined bank-specific, industry-specific, and banking system factors on profitability.
result Islamic banks consistently outperform conventional banks in profitability.
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces of human behavior offer a great potential to drive trading strategies. We contrib…
This paper optimizes cryptocurrency portfolios by clustering price correlations and improving risk-return profiles.
problem Volatility and regulatory uncertainty in cryptocurrency markets make portfolio construction challenging.
method The paper combines network analysis, price forecasting, and portfolio theory to identify stable groups of correlated cryptocurrencies.
result Predictive consensus-clustering portfolios maintain positive and stable performance up to a 14-day horizon, with favourable gain-loss asymmetry and tighter tail-risk control.
The profitability of CPMMs is significantly impacted by mint and burn fees.
problem Understanding the profitability of decentralized exchanges.
method Formalized liquidity providers' profitability conditions, studied the effect of mint and burn fees, and compiled a large data set from Uniswap V2 transactions.
result The profitability of liquidity provision is severely affected by mint and burn costs.
Fossil power firms have recently profited more than renewables, but this may be a temporary phenomenon.
problem The profitability gap between renewable and fossil power firms in Europe.
method Machine-learning clustering and Bayesian model averaging.
result Renewable power firms are becoming more profitable, while fossil power firms are becoming less so.
Hidden Markov model predicts profitable statistical arbitrage in Shanghai crude oil futures.
problem Statistical arbitrage opportunities in international crude oil futures markets.
method Hidden Markov model for cointegration spread, mean-reverting regime-switching process.
result Statistical arbitrage strategies involving Shanghai crude oil futures are profitable.
Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Exchange Composite Index (SHCI) from May 21, 1992 th…
H-GAT improves stock selection by capturing complex higher-order stock relations and integrating both technical and fundamental analysis.
problem Stock selection difficulty and lack of comprehensive analysis.
method Higher-order Graph Attention Network (H-GAT) that incorporates both technical and fundamental analysis.
result H-GAT outperforms existing methods in stock selection metrics.
The paper analyzes profitable bidding strategies for BESS in day-ahead and intraday markets.
problem Optimizing profitability of Battery Energy Storage Systems (BESS) in day-ahead and intraday markets.
method Employing the rolling intrinsic approach to model continuous intraday markets, accounting for bid-ask spreads and liquidity constraints.
result Multi-market bidding strategies outperform single-market participation, and relaxing daily cycling constraints can unlock additional value.
Investment behavior in wine industry influenced by profitability and capitalization.
problem Exploring investment dynamics in wine industry from EU largest producers.
method Firm-level data from France, Italy, and Spain (2007-2014). Difference-and system-GMM estimators used.
result Profitability positively impacts investment dynamics, while capitalization negatively impacts only in France and Spain.
Marxism's rate of profit thesis rejected as illogical.
problem Marxism's rate of profit thesis is challenged as illogical.
method Rejects Marx's thesis on the long-term tendency of the rate of profit to fall.
result Marxism's rate of profit thesis is rejected as illogical.
Equations track profits and losses in trading algorithms.
problem Evaluating the performance of trading algorithms.
method Formal equations incorporating spread.
result Evaluate trading model algorithms' performance.
We analyze annual revenues and earnings data for the 500 largest-revenue U.S. companies during the period 1954-2007. We find that mean year profits are proportional to mean year revenues, exception made for few anomalous years, from which we postulate a linear relation between company expected mean profit and revenue. …
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that prices evolve according to an ergodic process with a mild decaying memory proper…
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while the…
Study examines barriers to grid-connected battery systems in Spain, finding high cycle cost remains main obstacle.
problem Barriers to grid-connected battery systems in Spain's deregulated electricity market.
method Utilization analysis and concept of 'potentially profitable utilization time' introduced.
result High cycle cost remains the main barrier for grid-connected battery systems in Spain.
This paper proposes a two-stage scoring approach to help lenders decide their fund allocations in the peer-to-peer (P2P) lending market. The existing scoring approaches focus on only either probability of default (PD) prediction, known as credit scoring, or profitability prediction, known as profit scoring, to identify…
Study analyzes factors affecting profits in crypto liquidity provision.
problem Liquidity providers lack guidance for developing profitable strategies.
method Developed a measurement model based on impermanent loss to analyze key parameters.
result Uncovered influences of key parameters on LPs' profits.
Study finds dividend payout policy positively impacts firm profitability.
problem Determining the optimal dividend payout ratio and its effect on financial performance.
method Panel data analysis of 60 Indian listed firms over 10 years, using ROA as a proxy for profitability.
result Positive and significant relationship between dividend payout policy and firm performance.
A new framework integrates credit scoring into profit scoring for better P2P lending investments.
problem Maximizing profit while minimizing risk in P2P lending investments.
method Two-stage framework using Light Gradient Boosting Machine (lightGBM) to integrate credit scoring into profit scoring.
result The proposed framework identifies more profitable loans and provides better investment guidance.
Study shows environmental spending positively impacts company profitability.
problem Impact of environmental spending on company profitability.
method Panel data regression analysis using E-Views.
result Environmental spending positively impacts profitability metrics.