arXiv · arXiv q-fin · 2023
In the field of quantitative finance, volatility models, such as ARCH, GARCH, FIGARCH, SV, EWMA, play the key role in risk and portfolio management. Meanwhile, factor investing is more and more famous since mid of 20 century. CAPM, Fama French three factor model, Fama French five-factor model, MSCI Barra factor model are mentioned and developed during this period. In this paper, we will show why we need adjust group …
Ke Zhang
arXiv · arXiv q-fin · 2022
Market makers play an essential role in financial markets. A successful market maker should control inventory and adverse selection risks and provide liquidity to the market. As an important methodology in control problems, Reinforcement Learning enjoys the advantage of data-driven and less rigid assumptions, receiving great attention in the market-making field since 2018. However, although the China Commodity market…
Junshu Jiang, Thomas Dierckx, Duxiang Xiao, Wim Schoutens
arXiv · arXiv q-fin · 2017
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research bears upon 158 small and medium-sized firms listed on Shenzhen and Shanghai Stock Exchanges in China over the period of 2004-2014. A regression analysis, along the lines of the Tra…
ShiXue He, Marcel Ausloos
arXiv · arXiv q-fin · 2023
Unlike developed market, some emerging markets are dominated by retail and unprofessional trading. China A share market is a good and fitting example in last 20 years. Meanwhile, lots of research show professional investor in China A share market continuously generate excess return compare with total market index. Specifically, this excess return mostly come from stock selectivity ability instead of market timing. Ho…
Ke Zhang
arXiv · arXiv q-fin · 2012
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the high-frequency data of each stock included in the SSE (Shanghai Stock Exchange) 50 Index for the year 2011, we report several statistical properties of convexity and analyze the a…
Kenan Qiao
arXiv · arXiv · 2021
In allusion to some contradicting results in existing research, this paper selects China's latest stock data from 2005 to 2020 for empirical analysis. By choosing this periods' data, we avoid the periods of China's significant stock market reforms to reduce the impact of the government's policy on the factor effect. In this paper, the redundant factors (HML, CMA) are orthogonalized, and the regression analysis of 5*5…
Zhijing Zhang, Yue Yu, Qinghua Ma, Haixiang Yao
arXiv · arXiv · 2026
This study develops an agent-based financial market model to explain stock-price momentum and reversal through the joint effects of local herding and delayed information diffusion. Investors form heterogeneous Gaussian beliefs about the next-period price, choose among buying, selling, and remaining inactive, and revise their action probabilities in response to neighboring investors. The local interaction structure is…
Jiahao Weng
arXiv · arXiv · 2025
We present a multi-agent, AI-driven framework for fundamental investing that integrates macro indicators, industry-level and firm-specific information to construct optimized equity portfolios. The architecture comprises: (i) a Macro agent that dynamically screens and weights sectors based on evolving economic indicators and industry performance; (ii) four firm-level agents -- Fundamental, Technical, Report, and News …
Chujun He, Zhonghao Huang, Xiangguo Li, Ye Luo, Kewei Ma
arXiv · arXiv · 2025
Against the backdrop of rapid technological advancement and the deepening digital economy, this study examines the causal impact of digital transformation on corporate financial asset allocation in China. Using data from A-share listed companies from 2010 to 2022, we construct a firm-level digitalization index based on text analysis of annual reports and differentiate financial asset allocation into long-term and sho…
Yundan Guo, Han Liang, Li Shen
arXiv · arXiv · 2025
The paper analyses trade between the most developed economies of the world. The analysis is based on the previously proposed model of international trade. This model of international trade is based on the theory of general economic equilibrium. The demand for goods in this model is built on the import of goods by each of the countries participating in the trade. The structure of supply of goods in this model is deter…
N. S. Gonchar, O. P. Dovzhyk, A. S. Zhokhin, W. H. Kozyrski, A. P. Makhort
arXiv · arXiv · 2025
This paper mainly utilizes the ARDL model and principal component analysis to investigate the relationship between the volatility of China's Shanghai Composite Index returns and the variables of exchange rate and domestic and foreign bond yields in an internationally integrated stock market. This paper uses a daily data set for the period from July 1, 2010 to April 30, 2024, in which the dependent variable is the Sha…
Jingchu Zhang
arXiv · arXiv · 2024
This study investigates the relationship between bank efficiency and stock market valuation using an unbalanced panel dataset of 42 listed banks in China from 2006 to 2023. We employ a non-radial and non-oriented slack based super-efficiency Data Envelopment Analysis (Super-SBM-UND-VRS based DEA) model, which treats Non-Performing Loans (NPLs) as an undesired output. Our results show that the relationship between sup…
Yun Liao
arXiv · arXiv · 2024
Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks belonging to six different sectors during the USA-China trade war of 2018. The Markov property of the order sequence is validated by the Chi-square test. We estimate the transition …
Salam Rabindrajit Luwang, Anish Rai, Md. Nurujjaman, Om Prakash, Chittaranjan Hens
arXiv · arXiv · 2023
This study employs machine learning models to predict the failure of Peer-to-Peer (P2P) lending platforms, specifically in China. By employing the filter method and wrapper method with forward selection and backward elimination, we establish a rigorous and practical procedure that ensures the robustness and importance of variables in predicting platform failures. The research identifies a set of robust variables that…
Jen-Yin Yeh, Hsin-Yu Chiu, Jhih-Huei Huang
arXiv · arXiv · 2023
This study employs the annual unbalanced panel data of 42 listed banks in China from 2006 to 2021, adopts the non-radial and non-oriented super-efficiency Data envelopment analysis (Super-SBM-UND-VRS based DEA) model considering NPL as undesired output. Our results show that the profitability super-efficiency of State-owned banks and Rural/City Commercial Banks is better than that of Joint-stock Banks. In terms of in…
Yun Liao, Ruihui Xu
arXiv · arXiv · 2022
The ongoing COVID-19 shocked financial markets globally, including China's crude oil future market, which is the third most traded crude oil futures after WTI and Brent. As China's first crude oil futures accessible to foreign investors, the Shanghai crude oil futures (SC) have attracted significant interest since launch at the Shanghai International Energy Exchange. The impact of COVID-19 on the new crude oil future…
Shao Ying-Hui, Liu Ying-Lin, Yang Yan-Hong
arXiv · arXiv · 2021
In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China stock markets, we develop a novel jump-diffusion process. For example, we consider three channels for volatility contagion--such as integrated volatility, positive jump variation, an…
Minseog Oh, Donggyu Kim
arXiv · arXiv · 2020
Using the carefully selected industry classification standard, we divide 102 industry securities indices in China's stock market into four demand-oriented sector groups and identify demand-oriented industry-specific volatility spillover networks. The "deman-oriented" is a new idea of reconstructing the structure of the networks considering the relationship between industry sectors and the economic demand their output…
Fu Qiao, Yan Yan