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Will high-frequency trading practices transform the financial markets in the Asia Pacific Region?

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financial Innovation 2015年第1期1卷 19-45页

作者： Robert J.Kauffman Yuzhou Hu Dan Ma School of Information Systems Singapore Management University

High-frequency trading(HFT)practices in the global financial markets involve the use of information and communication technologies(ICT),especially the capabilities of high-speed networks,rapid computation,and algorithmic detection of changing information and prices that create opportunities for computers to effect low-latency trades that can be accomplished in *** practices exist because a variety of new technologies have made them possible,and because financial market infrastructure capabilities have also been changing so *** ***,such as the National Association for Securities Dealers Automated Quote(NASDAQ)market and the New York Stock Exchange(NYSE),have maintained relevance and centrality in financial intermediation in financial markets settings that have changed so much in the past 20 years that they are hardly *** this article,we explore the technological,institutional and market developments in leading financial markets around the world that have embraced HFT *** these examples,we will distill a number of common characteristics that seem to be in operation,and then assess the extent to which HFT practices have begun to be observed in Asian regional financial markets,and what will be their likely *** also discuss a number of theoretical and empirical research directions of interest.

关键词： Asian region Equity markets financial innovation financial IS and technology financial markets High-frequency trading(HFT) Market transformation Technological innovation

Unprecedented Stock Market Recovery ——Did The Fed’s Monetary Policy Response Protect the United States’ financial markets to the COVID-19 Crisis?

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Unprecedented Stock Market Recovery ...

作者： HENDRIKS GLENN LEONARDUS ADRIANA 上海财经大学

学位级别：硕士

美国金融市场经历了历史上最快的重跌,以及空前的快速复苏。美联储宣布并实施了一系列货币政策以保护其金融市场。本文旨在回答以下问题:美联储的货币政策应对措施是否成功保护了美国的金融市场免受COVID-19危机的影响。本文使用下列各... 详细信息

美国金融市场经历了历史上最快的重跌,以及空前的快速复苏。美联储宣布并实施了一系列货币政策以保护其金融市场。本文旨在回答以下问题:美联储的货币政策应对措施是否成功保护了美国的金融市场免受COVID-19危机的影响。本文使用下列各种方法分析了货币政策是否是股市复苏的决定性因素。本文描述了S＆P500,VIX,EPU和COVID-19之间的相关关系。本文运用简单线性回归分析研究了这些变量之间关系的性质和特征,并运用多元线性回归分析回答了主要研究问题。结果表明,变量之间具有很强的相关性,并且彼此之间具有符合预期的影响。从这些结果可以看出,美联储确实通过降低VIX保护了其金融市场,并通过其货币政策促进了S＆P500指数的回升。

关键词： S&P500 COVID-19 Monetary Policy Fed VIX EPU financial markets

TRANSFORMATION OF FOOD SYSTEMS:HOW CAN IT BE FINANCED?

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Frontiers of Agricultural Science and Engineering 2023年第1期10卷 109-123页

作者： Eugenio DÍAZ-BONILLA Inter-American Institute for Cooperation on Agriculture(IICA) Washington DC 20006USA International Food Policy Research Institute(IFPRI) Washington DC 20005USA

The paper provides a review of the work on financing the transformation of food systems done by the author and colleagues at *** analysis discusses the objectives of that transformation(related to the Sustainable Development Goals and the Paris Agreement)and shows estimates of the costs *** it presents an evaluation of the existing financial flows and their potential scaling up,using a broader view of six main flows involved:two that are internal to food systems(consumer expenditures on food and related items,which are the main source of revenue(as sales)for the variety of actors on the supply side of food systems);and four that are external(international development funds,public budgets,banking systems,and capital markets).The paper notes that although current funding does not reach the scale needed to finance the desired transformation of food systems,there are sufficient potential financial resources available in the aggregate to achieve such ***,to mobilize the existing potential funds the paper discussed several things that need to be done,starting with an adequate macroeconomic and overall incentive framework to guide both the internal flows related to consumption and production decisions,as well as the four external *** paper also suggested other possible interventions to mobilize,reorient,and increase the financial flows to the desired *** further noted that the costs and financing,which in the paper were discussed at the global level,must be estimated at the country level,as part of the design and implementation of adequate national plans for equitable,healthy and sustainable food systems.

关键词： financial markets food systems development financing consumer expenditures public budgets Sustainable Development Goals

A Possible Origin of Power—Law Distribution in Stock markets

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Chinese Physics Letters 2002年第6期19卷 772-774页

作者：杨纯斌蔡勖 InstituteofParticlePhysics HuazhongNormalUniversityWuhan430079

The origin of the power-law distribution in stock markets is discussed from the point of view of self-organized criticality. An analytical expression for the distribution is given from a simple model consideration. We see that power-law increasing or decreasing distribution functions can have the same origin, depending on the values of the parameters.

关键词： financial markets

An integrated new threshold FCMs Markov chain based forecasting model for analyzing the power of stock trading trend

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financial Innovation 2019年第1期5卷 600-618页

作者： Kavitha Ganesan Udhayakumar Annamalai Nagarajan Deivanayagampillai Department of Mathematics Hindustan Institute of Technology&SciencePadurChennaiTamil Nadu 603103India

This paper explores the power of stock trading trend using an integrated New ThresholdFuzzy Cognitive Maps(NTFCMs)Markov chain *** new model captures thepositive as well as the negative jumps and predicts the trend for different stocks over 4months which follow an uptrend,downtrend and a mixed *** mean absolute percent error(MAPE)tolerance limits,the root mean square error(RMSE)tolerance limits aredetermined for various stock indices over a multi-timeframe period and observed for theexisting methods lying within the defined *** results show for every‘n’number ofpredictions made,the predicted close value of the day’s stock price was within tolerancelimit with 0%error and with 100%accuracy in predicting the future trend.

关键词： financial markets Prediction intervals Price forecasting Comparative studies Decision making Fuzzy cognitive maps(FCMs) Markov chain

Evaluation of forecasting methods from selected stock market returns

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financial Innovation 2019年第1期5卷 724-739页

作者： M.Mallikarjuna R.Prabhakara Rao Doctoral Research Scholar Department of EconomicsSri Sathya Sai Institute of Higher LearningVidyagiriPrasanthi NilayamAPIndia

Forecasting stock market returns is one of the most effective tools for risk management and portfolio *** are several forecasting techniques in the literature for obtaining accurate forecasts for investment decision *** empirical studies have employed such methods to investigate the returns of different individual stock ***,there have been very few studies of groups of stock markets or *** findings of previous studies indicate that there is no single method that can be applied uniformly to all *** this context,this study aimed to examine the predictive performance of linear,nonlinear,artificial intelligence,frequency domain,and hybrid models to find an appropriate model to forecast the stock returns of developed,emerging,and frontier *** considered the daily stock market returns of selected indices from developed,emerging,and frontier markets for the period 2000–2018 to evaluate the predictive performance of the above *** results showed that no single model out of the five models could be applied uniformly to all ***,traditional linear and nonlinear models outperformed artificial intelligence and frequency domain models in providing accurate forecasts.

关键词： financial markets Stock returns Linear and nonlinear Forecasting techniques Root mean square error

A Statistical Measure of Global Equity Market Risk

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Applied Mathematics 2020年第11期11卷 1053-1060页

作者： Daniel Felix Ahelegbey Department of Economics and Management University of Pavia Pavia Italy

We construct a new index of global equity market risk (EMR) using market interconnectedness and volatilities. We study the relationship between our EMR and the VIX over the last two decades. The EMR is shown to be a novel approach to measuring global market risk, and an alternative to the VIX. Using data of 20 major stock markets, including G10 economies, we find spikes in our EMR index during the dotcom bubble, the global financial crisis, the European sovereign debt crisis, and the novel coronavirus pandemic. The result shows that the global financial crisis and the COVID-19 induced crisis record the historic highest spikes in financial market risk, suggesting stronger evidence of contagion in both periods.

关键词： COVID-19 financial Crises financial markets Market Risk Mahalanobis Distance Volatility Index

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劳伦斯·萨默斯对于当代经济学的贡献