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Probability of informed trading during the COVID‑19 pandemic:the case of the Romanian stock market

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Financial Innovation 2023年第1期9卷 889-915页

作者： Cosmin Octavian Cepoi Victor Dragotă Ruxandra Trifan Andreea Iordache department of Money and banking and CEFIMO Faculty of Finance and BankingBucharest University of Economic StudiesBucharestRomania department of finance and CEFIMO Faculty of Finance and BankingBucharest University of Economic StudiesBucharestRomania Doctoral School of finance Faculty of Finance and BankingBucharest University of Economic StudiesBucharestRomania

Using data from the Bucharest Stock Exchange,we examine the factors influencing the probability of informed trading(PIN)during February—October 2020,a COVID-19 pandemic *** on an unconditional quantile regression approach,we show that PIN exhibit asymmetric dependency with liquidity and trading ***,building a customized database that contains all insider transactions on the Bucharest Stock Exchange,we reveal that these types of orders monotonically increase the infor-mation asymmetry from the 50th to the 90th quantile throughout the PIN ***,we bring strong empirical evidence associating the level of information asym-metry to the level of fake news related to the COVID-19 *** novel result suggests that during episodes when the level of PIN is medium to high(between 15 and 50%),any COVID-19 related news classified as misinformation released during the lockdown period,is discouraging informed traders to place buy or sell orders condi-tioned by their private information.

关键词： PIN COVID-19 Market microstructure Insider trading

Structure condition under initial enlargement of filtration

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Science China Mathematics 2017年第2期60卷 301-316页

作者： CHOULLI Tahir DENG Jun Mathematical and Statistical Sciences department University of Alberta School of banking and finance University of International Business and Economics

We address the question of how the structure condition is affected when one possesses some additional information at the very beginning of the investment *** structure condition represents essentially an alternative to non-arbitrage conditions for the Markowitz’s portfolio optimization framework,and is crucial for the existence of the optimal portfolio in quadratic utility ***,we provide practical assumption on the initial market model and the additional information to preserve the structure *** stochastic tools that drive this result are a generalization of the Lazaro-Yor representation by Lazaro and Yor(1978)and optional stochastic integral.

关键词： structure condition initial enlargement of filtration optional stochastic integral

On Optimal Mean-Field Control Problem of Mean-Field Forward-Backward Stochastic System with Jumps Under Partial Information

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Journal of Systems Science & Complexity 2017年第4期30卷 828-856页

作者： ZHOU Qing REN Yong WU Weixing School of Science Beijing University of Posts and Telecommunications department of Mathematics Anhui Normal University Research Center of Applied finance and School of finance and banking University of International Business and Economics

This paper considers the problem of partially observed optimal control for forward-backward stochastic systems driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field type. When the coefficients of the system and the objective performance functionals are allowed to be random, possibly non-Markovian, Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed. The authors also investigate the mean-field type optimal control problem for the system driven by mean-field type forward-backward stochastic differential equations(FBSDEs in short) with jumps, where the coefficients contain not only the state process but also its expectation under partially observed information. The maximum principle is established using convex variational technique. An example is given to illustrate the obtained results.

关键词： Forward-backward stochastic differential equation Girsanov's theorem jump diffusion Malliavin calculus maximum principle mean-field type partial information.

THE IMPACT OF WARRANTS INTRODUCTION:SIGN EFFECT OR MAGNITUDE EFFECT?

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Journal of Systems Science & Complexity 2013年第3期26卷 419-431页

作者： ZHOU Hailin DING Zhonging XIE Haibin WU Xinyu WANG Shouyang School of finance Anhui University of Finance and Economics School of banking and finance University of Business and Economics MADIS Academy of Mathematics and Systems ScienceChinese Academy of Sciences

The data of warrants underlying stocks was selected for the sample period from August,2005 to December,*** data the authors collected did not include the announcement date of reform of non-tradable underlying shares,and was available from Shanghai and Shenzhen stock *** event study method is employed to test the magnitude effect based on the Wild bootstrap,which is performed on the abnormal return,the cumulative abnormal return,and the standardized cumulative abnormal *** results show no evidence of magnitude effect but sign effect after warrants *** authors argue that this phenomenon is caused by the migration of radical agents from stock market to warrant market.

关键词： Magnitude effect sign effect warrant introduction wild bootstrap event study wild bootstrap sigh test.

Vulnerable European Call Option Pricing Based on Uncertain Fractional Differential Equation

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Journal of Systems Science & Complexity 2023年第1期36卷 328-359页

作者： LEI Ziqi ZHOU Qing WU Weixing WANG Zengwu School of Science Beijing University of Posts and TelecommunicationsBeijing 100876China Research Center of Applied finance and School of finance and banking University of International Business and EconomicsBeijing 100029China Institute of finance and banking Chinese Academy of Social SciencesBeijing 100029China

This paper presents two new versions of uncertain market models for valuing vulnerable European call *** dynamics of underlying asset,counterparty asset,and corporate liability are formulated on the basis of uncertain differential equations and uncertain fractional differential equations of Caputo type,respectively,and the solution to an uncertain fractional differential equation of Caputo type is presented by employing the Mittag-Leffler function andα-***,the pricing formulas of vulnerable European call option based on the proposed models are investigated as well as some *** numerical experiments are performed to verify the effectiveness of the results.

关键词： α-path uncertainty uncertain fractional differential equation vulnerable option pricing

Livelihood status of small-scale fishermen and determinants of their income: Insights from north-eastern floodplains of Bangladesh

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Geography and Sustainability 2022年第3期3卷 204-213页

作者： Kishor Kumar Tikadar Md.Jahurul Islam Sourav Mohan Saha Md.Mehedi Alam Sanzib Kumar Barman Md.Asadur Rahman department of Fishery Resources Conservation and Management Khulna Agricultural UniversityKhulna 9100Bangladesh department of agricultural Economics Khulna Agricultural UniversityKhulna 9100Bangladesh department of agricultural finance Co-operatives and BankingKhulna Agricultural UniversityKhulna 9100Bangladesh

The small-scale fishermen in the north-eastern floodplains are one of the most vulnerable communities of Bangladesh due to their limited *** study assessed their livelihood status using a sustainable livelihood framework and employed a multiple regression model to evaluate factors influencing their *** data were collected from fishermen’s households in Tanguar Haor and Hakaluki Haor through direct *** revealed that these households lacked human capital,had poor sanitation facilities and suffered from frequent *** income is very limited as they lack training on other socioeconomic activities to comple-ment their livelihood grounded on ***,their financial capital was very deficient and ranked lowest among other livelihood ***’s major physical assets were the boats used for group and individual *** small-scale fishermen had limited involvement with local administration,and around half of them were members of various *** of these households had low participation in fishing or other income *** income of the fishermen was influenced by their age,fish catch per day,training and NGO *** increase the earnings and improve the livelihood status of small-scale fishers in the floodplain,this study suggests providing training on complementary income generating activities,improving sanitation facilities and providing additional government and non-government support.

关键词： Fishermen Livelihood assessment index Floodplains Tanguar Haor Hakaluki Haor Income

Climate policy and cross-border lending:evidence from the syndicated loan market

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Economic and Political Studies 2021年第4期9卷 463-476页

作者： Emanuela Benincasa department of banking and finance University of ZurichZurichSwitzerland Swiss finance Institute ZurichSwitzerland

Do cross-country differences in climate policy influence bank lending?This paper focusses on the period 2007–2017 and uses syndicated loan-level data to examine if the stringency of homecountry climate policies increases cross-border bank *** fixed effects allow us to disentangle loan demand from supply and to control for unobserved and observed loan and firm characteristics.I find evidence that a strict home-country climate policy is associated with an increase in banks’cross-border loan *** suggests that the transition to a low-carbon economy might be threatened if global coordination between governments is not enforced.

关键词： Cross-border lending climate policy syndicated loans

Pricing of Defaultable Securities Associated with Recovery Rate Under the Stochastic Interest Rate Driven by Fractional Brownian Motion

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Journal of Systems Science & Complexity 2019年第2期32卷 657-680页

作者： ZHOU Qing WANG Qian WU Weixing School of Science Beijing University of Posts and Telecommunications School of banking and finance University of International Business and Economics

This paper considers an improved model of pricing defaultable bonds under the assumption that the interest rate satisfies the Vasicek model driven by fractional Brownian motion(fBm for short)based on the counterparty risk framework of Jarrow and Yu(2001). The authors use the theory of stochastic analysis of f Bm to derive pricing formulas for the defaultable bonds and study how the counterparty risk, recovery rate, and the Hurst parameter affect the values of the defaultable *** experiment results are presented to demonstrate the findings.

关键词： Counterparty risk defaultable bond fractional Brownian motion recovery rate Vasicek model

SOME NORMALITY CRITERIA OF MEROMORPHIC FUNCTIONS

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Acta Mathematica Scientia 2013年第6期33卷 1667-1674页

作者：雷春林方明亮曾翠萍 department of Applied Mathematics South China Agricultural University department of Mathematics Guangdong University of Finance

Let F be a family of functions meromorphic in a domain D, let n ≥ 2 be a positive integer, and let a ≠ 0, b be two finite complex numbers. If, for each f ∈ F, all of whose zeros have multiplicity at least k ＋ 1, a... 详细信息

关键词： meromorphic function value distribution normal families