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This study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities, to improv...
Systematic risks in cryptocurrency markets have recently increased and have been gaining a rising number of connections with economics and financial markets; however, in this area, climate shocks could be a ne...
This paper employs wavelet coherence, Cross-Quantilogram (CQ), and Time-Varying Parameter Vector-Autoregression (TVP-VAR) estimation strategies to investigate the dependence structure and connectedness between...
Although the 2022 cryptocurrency market crash prompted despair among investors, the rallying cry, “wagmi” (We’re all gonna make it.) emerged among cryptocurrency enthusiasts in the aftermath. Did cryptocurrenc...
Cryptocurrency adoption has gained significant attention across various fields owing to its disruptive potential and associated challenges. However, companies' adoption of cryptocurrencies remains relatively l...
Modeling implied volatility (IV) is important for option pricing, hedging, and risk management. Previous studies of deterministic implied volatility functions (DIVFs) propose two parameters, moneyness and time...
In South Asia, Pakistan has a long and deadly history of floods that cause losses to various infrastructures, lives, and industries. This study aims to identify the most appropriate flood risk mitigation strat...
We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better k...
Recent theoretical developments in economics distinguish between risk and ambiguity (Knightian uncertainty). Using state-of-the-art methods with intraday stock market data from February 1993 to February 2021, ...
This paper applies deep learning models to predict Bitcoin price directions and the subsequent profitability of trading strategies based on these predictions. The study compares the performance of the convolut...
The biopharmaceutical sector is of considerable interest during the COVID-19 pandemic. This study aims to investigate the biopharmaceutical sector using the Shenwan Industry Classification and provides insight...
This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and se...
The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isol...
This study systematically reviewed the literature on using the Google Search Volume Index (GSVI) as a proxy variable for investor attention and stock market movements. We analyzed 56 academic studies published...
The informativeness of environmental, social, and governance (ESG) scores and their actual impact on firms remains understudied. To address this gap in the literature, we make theoretical predictions and condu...
In the context of the rapidly growing demand for green investments and the need to combat climate change, this study contributes to the emerging literature on green investments by exploring the time–frequency ...
Commodity markets, such as crude oil and precious metals, play a strategic role in the economic development of nations, with crude oil prices influencing geopolitical relations and the global economy. Moreover...
The consideration of environmental, social, and governance (ESG) aspects has become an integral part of investment decisions for individual and institutional investors. Most recently, corporate leaders recogni...
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 t...
Strategic portfolios are asset combinations designed to achieve investor objectives. A unique feature of these investments is that portfolios must be rebalanced periodically to maintain the initially establish...
International portfolio management is influenced by the existence of “frictions”, factors or events that interfere with trade, which are linked in financial literature to market-specific factors, such as avail...
We used daily return series for three pairs of datasets from the crude oil markets (WTI and Brent), stock indices (the Dow Jones Industrial Average and S&P 500), and benchmark cryptocurrencies (Bitcoin and Eth...
This study employs a fixed-effects model to investigate the holiday effect in the cryptocurrency market, using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from J...
This study developed several machine learning models to predict defaults in the invoice-trading peer-to-business (P2B) market. Using techniques such as logistic regression, conditional inference trees, random ...
In the blockchain world, proof-of-work is the dominant protocol mechanism that determines the consensus of the ledger. The hashrate, a measure of the computational power directed toward securing a blockchain t...
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin...
In the field of empirical asset pricing, the challenges of high dimensionality, non-linear relationships, and interaction effects have led to the increasing popularity of machine learning (ML) methods. This st...
This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR)...
This study examines the nexus between the good and bad volatilities of three technological revolutions—financial technology (FinTech), the Internet of Things, and artificial intelligence and technology—as well...
We provide empirical evidence supporting the economic reasoning behind the impossibility of diversification benefits and the hedge attributes of cryptocurrencies remaining in force during the downside trends o...
Drawing on emotional contagion theory and language-mediated association theory, this study develops a research model to examine how textual and facial emotions affect charitable crowdfunding performance. We us...
This study aims to identify the factors that robustly contribute to Bitcoin liquidity, employing a rich range of potential determinants that represent unique characteristics of the cryptocurrency industry, inv...
In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoi...
Using data on Chinese non-financial listed firms covering 2009 to 2022, we explore the effect of supply chain transparency on stock price crash risk. Two proxies for supply chain transparency are constructed u...
This study explores the complex relationships involving ecological footprints, energy use, carbon emissions, governance efficiency, economic prosperity, and financial stability in South Asian nations spanning ...
The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets. This paper investigates the connectedness between the 10 most traded cryptocurrencies a...
This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail targeting of the extreme value (EV) model. We implement Lévy...
As the crypto-asset ecosystem matures, the use of high-frequency data has become increasingly common in decentralized finance literature. Using bibliometric analysis, we characterize the existing cryptocurrenc...
This study explores the role of financial support in the digital transformation of Chinese A-share-listed companies from 2001 to 2020. By utilizing the moderating effect model and threshold regression model, t...
Forecasting changes in stock prices is extremely challenging given that numerous factors cause these prices to fluctuate. The random walk hypothesis and efficient market hypothesis essentially state that it is...
In the data envelopment analysis (DEA) literature, productivity change captured by the Malmquist productivity index, especially in terms of a deterministic environment and stochastic variability in inputs and ...
The convergence of blockchain and immersive technologies has resulted in the popularity of Metaverse platforms and their cryptocurrencies, known as Metaverse tokens. There has been little research into tokenom...
This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms o...
We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter vector autoregression approach. We find that lower and upper...
This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies. Specifically, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) we...
The potential hypotheses for finance research based on social media sentiment revolve around the reliability of investor sentiment expressed on social media and the causal relationship between financial market...
In this paper, we compare the dynamics of the growth rates of the original Divisia monetary aggregates, the credit card-augmented Divisia monetary aggregates, and the credit card-augmented Divisia inside monet...
