Essays on Financial Analytics: Applications and Methods (Lecture Notes in Operations Research)

✍ Scribed by Pascal Alphonse (editor), Karima Bouaiss (editor), Pascal Grandin (editor), Constantin Zopounidis (editor)

• Publisher: Springer
• Year: 2023
• Tongue: English
• Leaves: 344
• Category: Library

✦ Synopsis

This book covers recent research advances, methods and techniques, applications and projects in financial analytics, with a focus on the effects of the health crisis on banking activities and financial engineering. It explores the latest developments in banking regulation, banking and financial systems, financial engineering, and corporate finance in order to provide financial analytics that assess financial stability and sustainability.

Written for researchers and practitioners alike, the book is intended to promote stimulating scientific exchanges, ideas and experiences in the field of financial analytics for economics and management.

✦ Table of Contents

Contents
Part I Risk Assessment and Growth Models
Foreign Exchange Risk Hedging Policy: Evidence from France
1 Introduction
2 Determinants of FX Risk Financial and Operational Hedging
2.1 Currency Derivatives' Hedging Determinants
2.1.1 Firm Size
2.1.2 Financial Distress Risk
2.1.3 Exports Level
2.1.4 Growth Opportunities
2.1.5 Liquidity
2.2 Foreign Debt Use Determinants
2.2.1 Firm Size
2.2.2 Debt Level
2.2.3 Profitability
2.2.4 Exposure to FX Risk
2.2.5 Growth Opportunities
2.2.6 Information Asymmetries
3 Dataset and Methodology
3.1 Dataset
3.2 Methodology
4 Empirical Results
4.1 Univariate Analysis
4.2 Multivariate Analysis
4.2.1 FX Risk Hedging Probability
4.2.2 FX Risk Hedging Level
4.2.3 Currency Derivatives and Foreign DebtInterdependence
5 Conclusion
References
Monetary Utility Functions and Risk Functionals
1 Monetary Utility Functions and Risk Metrics
2 Risk Functionals and Their Equivalence
2.1 The Case of Conditional Value at Risk
3 Monetary Utility Functions and Equilibrium
4 Optimal Risk Allocations
5 Creating Monetary Utility Functions
6 Analysis Notions and Results Used in the Paper
7 Further Research
References
Koopman Operators and Extended Dynamic Mode Decomposition for Economic Growth Models in Terms of Fractional Derivatives
1 Introduction
2 Fractional Calculus
2.1 The Riemann-Liouville Fractional Derivative
2.2 The Grünwald-Letnikov Fractional Derivative
3 Koopman Operator and Extended Dynamic Mode Decomposition
3.1 Koopman-EDMD Theory
3.2 Koopman-EDMD Theory with Fractional Derivatives Present
4 Conclusions
References
Part II Cryptocurrency and Investment Policy
Efficiency, Taxation, and Solvency Issues for SMEs: The Case of Greece, Italy, and Spain
1 Introduction
2 Methodology: Two-Stage Approach
3 DEA Description
4 Econometric Results
5 Conclusions: Considerations
References
Use of Financial Instruments Among the Chilean Households
1 Introduction
2 The EFH Dataset
3 Use of Financial Instruments in Chile
3.1 Real Assets, Financial Assets, and Debt Ownership
3.2 Financial Assets and Insurance Contracts by Type
3.3 Debts
3.4 International Comparison of the Chilean Household Debt Use
4 Consumption of Financial Goods and Insurance
5 Conclusions
References
Investor Attention and Bitcoin Trading Behaviors
1 Data
2 Empirical Methodology
2.1 Statistical Causality Between Attention and Bitcoin Trading
2.2 Asymmetric Impact of Attention on Bitcoin Trading
3 Empirical Results
4 Conclusion
References
Cryptocurrency Portfolios Using Heuristics
1 Introduction
2 Data and Methodology
2.1 Data
2.2 Methodology: Portfolio Construction Techniques
3 Performance Metrics and Transaction Costs
3.1 Performance Metrics
3.2 Transaction Costs
4 Results
5 Conclusions
References
Part III Financial Strategy and Analytics
Detecting Equity Style Information Within Institutional Media
1 Introduction
2 Literature Review
3 Institutional Media Corpus
4 Methodology
4.1 Dictionary Approach
4.2 Machine Learning Approaches
4.3 Performance Assessment
4.4 Data Labelling, Training Sample, and Cross-Validation
5 Results
5.1 Performance of Style Dictionaries
5.2 Performance of Machine Learning Algorithms
6 Conclusions
Appendix: Dictionary Approach: False Positives and False Negatives (Exhaustive List)
References
Financial Analytics and Decision-Making Strategies: Future Prospects from Bibliometrix Based on R Package
1 Introduction
2 The Evolution of Financial Analytics over the Time
3 Structural Levels of Financial Analytics
4 Applications of Financial Analytics in Decision-Making Process
5 Trends and Prospects in Financial Analytics
6 Conclusions
References
IFRS 9 Financial Assets: Debt Instrument Classification and Management Under the New Accounting Standard—A Case Study of Greek Government Bonds in Banks' Investment Portfolios
1 Introduction
2 Literature Review
3 Methodology
3.1 Data
3.2 ECL Computation Approach
4 Empirical Results
4.1 Calculations for 2018
4.2 Calculations for 2019
4.3 Calculations for 2020
4.4 Summary
5 Conclusion
Annex 1: Calculation of IRR
Annex 2: Calculations for Bonds Under FVTOCI and AC for Each Quarter
Bibliography
International
Greek
Websites
Part IV Portfolio Management and Fintech
Geographic Dispersion and IPO Underpricing
1 Introduction
2 Literature Review
2.1 Underpricing Theories
2.1.1 Asymmetric Information
2.1.2 Institutional Reasons
2.1.3 Ownership and Control Considerations
2.1.4 Behavioural Approaches and Other Theories
2.2 Geographic Dispersion
3 Hypothesis Development
3.1 Geographic Dispersion Sample Selection and Data Sources
3.1.1 Number of States as a Measure of Geographic Dispersion
3.1.2 Concentration as a Measure of Geographic Dispersion
3.1.3 Concentration and Other Firm Characteristics
3.2 Litigation (Accounting Fraud)
3.3 Explanatory Variables for Underpricing and Litigation
4 Empirical Results
4.1 Introduction
4.2 Main Findings/Results
4.2.1 Underpricing and Geographic Dispersion (Local Firm 20) Regressions
4.2.2 Robustness Test with Concentration as a Measure of Geographic Dispersion
4.2.3 Robustness Test with Local Firm 80 as Measure of Geographic Dispersion
4.2.4 Geographic Dispersion and Litigation (Accounting Fraud) Regressions
5 Conclusion
Appendix
References
An Advanced Approach to Algorithmic Portfolio Management
1 Introduction
2 AOM and RAP Metrics Development
2.1 Spreads
2.2 Diversification and Algorithm Optimisation Metric (AOM)
2.3 Risk-Adjusted Profits (RAP)
2.4 Data
3 PSI Metric Development
4 Significance in Portfolio Management
4.1 Portfolios
4.2 Alignment
4.3 Correlations
5 Conclusions
A.1 Appendix
References
The Rise of Fintech and Healthcare SPACs
1 Introduction
2 Literature Review
2.1 SPACs
2.2 The Economic Role of SPAC Investors
2.3 Theoretical Framework
2.3.1 Signalling Theory
2.3.2 Agency Theory
2.3.3 Information Asymmetry
2.3.4 Winner's Curse
2.4 Hypotheses Development
3 Data and Methodology
3.1 Methodology
3.1.1 SPAC Pricing
4 Empirical Analysis
4.1 Regression Analysis
4.2 Robustness Checks
4.2.1 The Effect of the Management Team on the Share Price
4.3 Logit Model
4.4 Probit Model
5 Conclusion
A.1 Appendix
References
An Answer to Roll's Critique (1977) Forty Five Years Later
1 Introduction
2 Literature Review
2.1 Asset Pricing Framework
2.2 Errors-in-Variables Framework
3 Errors-in-Variables
3.1 Consequences of EIV
3.2 CGA-Based Estimation of EIV Model
3.3 GMM-Based Estimation of EIV Model
4 Data and Methodology
5 Time-Series Regressions' Results
5.1 Intercepts (α)
5.2 Market Risk Premium and βM
5.3 Adjusted R2
5.4 GRS Test
5.5 Additional Results
6 Conclusion and Future Research
Appendix: Pseudo-Code of the Algorithm
References