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Quantitative Finance and Economics, 2022 In this paper, two comprehensive mathematical approaches: cubic piecewise polynomial function (CPPF) model and the Fourier Flexible Form (FFF) model are built into asset pricing models to explore the stock market risk, commodity market risk and overall ...
Fangzhou Huang +2 more
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Bubbles and Incentives: An Experiment on Asset Markets [PDF]
SSRN Electronic Journal, 2012 We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets. We compare (i) a no-bonus treatment; (ii) a short-term bonus treatment in which bonuses are assigned to the best performers at the end of each trading period; (iii) a long-term bonus ...
Robin, Stéphane +2 more
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Financial market regulation and corporate social responsibility: Evidence from China's new asset management regulation. [PDF]
PLoS ONEThis study explores how the financial market environment reshapes corporate social responsibility using a quasi-natural experiment provided by China's New Asset Management Regulation. Our research focuses on the adaptive strategies of non-financial firms
Le Zhu, Yichuan Wang, Quan Zhang
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Does Chinese-style margin trading promote the high-quality development of listed companies?
PLoS ONE, 2023 Using the margin trading reform of China’s stock market as a quasinatural experiment, this paper explores whether margin trading promotes the high-quality development of listed companies.
Jingyao Tang, Yu Wu, Yunqi Ye
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Valuation of bid and ask prices for European options under mixed fractional Brownian motion
AIMS Mathematics, 2021 In this paper, we study the valuation of the bid and ask prices for European options under the mixed fractional Brownian motion with Hurst index H>3/4, which is able to capture the long range dependence of the underlying asset returns in real markets. As
Zhe Li, Xiao-Tian Wang
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Insights on the Statistics and Market Behavior of Frequent Batch Auctions
Mathematics, 2023 This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known ...
Thiago W. Alves +2 more
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Data Science in Finance and Economics, 2021 With fast evolving econometric techniques being adopted in asset pricing, traditional linear asset pricing models have been criticized by their limited function on capturing the time-varying nature of data and risk, especially the absence of data ...
Fangzhou Huang +2 more
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Ambiguity in Asset Markets: Theory and Experiment [PDF]
Review of Financial Studies, 2010 This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes toward risk are heterogeneous across the population, but that heterogeneity of attitudes toward ...
P. Bossaerts +3 more
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SAGE Open, 2022 We estimate the extent of the moderating effect of varying regional ownership structures on the relationship between the VAT reform and industrial upgrading in a panel differences-in-differences framework, using a natural experiment of the China’s 2004 ...
Junguo Shi +6 more
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Perpetual Contract NFT as Collateral for DeFi Composability
IEEE Access, 2022 Decentralized Finance (DeFi) is an emerging financial service model based on blockchain technology. DeFi composability denotes the ability for different DeFi services to interact with one another resulting in new forms of financial services.
Hyoungsung Kim +2 more
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