Results 51 to 60 of about 41,672 (247)
Deeper Hedging: A New Agent-based Model for Effective Deep Hedging
4th ACM International Conference on AI in Finance, 2023 We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders, and volatility traders. The volatility traders participate in the market by innovatively following a Heston-style volatility signal. The proposed model generalises both the
Kang Gao +5 more
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Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness
Financial InnovationThis study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023. To this end, we used the time-varying parameter vector autoregression (TVP-VAR) asymmetric connectedness approach of Adekoya
Onur Polat
semanticscholar +1 more source
Hedging Effectiveness on the MISO Exchange
International Journal of Energy Economics and PolicyThe purpose of this paper is to evaluate the effectiveness of four commonly used hedging techniques on wholesale electricity prices within the Midcontinent Independent System Operator (MISO) energy market.
Kevin Jones
semanticscholar +1 more source
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2022 Bu çalışmada minimum varyans, minimum korelasyon ve minimum bağlantılılık yaklaşımları ile altın ve altı büyük bankanın (İş Bankası, Garanti Bankası, Akbank, Yapı Kredi Bankası, Halkbank ve Vakıfbank) hisse senedinden oluşan portföyün finansal analizi ...
Hüseyin Özdemir
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BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
Journal of futures markets, 2019 BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute-by-minute data, we examine its price discovery and hedging effectiveness.
C. Alexander +3 more
semanticscholar +1 more source
ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach
SAGE Open, 2022 This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets.
Andreas Renard Widarto +3 more
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Applied Finance Letters, 2020 Agricultural commodity futures in India are settled by physical delivery and the seller can choose the location of delivery from a list described in the contract specifications.
Sanjay Mansabdar, Hussain C Yaganti
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Sustainable and responsible investment dynamic cross-asset portfolio
Cogent Business & Management, 2023 Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold.
Robiyanto Robiyanto +3 more
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Transaction Frequency and Hedging in Commodity Processing
Journal of Agricultural and Resource Economics, 2005 This study examines the effect of transaction frequency on profit and cash flow risk for firms that periodically purchase inputs, continuously transform inputs into outputs, and periodically sell output.
Roger A. Dahlgran
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Risks, 2020 We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged.
Uditha Balasooriya +2 more
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