Three Essays On Big Data In International Finance
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Three Essays On Big Data In International Finance
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Author : Ziqi Zang
language : en
Publisher:
Release Date : 2019
Three Essays On Big Data In International Finance written by Ziqi Zang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This dissertation presents an introduction to big data that can potentially be used in nowcasting key macroeconomic variables for advanced economies. It also explores the forecastability of big data in short-term exchange rate forecasting. Finally, it draws on evidence from a sentiment analysis of Article IV Consultations over the period of 2012 to 2018 and examines the development of member countries' perceptions of IMF policy advice. Chapter 1 uses big data from Google search data to form better nowcasts of macroeconomic variables. My empirical strategy contributes to the macroeconomic nowcasting literature on three fronts. First, I take a number of steps to identify the most comprehensive set of relevant search queries that capture people's search behavior in relation to each monetary policy variable, such as the unemployment rate and inflation. Second, I consider regularization and dimension reduction methods to handle the underlying high-dimensional regressor space with highly correlated covariates. Third, I evaluate both average point forecasts and conditional point forecasts against benchmark models with DMW test and CSPA test, respectively. According to the test statistics, I find that Google search data offer significant improvements in nowcasting macroeconomic variables both unconditionally and conditionally. Chapter 2 examines the short-term forecastability of exchange rates using machine learning models in a rich data environment. I investigate the performance of different machine learning models, such as variable selection models, dynamic factor model, and decision regression trees in obtaining accurate forecasts of three currency pairs (U.S./U.K., Japan/U.S. and U.S./Australia). I consider three types of forecasts: point forecasts, unconditional weighted directional forecasts and conditional weighted directional forecasts. According to the DMW test, out-of-sample forecasts of every currency rejects the null hypothesis of equal forecasting errors with the random walk with at least one machine learning model. Furthermore, the conditional weighted directional forecasts allow us to know when exactly our models are more profitable than the random walk with zero profit. And it turns out that our weighted directional forecasts are significantly positive especially on the tails of the conditioning variable distribution. Chapter 3 constructs multi-aspect policy sentiment measurements to interpret authorities' tones in response to specific policy advice in IMF Article IV Consultations. Specifically, we use a topic-based sentiment analysis approach that entails the application of a latent Dirichlet allocation (LDA) model as well as sentiment prediction machine learning models. Therefore, we are able to provide the stylized facts that provide useful input for assessing the impact of Fund advice on macroeconomic development of member countries.
Three Essays In International Finance
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Author : Jian Wang
language : en
Publisher:
Release Date : 2006
Three Essays In International Finance written by Jian Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Three Essays In International Finance And Financial Economics
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Author : Xiaoqiang Hu
language : en
Publisher:
Release Date : 1994
Three Essays In International Finance And Financial Economics written by Xiaoqiang Hu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Thinking Ahead Essays On Big Data Digital Revolution And Participatory Market Society
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Author : Dirk Helbing
language : en
Publisher: Springer
Release Date : 2015-04-10
Thinking Ahead Essays On Big Data Digital Revolution And Participatory Market Society written by Dirk Helbing and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-10 with Computers categories.
The rapidly progressing digital revolution is now touching the foundations of the governance of societal structures. Humans are on the verge of evolving from consumers to prosumers, and old, entrenched theories – in particular sociological and economic ones – are falling prey to these rapid developments. The original assumptions on which they are based are being questioned. Each year we produce as much data as in the entire human history - can we possibly create a global crystal ball to predict our future and to optimally govern our world? Do we need wide-scale surveillance to understand and manage the increasingly complex systems we are constructing, or would bottom-up approaches such as self-regulating systems be a better solution to creating a more innovative, more successful, more resilient, and ultimately happier society? Working at the interface of complexity theory, quantitative sociology and Big Data-driven risk and knowledge management, the author advocates the establishment of new participatory systems in our digital society to enhance coordination, reduce conflict and, above all, reduce the “tragedies of the commons,” resulting from the methods now used in political, economic and management decision-making. The author Physicist Dirk Helbing is Professor of Computational Social Science at the Department of Humanities, Social and Political Sciences and an affiliate of the Computer Science Department at ETH Zurich, as well as co-founder of ETH’s Risk Center. He is internationally known for the scientific coordination of the FuturICT Initiative which focuses on using smart data to understand techno-socio-economic systems. “Prof. Helbing has produced an insightful and important set of essays on the ways in which big data and complexity science are changing our understanding of ourselves and our society, and potentially allowing us to manage our societies much better than we are currently able to do. Of special note are the essays that touch on the promises of big data along with the dangers...this is material that we should all become familiar with!” Alex Pentland, MIT, author of Social Physics: How Good Ideas Spread - The Lessons From a New Science "Dirk Helbing has established his reputation as one of the leading scientific thinkers on the dramatic impacts of the digital revolution on our society and economy. Thinking Ahead is a most stimulating and provocative set of essays which deserves a wide audience.” Paul Ormerod, economist, and author of Butterfly Economics and Why Most Things Fail. "It is becoming increasingly clear that many of our institutions and social structures are in a bad way and urgently need fixing. Financial crises, international conflicts, civil wars and terrorism, inaction on climate change, problems of poverty, widening economic inequality, health epidemics, pollution and threats to digital privacy and identity are just some of the major challenges that we confront in the twenty-first century. These issues demand new and bold thinking, and that is what Dirk Helbing offers in this collection of essays. If even a fraction of these ideas pay off, the consequences for global governance could be significant. So this is a must-read book for anyone concerned about the future." Philip Ball, science writer and author of Critical Mass “This collection of papers, brought together by Dirk Helbing, is both timely and topical. It raises concerns about Big Data, which are truly frightening and disconcerting, that we do need to be aware of; while at the same time offering some hope that the technology, which has created the previously unthought-of dangers to our privacy, safety and democracy can be the means to address these dangers by enabling social, economic and political participation and coordination, not possible in the past. It makes for compelling reading and I hope for timely action.”Eve Mitleton-Kelly, LSE, author of Corporate Governance and Complexity Theory and editor of Co-evolution of Intelligent Socio-technical Systems
Three Essays On High Frequency Financial Data And Their Use For Risk Management
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Author : Maria Pacurar
language : en
Publisher:
Release Date : 2006
Three Essays On High Frequency Financial Data And Their Use For Risk Management written by Maria Pacurar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Essays In Big Data Finance
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Author : Sebastian Schreiber
language : en
Publisher:
Release Date : 2023
Essays In Big Data Finance written by Sebastian Schreiber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
Three Essays In International Finance
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Author : Byong-Ju Lee
language : en
Publisher: Stanford University
Release Date : 2011
Three Essays In International Finance written by Byong-Ju Lee and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Three Essays On Machine Learning In Empirical Finance
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Author : Jinhua Wang
language : en
Publisher:
Release Date : 2022
Three Essays On Machine Learning In Empirical Finance written by Jinhua Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Audit Analytics In The Financial Industry
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Author : Jun Dai
language : en
Publisher: Emerald Group Publishing
Release Date : 2019-10-28
Audit Analytics In The Financial Industry written by Jun Dai and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-28 with Business & Economics categories.
Split into six parts, contributors explore ways to integrate Audit Analytics techniques into existing audit programs for the financial industry. Chapters include topics such as fraud risks in the credit card sector, clustering techniques, fraud and anomaly detection, and using Audit Analytics to assess risk in the lawsuit and payment processes.
Three Essays On The Transformative Role Of Technology In Financial Markets
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Author : Khaladdin Rzayev
language : en
Publisher:
Release Date : 2019
Three Essays On The Transformative Role Of Technology In Financial Markets written by Khaladdin Rzayev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.