Using NSIA Framework to Evaluate Impact of Sentiment Datasets on Intraday Financial Market Measures: A Case Study

2019 ◽  
pp. 101-117
Author(s):  
Islam Al Qudah ◽  
Fethi A. Rabhi
Keyword(s):  
Financial Market

scholarly journals Understanding Changes in the Topology and Geometry of Financial Market Correlations during a Market Crash

Entropy ◽  
2021 ◽  
Vol 23 (9) ◽  
pp. 1211
Author(s):  
Peter Tsung-Wen Yen ◽  
Kelin Xia ◽  
Siew Ann Cheong
Keyword(s):  
Financial Market ◽  
Information Filtering ◽  
Neck Region ◽  
Topological Data Analysis ◽  
Financial Networks ◽  
Minimal Spanning Tree ◽  
Geometric Information ◽  
Stock Market Crash ◽  
The Past

In econophysics, the achievements of information filtering methods over the past 20 years, such as the minimal spanning tree (MST) by Mantegna and the planar maximally filtered graph (PMFG) by Tumminello et al., should be celebrated. Here, we show how one can systematically improve upon this paradigm along two separate directions. First, we used topological data analysis (TDA) to extend the notions of nodes and links in networks to faces, tetrahedrons, or k-simplices in simplicial complexes. Second, we used the Ollivier-Ricci curvature (ORC) to acquire geometric information that cannot be provided by simple information filtering. In this sense, MSTs and PMFGs are but first steps to revealing the topological backbones of financial networks. This is something that TDA can elucidate more fully, following which the ORC can help us flesh out the geometry of financial networks. We applied these two approaches to a recent stock market crash in Taiwan and found that, beyond fusions and fissions, other non-fusion/fission processes such as cavitation, annihilation, rupture, healing, and puncture might also be important. We also successfully identified neck regions that emerged during the crash, based on their negative ORCs, and performed a case study on one such neck region.

scholarly journals Behavioural Present Value Defined as Fuzzy Number – a New Approach

2015 ◽  
Vol 15 (2) ◽  
pp. 27-41 ◽  
Author(s):  
Krzysztof Piasecki ◽  
Joanna Siwek
Keyword(s):  
Financial Market ◽  
Fuzzy Number ◽  
Formal Model ◽  
Market Equilibrium ◽  
Present Value ◽  
New Approach ◽  
Behavioural Factors ◽  
The Impact ◽  
Numerical Case Study

Abstract The behavioural present value is defined as a fuzzy number assessed under the impact of chosen behavioural factors. The first formal model turned out to be burdened with some formal defects which are finally corrected in the presented article. In this way a new modified formal model of a behavioural present value is obtained. New model of the behavioural present value is used to explain the phenomenon of market equilibrium on the efficient financial market remaining in the state of financial imbalance. These considerations are illustrated by means of extensive numerical case study.

scholarly journals Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares

2015 ◽  
Vol 2015 ◽  
pp. 1-10
Author(s):  
Jianhui Yuan ◽  
Yu Pan ◽  
Xin Zhang
Keyword(s):  
Financial Market ◽  
Market Microstructure ◽  
Hot Spot ◽  
Emerging Market ◽  
Dynamic Change ◽  
Ultrahigh Frequency ◽  
Frequency Data ◽  
Duration Estimation

Liquidity has always been a hot spot for researchers of financial market microstructures. Analysis of liquidity is of great significance for investors and market regulators. Ultrahigh frequency data records the whole dynamic change of the trading process, so it has advantages in depicting the market microstructure. This study analyzes Asian emerging market equities liquidity using ultrahigh frequency data. We used various forms of WACD models and let trading duration be indicators of liquidity. Through the residual test, we were able to select the best model to describe the overall liquidity.

scholarly journals Business process prioritization criteria: a case study in the financial market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Robson Porfírio dos Santos ◽  
Thaiane Martins Salgado ◽  
Veridiana Rotondaro Pereira
Keyword(s):  
Financial Market ◽  
Qualitative Methodology ◽  
Business Processes ◽  
Practical Implication ◽  
Financial Sector ◽  
Critical Issue ◽  
Careful Study ◽  
Structured Interviews ◽  
Content Type

Purpose This paper aims to analyze and examine how an organization from the financial sector prioritizes its business processes and what criteria are adopted to select the most appropriate process for improvement projects. Design/methodology/approach This descriptive research is based on an exploratory approach. Qualitative methodology was applied to a case study through on-site observation, documentation analysis and semi-structured interviews. Findings The results confirm criteria mentioned in the literature, such as financial aspects and strategic impacts, but also raised a new critical issue: automation potential of manual processes, reflecting the current movement of process automation. Research limitations/implications As a limitation of this study, it is worth mentioning the application in only one organization in the financial market and the small number of respondents, even though they occupy leadership positions in the organization. Practical implications As a practical implication, the present work offers a direction for managers of the financial sector in structuring and applying models for prioritizing processes aimed at organizational efficiency. Social implications Automation solutions for process improvement need careful study to minimize impacts in human resources reduction. In this sense, the eligibility of a process for automation must be carefully considered. Originality/value This paper presents the evolution of the process prioritization model adopted by a large institution in the financial market, which has a significant presence in the Brazilian and international markets as a commercial and wholesale bank.

scholarly journals Investor Relations & Importance in the Global Financial Market

Equilibrium ◽  
2012 ◽  
Vol 7 (2) ◽  
pp. 59-76 ◽  
Author(s):  
Danuta Dziawgo
Keyword(s):  
Financial Market ◽  
Capital Market ◽  
Method Comparison ◽  
Comparison Method ◽  
Point Of View ◽  
Individual Investors ◽  
Investor Relations ◽  
Questionnaire Method

The aim of the elaboration is to draw attention to selected aspects of investor relations importance for capital market functioning to increase the quality of communication with investors in the global financial market. The article presents the importance of investor relations from a macroeconomic and microeconomic point of view. The theory was complemented with selected surveys results.The surveys were conducted by the author on a sample of individual investors, stock-quoted companies and sell-side analysts on Polish capital market between June 2009 – March 2010. In the article, description method, comparison method, case study and questionnaire method were used.

scholarly journals FACTORS WHICH INFLUENCE LIQUID ASSETS IN SHARIA BANKS: A CASE STUDY OF PT BANK SYARIAH MANDIRI 2016-2017

2020 ◽  
Vol 9 (2) ◽  
pp. 133
Author(s):  
Taryana Harun
Keyword(s):  
Financial Market ◽  
Market Access ◽  
Third Party ◽  
Liquidity Management ◽  
Reserve Requirement ◽  
Trade Off ◽  
Independent Variables ◽  
Dual Regression ◽  
Lost Opportunity

Banks manage liquidity carefully because of differences in fund tenor collected and channeled. Meanwhile, at the same time, it must fulfill transaction needs, reserve requirement, current liabilities, and be cautious in facing sudden liquidity needs. Therefore, bankshold a sufficient amount of liquid assets. Liquidity management tends to be a trade-off. On one side, insufficient liquid assets can cause banks to be unable to carry out transactions with its customers or fulfill its maturity obligations. On another side, high liquid assets can result in a lost opportunity, because the liquid assets do not provide a return. The purpose of this research is to analyze what factors influence the level of banks liquid assets. This research was conducted using a dual regression model to analyze the variables studied, with a case study of PT Bank Syariah Mandiri from 2016-2017.The dependent variable was the level of liquid assets. Meanwhile, the independent variables were the amount of third party funds, financing growth, financial market access between banks, current liabilities, and previous month profit. The research results reveal that two variables are statistically significant towards bank liquid assets, which are third-party funds and previous month profit. Third-party funds and previous month profit have a positive and significat influence towards liquid assets. Meanwhile, the other variables do not significantly determined liquid assets.

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