scholarly journals FINANCIAL MODELING: PROBABILITY THEORETIC APPROACHES

2021 ◽  
Vol 139 (5) ◽  
pp. 127-138
Author(s):  
SHCHETININA Olena ◽  
SMYRNOVA Olesia ◽  
KOTLIAR Valerii
Keyword(s):  
Financial Markets ◽  
Statistical Methods ◽  
Probabilistic Modeling ◽  
Social Background ◽  
Research Process ◽  
Risk Indicators ◽  
Probability Interpretation ◽  
Financial Modeling ◽  
Modeling Methods ◽  
Binary Options

Background. A large number of significant socio-economic events occur under the influence of unique factors. Formal application of probabilistic and statistical methods in such cases leads to analytical conclusions without sufficient scientific justification. Financial modeling reflects modern approaches to the probability interpretation, provides introduction and systematization of risk indicators, and the necessity of improving theoretical and probabilistic disciplines of economic orientation. Analysis of recent research and publications has shown that despite significant investigations, financial modeling is not theoretically complete scientific direction in terms of economic risk indicators and derivative characteristics, important scientific and practical problems remain unresolved in the analysis of socio-economic phenomena in unce­rtainty and implementation of modern achievements of scientists to the process. The aim of the article is to study theoretical and probabilistic concepts of socio-economic processes in conditions of uncertainty and uniqueness based on the financial modeling methods. Materials and methods. Analytical and statistical methods, methods of mathematical statistics and probability theory are used in the research process. Information database is data from trading sessions of world stock markets. Results. Theoretical and probabilistic concepts, including interpretations of probability and risk are considered through formalization of the analysis process by the subject of the socio-economic phenomenon in conditions of uncertainty. Models of typical stationary, dynamic, parity and dominant lotteries with introduced risk indicators are built. Risk is interpreted as the ratio of negative and favorable factors of the phenomenon information background. Relevant indicators are illustrated and calculated using various socio-economic and financial cases. Subjective-probabilistic modeling (SPM) in relation to decision-making in the financial market is studied as the development of Bayesian subjectivism. It has been shown that group consensus SPM-assessments of risk generate specific derivative financial instruments such as binary options, index derivatives, crypto-assets, etc. Conclusion. The results of the study showed the application effectiveness of financial modeling methods of risks assessment in financial markets, the prospects of relevant development in the field of financial engineering. Teaching economic disciplines, which are based on theoretical and probabilistic postulates, statistical and analytical-statistical procedures for calculating probabilistic indicators (probability, risk, prevention regulations, etc.), requires significant addition using the introduction of new methods of information analysis of social background, financial sphere to determine the optimal direction of development and investment activities. Keywords: risk ratio, probability interpretation, binary options, financial modeling, high-risk financial markets, subjective-probabilistic modeling.

scholarly journals The use of Contracts for difference (‘CFD’) Spread Bets and Binary Options (‘forbin’) to Trade Foreign Exchange (‘forex’) Commodities and Stocks and Shares in Volatile Financial Markets

2021 ◽  
Vol 7 (1) ◽  
pp. 1-9
Author(s):  
Barnes P ◽  
Keyword(s):  
Financial Markets ◽  
Foreign Exchange ◽  
Contracts For Difference ◽  
Price Movements ◽  
Binary Options

Finally, it is argued that whilst forex is the most popular asset traded, its price movements are more difficult to predict and are much smaller compared with stocks and shares and commodities, making it even more difficult for traders to trade them successfully.

Systemic Risk and Trading Strategy Based on Correlation-Based Networks in Stock Markets

2020 ◽  
Vol 19 (03) ◽  
pp. 2050028
Author(s):  
Jia-Wei Yu ◽  
Qin-Qin Huang ◽  
Yong-Han Guo ◽  
Zhi-Qiang Jiang ◽  
Wen-Jie Xie
Keyword(s):  
Financial Markets ◽  
Systemic Risk ◽  
Debt Crisis ◽  
Trading Strategy ◽  
Trading Strategies ◽  
Risk Indicators ◽  
Future Price ◽  
Trading Costs ◽  
Excess Returns ◽  
Systemic Risks

In this paper, we construct five systemic risk indicators and test their performances based on four different datasets. It is observed that the five indicators can accurately indicate the increment of systemic risks during the periods of sub-prime crisis and European debt crisis. Trading strategies based on the risk indicators are further designed to test the warning ability of future price drops. The backtests reveal that trading based on the five indicators provides satisfied excess returns when the trading costs are included. Our results provide insights to find new network-based risk indicators to early warn the systemic risks in financial markets.

The psychology of experimental psychologists: Overcoming cognitive constraints to improve research

2019 ◽  
Author(s):  
Dorothy Vera Margaret Bishop
Keyword(s):  
Statistical Methods ◽  
Study Design ◽  
Experimental Psychology ◽  
Critical Reflection ◽  
Cognitive Biases ◽  
Research Process ◽  
Cognitive Constraints ◽  
Cognitive Schemata ◽  
Funding Agencies ◽  
Replication Crisis

Experimental psychology is affected by a "replication crisis" that is causing concern in many areas of science. Approaches to tackling this crisis include better training in statistical methods, greater transparency and openness, and changes to the incentives created by funding agencies, journals and institutions. Here I argue that if proposed solutions are to be effective, we need also to take into account people's cognitive constraints that can distort all stages of the research process: designing and executing experiments, analysing data, and writing up findings for publication. I focus specifically on cognitive schemata in perception and memory, confirmation bias, systematic misunderstanding of statistics, and asymmetry in moral judgements of errors of commission and omission. Finally, I consider methods that may help mitigate the effects of cognitive constraints: better training, including use of simulations to overcome statistical misunderstanding, specific programs directed at inoculating against cognitive biases, adoption of Registered Reports to encourage more critical reflection in planning studies, and using methods such as triangulation and "pre mortem" evaluation of study design to make a culture of criticism more acceptable.

scholarly journals Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk

2018 ◽  
pp. 34-41
Author(s):  
Oscar Manco López ◽  
Santiago Medina Hurtado ◽  
Oscar Botero ◽  
François Legendre
Keyword(s):  
Financial Markets ◽  
Financial Risk ◽  
Risk Indicators ◽  
Risk Exposure ◽  
Assessment Methodology ◽  
Industry Sector ◽  
Income Statement ◽  
Duration Gap ◽  
Risk Assessment Methodology

In this article we propose a new methodology for measuring companies with financial risk exposure, based on the concept of duration in assets and liabilities management that can be applied in corporate portfolios. Risk indicators in banks usually try to measure the dynamic of accounts in the income statement and capital levels. With this research, we demonstrate how the methodology can be applied from banks to any company or industry sector. Then, we compare the methods for managing accounts in financial institutions and also identifying their adaptability to any type of corporation. We also made a comparison between the management elements used in financial markets and organizations assets, verifying their adaptability level. Finally, we present a real case study.

scholarly journals COASTAL RESILIENCE IN THE US

2020 ◽  
pp. 9
Author(s):  
Jane M. Smith
Keyword(s):  
Climate Change ◽  
Physical Process ◽  
Probabilistic Modeling ◽  
Adaptation Strategies ◽  
Coastal Hazards ◽  
Modeling Methods ◽  
Coastal Systems ◽  
The Us ◽  
Coastal Resilience ◽  
Flexible Adaptation

Resilience is the capacity to anticipate and plan for disturbances, resist damages and/or absorb impacts, rapidly recover afterwards, and adapt to stressors, changing conditions and constraints. Coastal hazards in the US, including the compounding of surge, rainfall, waves, climate change, and clustered events, create significate challenges to designing and maintaining resilient coastal systems. The range of design solutions include natural and nature-based, non-structural, and structural measures together with flexible adaptation strategies. Moving forward, the community requires: robust physical process and probabilistic modeling methods, advanced sensing techniques, broad collaboration, and a commitment to innovation and adaption.Recorded Presentation from the vICCE (YouTube Link): https://youtu.be/fQvAXEj0Ar0

scholarly journals Probabilistic modeling methods for cell-free DNA methylation based cancer classification

2021 ◽  
Author(s):  
Viivi Halla-aho ◽  
Harri Lähdesmäki
Keyword(s):  
Dna Methylation ◽  
Logistic Regression ◽  
Feature Selection ◽  
Statistical Methods ◽  
Probabilistic Modeling ◽  
Cancer Classification ◽  
Cell Free Dna ◽  
Exact Test ◽  
Free Dna ◽  
Fisher’S Exact Test

Background: cfMeDIP-seq is a low-cost method for determining the DNA methylation status of cell-free DNA and it has been successfully combined with statistical methods for accurate cancer diagnostics. We investigate the diagnostic classification aspect by applying statistical tests and dimension reduction techniques for feature selection and probabilistic modeling for the cancer type classification, and we also study the effect of sequencing depth. Methods: We experiment with a variety of statistical methods that use different feature selection and feature extraction methods as well as probabilistic classifiers for diagnostic decision making. We test the (moderated) t-tests and the Fisher's exact test for feature selection, principal component analysis (PCA) as well as iterative supervised PCA (ISPCA) for feature generation, and GLMnet and logistic regression methods with sparsity promoting priors for classification. Probabilistic programming language Stan is used to implement Bayesian inference for the probabilistic models. Results and conclusions: We compare overlaps of differentially methylated genomic regions as chosen by different feature selection methods, and evaluate probabilistic classifiers by evaluating the area under the receiver operating characteristic (AUROC) scores on discovery and validation cohorts. While we observe that many methods perform equally well as, and occasionally considerably better than, GLMnet that was originally proposed for cfMeDIP-seq based cancer classification, we also observed that performance of different methods vary across sequencing depths, cancer types and study cohorts. Overall, methods that seem robust and promising include Fisher's exact test and ISPCA for feature selection as well as a simple logistic regression model with the number of hyper and hypo-methylated regions as features.

scholarly journals Tests of the Efficient Markets Hypothesis

2016 ◽  
Vol 26 (1) ◽  
Author(s):  
Erhard Reschenhofer ◽  
Michael A. Hauser
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Statistical Methods ◽  
Stock Return ◽  
Efficient Markets ◽  
Efficient Markets Hypothesis

This paper surveys various statistical methods that have been proposed for the examination of the efficiency of financial markets and proposes a novel procedure for testing the predictability of a time series. For illustration, this procedure is applied to Austrian stock return series.

scholarly journals Macroprudential Regulation in Ensuring of the Development of Financial Markets

2020 ◽  
Vol 22 (1) ◽  
pp. 31-35
Author(s):  
Olena Konoplina ◽  
◽  
Iuliia Mizik ◽  
Keyword(s):  
Water Supply ◽  
Financial Markets ◽  
Economic Security ◽  
Impact Factors ◽  
Internal Environment ◽  
Financial Situation ◽  
Modeling Methods ◽  
Forecasting Methods ◽  
Current Stage ◽  
Tools And Methods

Introduction. This article is devoted to advanced tools and methods in audit of financial & economic security at Ukrainian water services enterprises. The water supply and sewage system is one of the most important branches of Ukrainian economy. Given the critical technical, economic and financial situation of the industry, it demands the search for and application of new effective methods that would ensure not only the efficiency of operation, but also the security of the enterprise. That is why the formation of the system of financial and economic security of enterprises in the industry is an objective necessity of modern management. Purpose. The purpose of the article is to study the methods and tools of auditing the financial and economic security of water supply and sewerage companies to ensure a rapid response to constant changes in the external and internal environment. Results. The essence of auditing the system of financial and economic security of water supply and sewage companies is manifested through the specifics of their activities. Therefore, along with the standard processes inherent in the audit, it is necessary to develop those directions which take into account the factors that are specific to these enterprises. Methods of estimating the environmental impact factors on the financial and economic security of water supply and sewage companies can be grouped as follows: forecasting methods, modeling methods, methods for evaluating the consequences, expert methods. Conclusion. Therefore, the result of auditing financial and economic security is the preparation of general conclusions and recommendations for ensuring its financial and economic security both at the current stage and in the future.

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