Finance Group

@article{anagnostidis_1263,

title = {Are high-frequency traders' informed?},

author = {Panagiotis Anagnostidis and Patrice Fontaine and Christos Varsakelis},

url = {https://www.sciencedirect.com/science/article/pii/S0264999320311688#!},

year  = {2020},

date = {2020-12-01},

journal = {Economic Modelling},

volume = {93},

pages = {365-383},

abstract = {Are high-frequency traders (HFTs) informed? To address this question, we examine HFTs' activity in the call auction environment, where speed-related trading is limited and signal processing capacity becomes more relevant. To model the call market, we consider the Kyle (1989) rational expectations framework for strategic trading. The test we propose for detecting informed HFTs in this market assesses potential deviations of the informativeness of HFTs' aggregate (net) demand, from the informativeness of the aggregate demand submitted by the rest of the traders. Data from the Euronext Paris preopening phase indicate that informed HFTs are present in the market just before the opening. Our results provide useful guidance for the assessment of the influence of HFTs' quotes on price quality, an important issue for market regulators and policy makers.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{chataigner_1620,

title = {Nowcasting networks},

author = {Marc Chataigner and Stéphane Crépey and Jiang Pu},

url = {https://www.risk.net/journal-of-computational-finance/7806476/nowcasting-networks},

year  = {2020},

date = {2020-12-01},

journal = {Journal Of Computational Finance},

volume = {24},

number = {3},

pages = {1-39},

abstract = {We devise a neural network-based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense, encompassing completion of gridded values, interpolation and outlier detection, in the context of financial time series of curves or surfaces. (It is also applicable in higher dimensions, at least in theory.) In particular, we introduce an original architecture amenable to the treatment of data defined at variable grid nodes (by far the most common situation in financial nowcasting applications, where principal component analysis (PCA) and classical autoencoder methods are not applicable). This is illustrated by three case studies on real data sets. First, we introduce our approach on repurchase agreement curves data (with a moving time-to maturity as calendar time passes). Second, we show that our approach outperforms elementary interpolation benchmarks on an equity derivative surfaces data set (again, with a moving time-to-maturity). We also obtain a satisfying performance for outlier detection and surface completion. Third, we benchmark our approach against PCA on at-the-money swaption surfaces redefined at constant expiry/tenor grid nodes. Our approach is then shown to perform as well as (even if not obviously better than) the PCA (which, however, is not applicable to the native, raw data defined on a moving time-to-expiry grid).},

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pubstate = {published},

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}

@article{peillex_914,

title = {Affinité politique et choix du mode de propriété lors d'acquisitions transfrontalières},

author = {Jonathan Peillex and Hyungseok Yoon and I. Rouine},

url = {https://www.erudit.org/en/journals/mi/1900-v1-n1-mi05759/1074363ar/},

year  = {2020},

date = {2020-11-01},

journal = {Management International},

volume = {24},

number = {4},

pages = {99-112},

abstract = {tba},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{zorgati_1089,

title = {Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches},

author = {Imen Zorgati and Faten Lakhal},

url = {https://www.sciencedirect.com/science/article/abs/pii/S026499931930286X},

year  = {2020},

date = {2020-11-01},

journal = {Economic Modelling},

volume = {92},

pages = {162-169},

abstract = {This paper investigates the financial contagion phenomenon and its intensity in the context of the subprime crisis by adopting the copulas approach. The wavelet technique is used to predict the accurate occurrence of the subprime crisis. To estimate the parameters of the different copulas, we use the canonical maximum likelihood method (CML). Based on the daily returns of stock market indices of five American countries (Brazil, Argentina, Mexico, Canada and the USA) and nine Asian countries (Japan, Hong Kong, India, Australia, Indonesia, Malaysia, Korea, China and Singapore) from 01/01/2003 to 30/12/2011, our results show that the contagion effect exists for all American markets as well as the Indian, Australian, Indonesian, Malaysian, Chinese and Singaporean ones. The findings also show that American markets record high levels of contagion intensity in comparison to their Asian counterparts. This study also confirms the contagious nature of the subprime crisis between USA and both American and Asian countries.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{blanchard_1245,

title = {No-arbitrage with multiple-priors in discrete time},

author = {Romain Blanchard and Laurence Carassus},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0304414920303069?via%3Dihub},

year  = {2020},

date = {2020-11-01},

journal = {Stochastic Processes And Their Applications},

volume = {130},

number = {11},

pages = {6657-6688},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1309,

title = {Does corporate innovation strategy influence stock price crash risk? French market evidence},

author = {Faten Lakhal and Sabri Boubaker and Assil Guizani},

url = {https://journaleska.com/index.php/bmi/article/view/4639},

year  = {2020},

date = {2020-11-01},

journal = {Bankers, Markets & Investors},

volume = {162},

pages = {35-52},

abstract = {The purpose of this paper is to examine the effect of corporate innovation strategy on firm-level stock price crash risk. Using a sample of French listed firms covering 2007-2016, we show that innovative firms are more prone to future stock price crash risk. Managers of these firms have optimistic expectations about growth prospects that encourage them to hide bad news, leading to higher stock price crash risk. This positive relationship is only prevalent in competitive product markets and with low analyst coverage suggesting that innovative firms are likely to experience stock price crashes when information asymmetry is exacerbated. Our results stand up to several robustness tests and remain unchanged after addressing endogeneity concerns.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1243,

title = {Contrôle familial, conseil d'administration et risque de chute du cours d'actions : Le cas des entreprises françaises},

author = {Faten Lakhal and Assil Guizani and Florence Depoers},

url = {https://www.cairn.info/revue-management-et-avenir-2020-5-page-109.htm},

year  = {2020},

date = {2020-10-01},

journal = {Management & Avenir},

volume = {119},

pages = {109-129},

abstract = {Cet article analyse l'impact du contrôle familial sur le risque spécifique de chute du cours d'action. Sur un échantillon de sociétés françaises cotées, nos résultats montrent que l'excès du contrôle familial (lorsque les droits de contrôle sont supérieurs aux droits aux flux financiers) et la présence d'un dirigeant membre de la famille augmentent le risque d'une baisse brutale et significative du cours de l'action d'une société. Nous montrons également que l'indépendance du conseil réduit ce risque en cas d'excès de contrôle mais pas lorsque le dirigeant est un membre de la famille.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{el_ouadghiri_1063,

title = {Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français},

author = {Imane El Ouadghiri and Jonathan Peillex},

url = {https://www.cairn.info/revue-economique-2020-5-page-841.htm?ref=doi},

year  = {2020},

date = {2020-09-01},

journal = {Revue Économique},

volume = {71},

number = {5},

pages = {841-863},

abstract = {Cet article est le premier qui propose d'examiner l'influence journalière de l'Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l'AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l'AII exerce un effet fortement positif sur le degré de liquidité des actions françaises.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{focardi_1198,

title = {Quantum Option Pricing and Quantum Finance},

author = {Sergio Focardi and Franck Fabozzi and Davide Mazza},

url = {https://jod.pm-research.com/content/early/2020/05/28/jod.2020.1.111.1},

year  = {2020},

date = {2020-09-01},

journal = {Journal Of Derivatives},

volume = {28},

number = {1},

pages = {79-98},

abstract = {In this article, the authors discuss the use of quantum probability, that is, the probability theory of quantum mechanics, for option pricing and for finance in general. The authors discuss the motivations for applying quantum probability to finance. The critical issues are replacing random variables with operators, self-reflexivity of markets, and the existence of incompatible observations. The authors outline quantum probability theory, quantum stochastic processes, and the pricing of options in a quantum context.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{garcin_1204,

title = {Non-parametric new impact curve: a variational approach},

author = {Matthieu Garcin and Clément Goulet},

url = {https://link.springer.com/article/10.1007/s00500-019-04607-x},

year  = {2020},

date = {2020-09-01},

journal = {Soft Computing},

volume = {24},

number = {18},

pages = {13797-13812},

abstract = {In this paper, we propose an innovative algorithm for modelling the news impact curve. The news impact curve provides a nonlinear relation between past returns and current volatility and thus enables to forecast volatility. Our news impact curve is the solution of a dynamic optimization problem based on variational calculus. Consequently, it is a non-parametric and smooth curve. The technique we propose is directly inspired from noise removal techniques in signal theory. To our knowledge, this is the first time that such a method is used for volatility modelling. Applications on simulated heteroskedastic processes as well as on financial data show a better accuracy in estimation and forecast for this approach than for standard parametric (symmetric or asymmetric ARCH) or non-parametric (Kernel-ARCH) econometric techniques.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grasselli_1264,

title = {VIX vs VXX: A Joint Analytical Framework},

author = {Martino Grasselli and Lakshithe Wagalath},

url = {https://www.worldscientific.com/doi/abs/10.1142/S0219024920500338},

year  = {2020},

date = {2020-09-01},

journal = {International Journal of Theoretical and Applied Finance},

volume = {23},

number = {5},

pages = {2050033},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{sapina_1197,

title = {The Hurst Exponent of Heart Rate Variability in Neonatal Stress, Based on a Mean-Reverting Fractional Lévy Stable Motion},

author = {Matej ?apina and Matthieu Garcin and Karolina Kramari? and Kre?imir Milas and Dario Brdari? and Marko Piri?},

url = {https://www.worldscientific.com/doi/abs/10.1142/S0219477520500261},

year  = {2020},

date = {2020-08-17},

journal = {Fluctuation And Noise Letters},

volume = {19},

number = {3},

pages = {2050026},

abstract = {We aim at detecting stress in newborns by observing heart rate variability (HRV). The HRV features nonlinearities. Fractal dynamics is a usual way to model them and the Hurst exponent summarizes the fractal information. In our framework, we have observations of short duration, for which usual estimators of the Hurst exponent, like detrended °uctuation analysis (DFA), are not adapted. Moreover, we observe that the Hurst exponent does not vary much between stress and rest phases, but its decomposition in memory and underlying properties of the probability distribution leads to satisfactory diagnostic tools. This decomposition of the Hurst exponent is in addition embedded in a mean-reverting model. The resulting model is a mean-reverting fractional L
evy stable motion (FLSM). We estimate it and use its parameters as diagnostic tools of neonatal stress. Indeed, the value of the speed of reversion parameter is a signi¯cant indicator of stress. The evolution of both parameters in which the Hurst exponent is decomposed provides us with signi¯cant indicators as well. On the contrary, the Hurst exponent itself does not bear useful information.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{boubaker_1244,

title = {La diversité du genre influence-t-elle la performance RSE des entreprises familiales ?},

author = {Sabri Boubaker and Emna Brahem and Faten Lakhal},

url = {https://www.cairn.info/revue-des-sciences-de-gestion-2020-3-page-71.html},

year  = {2020},

date = {2020-08-01},

journal = {La Revue des Sciences de Gestion},

volume = {303-304},

pages = {71-80},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_1203,

title = {Risk-neutral pricing for Arbitrage Pricing Theory},

author = {Laurence Carassus and Miklos Rásonyi},

url = {https://ideas.repec.org/a/spr/joptap/v186y2020i1d10.1007_s10957-020-01699-6.html},

year  = {2020},

date = {2020-07-01},

journal = {Journal Of Optimization Theory And Applications},

volume = {186},

number = {1},

pages = {248-263},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{craddock_1149,

title = {Lie symmetry methods for local volatility models},

author = {Mark Craddock and Martino Grasselli},

url = {https://www.sciencedirect.com/science/article/abs/pii/S030441491830200X},

year  = {2020},

date = {2020-06-01},

journal = {Stochastic Processes And Their Applications},

volume = {130},

number = {6},

pages = {3802-3841},

abstract = {We investigate PDEs of the form which are associated with the calculation of expectations for a large class of local volatility models. We find nontrivial symmetry groups that can be used to obtain Fourier transforms of fundamental solutions of the PDE. We detail explicit computations in the separable volatility case when , , corresponding to the so called Quadratic Normal Volatility Model. We give financial applications and also show how symmetries can be used to compute first hitting distributions.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{anagnostidis_1206,

title = {Liquidity commonality and high frequency trading: Evidence from the French stock market},

author = {Panagiotis Anagnostidis and Patrice Fontaine},

url = {https://www-sciencedirect-com.devinci.idm.oclc.org/science/article/pii/S1057521919305320},

year  = {2020},

date = {2020-05-01},

journal = {International Review Of Financial Analysis},

volume = {69},

pages = {101428},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{alfeus_1213,

title = {A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors},

author = {Mesias Alfeus and Martino Grasselli and Erik Schlögl},

url = {https://www-sciencedirect-com.devinci.idm.oclc.org/science/article/pii/S0165188920300312},

year  = {2020},

date = {2020-05-01},

journal = {Journal Of Economic Dynamics & Control},

volume = {114},

pages = {103861},

abstract = {Starting from the observation that single-currency swap basis spreads contradict classical arbitrage arguments, we construct a framework where this basis arises due to the presence of ?roll-over risk.? This risk consists of two components: (1) facing a higher credit spread (e.g. due to a credit downgrade) when rolling over short-term borrowing (2) heightened borrowing costs due to an absence of market liquidity. The model simultaneously fits OIS, interest rate swap and basis swap market quotes. Including CDS market quotes allows the two components of roll-over risk to be explicitly separated. This is highly relevant to the current LIBOR transition, illustrating why alternative benchmarks are fundamentally different from the rates they may be replacing.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{gueant_1619,

title = {Accelerated share repurchase and other buyback programs: what neural networks can bring},

author = {Olivier Guéant and Iiulia Manziuk and Jiang Pu},

url = {https://www.tandfonline.com/doi/abs/10.1080/14697688.2020.1729397},

year  = {2020},

date = {2020-04-01},

journal = {Quantitative Finance},

volume = {20},

number = {8},

pages = {1389-1404},

abstract = {When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option components, e.g. accelerated share repurchase contracts, VWAP-minus profit-sharing contracts, etc. The entanglement between the execution problem and the option hedging problem makes the management of these contracts a difficult task that should not boil down to simple Greek-based risk hedging, contrary to what happens with classical books of options. In this paper, we propose a machine learning method to optimally manage several types of buyback contract. In particular, we recover strategies similar to those obtained in the literature with partial differential equation and recombinant tree methods and show that our new method, which does not suffer from the curse of dimensionality, enables to address types of contract that could not be addressed with grid or tree methods.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{fontaine_1234,

title = {A re-examination of analysts'differential target price forecasting ability},

author = {Patrice Fontaine and Tristan Roger},

url = {https://www.cairn.info/revue-finance-2020-1-page-53.htm},

year  = {2020},

date = {2020-03-04},

journal = {Finance},

volume = {41},

number = {1},

pages = {53-95},

abstract = {We challenge the view that persistent differences in accuracy across analysts are proof that analysts differ in their ability to forecast stock prices. We show that these persistent differences in target price accuracy are driven instead by stock return volatility. Building upon option pricing theory, we construct a measure of forecast quality that controls for stock return volatility and forecast horizon. Contrary to previous studies, which failed to properly account for differences in stock return volatility, our empirical analysis reveals that analysts do not exhibit differences in their ability to forecast stock prices. We show that the accuracy of a target price strongly depends on the stock return volatility and the forecast horizon.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_1214,

title = {Effective asymptotic analysis for finance},

author = {Cyril Grunspan and Joris Van Der Hoeven},

url = {https://www.worldscientific.com/doi/10.1142/S0219024920500132},

year  = {2020},

date = {2020-03-01},

journal = {International Journal of Theoretical and Applied Finance},

volume = {23},

number = {2},

pages = {2050013},

abstract = {It is known that an adaptation of Newton's method allows for the computation of functional inverses of formal power series. We show that it is possible to successfully use a similar algorithm in a fairly general analytical framework. This is well suited for functions that are highly tangent to identity and that can be expanded with respect to asymptotic scales of ?exp-log functions?. We next apply our algorithm to various well-known functions coming from the world of quantitative finance. In particular, we deduce asymptotic expansions for the inverses of the Gaussian and the Black-Scholes pricing functions.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{benkraiem_1131,

title = {International diversification and corporate cash holding behavior: What happens during economic downturns ?},

author = {Ramzi Benkraiem and Faten Lakhal and C. Zopounidis},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0167268119303993},

year  = {2020},

date = {2020-02-01},

journal = {Journal Of Economic Behavior & Organization},

volume = {170},

pages = {362-371},

abstract = {This study uses fixed-effect regressions estimated with heteroskedasticity-consistent standard errors to investigate the effect of international diversification on corporate cash holding behavior of French-listed firms during economic downturns. The findings show that internationally diversified firms are less inclined to save cash out of their cash flows than their undiversified counterparts. However, during economic downturns, the relationship shifts and shows that international diversification is positively associated with the propensity of firms to save cash out of their cash flows. The negative relationship between international diversification and the propensity of firms to save cash out of their cash flows suggests that risk-reducing effects coupled with easy access to external finance prevail over the high agency costs and information asymmetry associated with international companies. However, during economic slumps, this relationship becomes positive, highlighting a significant influence of the financial crisis on internationally diversified firms relative to their stand-alone counterparts. Thus, this study should provide useful insights for academics, practitioners as well as financial regulators.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{el_ouadghiri_1064,

title = {Macroeconomic expectations and time varying heterogeneity: Evidence from individual survey data},

author = {Imane El Ouadghiri and Remzi Uctum},

url = {https://www.tandfonline.com/doi/full/10.1080/00036846.2019.1691713},

year  = {2020},

date = {2020-01-01},

journal = {Applied Economics},

volume = {52},

number = {23},

pages = {2443-2459},

abstract = {The goal of this paper is to investigate forecast heterogeneity and time variability in the formation of expectations using disaggregated monthly survey data on macroeconomic indicators provided by Bloomberg from June 1998 to August 2017. We show that our panel of forecasters are not rational and are moderately heterogeneous and thus confirm that previously well-established results on asset prices hold for macroeconomic indicators. The estimation of our flexible hybrid forecast model - defined at any time as a combination of the extrapolative, regressive, adaptive and interactive heuristics - using the Bai and Perron (1998) methodology reveals a significant timedependence in the structural model with some inertia in extrapolative and adaptive profiles. Changes in the formation of expectations are triggered mostly by financial shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist component overweighs chartist activity. Forecasters whose models combine different relevant rules and display high temporal flexibility provide the most accurate forecasts. Authorities can then stabilize the domestic markets by encouraging fundamentalists' forecasts through increased transparency policy.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_1142,

title = {From small markets to big markets},

author = {Laurence Carassus and Miklos Rásonyi},

url = {https://www.impan.pl/en/publishing-house/banach-center-publications/all/122},

year  = {2020},

date = {2020-01-01},

journal = {Banach Center Publications},

volume = {122},

pages = {41-52},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{fabozzi_1158,

title = {Climate Change and Asset Management},

author = {Franck Fabozzi and Sergio Focardi},

url = {https://jpm.pm-research.com/content/46/3/95/tab-article-info},

year  = {2020},

date = {2020-01-01},

journal = {Journal Of Portfolio Management},

volume = {46},

number = {3},

pages = {95-107},

abstract = {In this article, the authors explain how asset owners and asset managers should behave to cope with new regulations and risks related to climate change. By optimizing portfolios with constraints on the global portfolio carbon footprint, it is possible to construct equity portfolios and indexes with a low carbon footprint without penalizing returns. In the future, there will be costs and opportunities as a result of the process of transitioning to a low-carbon-emission economy. The authors explain how building future scenarios for assessing the climate consequences of more- or less- stringent actions and regulations will be challenging because doing so requires integrated assessment models that integrate climate science with economic data and predictions. According to the authors, bond investors offer more promise in forcing corporations to adopt policies to reduce carbon emissions than do equity investors by affecting funding costs. This can be done through carbon emission reduction covenants in corporate bond indentures and carbon policy performance bonds; the latter can be used to control government performance as well as corporate performance. On the financing side, green bonds can be used to fund carbon emission reduction projects.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{benkraiem_1237,

title = {Cross-Country Evidence on Earnings Quality and Corporate Tax Avoidance: The Moderating Role of Legal Institutions},

author = {Ramzi Benkraiem and Safa Gaaya and Faten Lakhal},

url = {https://econpapers.repec.org/article/eblecbull/eb-20-00303.htm},

year  = {2020},

date = {2020-01-01},

journal = {Economics Bulletin},

volume = {40},

number = {2},

pages = {1714-1726},

abstract = {The purpose of this study is to investigate the relationship between earnings quality and corporate tax avoidance, while accounting for the strength of the legal institutional environment. We find robust evidence that high earnings quality mitigates corporate tax avoidance practices. Furthermore, we find that this association is particularly stronger when country-level legal institutions are powerful. Thus, this study should provide useful insights to academics, professionals as well as policy makers by emphasizing the vital role that accounting information quality could play in the fight against tax avoidance and the important support that legal institutions could provide in this regard.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{garcin_1372,

title = {Fractal analysis of the multifractality of foreign exchange rates},

author = {Matthieu Garcin},

url = {https://www.unive.it/pag/31137/},

year  = {2020},

date = {2020-01-01},

journal = {Mathematical Methods in Economics and Finance},

volume = {13-14},

number = {1},

pages = {49-73},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}