Finance and Financial Management Commons^™

Defining Smart Contract Defects On Ethereum, Jiachi Chen, Xin Xia, David Lo, John Grundy, Xiapu Luo, Ting Chen

Research Collection School Of Computing and Information Systems

Smart contracts are programs running on a blockchain. They are immutable to change, and hence can not be patched for bugs once deployed. Thus it is critical to ensure they are bug-free and well-designed before deployment. A Contract defect is an error, flaw or fault in a smart contract that causes it to produce an incorrect or unexpected result, or to behave in unintended ways. The detection of contract defects is a method to avoid potential bugs and improve the design of existing code. Since smart contracts contain numerous distinctive features, such as the gas system. decentralized, it is important …

Staying One Step Ahead Of The Growing Electric Vehicle Market, Russell Molter

Honors Projects

Electric vehicles are becoming more popular among drivers as they become more affordable and as people become more aware of the benefits of electric vehicles. Because of this, the demand for electric car chargers is quickly increasing across the country. This includes BGSU’s campus. Right now, there are seven chargers available on campus, but with the trends in how the electric vehicle market is growing, BGSU should create a plan to install many more chargers to meet the increasing demand for charging stations. This strategy will allow BGSU to keep up with the growing electric vehicle market, which will additionally …

Quantum Computing For Supply Chain Finance, Paul R. Griffin, Ritesh Sampat

Research Collection School Of Computing and Information Systems

Applying quantum computing to real world applications to assess the potential efficacy is a daunting task for non-quantum specialists. This paper shows an implementation of two quantum optimization algorithms applied to portfolios of trade finance portfolios and compares the selections to those chosen by experienced underwriters and a classical optimizer. The method used is to map the financial risk and returns for a trade finance portfolio to an optimization function of a quantum algorithm developed in a Qiskit tutorial. The results show that whilst there is no advantage seen by using the quantum algorithms, the performance of the quantum algorithms …

Application Of Stochastic Control To Portfolio Optimization And Energy Finance, Junhe Chen

Electronic Thesis and Dissertation Repository

In this thesis, we study two continuous-time optimal control problems. The first describes competition in the energy market and the second aims at robust portfolio decisions for commodity markets. Both problems are approached via solutions of Hamilton-Jacobi-Bellman (HJB) and HJB-Isaacs (HJBI) equations.

In the energy market problem, our target is to maximize profits from trading crude oil by determining optimal crude oil production. We determine the optimal crude oil production rate by constructing a differential game between two types of players: a single finite-reserve producer and multiple infinite-reserve producers. We extend the deterministic unbounded-production model and stochastic monopolistic game to …

Maintenance-Related Concerns For Post-Deployed Ethereum Smart Contract Development: Issues, Techniques, And Future Challenges, Jiachi Chen, Xin Xia, David Lo, John Grundy, Xiaohu Yang

Research Collection School Of Computing and Information Systems

Software development is a very broad activity that captures the entire life cycle of a software, which includes designing, programming, maintenance and so on. In this study, we focus on the maintenance-related concerns of the post-deployment of smart contracts. Smart contracts are self-executed programs that run on a blockchain. They cannot be modified once deployed and hence they bring unique maintenance challenges compared to conventional software. According to the definition of ISO/IEC 14764, there are four kinds of software maintenance, i.e., corrective, adaptive, perfective, and preventive maintenance. This study aims to answer (i) What kinds of issues will smart contract …

Do Animated Line Graphs Increase Risk Inferences?, Junghan Kim, Arun Lakshmanan

Research Collection Lee Kong Chian School Of Business

This article shows that animated display of time-varying data (e.g., stock or commodity prices) enhances risk judgments. We outline a process whereby animated display enhances the visual salience of transitions in a trajectory (i.e., successive changes in data values), which leads to transitions being utilized more to form cognitive inferences about risk. In turn, this leads to inflated risk judgments. The studies reported in this article provide converging evidence via eye tracking (Study 1), serial mediation analyses (Studies 2 and 3), and experimental manipulations of transition salience (graph type; Study 3) and utilization of transitions (global trend; Study 4 and …

Stock Markets Performance During A Pandemic: How Contagious Is Covid-19?, Yara Abushahba

Theses and Dissertations

Background and Motivation: The coronavirus (“COVID-19”) pandemic, the subsequent policies and lockdowns have unarguably led to an unprecedented fluid circumstance worldwide. The panic and fluctuations in the stock markets were unparalleled. It is inarguable that real-time availability of news and social media platforms like Twitter played a vital role in driving the investors’ sentiment during such global shock.

Purpose:The purpose of this thesis is to study how the investor sentiment in relation to COVID-19 pandemic influenced stock markets globally and how stock markets globally are integrated and contagious. We analyze COVID-19 sentiment through the Twitter posts and investigate its …

Application Of Randomness In Finance, Jose Sanchez, Daanial Ahmad, Satyanand Singh

Publications and Research

Brownian Motion which is also considered to be a Wiener process and can be thought of as a random walk. In our project we had briefly discussed the fluctuations of financial indices and related it to Brownian Motion and the modeling of Stock prices.

Retail Trading And Stock Volatility: The Case Of Robinhood, Cooper Jones

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

We examine the relation between Robinhood usership and stock market volatility. We show that daily fluctuations in Robinhood usership, which is used to proxy retail trading, significantly influence various measures of volatility. These results might suggest that Robinhood users contribute to noise trading as they are generally individuals trading on name recognition, media coverage, popularity, and familiarity of products, rather than on fundamental values. In our empirical approach, we find that the percentage increase in Robinhood usership Granger causes increases in daily stock volatility.

Cointegration And Statistical Arbitrage Of Precious Metals, Judge Van Horn

Finance Undergraduate Honors Theses

When talking about financial instruments correlation is often thrown around as a measure of the relation between two securities. An often more useful or tradeable measure is cointegration. Cointegration is the measure of two securities tendency to revert to an average price over time. In other words, cointegration ignores directionality and only cares about the distance between two securities. For a mean reversion strategy such as statistical arbitrage cointegration proves to be a far more reliable statistical measure of mean reversion, and while it is more reliable than correlation it still has its own problems. One thing to consider is …

Combination Of Time Series Analysis And Sentiment Analysis For Stock Market Forecasting, Hsiao-Chuan Chou

USF Tampa Graduate Theses and Dissertations

The goal of this research is to build a model to predict trend of financial asset price using sentiment from news headlines and financial indicators of the asset. Objective of the model is to conclude good results but also to minimize the difference between predicted values and actual values. Unlike previous approaches where the sentiments are usually calculated into score, we focus on combination of word embedding of news and financial indicators due to nonavailability of sentiment lexicon.

One idea is that the sentiment of news headline should have impact on financial asset val- ues. In other words, it would …

Millennials' Retirement Struggle: The Interaction Between Student Loans, Financial Decisions, And Financial Literacy., Rebecca Michaud

Honors Projects in Finance

As millennials grow older and begin their careers in the workforce, saving for retirement begins to become an important part of spending. This paper analyzes a variety of factors and challenges that impact an individual’s retirement savings. This thesis ultimately looks to determine whether the driving force for the general inadequacy of retirement savings is student loan debt, financial decision making, or both. Through both research and survey responses, this thesis will also look at whether a public policy that removes a certain percentage of student loan repayment obligations will have any impact on the amount that young workers are …

Mathematical Modeling In Finance, Owen Sweeney

Honors Projects

Financial tools play an integral role in the day-to-day lives of individuals and businesses. Many of these tools use predefined formulas to calculate items such as loan payments, interest and capital structure components. These tools do not usually provide the flexibility needed when new parameters are introduced. By utilizing mathematical modeling, these standard formulas can be derived and even improved to provide the needed flexibility.

Digital Sustainability And Its Implications For Finance And Climate Change, Gerard George, Simon J.D. Schillebeeckx

Research Collection Lee Kong Chian School Of Business

As the pandemic forced the entire world to a virtual standstill, nature revived a little. The US emitted 10.3% less CO2 in 2020 than in 2019 and other regions similarly experienced emission declines. Depending on the source, global carbon emissions were down between 4 and 8% in 2020.2 Consumers globally have expressed more concern about sustainability, an observation confirmed by large survey research by Accenture, Kantar, Boston Consulting Group (BCG), and Ipsos.3 In its latest Emissions Gap Report4 , the UN Environment Programme (UNEP) explicitly connected the pandemic to climate change, nature loss, and pollution. Besides the acceleration of business …

Financial News And Cds Spreads, Paresh Kumar Narayan, Deepa Bannigidadmath

Research outputs 2014 to 2021

© 2020 Elsevier B.V. This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits.

A Quantitative Analysis On Bitmex Perpetual Inverse Futures Xbtusd Contract, Yue Wu

Undergraduate Economic Review

The perpetual inverse futures contract is a recent and most popularly traded cryptocurrency derivative over crypto derivatives exchanges. Exchanges implement a liquidation mechanism that terminates positions which no longer satisfy maintenance requirements. In this study, we use regression, stochastic calculus, and simulation methods to provide a quantitative description of the wealth/return process for holding an XBTUSD contract on BitMEX, examine the funding rate and index price properties, and relate liquidation to leverage as a stopping time problem. The results will help investors understand liquidation to optimize their trading strategy and researchers in studying the design of crypto derivatives.

Traceable Monero: Anonymous Cryptocurrency With Enhanced Accountability, Yannan Li, Guomin Yang, Wily Susilo, Yong Yu, Man Ho Au, Dongxi Liu

Research Collection School Of Computing and Information Systems

Monero provides a high level of anonymity for both users and their transactions. However, many criminal activities might be committed with the protection of anonymity in cryptocurrency transactions. Thus, user accountability (or traceability) is also important in Monero transactions, which is unfortunately lacking in the current literature. In this paper, we fill this gap by introducing a new cryptocurrency named Traceable Monero to balance the user anonymity and accountability. Our framework relies on a tracing authority, but is optimistic, in that it is only involved when investigations in certain transactions are required. We formalize the system model and security model …

Outsourcing Life Cycle Model For Financial Services In The Fintech Era, Tristan Lim, Patrick Thng

Research Collection School Of Computing and Information Systems

In today’s financial services landscape, staying ahead of the innovation curve and being disciplined at enhancing core service offerings entail careful resource planning. A well-structured outsourcing arrangement can go a long way towards enhancing long term organizational strategic growth. In the post-2014 FinTech era, (i) strategic management with an innovation focus and (ii) financial technology-associated risks, have brought about changes to outsourcing in the financial services industry. Presently, most outsourcing life cycle models in existing literature seek to provide comprehensive, yet industry-neutral guidelines lacking industry context and depth of coverage. A newly licensed financial institution deciding to embark on outsourcing …

Consumers Perspectives On Using Biometric Technology With Mobile Banking, Rodney Alston Clark

Walden Dissertations and Doctoral Studies

The need for applying biometric technology in mobile banking is increasing due to emerging security issues, and many banks’ chief executive officers have integrated biometric solutions into their mobile application protocols to address these evolving security risks. This quantitative study was performed to evaluate how the opinions and beliefs of banking customers in the Mid-Atlantic region of the United States might influence their adoption of mobile banking applications that included biometric technology. The research question was designed to explore how performance expectancy (PE), effort expectancy (EE), social influence (SI), facilitating conditions (FC), perceived credibility (PC), and task-technology fit (TTF) affected …

Improving Stock Trading Decisions Based On Pattern Recognition Using Machine Learning Technology, Yaohu Lin, Shancun Liu, Haijun Yang, Harris Wu, Bingbing Jiang

Information Technology & Decision Sciences Faculty Publications

PRML, a novel candlestick pattern recognition model using machine learning methods, is proposed to improve stock trading decisions. Four popular machine learning methods and 11 different features types are applied to all possible combinations of daily patterns to start the pattern recognition schedule. Different time windows from one to ten days are used to detect the prediction effect at different periods. An investment strategy is constructed according to the identified candlestick patterns and suitable time window. We deploy PRML for the forecast of all Chinese market stocks from Jan 1, 2000 until Oct 30, 2020. Among them, the data from …

A Monte-Carlo Analysis Of Monetary Impact Of Mega Data Breaches, Mustafa Canan, Omer Ilker Poyraz, Anthony Akil

Engineering Management & Systems Engineering Faculty Publications

The monetary impact of mega data breaches has been a significant concern for enterprises. The study of data breach risk assessment is a necessity for organizations to have effective cybersecurity risk management. Due to the lack of available data, it is not easy to obtain a comprehensive understanding of the interactions among factors that affect the cost of mega data breaches. The Monte Carlo analysis results were used to explicate the interactions among independent variables and emerging patterns in the variation of the total data breach cost. The findings of this study are as follows: The total data breach cost …

Smart Contracts: Will Fintech Be The Catalyst For The Next Global Financial Crisis?, Randall Duran, Paul Griffin

Research Collection School Of Computing and Information Systems

Purpose: This paper aims to examine the risks associated with smart contracts, a disruptive financial technology (FinTech) innovation, and assesses how in the future they could threaten the integrity of the global financial system. Design/methodology/approach: A qualitative approach is used to identify risk factors related to the use of new financial innovations, by examining how over-the-counter (OTC) derivatives contributed to the Global Financial Crisis (GFC) which occurred during 2007 and 2008. Based on this analysis, the potential for similar concerns with smart contracts are evaluated, drawing on the failure of The DAO on the Ethereum blockchain, which involved the loss …

Blockchain-Based Public Auditing And Secure Deduplication With Fair Arbitration, Haoran Yuan, Xiaofeng Chen, Jianfeng Wang, Jiaming Yuan, Hongyang Yan, Willy Susilo

Research Collection School Of Computing and Information Systems

Data auditing enables data owners to verify the integrity of their sensitive data stored at an untrusted cloud without retrieving them. This feature has been widely adopted by commercial cloud storage. However, the existing approaches still have some drawbacks. On the one hand, the existing schemes have a defect of fair arbitration, i.e., existing auditing schemes lack an effective method to punish the malicious cloud service provider (CSP) and compensate users whose data integrity is destroyed. On the other hand, a CSP may store redundant and repetitive data. These redundant data inevitably increase management overhead and computational cost during the …

Empowering Singapore’S Smes: Fintech P2p Lending — A Lifeline For Smes’ Survival?, Grace Lee, Alan Megargel

Research Collection School Of Computing and Information Systems

The COVID-19 pandemic has sent shock waves throughout the world, pushed countries into lockdown, and wreaked havoc on the world’s people and the global economy. The damage to economies around the world caused by the COVID-19 pandemic has far exceeded that of the global financial crisis. While all businesses suffered hugely, it would be of grave consequence if the small and medium-sized enterprises (SMEs), an important segment of every country’s economy, are unable to withstand the shock wave and sustain themselves beyond this pandemic. The COVID-19 pandemic has highlighted the importance of cash flow or working capital for the viability …

Contingency Planning Amidst A Pandemic, Natalie C. Belford

KSU Proceedings on Cybersecurity Education, Research and Practice

Proper prior planning prevents pitifully poor performance: The purpose of this research is to address mitigation approaches - disaster recovery, contingency planning, and continuity planning - and their benefits as they relate to university operations during a worldwide pandemic predicated by the Novel Coronavirus (COVID-19). The most relevant approach pertaining to the University’s needs and its response to the Coronavirus pandemic will be determined and evaluated in detail.

The Future Of Work Now: Ai-Driven Transaction Surveillance At Dbs Bank, Thomas H. Davenport, Steven M. Miller

Research Collection School Of Computing and Information Systems

One of the most frequently-used phrases at business events these days is “the future of work.” It’s increasingly clear that artificial intelligence and other new technologies will bring substantial changes in work tasks and business processes. But while these changes are predicted for the future, they’re already present in many organizations for many different jobs. The job and incumbents described below are an example of this phenomenon. Steve Miller of Singapore Management University and I co-authored the story.

European Floating Strike Lookback Options: Alpha Prediction And Generation Using Unsupervised Learning, Tristan Lim, Aldy Gunawan, Chin Sin Ong

Research Collection School Of Computing and Information Systems

This research utilized the intrinsic quality of European floating strike lookback call options, alongside selected return and volatility parameters, in a K-means clustering environment, to recommend an alpha generative trading strategy. The result is an elegant easy-to-use alpha strategy based on the option mechanisms which identifies investment assets with high degree of significance. In an upward trending market, the research had identified European floating strike lookback call option as an evaluative criterion and investable asset, which would both allow investors to predict and profit from alpha opportunities. The findings will be useful for (i) buy-side investors seeking alpha generation and/or …

The Global Sustainability Footprint Of Sovereign Wealth Funds, Hao Liang, Luc Renneboog

Research Collection Lee Kong Chian School Of Business

With the emergence of sovereign wealth funds (SWFs) around the world managing equity of over $8 trillion, their impact on the corporate landscape and social welfare is being scrutinized. This study investigates whether and how SWFs incorporate environmental, social, and governance (ESG) considerations in their investment decisions in publicly listed corporations, as well as the subsequent evolution of target firms' ESG performance. We find that SWF funds do consider the level of past ESG performance as well as recent ESG score improvement when taking ownership stakes in listed companies. These results are driven by the SWF funds that do have …

The Equifax Hack Revisited And Repurposed, Hal Berghel

Civil and Environmental Engineering and Construction Faculty Research

Reports on the recent indictments against Chinese hackers regarding Equifax.

Analyzing Competitive Balance In Professional Sport, Kevin Alwell

Honors Scholar Theses

In this paper we review several measures to statistically analyze competitive balance and report which leagues have a wider variance of performance amongst its competitors. Each league seeks to maintain high levels of parity, making matches and overall season more unpredictable and appealing to the general audience. Here we quantify competitive advantage across major sports leagues in numbers using several statistical methods in order for leagues to optimize their revenue.