Finance and Financial Management Commons^™

Bayesian Optimization With Switching Cost: Regret Analysis And Lookahead Variants, Peng Liu, Haowei Wang, Wei Qiyu

Research Collection Lee Kong Chian School Of Business

Bayesian Optimization (BO) has recently received increasing attention due to its efficiency in optimizing expensive-to-evaluate functions. For some practical problems, it is essential to consider the path-dependent switching cost between consecutive sampling locations given a total traveling budget. For example, when using a drone to locate cracks in a building wall or search for lost survivors in the wild, the search path needs to be efficiently planned given the limited battery power of the drone. Tackling such problems requires a careful cost-benefit analysis of candidate locations and balancing exploration and exploitation. In this work, we formulate such a problem as …

Competition And Innovation In The Financial Sector: Evidence From The Rise Of Fintech Start-Ups, Doina Caragea, Theodor Florian Cojoianu, Mihai Dobri, Andreas Hoepner, Oana Peia, Davide Romelli

Research Collection College of Integrative Studies

This paper provides new evidence on the effects of entry on incumbents’ incentives to innovate by examining the rise of FinTech innovations over the period 2000-2016. We employ machine learning algorithms to classify a large sample of patent applications into five types of FinTech innovations. We then show that greater competition from innovators outside the financial sector increases the probability that incumbent financial firms will innovate. Our identification strategy exploits the variation over time in the share of FinTech patent applications by non-financial start-ups relative to incumbent financial firms, as a proxy for competitive pressures from outside the financial industry. …

Evolve Path Tracer: Early Detection Of Malicious Addresses In Cryptocurrency, Ling Cheng, Feida Zhu, Yong Wang, Ruicheng Liang, Huiwen Liu

Research Collection School Of Computing and Information Systems

With the boom of cryptocurrency and its concomitant financial risk concerns, detecting fraudulent behaviors and associated malicious addresses has been drawing significant research effort. Most existing studies, however, rely on the full history features or full-fledged address transaction networks, both of which are unavailable in the problem of early malicious address detection and therefore failing them for the task. To detect fraudulent behaviors of malicious addresses in the early stage, we present Evolve Path Tracer, which consists of Evolve Path Encoder LSTM, Evolve Path Graph GCN, and Hierarchical Survival Predictor. Specifically, in addition to the general address features, we propose …

The Future Of Cryptocurrency And Blockchain Technology In Finance, Wanyi Wong, Alan @ Ali Madjelisi Megargel

Research Collection School Of Computing and Information Systems

Cryptocurrencies have been all the rage in recent years, with many being drawn to their appeal as speculative investment assets. Its proponents also champion the secure and decentralised nature of the technology it is based on, called the blockchain. Given the secure nature of blockchain technology, the idea of adopting cryptocurrencies as legal tender currency has also been mooted and experimented with – with the most famous example being the Central American nation of El Salvador’s bold move to adopting the cryptocurrency Bitcoin as legal tender in September 2021. In theory, this would provide a solution to the high transaction …

Two Essays On Retail Trading, Qiqi Liang

Theses and Dissertations in Business Administration

Essay 1: Retail investors from the discount broker Robinhood swarm into stocks with pending earnings announcements and stay away from them immediately after the announcements. We study four competing explanations for this phenomenon: liquidity provision, informed trading, lottery preference, and attention-induced herding by noise traders. We find strong evidence that, immediately around earnings announcements, Robinhood investors’ behavior is primarily driven by attention-induced noise trading. Our results offer new insights into retail traders’ motivation for trading when they face heightened uncertainty from earnings announcements. Our study also goes beyond Barber et al.’s (2022) limited focus on the top 0.5% of the …

Mastering Stock Markets With Efficient Mixture Of Diversified Trading Experts, Shuo Sun, Xinrun Wang, Wanqi Xue, Xiaoxuan Lou, Bo An

Research Collection School Of Computing and Information Systems

Quantitative stock investment is a fundamental financial task that highly relies on accurate prediction of market status and profitable investment decision making. Despite recent advances in deep learning (DL) have shown stellar performance on capturing trading opportunities in the stochastic stock market, the performance of existing DL methods is unstable with sensitivity to network initialization and hyperparameter selection. One major limitation of existing works is that investment decisions are made based on one individual neural network predictor with high uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle this limitation, we propose AlphaMix, a novel three-stage …

Budgeting And Cataloging Enhancement For Small And Medium-Sized Enterprises Towards Sustainable Development Goals, Velicia Faustine Halim, Hasnul Suhaimi

Journal of Environmental Science and Sustainable Development

This paper describes a business coaching activity for small and medium enterprises (SMEs) in chemical and waste management industries. Based on the analysis results, there was a lack of budgeting practice and suboptimal catalog marketing that comprised the majority of existing problems in SMEs. This research aims to assist the SME in improving its budgeting practice and product catalog. The method used is a qualitative method based on a business coaching approach. The research instruments adopted included in-depth individual interviews (IDI). The collected data was then processed and analyzed, starting with generating the SME's business process and service blueprint, followed …

On Teaching Multi-Criteria Decision Making With A Robot Assistant, Chen Zhang, Hakan Saraoglu, David A. Louton

Information Systems and Analytics Department Faculty Conference Proceedings

We propose a system and method for a robot assistant for teaching multi-attribute decision making (MCDM). Through questions and answers in natural language, the robot assistant learns the user’s preferences on multiple criteria involving a selection decision and makes recommendations using data on each criterion and the learned user preferences. It will include a use-case demonstration where NAO the robot will assist a human in forming a simple portfolio of mutual funds. Presenters will illustrate the architecture of the robot assisted MCDM and describe a method that is extensively used to structure complex decision problems and has been applied to …

Cash Usage In Poland In 2020: Insights Into The Role Of The Covid-19 Pandemic And Spatial Aspects, Radosław Kotkowski, Arkadiusz Manikowski

Journal of Banking and Financial Economics

The study explores the factors likely to induce Polish customers to pay by cash, instead of payment cards, for goods and services they are purchasing. The basis of our investigation is microdata obtained in 2020, during the “Payment Habits in Poland in 2020” study, which was conducted by Narodowy Bank Polski (National Bank of Poland) in 2020. The analysis is performed using the two-stage Heckman approach. In the first stage, card adoption factors are analyzed using a probit model; then, in the second stage, the OLS model is employed to analyze the propensity to pay by cash, despite having a …

The Effect Of Sustainability Information Disclosure On The Cost Of Equity Capital: An Empirical Analysis Based On Gartner Top 50 Supply Chain Rankings, Lingyu Li, Xianrong Zheng, Shuxi Wang

Information Technology & Decision Sciences Faculty Publications

While disclosing financial information has been widely proved to reduce the financing cost of a company, the impact of non-financial information, such as sustainability information, disclosing on the financing cost of the company is still in debate. The goal of this paper is to explore the impact of disclosing sustainability-related information on the cost of equity for firms. The paper first introduces the concept of sustainability information disclosure, and then exhibits its benefit through exploring its impact on reducing a firm’s financing cost. It uses the Gartner supply chain top 50 rankings to construct the experiment environment to test for …

China's Mybank: Creating Shared Value, Heli Wang, Lipika Bhattacharya

Asian Management Insights

Online banking has delivered financial inclusivity and profits, but has it also created shared value?

The Impact Of Proportional Remittances On The Macroeconomy: Analysis From An Overlapping Generations Model For The Philippines, John Paolo Rivera

DLSU Business & Economics Review

The discourse on micro-foundations linking microeconomic and macroeconomic principles to establish relationships in macroeconomic models have been increasing, one of which is through an Overlapping Generations Model. From its standard form, it has been extended to incorporate migration and remittances. We contribute to the discussion by introducing proportional remittances in the model and trace its effects on the trajectory of aggregate income, consumption, capital stock, and factor prices. Calibration results showed that increases in proportional remittances induce higher aggregate income, consumption, and capital accumulation paths, albeit varying degrees with respect to the elasticity of substitution between current and future consumption. …

Plan For Retirement Versus The Occupational Impact Throughout Retirement: The Significance Of Identity And Role Transitions, Priscilla Guardado, Amy Lyons-Brown

Summer 2023 Virtual OTD Capstone Symposium

OBJECTIVE: The purpose of this study was to conduct a mixed methods research study on retired individuals and identifying their occupational identity throughout their retired experience.

METHODS: Using survey methods, a demographic questionnaire was sent out to individuals who signed up to participate in the study. To participate, individuals had to be in the age range of 50-80 years with a minimum of 2 years post retirement. A total of 15 participants initially signed up with a 93% survey response rate (n=14) and 86% (n=13) response rate for completion of the study with an interview.

RESULTS: Most participants reported dealing …

Moderating Role Of Financial Characteristics In Sectoral Performance During The Period Of Economic Disruption: Evidence From The Covid-19 Pandemic, Himanshu Joshi, Bhavya Joshi

The Indonesian Capital Market Review

The exogenous shock of the Covid-19 pandemic disrupted the equity market worldwide, however its impact on the sectoral returns varied. Sectors like aviation, hospitality, and retail were the worst affected because of imposed lockdowns. Contrarily, technology, e-commerce, pharmaceutical, and biotech sectors thrived for the same reasons. The present study evaluates the impact of covid-19 disruption on firms from diverse sectors and examines the moderating effect of firm’s financial characteristics on sectoral performance by establishing a causal relationship between the firm's cumulative abnormal returns generated during the various phases of the pandemic and their sectoral and financial characteristics using data for …

Impact Of Gender, Age, And Education Of Peer-To-Peer Lender On Loan Viability Assessment: Evidence From Sharia Firm, Azzahra Maulia, Yohanna M.L. Gultom

The Indonesian Capital Market Review

Peer-to-peer (P2P) lending offers investors the discretion to allocate funds based on their risk toler- ance. However, funds cannot be withdrawn until loans mature or are repaid by borrowers, rendering it a relatively high-risk investment. Research suggests that women in older age groups tend to exhibit greater risk aversion, though financial literacy may mitigate gender disparities. This study employs logistic regression to analyze the impact of gender, age, and education on P2P loan viability assess- ment. Our findings indicate that, generally, older lenders are less likely to finance high-risk loans. However, older women with at least a bachelor’s degree display …

Comparative Analysis Between Corporate Sukuk And Bonds In Indonesia: Value At Risk Approach, Bintang Fajar Muskan Putra, Puji Sucia Sucia Sukmaningrum, Sulistya Rusgianto

The Indonesian Capital Market Review

This research aims to analyze the differences in Risk (Value at Risk) and Return between sukuk and bonds. The research approach utilizes the T-test to examine this comparison. The data source is the closing prices of Sukuk and Bonds for 2018-2020. The research results indicate a significant difference between Sukuk and Bonds regarding returns. A vital difference also occurs in Sukuk and Bonds's Value at Risk (VaR). The results of this study prove that Sukuk has higher returns and lower VaR than Bonds. Sukuk can be a good instrument for portfolio diversification.

Investigating The Relationship Between Monetary Policy, Macro-Prudential Policy And Credit Risk In Indonesia Banking Industry, Cep J. Anwar, Indra Suhendra, Eka Purwanda, Agus Salim, Nur A. Rakhmawati, Ferry Jie

Research outputs 2022 to 2026

Using a novel panel data set we study the influence of monetary and macro-prudential policies on non-performing loans as a measure of credit risk in Indonesian banking industry from Q1 2010 to Q4 2022. The panel homogeneity assumption was verified through the utilization of the Chow and Roy-Zellner tests. The findings showed that the model was not homogenous, necessitating the use of the Pooled Mean Group (PMG) estimator. The results indicated that monetary and macro-prudential policies significantly impacted credit risk. Furthermore, tight monetary and macro-prudential policies increased and reduced credit risk in the long run, respectively. The findings also showed …

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

A Pedagogical Note On Linear Regressions, Andrew Adrian Yu Pua

DLSU Business & Economics Review

No abstract provided.

Language And Economic Behavior Among Filipino Bilinguals: Two Studies In Honor Of Tereso S. Tullao, Jr., Gerardo L. Largoza, Emmanuel M. Garcia

DLSU Business & Economics Review

We report the results of two studies motivated by Tereso S. Tullao, Jr.’s conviction, first articulated nearly four

decades ago, that language matters in economic decision-making. In Study 1, following Chen (2013), we estimate a fixed- effects logit model on Wave 6 of the World Values Survey, and find that speakers of Cebuano (a “tenseless” language that only weakly distinguishes between present and future), are more likely to save than speakers of Tagalog (whose grammar clearly distinguishes between present and future). In Study 2, we conduct a large-scale dictator game experiment among 480 low- income students and find an unusual …