Finance and Financial Management Commons^™

Implementing Option Pricing Model, Zhao Ming

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

In this paper I replicate Clewlow and Strickland's control variates methods based on Greek letters method to test if it can improve the simulation efficiency. First, I use Black Scholes Merton formula for option pricing as a benchmark, to compare with the European call option price from Monte Carlo methods. Then I use Greek letters as control variates to reduce sample standard deviation and improve the efficiency of the Monte Carlo simulation. The whole process is programming in C++. C++ is a compiled language which can generate machine code from source code and provide a shorter running time. This paper …

Deep Reinforcement Learning Pairs Trading, Andrew Brim

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

This research applies a deep reinforcement learning technique, Deep Q-network, to a stock market pairs trading strategy for profit. Artificial intelligent methods have long since been applied to optimize trading strategies. This work trains and tests a DQN to trade co-integrated stock market prices, in a pairs trading strategy. The results demonstrate the DQN is able to consistently produce positive returns when executing a pairs trading strategy.

The Introduction Of Bitcoin Futures: An Examination Of Volatility And Potential Spillover Effects, Benjamin M. Blau, Ryan J. Whitby

Economics and Finance Faculty Publications

Theory in Stein (1987) suggests that introducing derivative contracts, such as futures, can destabilize underlying asset prices if the contracts attract enough speculative traders. This paper examines how the introduction of Bitcoin futures influences the underlying Bitcoin market. Consistent with Stein (1987), we find that that Bitcoin's volatility increases significantly during the post-introduction period. Perhaps more importantly, however, we observe significant spillover effects into related markets. For instance, in other cryptocurrencies, the increase in volatility in these markets is greater than the post-introduction increase in Bitcoin.

Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark

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

Filtered historical simulation with an underlying GARCH process can be used as a valuable tool in VaR analysis, as it derives risk estimates that are sensitive to the distributional properties of the historical data of the produced predictive density. I examine the applications to risk analysis that filtered historical simulation can provide, as well as an interpretation of the predictive density as a poor man’s Bayesian posterior distribution. The predictive density allows us to make associated probabilistic statements regarding the results for VaR analysis, giving greater measurement of risk and the ability to maintain the optimal level of risk per …

The Performance Of Military Defense Contracted Companies After September 11th, 2001: The Case Of Politically Connected Companies, Derek J. Larsen

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

This paper examines the effect that the terrorist attacks on September 11^th, 2001 had on the stock prices of companies within the military defense industry. In addition, this paper studies the effect of the defense firms’ political engagement (through lobbying activities) and how this affected the stock price response to the terrorist attacks. Our study finds that the cumulative abnormal returns of these companies are positively significant and that companies who lobbied experienced higher returns relative to those who did not lobby.

The Stock Return Changes Of Chinese Adr Before And After Trump's Election And Imposed Tariff On Chinese Goods, Suyao Liu

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

This study examines the stock return changes of Chinese ADR company likely be affected by Trump’s election on November 9, 2016, the signing of tariff Chinese goods bill on March 8, 2018, and the tariff bill takes into act on March 23, 2018. The results show that, relative to the entire market, the stock prices of Chinese ADR companies underperform. Our analysis provides evidence that it’s hard to find that these three events would affect a particular industry of Chinese ADR the most.

Exploiting Wall Street: An Algorithmic Approach To Investing, Sterling Lemon

Student Research Symposium

Technology has advanced dramatically over the years, yet the old investment strategy of "buy and hold" has remained prevalent. While this strategy performed well historically, it serves as a stark contrast to modern investing which, by utilizing machine learning and advanced data analytics, is generating unprecedented returns This research project will demonstrate the strength behind algorithmic investing and how the investment strategy of "buy and hold" will become a thing of the past.

The Effect Of Dental Therapists On Access To Dental Care, Jacob Caldwell

Research on Capitol Hill

Oral health is an important indicator of overall individual health and general well-being. Unfortunately, there is a lack of dental care availability and access in many parts of the United States. According to the Health Resources and Services Administration, as of December 31, 2018 there were nearly 6,000 Dental Health Professional Shortage Areas (HPSAs) in the US. Around 58 million people live in these shortage areas and it is estimated that over 10,000 practitioners are necessary to meet the needs of these populations.

Financial Outcomes From Selection Of Insurance Intervals, Shana Anderson Stewart

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

The purpose of this paper is to demonstrate the potential value of enrolling in rainfall-index for pasture, rangeland, and forage insurance for Utah producers. A stochastic optimization model is used to identify the optimal selection of insurance intervals that will provide the maximum indemnity payments less premiums. Four Utah counties were selected for analysis. Results indicate that positive returns will occur greater than 60% of the time in all counties with the selected insurance intervals. The optimal months to insure varied in each county.

Performance Of The Vidya Indicator Using Bootstrap, Lucas Priskos

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

This paper analyses the performance of the Volatility Index Dynamic Average Indicator (VIDYA) as a method for technical trading. The question was whether or not the buy and sell signals generated by VIDYA could allow a trader to outperform the benchmark rate of return. The strategy is implemented in a similar way to a standard moving average crossover where two lines are charted: a short period VIDYA and a long period VIDYA. The four combinations of VIDYA were used were as follows: 6 with 21 periods, 9 with 21 periods, 12 with 21 periods, and 21 with 50 periods. When …

Lobbying Legislation And Cumulative Abnormal Returns, Brenan Stewart

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

The Honest Leadership and Open Government Act of 2007 (Pub.L. 110-81, 121 Stat. 735, enacted September 14, 2007) was passed by the U.S. Congress in order “to strengthen public disclosure requirements concerning lobbying activity and funding. It placed more restrictions on gifts for members of Congress and their staff, and provides for mandatory disclosure of earmarks in expenditure bills.” Treating this event as a natural experiment, we examine how this legislation affected the Cumulative Abnormal Returns (CARs) of firms that lobbied in the year(s) leading up to the passing of the legislation. We find that companies that lobbied in the …

The Free Cash Flow And Corporate Returns, Sen Na

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

Mcpherson (2018) and Jose, Lancaster, Stevens (1996) have written papers to examine the relationship between liquidity management and firm profitability. The literature establishes that the cash conversion cycle has an implication for the profitability and liquidity of a firm. We extend the time period and analyze the free cash flow instead of cash conversion cycle. We provide evidence that firms with higher free cash flows have higher risk adjusted stock returns.

Bounded Rationality And The Choice Of Jury Selection Procedures, Martin Van Der Linden

Economics and Finance Faculty Publications

A peremptory-challenge procedure allows the parties to a jury trial to dismiss some prospective jurors without justification. Complex challenge procedures offer an unfair advantage to parties who are better able to strategize. I introduce a new measure of strategic complexity based on level-k thinking and use this measure to compare challenge procedures often used in practice. In applying this measure, I overturn some commonly held beliefs about which jury selection procedures are strategically simple.

The Effects Of Economic Policy Uncertainty On Common Stock And American Depository Receipts, Bradley David Zynda Ii

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

Uncertainty can have profound implications on both firms and individuals who hope to optimally make decisions in their best interest. In this research, I seek to examine the impact that economic policy uncertainty has on domestic and foreign stock. In particular, I take a market microstructure perspective focused on stock liquidity and volatility measures in response to changes in economic policy uncertainty. Understanding the directional flow of economic policy uncertainty and the magnitude of the consequences at home and abroad can both help prepare agents to make good decisions about the future and exhort policy makers to be more efficient …

The Nfl And Trump: Did Protesting Cause The Decline?, Jameson Osmond

Undergraduate Honors Capstone Projects

This project is a study in econometric modeling of the effects of the protests of the national anthem in the NFL during the 2016-2017 seasons. The project is created to determine the accuracy or lack thereof of President Donald Trump's statement that the cause of the decline in viewership and ratings (and thus business) of NFL games was caused by protests that deterred US viewers.

Using viewership and rating data, along with various protest indexes created by collecting game-level protest data, an econometric model was constructed to allow for control over various endogenous and exogenous variables that surround NFL in-season …

Export Competitiveness Of Central And Eastern Europe Since The Enlargement Of The Eu, John Gilbert, Eva Muchová

Economics and Finance Faculty Publications

We use constant market share (CMS) analysis to decompose changes in the export shares of the Central and Eastern European (CEE) economies in the period since the 5th enlargement of the European Union (EU) and measure changes in export competitiveness. We find that the CEE transition economies have generally increased their world export competitiveness, but gains in market share have been tempered by a poor match between both the commodity and regional export profiles of most of the CEE economies and the changes in the world import profile, and by generally slow adaptation of the region to changes in the …

Discounting And Digit Ratio: Low 2d:4d Predicts Patience For A Sample Of Females, Diego Aycinena, Lucas Rentschler

Economics and Finance Faculty Publications

Inter-temporal trade-offs are ubiquitous in human decision making. We study the relationship between preferences over such trade-offs and the ratio of the second digit to that of the forth (2D:4D), a marker for pre-natal exposure to sex hormones. Specifically, we study whether 2D:4D affects discounting. Our sample consists of 419 female participants of a Guatemalan conditional cash transfer program who take part in an experiment. Their choices in the convex time budget (CTB) experimental task allow us to make inferences regarding their patience (discounting), while controlling for present-biasedness and preference for smoothing consumption (utility curvature). We find that women with …

Application: Solving For A Local Companys Optimal Storage Strategy, Dakota Ferrin

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

This project used historical spot and futures price data of two fairly closely correlated commodities to simulate many possible spot and futures price paths that could have occurred over a given time frame. These simulated prices were then used to test various commodity storage strategies available through futures contracts. This paper explains how results, including values such as the mean terminal cumulative profit and the standard deviation of the mean terminal cumulative profits for each strategy, can be interpreted to help determine a local company’s optimal storage strategy.

This paper specifically provides a way for a local company to find …

Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin

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

The 1973 Black-Scholes model, a revolutionary option pricing formula whose price is 'relatively close to observed prices, makes an assumption that the volatility is constant and thus, deterministic. This causes some inefficiencies and patterns in the pricing of options due to the model providing evidence of the volatility smile' of the volatility. Many scholars have suggested that the volatility should be modelled by a stochastic process and the (1993) Heston Model is one of many proposed solutions to remedy this problem. The Heston Model allows for the 'smile' by defining the volatility as a stochastic process. This thesis considers a …

Performance Of Statistical Arbitrage In Future Markets, Shijie Sheng

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

This paper is the replication of Alizadeh and Nomikos (2008) Performance of Statistical Arbitrage in Petroleum Futures Markets. Cited methodology from the original paper, this paper investigates the linkages between commodities in the future markets and apply trading strategy based on statistical analysis. The trading strategy is established based on cointegration relationships between commodities and execute trading rules to determine long-short positions. The robustness of trading result will be implemented by using stationary bootstrap approach. From the result, we can see the trading strategy based on cointegration relationship analysis is efficient to set up trading strategies in given datasets.

The Money Mentors Program: Increasing Financial Literacy In Utah Youths, Zurishaddai A. Garcia, Dave Francis, Amanda Christensen, Stacey S. Macarthur, Margie Memmott, Paul A. Hill

All Current Publications

Utah 4-H and Fidelity Investments collaborated on a program for increasing the financial literacy of teens and children. The collaboration resulted in positive impacts for both Extension and Utah youths. Extension benefited through partnership with a corporation that provided content expertise, volunteers, and funding for a financial literacy program. Youths benefited from improved financial literacy. A Teens Reaching Youth (TRY) team approach was used for the training of 81 teens, who then taught 530 youths statewide. The curriculum addressed research-based financial concepts through activities and technologies that were interactive, appealing, and engaging. The program development and implementation processes may serve …

Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman

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

Do people who gamble carry such preferences into their investments? This study looks at various factors which are used to identify countries with a significant gambling population, and seeks to find a relationship with those gambling tendencies and premiums associated with momentum. From historical market data from financial markets in 45 different countries I found stronger evidence of a momentum premium in those countries which have those identifying factors for gambling, than those that do not. Results of the regression analysis suggest weak evidence that it is possible that the momentum premium could be associated with gambling preferences and culture …

The Efficiency Of Liquidity Resiliency, Nathan Burton

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

Using a VECM to estimate the dynamics of liquidity, in this case bid-ask spread, I run simulations for stocks of varying market capitalizations and find that lower market cap stocks require more orders to return to equilibrium spread following a shock, suggesting less efficiency of price discovery in lower cap stocks. Despite the greater number of order necessary for lower cap stocks, the return to equilibrium spread is still very fast, suggesting a relatively efficient market for NYSE and NASDAQ stocks in the upper three market cap quartiles.

Debt/Equity Ratio And Asset Pricing Analysis, Nicholas Lyle

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

A firm’s value can be manipulated by altering how much debt a firm takes on relative to its equity called the Debt/Equity ratio. The positive aspects of debt are tax shields and the perception that the firm is trying to expand their current operations while the negative effects are increased bankruptcy risk. The optimal ratio is where the negative aspects begin to outweigh the positive. Since bankruptcy risk is hard to value there are many opinions on what the optimal Debt/Equity ratio for a specific firm is.

This study looks to historic data to determine how the market perceives debt …

Burning Budgets: Does An Institutional Blank-Check Raise The Severity And Cost Of Fighting Wildland Fires?, Devin T. Stein

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

In conducting this research, I wanted to explore whether political incentives have a significant effect on wildfire management in the United States. I attempt to answer this question by proving a theoretical justification for why wildfires may become more expensive to fight and severe to manage because of political institutions. I then attempt to provide some hard evidence to support this theory by using regression analysis. My analysis suggests that political factors do matter for wildfire suppression funding, although I was unable to find strong enough evidence to suggest that these political factors are actually driving more severe wildfires.

This …

The Impact Of The 2016 Election On The Financial Performance Of Major Healthcare Companies, Joshua T. Blotter

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

Healthcare reform was a significant political issue during the November 2016 US general elections, and played an important role in campaigning and political discourse leading to the election. Donald Trump, the Republican presidential candidate, and Republicans running for congressional office, campaigned on a platform advocating for the repeal and replacement of the Patient Protection and Affordable Care Act of 2010 (ACA), among other changes. Hillary Clinton, the Democratic presidential candidate, and Democrats running for congressional office, campaigned on a platform that included support for the ACA, as well as increased regulations on the pharmaceutical industry and health insurers, among various …

Financial Development And The Liquidity Of Cross-Listed Stocks; The Case Of Adr's, Jed Decamp

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

This study examines the relationship between financial development in a particular country and the volatility and illiquidity of ADR’s cross-listed on American exchanges, that correspond to the particular home country. Tests show that financial development and illiquidity are inversely related, thus, financial development improves liquidity and reduces volatility. The results have important implications for individual investors, firms seeking to lower their cost of capital, and the economic well-being of countries in general.

An Examination Of The Short Term Reversal Premium, Timothy Burgess

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

The intent of this study is to explore short-term reversal effects in public securities markets.

The basis of this study is to take into consideration prior work done by economists, paying particularly attention to periods specifically before and after the decimalization of the stock market in 2001. This study finds that from years 1980-2000, there is a monthly return premium of -0.0552% or 5.5 basis points, which is quite significant with a t-statistic of 11.08. Following decimalization in 2001 through year 2012, this monthly return premium drops 44% to -0.031% or 3.1 basis points, again with a high t-statistic of …

A Different Perspective On The Debate Between Nonprofit And For-Profit Microfinance Organizations, Hane E. De Oliveira Crevelari

Undergraduate Honors Capstone Projects

Microfinance for-profit organizations flooded the market in the early 2000's when microcredit demonstrated profitability. Ever since, an intense debate arose contesting the morality of profiting from the poor. Many for-profit microfinance institutions were accused of predatory lending through high interest rates and aggressive marketing and payment collection. In this paper, I examine the validity of the arguments for and against for-profits by extensively comparing the different target audiences of the charity sector and the private sector and the main arguments of each side. I conclude that, although the ability to serve the poor is compromised by profit motives, for-profit microfinance …

Options Pricing Through Computational Methods, Robert Petty

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

The purpose of this paper is to show the practical application of computational methods to price options. Emphasis is especially given to the use of the Longstaff-Schwartz method for pricing American and exotic options. An implementation of these pricing methods in a computer program are demonstrated. The advantages of using object-oriented programming design patterns to make pricing programs more flexible and useful is also discussed.