Search results
(21 - 24 of 24)
Pages
- Title
- Integrating Deep Learning And Innovative Feature Selection For Improved Short-Term Price Prediction In Futures Markets
- Creator
- Tian, Tian
- Date
- 2024
- Description
-
This study presents a novel approach for predicting short-term price movements in futures markets using advanced deep-learning models, namely...
Show moreThis study presents a novel approach for predicting short-term price movements in futures markets using advanced deep-learning models, namely LSTM, CNN_LSTM, and GRU_LSTM. By incorporating cophenetic correlation in feature preparation, the study addresses the challenges posed by sudden fluctuations and price spikes while maintaining diversification and utilizing a limited number of variables derived from daily public data. However, the effectiveness of adding features relies on appropriate feature selection, even when employing powerful deep-learning models. To overcome this limitation, an innovative feature selection method is proposed, which combines cophenetic correlation-based hierarchical linkage clustering with the XGBoost importance listing function. This method efficiently identifies and integrates the most relevant features, significantly improving price prediction accuracy. The empirical findings contribute valuable insights into price prediction accuracy and the potential integration of algorithmic and intuitive approaches in futures markets. Moreover, the developed feature preparation method enhances the performance of all deep learning models, including LSTM, CNN_LSTM, and GRU_LSTM. This study contributes to the advancement of price prediction techniques by demonstrating the potential of integrating deep learning models with innovative feature selection methods. Traders and investors can leverage this approach to enhance their decision-making processes and optimize trading strategies in dynamic and complex futures markets.
Show less
- Title
- Financialization in the Structured Products Market
- Creator
- Zhu, Lizi
- Date
- 2023
- Description
-
This dissertation aims to study financialization in the structured products market. The structured products market has been undergoing a major...
Show moreThis dissertation aims to study financialization in the structured products market. The structured products market has been undergoing a major transformation in recent years. The market used to mainly serve institutional investors. However, as a few trading platforms powered by fintech companies emerged on the horizon, more and more banks are starting to compete in this market. The average trade size has also been declining significantly, thereby making the market increasingly accessible to retail investors. What are the factors that facilitate the development of this market? What are the economic incentives of issuers and investors? How do issuers compete? What does the future hold for this market? The main finding of this dissertation is that structured products provide utility to retail investors; As the level of risk aversion increases, an investor increasingly prefers structured products to other traditional asset classes; issuers develop three sources of competitive advantage to be a satisficer; the rise of fintech and improvement of financial education are the key to opening this market to retail investors.
Show less
- Title
- The Double-edged Sword of Executive Pay: How the CEO-TMT Pay Gap Influences Firm Performance
- Creator
- Haddadian Nekah, Pouya
- Date
- 2024
- Description
-
This study examines the relationship between the chief executive officer (CEO) and top management team (TMT) pay gap and consequent firm...
Show moreThis study examines the relationship between the chief executive officer (CEO) and top management team (TMT) pay gap and consequent firm performance. Drawing on tournament theory and equity theory, I argue that the effect of the CEO-TMT pay gap on consequent firm performance is non-monotonic. Using data from 1995 to 2022 from S&P 1500 US firms, I explicate an inverted U-shaped relationship, such that an increase in the pay gap leads to an increase in firm performance up to a certain point, after which it declines. Additionally, multilevel analyses reveal that this curvilinear relationship is moderated by attributes of the TMT, and the industry in which the firm competes. My findings show that firms with higher TMT gender diversity suffer lower performance loss due to wider pay gaps. Furthermore, when firm executives are paid more compared to the industry norms, or when the firm has a long-tenured CEO, firm performance becomes less sensitive to larger CEO-TMT pay gaps. Lastly, when the firm competes in a masculine industry, firm performance is more negatively affected by larger CEO-TMT pay gaps. Contrary to my expectations, firm gender-diversity friendly policies failed to influence the CEO-TMT pay gap-firm performance relationship.
Show less
- Title
- Two Essays on Mergers and Acquisitions
- Creator
- Xu, Yang
- Date
- 2024
- Description
-
This dissertation is composed of two self-contained chapters that both relate to mergers and acquisitions (M&A). In the first essay, we...
Show moreThis dissertation is composed of two self-contained chapters that both relate to mergers and acquisitions (M&A). In the first essay, we examine the Delaware (DE) reincorporation effect on firms’ post-IPO behaviors on mergers and acquisitions. We find that firms’ DE reincorporation decisions enhance the likelihood of engaging in M&A as targets. However, as a tradeoff, DE reincorporated firms get lower takeover valuations compared to stay-at-home-state firms, and the acquisition of reincorporated firms is less likely to be successful. Our second essay aims to explore the role of the options market in price discovery for M&A. We find that the predictive power of the changes in implied volatility of the target firm stock for the takeover outcome is statistically and economically significant. The risk arbitrage portfolios incorporating filters derived from the options on stocks of the target firms generate annualized risk-adjusted abnormal returns between 2.6% and 5%, depending on the portfolio weighting method, the threshold of filters for the implied volatility change, and the asset pricing models applied for abnormal returns. The results are robust to different empirical setups and are not explained by traditional factors.
Show less