Miracle-dz/UniFAR-FTUs huggingface dataset:
Numerical Techniques for the Heston Collocated Volatility Model

In the collocating volatility (CLV) model, the stochastic collocation technique is used as a convenient representation of the terminal distribution of the market option prices. A specific dynamic is added in the form of a stochastic driver process, which allows more control over the prices of forward starting options. This is reminiscent of the Markov functional models. (Grzelak uses a single-factor Ornstein–Uhlenbeck process as the driver for the CLV model, and Fries uses a single-factor Wiener process with time-dependent volatility in his equity Markov functional model. Van der Stoep et al consider a Heston stochastic volatility driver process and show that it offers more flexibility to capture the forward smile in the context of foreign exchange options.) In this paper, we discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing through implicit and explicit finite-difference methods.
Predicting High-frequency Stock Price Using Machine Learning Technique

This paper addresses the problem of predicting the stock price using the high frequency data based on a machine learning approach. We study two things in this paper (1) comparison of the prediction performance among selected function classes with given look-back parameter in terms of the proposed evaluation measures in the process of finding the best in-sample empirical loss minimizer (2) the comparison of those results by changing the sampled frequency of financial time series data after obtaining an introduced set of high frequency data features extracted from the Trades and Quotes (TAQ) data. For the analysis of TAQ data, feature engineering involves the computation of 56 number of related features including market microstructure, statistical, and technical indicator features. Re-estimation was done to improve the prediction accuracy for data models to obtain the predicted value every moving window. On the other hand, algorithmic models are used without re-estimation for the practical matter in that the time spent to train the model is often larger than the sampled frequency of the data. Moreover, the look-back parameter is introduced to cut off the irrelevant long past historical data. <br><br>Among the selected function class in the experiment, the results show that the PCA regression performs the best in terms of the mean directional accuracy and simple back testing for both NASDAQ100 index and TAQ data with given sampled frequencies (i.e., 3min, 5min, etc). Compared to previous studies using NASDAQ100, the results demonstrate that re-estimation and properly chosen look-back parameter improve the prediction performance in terms of proposed evaluation measures. When it comes to maximum draw down, which is a measure critical for risk management, DA-RNN rendered the smallest value and, thereby, was the best performing model for TAQ data for all time frequencies. We also provide DM statistics whose null hypothesis is that the accuracies of prediction values of any two given models will not be different. In case of TAQ data for all sampled frequencies, there is evidence that we cannot reject the null hypothesis when comparing between PCA regression and DA-RNN model. Extensive experiments provide insights into properly evaluating the prediction performance of best in-sample empirical loss minimizer using the high frequency time series data.
Self-Fulfilling Risk Panics: An Expected Utility Framework

Even if an asset has no fundamental uncertainty with a constant dividend process, a stochastic sentiment-driven equilibrium for the asset price exists besides the well-known fundamental equilibrium. Our paper constructs such sentiment-driven equilibria under general utility functions within an OLG structure. Our paper further shows that the existence of sentiment-driven equilibria is robust in a standard infinite-period model as long as the pricing kernel is affected by the asset price. Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber. org.
Self-cured phthalonitrile resin via multistage polymerization mediated by allyl and benzoxazine functional groups

Self-curing allyl-functional phthalonitriles-containing benzoxazine (DABA-ph) has been designed and synthesized. These formed a resin through a curing process involving the sequential polymerization of allyl moieties, ring-opening polymerization of oxazine rings, and ring-forming polymerization of nitrile groups. The introduction of allyl moieties was found to improve the processability as the process started at a lower temperature of 160–200°C than is needed for related resins. After self-curing, the resins exhibited high cross-linking degrees and excellent thermal stabilities. The glass transition temperature (T g) was increased compared to similar resins to 380°C with good thermal stability (5% weight loss temperature > 490°C). These outstanding properties suggest the DABA-ph polymers are suitable candidates as matrices for high-performance composites.
Financial Reporting Quality and Private Firms’ Access to Trade Credit Capital

Synopsis The research problem We examine the association between financial reporting quality and trade credit capital for a large sample of European private firms. Furthermore, we explore how information asymmetry and credit rationing moderate the link between financial reporting quality and trade credit financing. Motivation Trade credit constitutes one of the most important sources of financing for private firms. Nevertheless, prior research has provided few and inconclusive evidence of the link between financial reporting quality and private firms’ trade credit capital. Our study is further motivated by the recent calls for more research on the determinants of the relation between financial reporting quality and trade credit financing (e.g., Hope & Vyas ( 2017 )). The test hypotheses H1: There is a positive association between financial reporting quality and private firms’ access to trade credit capital. H2a: The relation between financial reporting quality and private firms’ access to trade credit capital is more positive when information asymmetry and uncertainty about future cash flows are high. H2b: The relation between financial reporting quality and private firms’ access to trade credit capital is more positive when credit is rationed. Target population Policymakers who seek to improve accounting standards and customize them to the financial reporting needs of private firms and their stakeholders (e.g., international financial reporting standards for small and medium-sized enterprises), private firm managers, and private firm suppliers. Adopted methodology Ordinary Least Squares regression analyses. Analyses We examine the association between financial reporting quality and trade credit financing for a large sample of private firms from Europe’s five largest economies, i.e., France, Germany, Italy, Spain, and the United Kingdom. Our sample period spans from 2010 to 2016. We use the Amadeus database as our source of data. We regress trade credit capital on three proxies for financial reporting quality. In cross-sectional analyses, we repeat our main estimations by interacting our proxies for financial reporting quality with proxies for information asymmetry and credit rationing. Findings We find strong evidence that high-quality financial reporting is associated with more trade credit financing in private firms. We further show that the positive relation between high-quality financial reporting and trade credit is stronger when information asymmetry and uncertainty about future cash flows is high as well as when credit is rationed. These findings suggest that suppliers complement insider communication channels and financial reporting quality and provide a more nuanced understanding of the interplay among information asymmetry, credit rationing, and trade credit financing.
Eﬃciency or Resiliency? Corporate Choice between FInancial and Operational Hedging

We study the corporate choice between ﬁnancial eﬃciency and operational resiliency. Firms substitute between saving cash for ﬁnancial hedging, which mitigates the risk of ﬁnancial default, and spending on operational hedging, which mitigates the risk of operational default such as a failure to deliver on obligations to customers. This tradeoﬀ is particularly strong for ﬁnancially constrained ﬁrms and results in a positive relationship between operational spread (markup) and ﬁnancial leverage or credit risk. We present empirical evidence supporting this tradeoﬀ, the eﬀect being pronounced for constrained ﬁrms.
Skill versus Reliability in Venture Capital

Abstract We study competition for startups among VCs with heterogeneous skill. VCs with established skill face two impediments. First, less established VCs compete aggressively for new startups in order to establish a reputation. Second, startups also value reliability in their VCs, which imposes a higher cost on established VCs because they have better outside options. As a result, startups “over-experiment” by excessively partnering with less established VCs, which crowds out established skill and reduces social welfare. Established VCs are hurt because they need to pay more to attract startups, lose profitable opportunities, and face increased competition from newly established VCs.
Managerial Talk of Trust and Takeover Performance

The current study investigates the usage of virtuous language in the management discussion and analysis (MD&amp;A) section of SEC filings (10-K Form) and the prognostic power of such language for takeover performance. The sample under study, obtained from Bloomberg, is comprised of a large number of M&amp;A deals from the United States that took place between January 2000 and October 2016. The empirical results, based on textual analysis, reveal that trust is negatively associated with long-term takeover performance, suggesting that managerial virtuous talk is, in practicality, an indication of lower post-acquisition gains for the acquirers in the long run. Furthermore, takeover returns are found to reflect textual information on trust with a delay, owing to general inattention and inability of investors to process soft cues inherent in textual content and to managers purposefully lulling investors to keep them from paying attention and identifying managerial misconduct. Quite interestingly, the significance of virtuous talk becomes more evident in the post-crisis period due to relatively higher uncertainty linked with evaluating such kind of deals on the basis of hard information alone. Finally, an inflated virtuous talk when coupled with pessimistic tone, the ability of managerial ‘good talk’ to create a trustworthy image and to distract investors reduces and the predictive power of managerial trust talk increases even more. Overall, it is concluded that managerial virtuous talk should not be regarded as a ‘cheap talk’. It is, in fact, very pertinent for predicting future takeover returns in the long run.
Aggregate Financial Misreporting and the Predictability of U.S. Recessions

This study examines the incremental predictive power of aggregate measures of financial misreporting for recession and real GDP growth. We draw on prior research suggesting that misreporting has real economic effects because it represents misinformation on which firms base their investment, hiring and production decisions. We find that aggregate M-Score incrementally predicts recessions at forecast horizons of five to eight quarters ahead. We also find that aggregate M-Score is significantly associated with lower future growth in real GDP, real investment, consumption, and industrial production. Additionally, our result that aggregate M-Score predicts lower real investment one to four quarters ahead partially accounts for why misreporting predicts recessions five to eight quarters ahead. Our findings are weaker when we use aggregate F-Score as a proxy for misreporting. Overall, this study provides novel evidence that aggregate misreporting measures can aid forecasters and regulators in predicting recessions and real GDP growth.
Offering Free Upgrades Even before Stocks Run Out: The Value of Proactive Upgrades

Problem definition: When selling multiple products with different feature combinations over a short selling season, a seller often adopts a “reactive” upgrade policy by offering a free upgrade to the next-price-level product only after a customer’s preferred product is out of stock. However, when customers’ preferences are heterogeneous for different feature combinations, some unyielding customers may reject free upgrades. In this paper, we consider a new “proactive” upgrade policy under which the seller may offer free upgrades even before a product is out of stock. Academic/practical relevance: The proactive upgrade policy enables the seller to strategically keep some units of a product in reserve to secure future sales of this product for those unyielding customers. However, the value of the proactive upgrade policy over the traditional reactive upgrade policy remains unclear. Methodology: Given the product choice probability the “upgrade acceptance probability” of each arriving customer, we formulate the problem of how to offer proactive upgrades as a finite horizon dynamic program with an embedded Markov decision process, and we determine the optimal proactive upgrade policy. Results: By exploiting the underlying mathematical structure, we prove that the optimal value function possesses the “anti-multimodularity” property such that the optimal upgrade strategy under the proactive upgrade policy is governed by two state-dependent thresholds: one threshold dictates when to offer proactive upgrades, and the other threshold dictates when to offer reactive upgrades. We also show that the proactive upgrade policy can create significant value over the reactive upgrade policy when the next-price-level product has similar consumer utility or when the price sensitivity is intermediate. Managerial implications: We identify the conditions under which the proactive upgrade policy provides significant value over the traditional reactive upgrade policy. These results can be useful for sellers who sell variants of similar products with different feature combinations to customers with heterogeneous feature preferences.
Rare Disasters, the Natural Interest Rate and Monetary Policy

This paper evaluates the impact of rare disasters on the natural interest rate and macroeconomic conditions by simulating a nonlinear New-Keynesian model. The model is calibrated using data on natural disasters in OECD countries. From an ex-ante perspective, disaster risk behaves as a negative demand shock and lowers the natural rate and inflation, even if disasters hit only the supply side of the economy. These effects become larger and nonlinear if extreme natural disasters become more frequent, a scenario compatible with climate change projections. From an ex-post perspective, a disaster realization leads to temporarily higher natural rate and inflation if supply-side effects prevail. If agents' risk aversion increases temporarily, disasters may generate larger demand effects and lead to a lower natural rate and inflation. If supply-side effects dominate, the central bank could mitigate output losses at the cost of temporarily higher inflation in the short run. Conversely, under strict inflation targeting, inflation is stabilized at the cost of larger output losses.
Social Networks and Market Reactions to Earnings News

Using social network data from Facebook, we show that earnings announcements made by firms located in counties with higher investor social network centrality attract more attention from both retail and institutional investors. For such firms, the immediate price and volume reactions to earnings announcements are stronger, and post-announcement drift is weaker. Such firms have lower post-announcement persistence of return volatility but higher persistence in investor attention and trading volume. These effects are stronger for small firms, firms with poor analyst and media coverage, and for stocks with salient returns. Our evidence suggests a dual role of social networks---they facilitate the incorporation of public information into prices, but also trigger persistent excessive trading.
Early Reservation for Follow-up Appointments in a Slotted-Service Queue

Shall Follow-up Appointments Be Booked in Advance? Appointment systems are ubiquitous, especially in healthcare. By looking into a large data set with over 1.6 million appointments, we observe that many doctors booked a follow-up appointment at the end of their meeting with their patients. This strategy ensures that the patients would follow up but at the risk that the patient may not show up and the appointment ends being wasted. We develop a slotted-service queue model to study if and when such a strategy should be used in three representative appointment systems, respectively. In an open access system, it is optimal to never use this strategy. In a traditional appointment system that allows patients to book in advance, it is optimal to apply this strategy to some patients. While in a hybrid system with both walk-in patients and patients with appointments, whether to use this strategy depends on the load balancing between the two patient queues.
Evidence from the U.S. on the Effect of Auditor Involvement in Assessing Internal Control over Financial Reporting

Securities regulators around the world are considering the costs and benefits of alternative policies for providing information to financial markets on corporate internal control. These policy options differ on the level of auditor involvement, among other dimensions. We examine the association of relative auditor involvement and auditor characteristics with Section 302 internal control disclosures made by US non-accelerated filers from 2003-2005. We find more material weaknesses disclosed in the fourth quarter, when there is relatively more auditor involvement, relative to the first three quarters. Clients of larger audit firms have higher disclosure rates (although they are likely less risky due to more stringent client acceptance standards), but this difference is due to fourth quarter disclosures. Audit firms with Section 404 experience also have greater material weakness disclosure, implying process improvement associated with knowledge sharing across engagements. Collectively, our results shed light on ways to increase the effectiveness of internal control regulation.
Enhancement of lead (Pb) biosorption by Gamma irradiated Aspergillus japonicus

Among the different types of microorganisms; the fungal biomass is considered as an effective mediator for bioremediation of heavy metals, due to its higher surface area and extensive hyphal density in the soil. About seven fungal spp. were isolated from the soil garden of the Middle Eastern Regional Radioisotope Center for Arab Countries (MERRCAC); however, a single isolate of Aspergillus japonicus with high potential of metals biosorption was selected for further research during this work. Soil analysis revealed that lead concentration was 5.25 mg/ l. The aims of the present study were to gamma irradiate A. japonicus with low doses of 50 to 250Gy, in order to enhance its heavy metal tolerance ability, and to increase its efficacy for removal of lead (Pb) from the soil. Results indicated that combined treatments of A. japonicus with lead and gamma irradiation doses displayed more enhancements of its biosorption capacity and gain in dry biomass than single treatment. Treatment with Pb (1950 mg/ l) in combination with gamma irradiation (100 Gy) proved to be optimum for increasing the biosorption capacity of this isolate. However, Pb at 650 mg/ l combined with gamma irradiation at 100 Gy was the optimum for gain in dry biomass. Fourier Transform Infrared Spectroscopic (FTIR) analysis showed that the fungal biomass includes in its surface hydroxyl, carboxyl and amine groups. On the other hand, Transmission electron microscope (TEM) examination of the irradiated A. japonicus cells demonstrated accumulation of electron dense Pb on the cell wall and within the fungal cells, this indicate that Pb 2+ accumulation by fungi occurs by two methods absorption inside the cell and adsorption on the cell wall. The current study expressed a potential new method for enhancing microbial biosorption using low doses of gamma radiation.
Private Company Acquisitions in the Market for Corporate Control: A Comparison between Private Equity and Corporate Acquirers

Abstract This paper explores private company acquisitions, from 2000 to 2016, in the light of the market for corporate control. The two dominant acquirers – strategic acquirers (corporate firms) who seek long-term synergies, and financial ones (private equity firms) who acquire only to divest within a reasonable timeframe while harnessing returns – are bound by a target pool on a different playing field – private targets. Private companies are not affected by agency conflicts as their public counterparts and are generally less visible and more illiquid. This study examines acquirer choice, target characteristics, and deal characteristics, and its impact on deal value. Results indicated that different targets appealed to these acquirers, and PE acquirers valued targets higher than corporate ones. Further, a changing nature of acquisitions following the 2008 financial crisis was observed.
Attribute Differences between Us Gaap and IFRS Earnings: An Exploratory Study

With the successful completion of the IASC's standards, IFRS and US GAAP were placed as the two pre-eminent world financial reporting frameworks. For years, however, US GAAP was accepted widely as the international set of standards to ensure high quality financial statements. Especially in the US, but also elsewhere, the introduction of IFRS has lead to a discussion on the (relative) quality of both regimes. However, relatively little research has been devoted to the subject. In this study, we address that void and further compare the quality of the two standard regimes using a sample of German New Market firms. Financial statement quality is measured applying multiple earnings attributes traditionally used in accounting research. Consistently throughout our measures, we find that the quality of US GAAP prepared financial statements and IFRS information is overall very comparable. Only with regard to predictive ability of accounting information do we find US GAAP superiority.
Informed Options Trading Prior to Takeover Rumors

We examine derivatives trading prior to takeover rumors in a sample of 1,638 publicly traded U.S. firms. The volume of options traded is abnormally high over the 5-day pre-rumor period, primarily due to the number of out-of-the-money call options traded. In addition, the direction of option trades (abnormal call volume minus abnormal put volume) prior to takeover rumors predicts forthcoming takeover announcements and rumor date returns. Identifying suspicious trades, we find evidence of individuals trading on knowledge of takeover rumor candidacy in the options market. Our results further indicate that informed traders prefer the options market to the equity market.