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Hedging Beyond the Mean: A Distributional Reinforcement Learning Perspective for Hedging Portfolios with Structured Products 超越均值的对冲:用结构性产品对冲投资组合的分布强化学习视角
Pub Date : 2024-07-15 DOI: 10.2139/ssrn.4709441
Anil Sharma, Freeman Chen, Jaesun Noh, Julio DeJesus, Mario Schlener
Research in quantitative finance has demonstrated that reinforcement learning (RL) methods have delivered promising outcomes in the context of hedging financial portfolios. For example, hedging a portfolio of European options using RL achieves better $PnL$ distribution than the trading hedging strategies like Delta neutral and Delta-Gamma neutral [Cao et. al. 2020]. There is great attention given to the hedging of vanilla options, however, very little is mentioned on hedging a portfolio of structured products such as Autocallable notes. Hedging structured products is much more complex and the traditional RL approaches tend to fail in this context due to the underlying complexity of these products. These are more complicated due to presence of several barriers and coupon payments, and having a longer maturity date (from $7$ years to a decade), etc. In this direction, we propose a distributional RL based method to hedge a portfolio containing an Autocallable structured note. We will demonstrate our RL hedging strategy using American and Digital options as hedging instruments. Through several empirical analysis, we will show that distributional RL provides better $PnL$ distribution than traditional approaches and learns a better policy depicting lower value-at-risk ($VaR$) and conditional value-at-risk ($CVaR$), showcasing the potential for enhanced risk management.
定量金融研究表明,强化学习(RL)方法在对冲金融投资组合方面取得了可喜的成果。例如,与 Delta 中性和 Delta-Gamma 中性等交易对冲策略相比,使用 RL 对冲欧式期权组合可获得更好的 $PnL$ 分布[Cao 等人,2020]。人们对虚值期权的套期保值给予了极大的关注,但对结构性产品(如自动赎回票据)组合的套期保值却鲜有提及。对冲结构性产品要复杂得多,由于这些产品的基本复杂性,传统的 RL 方法在这种情况下往往会失败。这些产品由于存在若干障碍和票息支付、到期日较长(从 7 美元到 10 美元不等)等原因而更加复杂。为此,我们提出了一种基于分布式 RL 的方法,用于对冲包含可自动赎回结构性票据的投资组合。我们将使用美式期权和数字期权作为对冲工具来演示我们的 RL 对冲策略。通过几项实证分析,我们将证明分布式 RL 比传统方法提供了更好的 $PnL$ 分布,并能学习到更好的策略,描绘出更低的风险价值($VaR$)和条件风险价值($CVaR$),展示了增强风险管理的潜力。
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引用次数: 0
Examining The Role of Mindfulness in Alleviating Death Anxiety 研究正念在缓解死亡焦虑中的作用
Pub Date : 2024-07-14 DOI: 10.2139/ssrn.4889307
Kritika Shukla, Monalisa Nayak
Death anxiety, defined as strong worry and concern about death and dying, can have a substantial impact on a person's mental health and quality of life. This study investigates the effectiveness of mindfulness activities in reducing death anxiety by encouraging a present-focused and welcoming mindset. Mindfulness, which includes essential features such as observing, describing, responding with awareness, being nonjudgmental, and remaining nonreactive, is thought to lower the intensity of death dread through improved emotional control and cognitive processing. The study investigates how mindfulness promotes a more balanced and less reactive approach to existential problems. Mindfulness activities teach people to examine their thoughts and feelings without judgment, narrate their experiences in a non-evaluative manner, act with heightened awareness, and create an attitude of acceptance and non-reactivity. This strategy can reduce the avoidance and denial that are commonly linked with death dread, allowing for a more healthy processing of mortality-related ideas. The study's findings indicate that people who practice mindfulness on a daily basis have lower levels of fear about death. These strategies serve to shift the focus away from future-oriented anxieties and towards present-moment sensations, lessening the cognitive and emotional load of death-related thoughts. The study emphasizes the therapeutic potential of mindfulness-based therapies in clinical settings and advocates for their incorporation into mental health treatment regimens to address death anxiety and other existential issues. Individuals who cultivate a conscious approach to death mayincrease their psychological resilience, enjoy more emotional stability, and acquire a deeper sense of inner peace. The findings of this study highlight the value of mindfulness as a potent strategy for reducing death anxiety and promoting general mental well-being.
死亡焦虑是指对死亡和临终的强烈担心和忧虑,会对人的心理健康和生活质量产生重大影响。本研究调查了正念活动通过鼓励以当下为中心和欢迎的心态来减少死亡焦虑的效果。正念包括观察、描述、有意识地做出反应、不做判断和保持不反应等基本特征,被认为可以通过改善情绪控制和认知处理来降低死亡恐惧的强度。这项研究调查了正念如何促进人们以一种更平衡、反应更少的方法来解决生存问题。正念活动教导人们不带评判地审视自己的想法和感受,以不评价的方式叙述自己的经历,以更高的意识采取行动,并建立一种接受和不反应的态度。这种策略可以减少通常与死亡恐惧相关的回避和否认,从而更健康地处理与死亡相关的想法。研究结果表明,每天练习正念的人对死亡的恐惧程度较低。这些策略有助于将注意力从面向未来的焦虑转移到当下的感觉上,从而减轻与死亡有关的想法所带来的认知和情感负担。这项研究强调了正念疗法在临床环境中的治疗潜力,并提倡将其纳入心理健康治疗方案,以解决死亡焦虑和其他生存问题。有意识地对待死亡的人可能会增强他们的心理复原力,情绪更加稳定,并获得更深的内心平静感。这项研究的结果凸显了正念作为减少死亡焦虑和促进总体心理健康的有效策略的价值。
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引用次数: 0
Exploring Transimpedance Amplifier Topologies: Design Considerations and Trade-offs 探索跨阻放大器拓扑结构:设计考虑因素和权衡
Pub Date : 2024-07-13 DOI: 10.2139/ssrn.4896072
Lavakumar Navilipuri, Lava Kumar
Transimpedance amplifiers (TIAs) are crucial in converting current signals from sensors, photodiodes, and other transducers into voltage signals for processing in various electronic systems. This paper explores three TIA topologies: common emitter with negative resistive feedback, regulated cascode, and Darlington pair with negative resistive feedback. Each topology offers unique advantages and trade-offs regarding bandwidth, gain, and noise performance. We analyze the characteristics of each topology, discussing their impact on TIA design and performance. We investigate methods to optimize gain, bandwidth, and noise performance for different application requirements through theoretical analysis and circuit simulations. Our findings provide valuable insights into TIA design considerations, offering engineers a comprehensive understanding of TIA topologies and their implications for electronic system design.
跨阻放大器(TIA)在将传感器、光电二极管和其他传感器的电流信号转换为电压信号以便在各种电子系统中进行处理方面起着至关重要的作用。本文探讨了三种 TIA 拓扑:带负阻反馈的共发射极、稳压级联和带负阻反馈的达林顿对。每种拓扑结构在带宽、增益和噪声性能方面都有独特的优势和权衡。我们分析了每种拓扑结构的特点,讨论了它们对 TIA 设计和性能的影响。通过理论分析和电路仿真,我们研究了针对不同应用要求优化增益、带宽和噪声性能的方法。我们的研究结果为 TIA 设计考虑因素提供了宝贵的见解,让工程师全面了解 TIA 拓扑及其对电子系统设计的影响。
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引用次数: 0
Just Friends? Managers' Connections to Judges 只是朋友?管理人员与法官的关系
Pub Date : 2024-07-13 DOI: 10.2139/ssrn.4872160
Sterling Huang, Sugata Roychowdhury, Ewa Sletten, Yanping Xu
We study the impact of social connections between judges and executives on the outcomes of Securities Class Action Litigation (SCAL). Judges who are socially connected to a firm's executives are significantly more likely to dismiss lawsuits against the firm. There is also evidence of faster resolution and lower payout amounts in connected cases. The favorable outcomes cannot be explained by the lower severity of connected cases, or by court, judge, or firm characteristics. Our results are more pronounced when executives connected to the judge are named defendants in the lawsuits, when connected cases involve less visible lawsuits or firms, and when connections between judges and executives are likely more direct. Our evidence indicates that social connections influence judge impartiality and meaningfully alter SCAL outcomes.
我们研究了法官与高管之间的社会关系对证券集体诉讼(SCAL)结果的影响。与公司高管有社交关系的法官更有可能驳回针对公司的诉讼。还有证据表明,有关系的案件解决速度更快,赔付金额更低。关联案件的严重程度较低,或者法院、法官或公司的特征都无法解释这种有利的结果。当与法官有关联的高管在诉讼中被列为被告时,当关联案件涉及的诉讼或公司知名度较低时,以及当法官与高管之间的关联可能更为直接时,我们的研究结果会更加明显。我们的证据表明,社会关系会影响法官的公正性,并有意义地改变 SCAL 的结果。
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引用次数: 0
Enhancing Depressive Post Detection in Bangla: A Comparative Study of TF-IDF, BERT and FastText Embeddings 增强孟加拉语中的抑郁帖检测:TF-IDF、BERT 和 FastText 嵌入的比较研究
Pub Date : 2024-07-12 DOI: 10.2139/ssrn.4885802
Saad Ahmed, Mahdi H Sazan, Miraz A B M Muntasir, Rahman, Saad Ahmed Sazan, Mahdi H. Miraz, M. M. Rahman
Due to massive adoption of social media, detection of users' depression through social media analytics bears significant importance, particularly for underrepresented languages, such as Bangla. This study introduces a well-grounded approach to identify depressive social media posts in Bangla, by employing advanced natural language processing techniques. The dataset used in this work, annotated by domain experts, includes both depressive and non-depressive posts, ensuring high-quality data for model training and evaluation. To address the prevalent issue of class imbalance, we utilised random oversampling for the minority class, thereby enhancing the model's ability to accurately detect depressive posts. We explored various numerical representation techniques, including Term Frequency-Inverse Document Frequency (TF-IDF), Bidirectional Encoder Representations from Transformers (BERT) embedding and FastText embedding, by integrating them with a deep learning-based Convolutional Neural Network-Bidirectional Long Short-Term Memory (CNN-BiLSTM) model. The results obtained through extensive experimentation, indicate that the BERT approach performed better the others, achieving a F1-score of 84%. This indicates that BERT, in combination with the CNN-BiLSTM architecture, effectively recognises the nuances of Bangla texts relevant to depressive contents. Comparative analysis with the existing state-of-the-art methods demonstrates that our approach with BERT embedding performs better than others in terms of evaluation metrics and the reliability of dataset annotations. Our research significantly contribution to the development of reliable tools for detecting depressive posts in the Bangla language. By highlighting the efficacy of different embedding techniques and deep learning models, this study paves the way for improved mental health monitoring through social media platforms.
由于社交媒体的广泛应用,通过社交媒体分析检测用户的抑郁情绪具有重要意义,尤其是对于代表性不足的语言,如孟加拉语。本研究采用先进的自然语言处理技术,介绍了一种识别孟加拉语社交媒体抑郁帖子的可靠方法。这项工作中使用的数据集由领域专家注释,包括抑郁和非抑郁帖子,确保了用于模型训练和评估的高质量数据。为了解决普遍存在的类不平衡问题,我们对少数群体类进行了随机超采样,从而提高了模型准确检测抑郁帖子的能力。我们探索了各种数字表示技术,包括词频-反向文档频率(TF-IDF)、变换器双向编码器表示(BERT)嵌入和 FastText 嵌入,并将它们与基于深度学习的卷积神经网络-双向长短期记忆(CNN-BiLSTM)模型相结合。大量实验结果表明,BERT 方法的性能优于其他方法,F1 分数达到 84%。这表明,BERT 与 CNN-BiLSTM 架构相结合,能有效识别孟加拉语文本中与抑郁内容相关的细微差别。与现有最先进方法的比较分析表明,我们的 BERT 嵌入方法在评估指标和数据集注释的可靠性方面都优于其他方法。我们的研究为开发检测孟加拉语抑郁帖子的可靠工具做出了重大贡献。通过强调不同嵌入技术和深度学习模型的功效,本研究为通过社交媒体平台改进心理健康监测工作铺平了道路。
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引用次数: 0
The Lawfulness of Unilateral Sanctions in the Wake of a US-China “Sanctions War” 中美 "制裁战 "后单边制裁的合法性
Pub Date : 2024-07-11 DOI: 10.2139/ssrn.4690995
Joshua Andresen
Despite what many saw as a détente in US–China relations as presidents Biden and Xi met at the G20 Summit in November 2022, both countries have continued to develop and deploy sanctions against one another. Among the most recent actions by the US is the continued use of export controls, particularly to limit China’s access to advanced computing chips. Meanwhile, China has continued to use sanctions to target US firms, recently in the form of a national security investigation into US chip maker, Micron, and “countermeasures” against major US arms manufacturers such as Raytheon and Lockheed Martin. This Article examines the range of economic sanctions that the US and China have and could deploy against one another, the lawfulness of these measures, and the likely effects of these sanctions for the future of international sanctions law. Although unilaterally imposed economic sanctions remain a deeply contested area of international law, an unintended consequence of the increasing use of sanctions by the world’s two largest economies will be to lend legitimacy and legality to their use. Although the economic costs of a US–China sanctions war would be staggering, such a war would only further entrench unilateral sanctions as a fundamental tool of national security and foreign relations. This Article describes how international law is likely to develop as a consequence of the proliferation of sanctions, arguing that, far from undermining their lawfulness, increased state practice will support a customary norm of unilaterally imposed sanctions.
尽管拜登总统和习近平主席在 2022 年 11 月的 G20 峰会上会晤,许多人认为中美关系出现缓和,但两国仍在继续制定和部署针对彼此的制裁措施。美国最近采取的行动包括继续使用出口管制,特别是限制中国获得先进的计算芯片。与此同时,中国继续利用制裁来打击美国公司,最近的形式是对美国芯片制造商美光公司进行国家安全调查,以及对雷神公司和洛克希德-马丁公司等美国主要军火制造商采取 "反制措施"。本文探讨了中美两国已经采取和可能采取的一系列经济制裁措施、这些措施的合法性,以及这些制裁措施对未来国际制裁法可能产生的影响。尽管单方面实施的经济制裁仍是国际法中一个极具争议的领域,但世界上最大的两个经济体越来越多地使用制裁的一个意想不到的后果将是使制裁的使用具有合理性和合法性。尽管中美制裁战的经济代价将是惊人的,但这种战争只会进一步巩固单边制裁作为国家安全和外交关系基本工具的地位。本文描述了国际法可能如何因制裁的扩散而发展,认为国家实践的增加非但不会削弱制裁的合法性,反而会支持单方面实施制裁的习惯规范。
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引用次数: 0
Abstraction, conceptualization, disambiguation, ideation, innovation, objectivization, quantification, and theorization in the social sciences: New pillars for contemporary social sciences research 社会科学中的抽象化、概念化、歧义化、构思、创新、客观化、量化和理论化:当代社会科学研究的新支柱
Pub Date : 2024-07-11 DOI: 10.2139/ssrn.4889415
Sujay Rao Mandavilli Mandavilli
In many of our previous papers published over the years, we had developed and propounded concepts such as fuzzy logic, the theory of paradoxes, the certainty uncertainty principle for the social sciences, innovative methods for the social sciences, and had also explained the importance of inductive approaches, grounded theory, and nomothetic rule building. We had also stated the importance of practicalism as a core component of the philosophy of science. In this paper, we state the importance of abstraction, conceptualization, ideation, innovation, quantification, theorization, objectivization and disambiguation in the social sciences, and explain all of these concepts in detail. We also refer to them as the “pillars of social sciences research methods and techniques”, or “the guiding principles or the guiding forces in the use or employment of social science research methods and techniques, and social science research activity”. These approaches are necessary because social sciences research is mostly qualitative; these techniques could impart quality and objectivity to social science research in a way that other techniques cannot. These are different from the philosophy of science or the philosophy of social science, and these we anticipate would guide and drive much of social science research enterprise in the twenty-first century and beyond. These are also foundationally different from the objectives of social science research, examples of which could be cultural emancipation, inculcation of a scientific temper, etc. Needless to say, these can be gainfully employed in the non social sciences as well, though this is not our primary focus and emphasis here.
在我们多年来发表的许多论文中,我们提出并阐述了模糊逻辑、悖论理论、社会科学的确定性不确定性原理、社会科学创新方法等概念,还解释了归纳法、基础理论和唯名论规则构建的重要性。我们还阐述了实用主义作为科学哲学核心组成部分的重要性。在本文中,我们阐述了抽象化、概念化、意念化、创新、量化、理论化、客观化和消歧化在社会科学中的重要性,并详细解释了所有这些概念。我们还将它们称为 "社会科学研究方法和技术的支柱",或 "使用或运用社会科学研究方法和技术以及社会科学研究活动的指导原则或指导力量"。这些方法是必要的,因为社会科学研究大多是定性研究;这些技术可以提高社会科学研究的质量和客观性,而其他技术则无法做到这一点。这些方法不同于科学哲学或社会科学哲学,我们预计这些方法将指导和推动二十一世纪及以后的社会科学研究事业。这些也与社会科学研究的目标有着根本的不同,比如文化解放、灌输科学精神等。不用说,这些目标也可以在非社会科学领域得到有效利用,尽管这并不是我们在此关注和强调的重点。
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引用次数: 1
ESG & Executive Remuneration in Europe 欧洲的环境、社会和公司治理与高管薪酬
Pub Date : 2024-07-11 DOI: 10.2139/ssrn.4817498
Marco Dell'Erba, Guido Ferrarini
Executive remuneration has traditionally attracted the attention of scholars, regulators, and public opinion. In recent years, especially after epochal corporate scandals and financial crises, executive remuneration has polarized the political debate, leading to consequences for the way it was theorized, structured, and ultimately quantified within corporations. This article specifically examines the relationship between executive compensation and sustainability, with a focus on the influence of Environmental, Social, Governance (ESG) metrics in the context of European companies. The article provides a qualitative analysis of the historical debate on executive remuneration and considers the different theories informing corporate law. Furthermore, it offers a qualitative and empirical analysis of how executive compensation policies of the 300 largest companies by target capitalization in Europe – listed in the FTSE EuroFirst300 – take ESG parameters into account. Lastly, this article presents some policy considerations, particularly questioning whether executive remuneration is the right incentive for ESG compliance, and emphasizing the importance of a shift in corporate culture to effectively make corporate practices more sustainable.
高管薪酬历来备受学者、监管机构和公众舆论的关注。近年来,尤其是在发生了划时代的企业丑闻和金融危机之后,高管薪酬问题引发了两极分化的政治辩论,导致企业内部对高管薪酬的理论化、结构化和最终量化方式产生了影响。本文专门研究了高管薪酬与可持续发展之间的关系,重点关注环境、社会和治理(ESG)指标对欧洲公司的影响。文章对历史上关于高管薪酬的争论进行了定性分析,并考虑了公司法的不同理论。此外,文章还对 FTSE EuroFirst300 欧洲上市公司中目标资本额最大的 300 家公司的高管薪酬政策如何考虑 ESG 参数进行了定性和实证分析。最后,本文提出了一些政策方面的考虑,特别是质疑高管薪酬是否是对遵守环境、社会和公司治理规定的正确激励,并强调了企业文化转变对有效提高企业实践可持续性的重要性。
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引用次数: 1
Token Governance in Initial Coin Offerings: Implications of Token Retention and Resale Restrictions for ICO Success 首次代币发行中的代币管理:代币保留和转售限制对 ICO 成功的影响
Pub Date : 2024-07-10 DOI: 10.2139/ssrn.4619262
Johannes Fuchs, Paul P. Momtaz
The high degree of asymmetric information in initial coin offerings (ICOs) increases the probability of moral hazard, adverse selection, and outright fraud. Token governance mechanisms may help mitigate such investment risks. Using novel data on token retention in the primary market and resale restrictions in the secondary market, we estimate the impact of these governance mechanisms on the fundraising success and post-funding performance of ICOs. First, we estimate the valuation elasticity of token retention, indicating that 10% fewer tokens sold increases the ICO funding amount by 3.2%. Second, restricting ICO investors’ ability to resell tokens in the secondary market has a detrimental impact on the 12-month buy-and-hold abnormal return. We also discuss contingency effects of the specific implementations of these governance signals and show that the effects are moderated by the quality of the venture’s human capital.
首次代币发行(ICO)中信息的高度不对称增加了道德风险、逆向选择和直接欺诈的可能性。代币治理机制可能有助于降低此类投资风险。利用一级市场代币保留和二级市场转售限制的新数据,我们估算了这些治理机制对 ICO 筹资成功和筹资后表现的影响。首先,我们估算了代币保留的估值弹性,结果表明,代币售出量减少 10%,ICO 筹资额就会增加 3.2%。其次,限制 ICO 投资者在二级市场转售代币的能力会对 12 个月的买入并持有异常回报率产生不利影响。我们还讨论了这些治理信号的具体实施的偶然效应,并表明这些效应会受到风险企业人力资本质量的影响。
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引用次数: 0
Production Networks and Innovation in the Semi-periphery: The Transition to Electric Vehicles in South Korea and Spain 半边缘地区的生产网络与创新:韩国和西班牙向电动汽车的过渡
Pub Date : 2024-07-10 DOI: 10.2139/ssrn.4801643
Angela Garcia Calvo
What determines the ability of firms based in New Advanced Economies to generate innovation in the transition to electric vehicles (EVs)? Under what conditions are they more likely to break with their established pattern as fast followers to create innovation that is new to the world? To address these questions, we introduce a meso-level framework focused on the organization of global production networks. The framework examines three aspects of such networks: the position of the firm within the network, the number of lead firms, and the links between lead firms and suppliers. We illustrate the explanatory power of our framework through the cases of South Korea and Spain, the two New Advanced Economies with the largest automotive sectors. We characterize Korea’s production network as a unipolar, captive structure and Spain’s as part of an EU-wide multipolar, modular production network. We argue that contrary to common perceptions, Korea’s structure delayed the transition to EV’s and strengthened Korea’s role as a fast follower. Meanwhile, Spain’s embeddedness in the EU production network offered significant opportunities for turnkey suppliers to generate novel innovation despite the absence of a domestic lead firm.
是什么决定了新发达经济体的企业在向电动汽车(EV)过渡的过程中产生创新的能力?在什么条件下,它们更有可能打破快速追随者的既定模式,创造出世界新的创新?为了解决这些问题,我们引入了一个中观层面的框架,重点关注全球生产网络的组织。该框架研究了此类网络的三个方面:企业在网络中的地位、领先企业的数量以及领先企业与供应商之间的联系。我们通过韩国和西班牙这两个汽车行业规模最大的新发达经济体的案例来说明我们的框架的解释力。我们将韩国的生产网络描述为单极、圈地结构,将西班牙的生产网络描述为欧盟范围内多极、模块化生产网络的一部分。我们认为,与通常的看法相反,韩国的结构推迟了向电动汽车的过渡,并强化了韩国作为快速追随者的角色。与此同时,西班牙嵌入欧盟生产网络,为总包供应商提供了大量机会,使其能够在缺乏国内主导企业的情况下进行创新。
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引用次数: 0
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