Recent Developments in Quantitative Finance: An Overview

Chang, Chia-Lin and Hu, Shing-Yang and Yu, Shih-Ti (2014): Recent Developments in Quantitative Finance: An Overview.

Abstract

Quantitative finance combines mathematical finance, financial statistics, financial econometrics and empirical finance to provide a solid quantitative foundation for the analysis of financial issues. The purpose of this special issue on “Recent developments in quantitative finance” is to highlight some areas of research in which novel methods in quantitative finance have contributed significantly to the analysis of financial issues, specifically fast methods for large-scale non-elliptical portfolio optimization, the impact of acquisitions on new technology stocks: the Google-Motorola case, the effects of firm characteristics and recognition policy on employee stock options prices after controlling for self-selection, searching for landmines in equity markets, whether CEO incentive pay improves bank performance, using a quantile regression analysis of U.S. commercial banks, testing price pressure, information, feedback trading, and smoothing effects for energy exchange traded funds, actuarial implications of structural changes in El Niño-Southern Oscillation Index dynamics, credit spreads and bankruptcy information from options data, QMLE of a standard exponential ACD model: asymptotic distribution and residual correlation, and using two-part quantile regression to analyze how earnings shocks affect stock repurchases.

• Item Type: MPRA Paper
• Language: English
• Keywords: Quantitative finance, Financial econometrics, Empirical finance, Equities, Portfolios, Quantiles
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

References

Chan, M.-L., C.-M. Lin, H.-Y. Liang and M.-H. Chen (2014), Does CEO incentive pay improve bank performance? A quantile regression analysis of U.S. commercial banks, Annals of Financial Economics, 9(2), this issue.

Chang, B.-J., J.-R. Chang and M.-W. Hung (2014), Searching for landmines in equity markets, Annals of Financial Economics, 9(2), this issue.

Chang, C.-L. and Y.-P. Ke 2014), Testing price pressure, information, feedback trading, and smoothing effects for energy exchange traded funds, Annals of Financial Economics, 9(2), this issue.

Chen, S.-L. and Y.-L. Huang (2014), Actuarial implications of structural changes in El Niño-Southern Oscillation Index dynamics, Annals of Financial Economics, 9(2), this issue.

Chi, C.-Y., S.-T. Yu, Y.-T. Li and Y.-L. Lu (2014), Using two-part quantile regression to analyze how earnings shocks affect stock repurchases, Annals of Financial Economics, 9(2), this issue.

Gao, R., C.S.-H. Wang and C.M. Hafner (2014), The impact of acquisitions on new technology stocks: The Google-Motorola case, Annals of Financial Economics, 9(2), this issue.

Kuo, C.-S. and S.-T. Yu (2014), The effects of firm characteristics and recognition policy on employee stock options prices after controlling for self-selection, Annals of Financial Economics, 9(2), this issue.

Paolella, M.S. (2014), Fast methods for large-scale non-elliptical portfolio optimization, Annals of Financial Economics, 9(2), this issue.

Sin, C.-Y. (2014), QMLE of a standard exponential ACD model: Asymptotic distribution and residual correlation, Annals of Financial Economics, 9(2), this issue.

Tzeng, C.-F. (2014), Credit spreads and bankruptcy information from options data, Annals of Financial Economics, 9(2), this issue.