Tag Archives: finance

Call for Papers : COVID19 and the nonlinear dynamics of financial markets – Special Issue of Finance Research Letters

UPDATE: We have confirmation that papers published in this Special Issue will be free to access for at least 6 months, as part of Elsevier’s response to COVID.

The financial market’s response to COVID19 has demonstrated very pronounced nonlinear behaviour, phase transitions and sharp changes. Traditional finance models and approaches typically struggle to model such phenomena, despite there being a welter of statistical, epidemiological and mathematical models that suit these phenomena. In this context, the editors of Finance Research Letters invite short focused papers that apply such models to the financial market reactions to COVID19. 

Note that papers submitted for this SI will have submission fees waived. Submit here from 30 March, selecting the article type COVID19 , https://www.evise.com/profile/#/FRL/login , before 21/June 2020


We are especially interested in papers that explore the issues below in the context of the pandemic

  • applications of catastrophe theory 
  • nonlinear dynamics of the response 
  • applications of dynamic systems 
  • modelling phase transitions
  • models of self organizing criticality 
  • non-perturbative models of fat tails
  • Fractal models of crashes and contagion
  • Nonlinear spatial econometrics 

Please however feel free to contact the special issue editors   blucey at tcd dot ie or maurice dot peat at sydney. edu dot au should you wish to run an idea past us. Please note that papers will have to adhere to the journal space and style requirements. 

Stay safe, wear a mask, wash your hands!

Call for Papers : COVID-19 and the Real-Financial Economy link : A special issue in International Review of Economics and Finance

UPDATE: We have confirmation that papers published in this Special Issue will be free to access for at least 6 months, as part of Elsevier’s response to COVID.

COVID19 has thrown a very stark harsh light on the globally interconnected economy.  When this crisis passes there will be an opportunity for reflection on the financial and economic interconnectedness we have grown, its strengths and weaknesses. Economic and Finance academics can and should address this, from a basis of evidence and analysis, hence this call for papers. 
This special issue of International Review of Economics and Finance seeks papers that address this challenge, in particular the following issues, but please also contact us as Editors-in-Chief if you have another paper or idea and wish to check its suitability. Note that papers submitted for this SI will have submission fees waived. Submit here , from 29 March, selecting the article type COVID19:  https://www.editorialmanager.com/iref/default.aspx , before 21/June 2020

We are especially interested in papers that explore

  • Contagion loops between the real and the financial economy in the pandemic
  • Government-bank relationships in the pandemic 
  • The spatial dimensions and financial geography of banking and finance in a pandemic
  • The economic and financial geography of the pandemic 
  • Emergent paradigms in monetary economics, corporate funding and international trade
  • Resilience and strength in global trade and trade financing
  • Financing along the supply chain – strengths and weaknesses and its future
  • Economic and financial lessons from history for the post-pandemic world

Please however feel free to contact us at blucey at tcd dot ie or chen at udayton dot edu should you wish to run an idea past us . Please note: in line with the aims and objectives of the journal all papers should explicitly take an international perspective

Brian Lucey and Carl Chen, Editors in Chief, International Review of Economics and Finance

Call for Papers : Covid-19 and International Finance: a Special Issue of International Review of Financial Analysis

UPDATE: We have confirmation that papers published in this Special Issue will be free to access for at least 6 months, as part of Elsevier’s response to COVID.

While we all grapple with the immediate crisis caused by the Covid-19 panic, at some stage the world will emerge from this. That new world will require a functioning, albeit perhaps different, international economic and financial system. As finance academics we can aid in this, analysing what went wrong, what right, what we need to build up and what to sideline in finance, post pandemic.

This special issue of International Review of Financial Analysis seeks papers that address this challenge, in particular the following issues, but please also contact me as Editor-in-Chief if you have another paper or idea and wish to check its suitability. Note that papers submitted for this SI will have submission fees waived. Submit here , selecting the article type COVID19 , https://www.editorialmanager.com/FINANA/default.aspx , before 21/June 2020

We are especially interested in papers that explore

  • The performance, interlinkages and spillovers of financial and financialised assets during the pandemic
  • The role, or lack of same, of safe havens, hedges and other assets in the pandemic
  • The spatial dimensions and financial geography of banking and finance in a pandemic
  • Alternative investments and new financial assets in the pandemic
  • Emergent paradigms towards new forms of insurance, portfolio protection and downside risk protection
  • Where might corporate financing evolve post pandemic?
  • Financial market incentives, financialisation and medicine.
  • Financing along the supply chain – strengths and weaknesses and its future
  • Financial lessons from history for the post pandemic world

Please however feel free to contact me at blucey at tcd dot ie should you wish to run an idea past me . Please note: in line with the aims and objecives of the journal all papers should explicitly take an international perspective.

Who do you trust and why does it matter?

trust-but-verify-e1389107073481Would you trust a banker? Stop laughing now…you there, in the back, stop it… Now, seriously, would you? More to the point perhaps, would a banker trust you? And what matter if they did or didn’t? Generalising, how much trust do you place in your business partners up and down the supply chain?  In others in the financial system? And does it matter? Continue reading

Time to slow down finance?

A couple of weeks ago the NYSE, the largest and perhaps the most influential stock exchange in the world, was closed for a few hours. And nothing happened. The global economy went chugging along without a problem. Perhaps the time has come to consider whether we need to have trades taking place in time intervals measurable only by CERN and comprehendible only by Dr Who.

A further , related issue is that when we think of the stock exchange we are not thinking of the whole market by any means. Just as in other areas stock traders are increasingly resorting to trade in what are called ‘dark pools’, trading centers outside stock exchange rules and regulations. Some studies put the  volume of stock traded on these in excess of 40%. The ultra high frequency trading game, characterised by some as an arms race, may exceed 30% of all trades made on exchanges.

While the consensus of research is that there are undoubtedly private, individual gains to be made from shaving a nanosecond here and a millisecond there in executing share trading, the consensus is also that the social benefit is very hard to find if it exists at all.  To some extent high frequency trading does increase liquidity of stock transactions, and increases pricing efficiency measures. However, a question that can be legitimately asked is whether or not this matters. Economically, if we are spending hundreds of millions on something that doesn’t yield an overall economic or social benefit then it is wasted expenditure.

 

Some research suggests that this high speed game is exactly that- wasted. There is some evidence that high frequency trading is associated with increased quote stuffing (submission of lots of offsetting orders to increase congestion and thus advantage the first mover) and increased volatility. There are, in economic terms, externalities with respect to high frequency trading.

Given all this, it may be time to consider slowing down the pace of financial trading?  If there is little social benefit, and if the economic benefits are unclear, and I have we got ourselves into this “arms race”.  A number of proposals, and analysis, have emerged over the last couple of months which address the extent of which financial trading could be slowed down without any loss of liquidity, and a proposed new methodologies and approaches to ensure that financial training can continue.  In essence the proposals are that instead of trade is being processed as they arrive, but on the problems noted above, that they be processed perhaps once per second.  Trades would still be executed in the order in which they arrived, so there will still be a significant incentive for companies to invest in high speed trade positioning.  But the actual trades themselves would only be executed once per second.  That’s still nearly 25,000 opportunities to trade per day.

It is unclear as to whether or not this is possible; it would require coordinated regulatory change on a global basis.  Just as a financial transactions tax, a great idea in principle, founders on the rock that so long as one major player opts out then a world where there is a financial transactions tax will see trade is moving towards the area where there is no, so too in an environment where ultra high-speed trading is slow down it requires all major players to agree.  Now the Greeks are down a game theoretic finance Minister perhaps he might be available to design the regulatory coordination mechanism…

 This is an extended version of an Irish Examiner column

First Dublin Behavioral and Experimental Finance Symposium – Running Order

The first DBEF Symposium is to be held on 6 December 2014, in the Sutherland Center, 6th Floor, Arts Building, TCD.  The papers are noted below and will be presented by the underlined/italicised author. Complete papers and presentations, when available, will be linked here.

No fee applies to the conference but registration is required.  Each paper will be presented for a max of 30m , and a the conclusion of the session papers questions will be taken.

0915-0930 : Introduction to the colloquium and to the Journal of Behavioural And Experimental Finance Brian Lucey and Michael Dowling

0930-1100 Session 1 Placement

  1. Frenemies: Information Sharing Among Competing Fund Managers Bernard  Ganglmair U Texas at Dallas ; Alex Holcomb & Noah Myung  Naval Postgraduate School and University of Virgini
  1. Under-pricing of IPO’s in Experimental Markets Sascha Füllbrunn, Radboud University Nijmegen Tibor Neugebauer University of Luxembourg Andreas Nicklisch University of Hamburg

1115-1245 Session 2 People

  1. CEO Social Status and Corporate Acquisitiveness Michael Dowling, Liam Gallagher and Yulia Plaksina, Dublin City University
  1. Trading and beliefs in markets with information flows – does market micro-structure matter? Caroline Bonn & Florian Lindner University of Innsbruck, David Schindler , Ludwig Maximilian University of Munich

1345-1500 Session 3 Products

  1. The “Objective Valuation” Task: A New Technique for the Study of Product Complexity Pete Lunn, Economic and Social Research Institute (ESRI) & Trinity College Dublin
  1. Behavioral Aspects of the Regulation of retail gasoline prices Martin Angerer  & Georg Peter U Liechtenstein

1500-1700 Session 4 Psychology

  1. Taking Individual Financial Responsibility Dirk Brounen, Kees Koedijk, and Rachel Pownall Tilburg University
  1. Psychological Barriers in Traded Metal Prices Mark Cummins and Michael Dowling, Dublin City University Brian Lucey Trinity College Dublin
  1. Risk preferences, finance and constitutional change Liam Delaney, Stirling

1700-1800 Keynote   Behavioral Finance From the Mind to the Market  Greg B. Davies, Barclays