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Axioms
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Applied Mathematics in Finance and Economics
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Applied Mathematics in Finance and Economics

A special issue of Axioms (ISSN 2075-1680). This special issue belongs to the section "Mathematical Analysis".

Deadline for manuscript submissions: closed (30 September 2022) | Viewed by 17082
Please contact the Guest Editor or the Journal Editor for any queries about the scope, discount, submission procedure and publication process.

Special Issue Editor

Dr. Tai-Liang Chen

E-Mail Website
Guest Editor
Department of Digital Content Applications and Management, Wenzao Ursuline University of Languages, Kaohsiung 80793, Taiwan
Interests: data mining (machine learning and artificial intelligence); soft computing; financial engineering
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

As is known, artificial intelligence, robotics and biotechnology have been transforming the current business world, and there will be fundamental changes in the way we live, work and communicate in the future. Right now, the digital financial services brought about by information technology enhance the traditional financial services, such as various methods of digital payment, accommodation and investment services. It is clear that the future development of emerging technology and financial service strategy (financial technology, FinTech) has become increasingly diversified, which will further affect the development of financial services. In this Special Issue, we will collect the papers related to the patterns, algorithms, and applications of artificial intelligence in financial services. Relevant topics include but are not limited to:

Methodology:

  • Algebra and algebraic logic;
  • Computational paradigms and computational complexity;
  • Description logic, temporal logic, dynamic logic, and modal logic;
  • Domain theory and type theory;
  • Fuzzy logic, fuzzy set theory, and many-valued logic;
  • Substructural logic;
  • Probability logic, belief functions, etc.

Information technology:

  • Intelligent systems;
  • Genetic algorithms and modelling;
  • Fuzzy logic and approximate reasoning;
  • Artificial neural networks;
  • Expert and decision support systems;
  • Learning and evolutionary computing;
  • Expert and decision support systems, etc.

The applications include possible issues in the financial area such as:

  • Stock market forecasting
  • Investment management and robo-advisor;
  • Customer credit rating;
  • Payment and insurance;
  • Deposit and lending;
  • Capital raising;
  • Market provisioning, etc.

Prof. Dr. Tai-Liang Chen
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Axioms is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (6 papers)

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Research

18 pages, 2064 KiB  
Article
Is Technical Analysis Profitable on Renewable Energy Stocks? Evidence from Trend-Reinforcing, Mean-Reverting and Hybrid Fractal Trading Systems
by Safwan Mohd Nor, Nur Haiza Muhammad Zawawi, Guneratne Wickremasinghe and Zairihan Abdul Halim
Axioms 2023, 12(2), 127; https://doi.org/10.3390/axioms12020127 - 28 Jan 2023
Cited by 2 | Viewed by 1487
Abstract
Demand for power sources is gradually shifting from ozone-depleting-substances towards renewable and sustainable energy resources. The growth prospects of the renewable energy industry coupled with improved cost efficiency means that renewable energy companies offer potential returns for traders in stock markets. Nonetheless, there [...] Read more.
Demand for power sources is gradually shifting from ozone-depleting-substances towards renewable and sustainable energy resources. The growth prospects of the renewable energy industry coupled with improved cost efficiency means that renewable energy companies offer potential returns for traders in stock markets. Nonetheless, there have been no studies investigating technical trading rules in renewable energy stocks by amalgamating fractal geometry with technical indicators that focus on different market phases. In this paper, we explore the profitability of technical analysis using a portfolio of 20 component stocks from the NASDAQ OMX Renewable Energy Generation Index using fractal dimension together with trend-reinforcing and mean-reverting (contrarian) indicators. Using daily prices for the period 1 July 2012 to 30 June 2022, we apply several tests to measure trading performance and risk-return dynamics of each form of technical trading system—both in isolation and simultaneously. Overall, trend (contrarian) trading system outperforms (underperforms) the naïve buy-and-hold policy on a risk-adjusted basis, while the outcome is further enhanced (reduced) by the fractal-reinforced strategy. Simultaneous use of both trend-reinforcing and mean-reverting indicators strengthened by fractal geometry generates the best risk-return trade-off, significantly outperforming the benchmark. Our findings suggest that renewable energy stock prices do not fully capture historical price patterns, allowing traders to earn significant profits from the weak form market inefficiency. Full article
(This article belongs to the Special Issue Applied Mathematics in Finance and Economics)
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11 pages, 261 KiB  
Article
Price Risk Strategy Analysis for Budget Hotels in the Post-Pandemic Era
by I-Fei Chen, Pi-Ying Kuo and Ruey-Chyn Tsaur
Axioms 2022, 11(10), 550; https://doi.org/10.3390/axioms11100550 - 13 Oct 2022
Viewed by 1419
Abstract
The supply chain of the tourism industry, including air transportation, travel agencies, souvenirs, and hotel services, is almost at a breaking point, causing a rise in unemployment with huge losses during the COVID-19 pandemic period. In order to overcome these losses, we propose [...] Read more.
The supply chain of the tourism industry, including air transportation, travel agencies, souvenirs, and hotel services, is almost at a breaking point, causing a rise in unemployment with huge losses during the COVID-19 pandemic period. In order to overcome these losses, we propose that luxury hotels should consider offering budget hotels at a lower cost but with satisfactory accommodation in order to create some turn-arounds in the post-pandemic era. However, budget hotels that branch off from luxury hotels cannot post the same room rates because there are some uncertain factors that affect the traveler experience when staying in budget hotels. In this study, we define four types of risk factors for the self-selection of the consumer model, and then find that the optimal room price appears to be independent of the performance risk for the service quality, brand image, and shuttle buses, but is dependent on physical risk in terms of priority number risk, the financial risk of refund rates, and the privacy risk of investment in the system. Finally, we discuss how government subsidies can encourage branched budget hotels by describing three sensitivity scenarios. The results show that subsidies that go towards staff training and higher-frequency shuttle buses will cause consumers to book more stays in budget hotels and, thereby, contribute to a higher profit. By lobbying the policy on government subsidies, budget hotels that branch off from luxury hotels are a profitable business model for a reduction in the huge losses occurred during the period of the spread of COVID-19. Full article
(This article belongs to the Special Issue Applied Mathematics in Finance and Economics)
25 pages, 3540 KiB  
Article
Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries
by Panisara Phochanachan, Nootchanat Pirabun, Supanika Leurcharusmee and Woraphon Yamaka
Axioms 2022, 11(7), 339; https://doi.org/10.3390/axioms11070339 - 14 Jul 2022
Cited by 7 | Viewed by 4480
Abstract
This study analyzes whether Bitcoin, gold, oil, and stock have the ability to hedge against inflation in high cryptocurrency adoption countries in the periods from January 2010 to March 2021. It is hypothesized that the assets behave differently and thereby respond differently to [...] Read more.
This study analyzes whether Bitcoin, gold, oil, and stock have the ability to hedge against inflation in high cryptocurrency adoption countries in the periods from January 2010 to March 2021. It is hypothesized that the assets behave differently and thereby respond differently to inflation in different market conditions. Therefore, we employ the Markov Switching Vector Autoregressive to examine these assets’ hedging ability against inflation in both stable and turbulent market regimes. Our main findings are threefold: We show that there exists a structural change and nonlinear relationship between the returns of hedging assets and inflation. Second, all assets can hedge against inflation more effectively in the short run than in the long run. We find that the inflation hedging ability of these assets are weak in the long run for both market regimes. We also find some evidence that the rigidity between the assets and inflation is relatively high in the stable regime. Third, according to the impulse response analysis, we also find that the responses of assets to inflation shock are heterogeneous across two market regimes. Full article
(This article belongs to the Special Issue Applied Mathematics in Finance and Economics)
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21 pages, 3174 KiB  
Article
Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
by Kuo-Shing Chen and Shen-Ho Chang
Axioms 2022, 11(6), 259; https://doi.org/10.3390/axioms11060259 - 29 May 2022
Cited by 5 | Viewed by 2820
Abstract
This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoins’ volatility related to five major stablecoins and examine the connectedness [...] Read more.
This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoins’ volatility related to five major stablecoins and examine the connectedness between Bitcoin and the stablecoins. Our empirical findings document that the connectedness between Bitcoin and stablecoin market volatility behaviors exhibits the presence of stable interconnection. This study is of particular importance since it is crucial for market participation in the ongoing crypto assets to be informed about both the volatility patterns of major cryptocurrencies and the relative volatility of Bitcoin against the stablecoin markets. Eventually, we find that there is no systematic evidence for the various parity deviations of the stablecoins that are profoundly impacted by Bitcoin volatility. Thus, Bitcoin and the largest stablecoin Tether could stabilize together. However, Bitcoin shall not be generalized to other stablecoins in terms of stability results. Full article
(This article belongs to the Special Issue Applied Mathematics in Finance and Economics)
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19 pages, 1708 KiB  
Article
The Role of Risk Forecast and Risk Tolerance in Portfolio Management: A Case Study of the Chinese Financial Sector
by Jianxu Liu, Yangnan Cheng, Xiaoqing Li and Songsak Sriboonchitta
Axioms 2022, 11(3), 134; https://doi.org/10.3390/axioms11030134 - 15 Mar 2022
Cited by 5 | Viewed by 3423
Abstract
Portfolio decisions are affected by the volatility of financial markets and investors’ risk tolerance levels. To better allocate portfolios; we introduce risk tolerance into the portfolio management problem by considering the risk contribution of portfolio components. In this paper, portfolio weights are allocated [...] Read more.
Portfolio decisions are affected by the volatility of financial markets and investors’ risk tolerance levels. To better allocate portfolios; we introduce risk tolerance into the portfolio management problem by considering the risk contribution of portfolio components. In this paper, portfolio weights are allocated to two stages. In the first stage, the portfolio risks and the risk contribution of each share are forecasted. In the second stage, we put forward three weighting techniques—“aggressive”, “moderate” and “conservative”, according to three standard levels of risk tolerance. In addition, a new risk measure called “joint extreme risk probability” (JERP), with risk tolerance taken into account, is proposed. A case study of the Chinese financial industry is conducted to verify the performance of our methods. The empirical results demonstrate that weighting techniques constrained by risk tolerance lead to higher gains in a normal market and less loss when a market is risky. Compared with risk-tolerance-adjusted strategies, the relationship between the performance of the traditional conditional value at risk (CVaR) minimization method and the market risk level is less obviously demonstrated. Viewed from the results, JERP functions as an effective signal that helps investors to deal with potential market risks. Full article
(This article belongs to the Special Issue Applied Mathematics in Finance and Economics)
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15 pages, 301 KiB  
Article
Effects of COVID-19 Pandemic on the Bulgarian Stock Market Returns
by Lilko Dospatliev, Miroslava Ivanova and Milen Varbanov
Axioms 2022, 11(3), 94; https://doi.org/10.3390/axioms11030094 - 24 Feb 2022
Cited by 2 | Viewed by 1960
Abstract
The purpose of this paper is to provide the first empirical research analysing the effects of the COVID-19 pandemic on the Bulgarian stock market before its onset and in the four pandemic waves. For this purpose, we used a fixed effect panel data [...] Read more.
The purpose of this paper is to provide the first empirical research analysing the effects of the COVID-19 pandemic on the Bulgarian stock market before its onset and in the four pandemic waves. For this purpose, we used a fixed effect panel data regression model for the stock returns of 23 companies listed on the Bulgarian Stock Exchange from 2 January 2020 to 16 November 2021. The study showed that the growth rate of COVID-19 deaths per day in Bulgaria had a negative effect on the stock returns and had the strongest influence on them in the fourth pandemic wave. In addition, our results showed that stock returns in healthcare, IT, utilities, and real estate sectors were negatively affected before the COVID-19 pandemic while the first COVID-19 pandemic wave had a positive effect on healthcare and consumer staples sectors. During the second COVID-19 wave, the stock returns of the IT sector had a positive effect, while Utilities sector had a negative effect. The third COVID-19 wave had a positive effect on industrials and consumer staples sectors, while healthcare, real estate, and IT sectors showed a negative effect. During the fourth COVID-19 wave, the stock returns of the IT sector had a positive effect and consumer staples sector had a negative effect. Full article
(This article belongs to the Special Issue Applied Mathematics in Finance and Economics)
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