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Recent Developments In Quantitative Finance: An Overview

Author

Listed:
  • CHIA-LIN CHANG

    (Department of Applied Economics and Department of Finance, National Chung Hsing University, Taiwan, 250, Kuo Kuang Road, Taichung 402, Taiwan)

  • SHING-YANG HU

    (Department of Finance, National Taiwan University, Taiwan, 1, Sec. 4, Roosevelt Road, Taipei 106, Taiwan)

  • SHIH-TI YU

    (Department of Quantitative Finance, National Tsing Hua University, Taiwan, 101, Sec. 2, Kuang Fu Road, Hsinchu 300, Taiwan)

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.

Suggested Citation

  • Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014. "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-7.
    • Handle: RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214020023
    DOI: 10.1142/S2010495214020023
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    References listed on IDEAS

    as
    1. Chia-Lin Chang & Yu-Pei Ke, 2014. "Testing Price Pressure, Information, Feedback Trading, And Smoothing Effects For Energy Exchange Traded Funds," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-26.
    2. Chor-Yiu Sin, 2014. "Qmle Of A Standard Exponential Acd Model: Asymptotic Distribution And Residual Correlation," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-10.
    3. Chih-Yi Chi & Shih-Ti Yu & Yi Tzu Li & Yu-Lung Lu, 2014. "Using Two-Part Quantile Regression To Analyze How Earnings Shocks Affect Stock Repurchases," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-13.
    4. Chii-Shyan Kuo & Shih-Ti Yu, 2014. "The Effects Of Firm Characteristics And Recognition Policy On Employee Stock Options Prices After Controlling For Self-Selection," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-30.
    5. Chi-Feng Tzeng, 2014. "Credit Spreads And Bankruptcy Information From Options Data," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-22.
    6. Marc S. Paolella, 2014. "Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-32.
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    Cited by:

    1. Srinivasan, Sunderasan & Kottam, Vamshi Krishna Reddy, 2018. "Solar photovoltaic module production: Environmental footprint, management horizons and investor goodwill," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 874-882.

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    More about this item

    Keywords

    Quantitative finance; financial econometrics; empirical finance; equities; portfolios; quantiles; C58; G11; G12; G21; G32;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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