OpenEXA Blog AI agents in finance, financial markets research and market structure. https://www.openexa.com/blog/ 2024-06-30T00:00:00Z OpenEXAhttps://www.openexa.com/ https://www.openexa.com/assets/img/icon-192.png https://www.openexa.com/assets/img/icon-512.png AI Agents in Finance: How Relative Value Analysis and Tearsheets Pave the Way for AI Copilots and Autonomous Intelligent Agents https://www.openexa.com/blog/empowering-the-future-ai-copilots-and-autonomous-intelligent-agents-leading-the-way.html 2024-06-30T00:00:00Z 2024-06-30T00:00:00Z Ajit K Dubey Creating a Copilot or AI agent for financial markets is a complex and challenging endeavor. Unveiling the Vital Role of Credit in the Financial System. Why Banks Exist? https://www.openexa.com/blog/why-banks-exist-unveiling-the-vital-role-of-credit-in-the-financial-system.html 2024-06-17T00:00:00Z 2024-06-17T00:00:00Z Ajit K Dubey The commonality between banks lies in their core function of credit or lending. AI Guardrails, Precise Boundary and Tearsheets can Transform Value Creation in Financial Markets https://www.openexa.com/blog/tearsheet-how-to-use-tearsheet-in-the-face-of-volatile-crypto-and-bond-markets-as-a-means-of-capital-preservation-and-asset-appreciation.html 2024-06-15T00:00:00Z 2024-06-15T00:00:00Z Ajit K Dubey In financial markets, there are two main variables: your strategy and the unpredictable nature of the market. The Impact of Generative AI Models: Revolutionizing Relative Value Analysis in Securities Markets https://www.openexa.com/blog/rel-val-a-new-approach-to-relative-value-analysis-of-securities-and-cryptocurrencies.html 2024-06-01T00:00:00Z 2024-06-01T00:00:00Z Ajit K Dubey In today's investment landscape, traditional methods of analyzing company fundamentals may overlook key drivers of value. Unlocking Gen-AI's True Potential: The Next Phase of Monumental Value Creation https://www.openexa.com/blog/in-search-gen-ai-business-model.html 2024-05-17T00:00:00Z 2024-05-17T00:00:00Z Ajit K Dubey Over the past year, generative AI's ability to create content has dominated headlines, showcasing its potential to instantly generate text, images, and videos. The Labor Market for Bankers and Regulators https://www.openexa.com/blog/the-labor-market-for-bankers-and-regulators.html 2023-07-06T00:00:00Z 2023-07-06T00:00:00Z Philip Bond, Ph.D. Who becomes a financial regulator and who becomes a banker? Automation, financial frictions, and the long-run labor share https://www.openexa.com/blog/automation-financial-frictions-and-the-long-run-labor-share.html 2022-11-18T00:00:00Z 2022-11-18T00:00:00Z Philip Bond, Ph.D. Does automation benefit or harm workers? Will complete automation drive the labor share to zero? ESG: A panacea for market power? https://www.openexa.com/blog/esg-a-panacea-for-market-power.html 2022-11-16T00:00:00Z 2022-11-16T00:00:00Z Philip Bond, Ph.D. Equilibrium of product/labor markets when firms adopt ESG. And equilibrium in ESG policies. Focuses on the S part of ESG. Multiscale Analysis & Volatility Asymmetry of Cryptocurrency Prices https://www.openexa.com/blog/multiscale-analysis-volatility-asymmetry-of-cryptocurrency-prices.html 2022-09-01T00:00:00Z 2022-09-01T00:00:00Z Tim Leung, Ph.D. Adaptive complementary ensemble empirical mode decomposition (ACE-EMD) for non-stationary time series Leveraged ETFs - Price Dynamics and Options Valuation https://www.openexa.com/blog/leveraged-etfs-price-dynamics-and-options-valuation.html 2022-06-11T00:00:00Z 2022-06-11T00:00:00Z Tim Leung, Ph.D. The ETF industry now consists of more than 2,000 funds with well over $4 trillion in assets. Modern Trends in Financial Engineering https://www.openexa.com/blog/modern-trends-in-financial-engineering.html 2022-05-17T00:00:00Z 2022-05-17T00:00:00Z Tim Leung, Ph.D. This new book series, Modern Trends in Financial Engineering, publishes monographs on important contemporary topics in theory and practice of Financial Engineering. Examining the Drawdown Risk of Sector ETFs - 2022 https://www.openexa.com/blog/examining-the-drawdown-risk-of-sector-etfs-2022.html 2022-04-24T00:00:00Z 2022-04-24T00:00:00Z Tim Leung, Ph.D. A drawdown measures the distance (in %) of the portfolio value from its peak, reflecting its downside risk. Optimal Execution for High Frequency Trading https://www.openexa.com/blog/optimal-execution-for-high-frequency-trading.html 2022-04-22T00:00:00Z 2022-04-22T00:00:00Z Tim Leung, Ph.D. In high-frequency trading, large buy (or sell) orders may cause other traders to raise (or lower) their offered price. Stochastic Storage Cost Model for Grains Futures https://www.openexa.com/blog/stochastic-storage-cost-model-for-grains-futures.html 2022-03-13T00:00:00Z 2022-03-13T00:00:00Z Tim Leung, Ph.D. The world is experiencing the biggest supply shock to global grains markets in recent history. Prices of various crops have skyrocketed. Dynamic Estimation of Stochastic Gold Exposure https://www.openexa.com/blog/dynamic-estimation-of-stochastic-gold-exposure.html 2022-02-09T00:00:00Z 2022-02-09T00:00:00Z Tim Leung, Ph.D. Gold is often viewed as a safe haven asset or a hedge against market turmoil, currency depreciation, and other economic or political events. Encoding Market View via a Randomized Brownian Bridge https://www.openexa.com/blog/encoding-market-view-via-a-randomized-brownian-bridge.html 2021-11-03T00:00:00Z 2021-11-03T00:00:00Z Tim Leung, Ph.D. Trading decisions often depend on the trader's subjective belief of the distribution of the asset price on a given future date. Multiscale Decomposition and Analysis of Sector ETF Price Dynamics https://www.openexa.com/blog/multiscale-decomposition-and-analysis-of-sector-etf-price-dynamics.html 2021-10-19T00:00:00Z 2021-10-19T00:00:00Z Tim Leung, Ph.D. Asset prices are driven by factors of different timescales, ranging from long-term market regimes to short-term fluctuations. Dynamic Futures Portfolio in a Regime-Switching Market https://www.openexa.com/blog/dynamic-futures-portfolio-in-a-regime-switching-market.html 2021-08-24T00:00:00Z 2021-08-24T00:00:00Z Tim Leung, Ph.D. Asset prices are often seen as being dependent on market conditions. Market regimes may change suddenly and persist for a period of time. Dynamic Futures Portfolio Under a Multifactor Gaussian Framework https://www.openexa.com/blog/dynamic-futures-portfolio-under-a-multifactor-gaussian-framework.html 2021-08-16T00:00:00Z 2021-08-16T00:00:00Z Tim Leung, Ph.D. Futures are standardized exchange-traded bilateral contracts of agreement to buy or sell an asset at a pre-determined price at a time in future. Multiscale Financial Signal Processing https://www.openexa.com/blog/multiscale-financial-signal-processing.html 2021-05-08T00:00:00Z 2021-05-08T00:00:00Z Tim Leung, Ph.D. Market observations and empirical studies have shown that asset prices are often driven by multiscale factors in the short term. Cardinality-Constrained Portfolios: Optimization Approach & Algorithm https://www.openexa.com/blog/cardinality-constrained-portfolios-optimization-approach-algorithm.html 2021-02-07T00:00:00Z 2021-02-07T00:00:00Z Tim Leung, Ph.D. Every portfolio can be partitioned into multiple asset groups defined by asset classes, sectors, styles, and other features. Employee Stock Options - Exercise Timing, Hedging, and Valuation https://www.openexa.com/blog/employee-stock-options-exercise-timing-hedging-and-valuation.html 2020-11-14T00:00:00Z 2020-11-14T00:00:00Z Tim Leung, Ph.D. Employee stock options (ESOs) are an integral component of compensation in the US. In fact, almost all S&P 500 companies grant options to their top executives. An Optimization Algorithm for Sparse Mean-Reverting Portfolio Selection https://www.openexa.com/blog/an-optimization-algorithm-for-sparse-mean-reverting-portfolio-selection.html 2020-10-21T00:00:00Z 2020-10-21T00:00:00Z Tim Leung, Ph.D. We study an approach that combines statistical learning and optimization to construct portfolios. The Drawdown Risk and Portfolio Concentration of Sector ETFs https://www.openexa.com/blog/the-drawdown-risk-and-portfolio-concentration-of-sector-etfs.html 2020-10-08T00:00:00Z 2020-10-08T00:00:00Z Tim Leung, Ph.D. A drawdown measures the distance (in %) of the portfolio value from its peak, reflecting its downside risk. Ordering information content using the quantile function. https://www.openexa.com/blog/ordering-information-content-using-the-quantile-function.html 2019-07-01T00:00:00Z 2019-07-01T00:00:00Z Philip Bond, Ph.D. Lehmann's (1988) information ordering is equivalent to single-crossing of the quantile function. Buying high and selling low: Stock repurchases and persistent asymmetric information https://www.openexa.com/blog/buying-high-and-selling-low-stock-repurchases-and-persistent-asymmetric-information.html 2016-05-30T00:00:00Z 2016-05-30T00:00:00Z Philip Bond, Ph.D. Analyzes a dynamic version of Myers and Majluf's classic model. Equilibria feature repurchases, even though all firms want to raise cash. Contracting in the presence of judicial agency https://www.openexa.com/blog/contracting-in-the-presence-of-judicial-agency.html 2012-09-13T00:00:00Z 2012-09-13T00:00:00Z Philip Bond, Ph.D. Judges have agency conflicts too. How does this affect contracting? The real effects of financial markets https://www.openexa.com/blog/the-real-effects-of-financial-markets.html 2012-07-11T00:00:00Z 2012-07-11T00:00:00Z Philip Bond, Ph.D. An essential topic in financial economics is investigating whether financial markets exert an influence on the actual economy. Predatory mortgage lending https://www.openexa.com/blog/predatory-mortgage-lending.html 2008-07-01T00:00:00Z 2008-07-01T00:00:00Z Philip Bond, Ph.D. Predatory lending can arise even in the absence of lender fraud and borrower confusion.