Shafer and Vovk introduce in their book Game-theoretic foundations for probability and finance the notion of instant enforcement. In this paper we introduce an outer measure on the space of continuous paths which assigns zero value exactly to those s
ets (properties) of pairs of time $t$ and elementary event $omega$ which are instantly blockable. Next, for the introduced measure we prove BDG inequalities and use them to define It^o-type integral. Additionally, we prove few properties for the quadratic variation of model-free continuous paths which hold with instant enforcement.
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but also the
costs of capital, influence a subjective evaluation of the decision to invest now or retain the option to invest in future. We propose a risk-adjusted valuation model to facilitate investors subjective decision making, in response to the market valuation of an investment opportunity. The investors subjective assessment arises from their perceived misvaluation of the investment by the market, so projected cash flows are discounted using two different rates representing the investors and the markets view. This liberates our model from perfect or imperfect hedging assumptions and instead, we are able to illustrate the hedging effect on the real option value when perceptions of risk premia diverge. During crises periods, delaying an investment becomes more valuable as the idiosyncratic risk of future cash flows increases, but the decision-maker may rush to invest too quickly when the risk level is exceptionally high. Our model verifies features established by classical real-option valuation models and provides many new insights about the importance of modelling divergences in decision-makers risk premia, especially during crisis periods. It also has many practical advantages because it requires no more parameter inputs than basic discounted cash flow approaches, such as the marketed asset disclaimer method, but the outputs are much richer. They allow for complex interactions between cost and revenue uncertainties as well as an easy exploration of the effects of hedgeable and un-hedgeable risks on the real option value. Furthermore, we provide fully-adjustable Python code in which all parameter values can be chosen by the user.
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about market makers supply. The main demand-side effects are that at-the-money option p
rices are largely driven by volatility traders and out-of-the-money options are simultaneously driven by volatility traders and those with proprietary information about the direction of future bitcoin price movements. The demand-side trading results contrast with prior studies on established options markets in the US and Asia, but we also show that Deribit is rapidly evolving into a more efficient channel for aggregating information from informed traders.
This paper provides an overview of the status of the electricity market in the region, indicating the nexus between electricity consumption with population growth and GDP. It also analyzes the policy portfolio in different countries, indicating some
of the in-action policies effectiveness and recommended alternatives. World Bank datasets were used for the analysis between 2000 and 2014. We found that the MENA region is at an early stage for renewable energy with a high potential for solar energy, making it attractive for investors. However, the high dependency on oil for consumption and exporting might not provide a prosperous environment for renewable technologies to grow. Therefore, a greater focus on decoupling economic growth from energy consumption will have a long-lasting impact on fiscal revenues for net-oil exporting countries. Moreover, the consequences of the decoupling will allow more renewables penetration in the current energy mix enabling many countries to reach their Paris Agreement goals. For short-term energy policy actions, starting a subsidy reform towards the final repeal of subsidies is a must as these measures relate to all end-use sectors and impact fiscal stability in many countries. With its 1.65GW Benban Solar Park in Aswan, Egypt has shown an example of shifting from subsidizing fossil fuel products to commissioning renewable projects to get closer to its Paris Agreement targets.
Excessive house price growth was at the heart of the financial crisis in 2007/08. Since then, many countries have added cooling measures to their regulatory frameworks. It has been found that these measures can indeed control price growth, but no one
has examined whether this has adverse consequences for the housing wealth distribution. We examine this for Singapore, which started in 2009 to target price growth over ten rounds in total. We find that welfare from housing wealth in the last round might not be higher than before 2009. This depends on the deflator used to convert nominal into real prices. Irrespective of the deflator, we can reject that welfare increased monotonically over the different rounds.
Purpose: A significant number of the non-financial firms listed at the Nairobi Securities Exchange (NSE) have been experiencing declining financial performance which deters investors from investing in such firms. The lenders are also not willing to l
end to such firms. As such, the firms struggle to raise funds for their operations. Prudent financing decisions can lead to financial growth of the firm. The purpose of this study is to assess the effect of Share capital on financial growth of Non-financial firms listed at the Nairobi Securities Exchange. Financial firms were excluded because of their specific sector characteristics and stringent regulatory framework. The study is guided by Market Timing Theory and Theory of Growth of the Firm. Methodology: Explanatory research design was adopted. The target population of the study comprised of 45 non-financial firms listed at NSE for a period of ten years from 2008 to 2017. The study conducted both descriptive statistics analysis and panel data analysis. Findings: The result indicates that, share capital explains 32.73% and 11.62% of variations in financial growth as measure by growth in earnings per share and growth in market capitalization respectively. Share capital positively and significantly influences financial growth as measured by both growth in earnings per share and growth in market capitalization. Implications: The study recommends for the Non-financial firms to utilize equity financing as a way of raising capital for major expansions, asset growth or acquisitions which may require heavy funding. In this way, firms will be assured of improved performance as well as high financial growth. The study also recommends for substantial firm financing through equity. Value: Equity financing is important to any firm, if the proceeds are used to invest in projects which eventually bring growth to the firm.
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to understand th
e price formation process at sub-1 second time scales. To achieve this goal, we construct a set of features that encapsulate relevant microstructural information over short lookback windows. These features are subsequently leveraged first to generate a leader-lagger network that quantifies how markets impact one another, and then to train linear models capable of explaining between 10% and 37% of total variation in $500$ms future returns (depending on which market is the prediction target). The results are then compared with those of various PnL calculations that take trading realities, such as transaction costs, into account. The PnL calculations are based on natural $textit{taker}$ strategies (meaning they employ market orders) that we associate to each model. Our findings emphasize the role of a markets fee regime in determining its propensity to being a leader or a lagger, as well as the profitability of our taker strategy. Taking our analysis further, we also derive a natural $textit{maker}$ strategy (i.e., one that uses only passive limit orders), which, due to the difficulties associated with backtesting maker strategies, we test in a real-world live trading experiment, in which we turned over 1.5 million USD in notional volume. Lending additional confidence to our models, and by extension to the features they are based on, the results indicate a significant improvement over a naive benchmark strategy, which we also deploy in a live trading environment with real capital, for the sake of comparison.
Since the end of 90s till today when all the elements confirming Georgian State System have practically been established, budget system and policy remains as the most difficult Georgian macroeconomics challenge and even still half-and-half unsolved p
roblem. One side of the fiscal policy is quite crucially formulated and administrative Tax Code, and the other side is the weak, unmanaged and incomplete law on Budget System. According to the above-mentioned the elaboration and adoption of the Budget Code having equal force as Tax Code is necessary by which the following are to be determined: excellence of government responsibility when it will not perform the budget obligations specified by the law permanently; the rights and responsibilities of the state, the optimal distribution of the funds mobilized by the tax towards each member of the society. For optimization of the budget system effective correlation between the state, regional and local budgets revenues and expenditures is particularly important as the social-economic development of the regions and territorial units of the country is impossible without the financial relations. For it the just differentiation of tax base in the section of state, regional and local budgets and transfers system for support of the budgets of the territorial units from the central budget are necessary. Solving the most part of these problems is possible by the adoption of the budget code which, in our opinion, is to be considered as the closest decisive task for the current legislative and executive authority.
We consider in detail an investment strategy, titled The Bounce Basket, designed for someone to express a bullish view on the market by allowing them to take long positions on securities that would benefit the most from a rally in the markets. We dem
onstrate the use of quantitative metrics and large amounts of historical data towards decision making goals. This investment concept combines macroeconomic views with characteristics of individual securities to beat the market returns. The central idea of this theme is to identity securities from a regional perspective that are heavily shorted and yet are fundamentally sound with at least a minimum buy rating from a consensus of stock analysts covering the securities. We discuss the components of creating such a strategy including the mechanics of constructing the portfolio. Using simulations, in which securities lending data is modeled as geometric brownian motions, we provide a few flavors of creating a ranking of securities to identity the ones that are heavily shorted. An investment strategy of this kind will be ideal in market scenarios when a downturn happens due to unexpected extreme events and the markets are anticipated to bounce back thereafter. This situation is especially applicable to incidents being observed, and relevant proceedings, during the Coronavirus pandemic in 2020-2021. This strategy is one particular way to overcome a potential behavioral bias related to investing, which we term the rebound effect.
In the research there is reviewed the peculiarities of the formation of tax revenues of the state budget, analysis of the recent past and present periods of tax system in Georgia, there is reviewed the influence of existing factors on the revenues, a
s well as the role and the place of direct and indirect taxes in the state budget revenues. In addition, the measures of stimulating action on formation of tax revenues and their impact on the state budget revenues are established. At the final stage, there are examples of foreign developed countries, where the tax system is perfectly developed, where various stimulating measures are successfully stimulating and consequently it promotes mobilization of the amount of money required in the state budget. The exchange of foreign experience is very important for Georgia, the existing tax model that is based on foreign experience is greatly successful. For the formation of tax policy, it is necessary to take into consideration all the factors affecting on it, a complex analysis of the tax system and the steps that will be really useful and perspective for our country.
