Improving Wealth Management Strategies Through the Use of Reinforcement Learning Based Algorithms. A Study on the Romanian Stock Market

In the context of the growing pace of technological development and that of the transition to the knowledge-based economy, wealth management strategies have become subject to the application of new ideas. One of the fields of research that are increasing in influence in the scientific community is that of reinforcement learning-based algorithms. This trend is also manifesting in the domain of economics, where the algorithms have found a use in the field of stock trading. The use of algorithms has been tested by researchers in the last decade due to the fact that by applying these new concepts, fund managers could obtain an advantage when compared to using classic management techniques. The present paper will test the effects of applying these algorithms on the Romanian market, taking into account that it is a relatively new market, and compare it to the results obtained by applying classic optimization techniques based on passive wealth management concepts. We chose the Romanian stock market due to its recent evolution regarding the FTSE Russell ratings and the fact that the country is becoming an Eastern European hub of development in the IT sector, these facts could indicate that the Romanian stock market will become even more significant in the future at a local and maybe even at a regional level

Market Risk Management - Modeling the Distribution of Losses Using Romanian Securities

Market risk with its major components, such as the risk of interest rate instruments, currency risk, and risk related to stock and commodity investigations, represents the risk of losses in balance sheet and off-balance sheet positions, resulting from negative market price movements. Portfolios of instruments traded for short-term profits, called trading portfolios, are exposed to market risk or risk of loss, resulting from changes in the prices of instruments, such as stocks, bonds, and currencies. This paper, through theoretical and empirical methods, assesses risk by using the probability distribution of daily variations in government bond yields. Long-term government securities in most cases have a higher return due to the higher level of risk assumed regarding changes in risk factors such as interest rates, which, when raised above a certain threshold, cause a price decrease, which illustrates the price sensitivity to long-term bonds. Using Value at Risk as the main element for determining the maximum possible loss on investment in a trading book, as well as statistical tests to measure the similarity between two or more distributions such as the Kolmogorov-Smirnov test, Anderson -Darling or Chi-squared, we identified the most representative theoretical probabilistic distribution both for the value of losses and for the frequency of risk events. At the same time, the most used distributions to manage the market risk by advanced methods and, of course, the distributions used in this paper, were Weibull and Pareto (including the generalized form), as well as other distributions, because they better capture the asymmetry in queues and the presence of thick tails. Modeling the distribution of losses requires choosing from a set of probable distributions, the one with the highest log-likelihood

Main Economic Policies in order to Manage an Optimum Accession of Romania to the Euro Zone

The present paper aims at analysing several options concerning the economic policies Romania should adopt in the following years, in order to attenuate the long term vulnerabilities within the process of joining to the Euro zone, with the observation that, the economic policies proposed in the current work were selected mainly based on the decisive factors for the real equilibrium exchange rate in Romania. Fulfilling the nominal criteria for adhesion can prove itself to be more facile but not able to ensure, on a long term and in a sustainable manner, reaching an optimum for the economy that adheres irreversibly to the Euro zone. It is important to analyze how the competitiveness of other economies evolved prior and after joining the Euro zone, from the perspective of identifying some economic policies meant to ensure the accomplishment of the real convergence criteria to the Euro zone for Romania’s case, on a long term. The economic policies proposed by the authors try to help covering the greatest delays for Romania in comparison with other states in the Euro zone and which, unsolved, can create in time significant vulnerabilities on a long term, having a negative impact for many generations of Romanians from now on

The Collaborative Economy through the Lens of Sustainable Tourism. A Regional-Centric View

Nowadays the tourism industry faces major changes given the vast possibilities for the development of a collaborative economy in tourism that brings forth a new marketplace where consumers rely on each other -changing renting, swapping, and sharing their accommodation locations. The purpose of the present paper is to answer one of the most important challenges of the City of Brașov in Romania, which is the management of the touristic offer. The paper provides a quantitative-qualitative research approach that analyzes - based on semi-structured surveys with the users of collaborative platforms - the perception of travelers concerning the development of collaborative tourism in Brasov County. The management of touristic offer should take into account the pressure that this new type of renting may be exerting on the local economy, especially considering unfair competition on other segments of the tourist market and the change in the physiognomy of the cities of Brașov County

Some Challenges the Management Confronts with, in the Financial Institutions

In this paper, we analyze some features and components of the management in general, and of the management in the financial area in particular. Special attention is given to how they cope with some risk which could affect their activity. Trying to find from practice what kind of difficulties the management faces in their work, for sure, we get to interesting conclusions and furthermore, to optimum solutions. We already have some data, result of some earlier preoccupations of the specialists (Dănilă and Berea, 2000 pp.39-48) while others can be foreseen as specific elements for the beginning of the 3rd millennium, that started with what the rating agencies seem to admit as the most important economic decline and prolonged recession risk within the post World War II history. We consider an evaluation of the challenges the management confronts with, lately - while subject to pressures and to the need for radical changes that come with an astonishing speed and that are enhanced by the shareholders’ desperate need to protect their capital. Findings reveal that, in any business enterprise the shareholders’ strategy and the management’s objectives are earning new clients, enlarging the market share, creating added value and on these bases, maximizing the gained profits. We consider that the volatile and fluctuant nature of the raw material the banks operate with - namely the money – turn the management in this area into a particular one, depicted by some specific features, which we analyze in the following pages

Possible Ways and Means for an Enhanced Partnership between the Finance Resources Owners and their Local Beneficiaries in Romania

In this work, we present some reasons why the financial institutions and the entities active in the Romanian economy have to strengthen their institutional partnership, for the benefit of the entire community. We also analyze the economic factors that interfere into this partnership, and also the possible ways and means of optimization. The study and, particularly the proposed solutions may represent a viable option for an efficient management of the development process of the local communities in Romania. We bring scientific and practical arguments that there is a big need for this partnership, as currently, we are experiencing a big lack of mutual trust that is perceived as a gap in the cooperation between the owners of financial resources, on one hand, and the entrepreneurs and the public authorities, on the other hand. Looking from a European perspective and also from the historical evolution, in Romanian’s case, local economic development is a challenge that must be achieved by valuing any available resource at its best. Local resources are not always enough for financing the development needs of the communities. For progressing, they must be completed with borrowed sources. The banking loan, although it includes collateral costs and risks, represents a resource that must be used accordingly, for not losing the development opportunities. The capital insertion on the local market by banking loan generates an economic increase, social development, and can offer new working places to the local community members. Good knowledge of the lending needs, of the advantages, of the costs but also of the associated risks of the lending activity is essential for fully benefiting of such a resource in the local and regional economic and social development process, for the benefit of all the involved parties

Sovereign Default Analysis through Extreme Events Identification

This paper investigates contagion in international credit markets through the use of a novel jump detection technique proposed by Chan and Maheuin (2002). This econometrical methodology is preferred because it is non-linear by definition and not a subject to volatility bias. Also, the identified jumps in CDS premiums are considered as outliers positioned beyond any stochastic movement that can and is already modelled through well-known linear analysis. Though contagion is hard to define, we show that extreme discrete movements in default probabilities inferred from CDS premiums can lead to sound economic conclusions about the risk profile of sovereign nations in international bond markets. We find evidence of investor sentiment clustering for countries with unstable political regimes or that are engaged in armed conflict. Countries that have in their recent history faced currency or financial crises are less vulnerable to external unexpected shocks. First we present a brief history of sovereign defaults with an emphasis on their increased frequency and geographical reach, as financial markets become more and more integrated. We then pass to a literature review of the most important definitions for contagion, and discuss what quantitative methods are available to detect the presence of contagion. The paper continues with the details for the methodology of jump detection through non-linear modelling and its use in the field of contagion identification. In the last sections we present the estimation results for simultaneous jumps between emerging markets CDS and draw conclusions on the difference of behavior in times of extreme movement versus tranquil periods

Perceived Factors and Value of Online Master Degrees in Romania

oai:ojs.www.managementdynamics.ro:article/8In the last #ve years, online master degrees were introduced in the educational offer by major higher education institutions from Romania. Although there were few pure online master degrees, the demand for such degrees has been continuously growing. More recently, a legislative measure discouraged the existence of a pure online learning degree, despite the success these degrees enjoyed and the positive opinion of employers. In this context, the present study aims to measure the perceived value and satisfaction of online master degrees among graduates of this type of degrees, the factors that influenced their choice to enroll in an online master program, and the perceived opinion of employers towards online master degrees. Findings reveal an overall increased satisfaction and perceived learning among graduates. We also found that the demographic characteristics and the grades students received during the years of study and at the graduation exam (dissertation) are strong predictors of perceived value and satisfaction with online master degrees

For or Against the Eurozone? Romanian Students’ Perspective on the Economic Crisis and Their Future as European Citizens

In the context of globalization and of the aftermath of the economic crisis, the pillars on which the EU stands no longer satisfy the demands and necessities of the European citizens (Van Ham, 2005; Habermas, 2012).  The euro crisis has generated, on one hand, a gap between the “center” and the “periphery” that can be correlated with the fragmentation both of the EU’s spheres of influence and of the European financial market (Dobrescu & Palada, 2012; EFCR, 2013).  On the other hand, the euro crisis has generated a lack of solidarity and confidence in the European project. At this point, the major challenge for the European Union is not only the Euro-zone crisis, but also the level of confidence amongst young people. Recent polls (Gallup, 2013; Pew Research Center, 2013) indicate a dramatic rise in pessimism among Europe’s young people that have been labeled as “the Lost Generation” (European Commission, 2012). This paper explores the impact of the economic crisis on Romanian students’ attitudes towards the future of the European project and towards their European identity. The study aims at identifying the major concerns of Romanian students in terms of their future as European citizens. Our approach of this subject covers two perspectives: the first one is the utilitarian perspective, that is taking into consideration the actual advantages of the Europeanization process and the sustainability of the European social and economic model in the current national economic context; the second one is the identity perspective, that is taking into account the impact of the economic crisis on the Romanian students’ sense of belonging to the European community. The results of our study indicate that, overall, the Romanian youth holds an optimistic view concerning the EU, however they express some concerns in terms of lack of solidarity and fear of national identity loss