Deep learning methods for modeling bitcoin price

A precise prediction of Bitcoin price is an important aspect of digital financial markets because it improves the valuation of an asset belonging to a decentralized control market. Numerous studies have studied the accuracy of models from a set of factors. Hence, previous literature shows how models for the prediction of Bitcoin suffer from poor performance capacity and, therefore, more progress is needed on predictive models, and they do not select the most significant variables. This paper presents a comparison of deep learning methodologies for forecasting Bitcoin price and, therefore, a new prediction model with the ability to estimate accurately. A sample of 29 initial factors was used, which has made possible the application of explanatory factors of different aspects related to the formation of the price of Bitcoin. To the sample under study, different methods have been applied to achieve a robust model, namely, deep recurrent convolutional neural networks, which have shown the importance of transaction costs and difficulty in Bitcoin price, among others. Our results have a great potential impact on the adequacy of asset pricing against the uncertainties derived from digital currencies, providing tools that help to achieve stability in cryptocurrency markets. Our models offer high and stable success results for a future prediction horizon, something useful for asset valuation of cryptocurrencies like BitcoinThis research was funded by Cátedra de Economía y Finanzas Sostenibles, University of Malaga, Spai

Identifying explanatory factors of bitcoin price with artificial neural networks

This study aims to develop a new model that allows determining with high precision the factors that explain the price of bitcoin. To do this, an extensive database of variables related to bitcoin and artificial neural network techniques has been used. The results obtained have made it possible to identify that aspects related to the number of forum posts, the volume of transactions on the blockchain, and the hash rate provide an excellent strategy for predicting the price of bitcoi

Perspectivas de la banca española

Análisis de las perspectivas de la banca española en 2014 con especial referencia a las participaciones preferentesUniversidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

Concentración empresarial, concentración de la propiedad y el valor de la empresa: Evidencia de las PYMEs españolas

Various corporate governance theories indicate that governance in small and medium-sized enterprises (SMEs) differs to that of larger corporations due to the ownership-management function within the organizational structure. This article provides empirical evidence of enhanced firm value in a sample of listed SMEs resulting from certain corporate governance mechanisms related to managerial and ownership concentration. The empirical analysis conducted in this paper is based on a panel data set consisting of 108 small and medium-sized public firms on the Spanish alternative stock exchange over a time frame of five years (2015-2019). The results suggest that CEO duality, the controlling shareholders, and the second largest shareholders all improve firm value. Conversely, the ratio of independent directors has a negative impact on firm value. These findings are robust to alternative model specifications such as dynamic panel estimators (Generalized Method of Moments -GMM-) and instrumental variable methods. Overall, we show that the governance configuration of listed SMEs can mitigate several of the central issues, such as agency problems, that large corporations face.Varias teorías de gobierno corporativo indican que la gobernanza en las pequeñas y medianas empresas (PYME) difiere del de las corporaciones más grandes debido a la función de gestión de propiedad dentro de la estructura organizativa. Este artículo proporciona evidencia empírica del aumento del valor de la empresa en una muestra de PYME que cotizan en bolsa como resultado de ciertos mecanismos de gobierno corporativo relacionados con la concentración gerencial y la concentración de propiedad. El análisis empírico realizado en este artículo se basa en un modelo de datos de panel compuesto por 108 pequeñas y medianas empresas públicas que cotizan en el mercado alternativo bursátil español durante un período de cinco años (2015-2019). Los resultados sugieren que la dualidad de funciones del CEO, los accionistas mayoritarios y los segundos accionistas más importantes mejoran el valor de la empresa. Por el contrario, la proporción de directores independientes tiene un impacto negativo en el valor de la empresa. Estos hallazgos son robustos a especificaciones de modelos alternativos, como estimadores de panel dinámico (Método Generalizado de Momentos -GMM-) y el método de variables instrumentales. En general, mostramos que la configuración de la gobernanza de la PYME que cotizan en bolsa puede mitigar varios de los problemas centrales, como los problemas de agencia, que enfrentan las grandes corporaciones

Real Option in Biotechnological Firms Valuation. An Empirical Analysis of European Firms.

Firms’ intangible assets are becoming more and more relevant in the different areas within the financial discipline. Its management, its quantification and its valuation nowadays constitute one of the main challenges which economy and business try to face. Through this paper we will evaluate some models based on the real options theory in order to estimate the intangible assets value of certain firms, specifically I+D biotechnological firms projects. With this aim, and after deep research on biotechnological industry, we will establish the parameters regarding one model which can be considered as a quantitative valuation method that we apply to a sample of biotechnological European companies. The results obtained through the empirical analysis are promising and they support the use of the real options theory to evaluate biotechnological firms.Los activos intangibles de las compañías se han convertido cada vez en elementos más relevantes en las diferentes áreas de la disciplina financiera. Su manejo, cuantificación, y su avalamiento hoy en día constituye uno de los desafíos que los negocios y la economía trata de encarar. En este trabajo se evalúan algunos modelos basados en teoría de opciones reales con el objetivo de estimar los activos intangibles de ciertas compañías, específicamente I+D en las firmas basadas en proyectos biotecnológicos. Con éste objetivo en mente, y posterior a una profunda investigación sobre la industria biotecnológica, se establecen parámetros relacionados a un modelo que puede ser considerado como una evaluación cuantitativa el que se aplicará a muestras de compañías biotecnológicas europeas. Los resultados fueron obtenidos mediante el análisis empírico que apoya el uso de la teoría de opciones reales para evaluar a las compañías biotecnológicas.Firms’ intangible assets are becoming more and more relevant in the different areas within the financial discipline. Its management, its quantification and its valuation nowadays constitute one of the main challenges which economy and business try to face. Through this paper we will evaluate some models based on the real options theory in order to estimate the intangible assets value of certain firms, specifically I+D biotechnological firms projects. With this aim, and after deep research on biotechnological industry, we will establish the parameters regarding one model which can be considered as a quantitative valuation method that we apply to a sample of biotechnological European companies. The results obtained through the empirical analysis are promising and they support the use of the real options theory to evaluate biotechnological firms

La estrategia financiera de la empresa multinacional: modelos normativos y evidencia empírica

Tesis doctoral inédita. Universidad Autónoma de Madrid, Facultad de Ciencias Económicas y Empresariales, 198

Banca digital

Las entidades bancarias tradicionales se han desarrollado en un entorno muy regulado y con mercados fragmentados. La orientación estratégica del negocio estaba orientada a productos y no a clientes. Los clientes eran poco sofisticados y con necesidades de ahorro- endeudamiento simples. Tipos de interés altos. Altos márgenes y escasa competencia real. Los clientes son más sofisticados y sus necesidades de inversión-financiación son más complejas. Por ejemplo el concepto de la banca privada se ha extendido a amplios segmentos de la clientela. Tipos de interés bajos e incluso negativos. Relaciones comerciales multicanal. Competencia feroz y aparición de nuevos competidores ( shadow banking, fintechs).Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

Valoración de activos y riesgo de liquidez enel mercado de valores chileno

This paper studies whether or not a premium exists for the risk of liquidity in the Chilean stock market. Using the methodology in Fama and French (1993), liquidity risk factors are constructed on the basis of 4 indexes which evaluate various models. The results show the existence of a premium for liquidity risk, but this is captured by more than a liquidity risk factor.Este artículo analiza la existencia o no de una prima por riesgo de liquidez en el mercado de acciones de Chile. En base a la metodología de Fama y French (1993), se construyen factores de riesgo de liquidez basados en cuatro índices, los cuales se valoran en base a varios modelos. Los resultados muestran la existencia de una prima por riesgo de liquidez, la cual se refleja en más de un factor de riesgo

The market value of SMEs: a comparative study between private and listed firms in alternative stock markets

This study aims to compare the market value of private firms and publicly listed small and medium-sized firms (SMEs) in alternative stock markets through a private discount approach with estimates of value based on discounted cash flow projections and along with a comparable multiples approach. The valuation methodology applied in this study yielded a final sample that included 232 observations between public and private companies in the Spanish market. To calculate the discount, we apply the different approaches of discounted cash flow and multiples, such as valuation, earnings, book value, and revenue. Our results conclude there is no private discount, instead, the outcomes of this article suggest a premium over public firms for some ratios. The negative private company discounts mean a premium and, on the other hand, some multiples suggest a discount according to the method of valuation. This paper proves private discounts resulted does not have any comparable value within the same country although all firms in Spain use the same currency. We value the discounted cash flows of our forecasts using a discount rate based on the Capital Asset Pricing Model (CAPM), so our study can also be viewed as a test sensitivity of CAPM-based approaches to equity risk premium, terminal value, and growth rate. Furthermore, we compare historical transaction multiples of privately held companies with transaction multiples of similar publicly held firmsFunding Open Access funding provided thanks to the CRUE‑CSIC agreement with Springer Nature