Out-of-sample comparison of copula specifications in multivariate density forecasts

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student's t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized by symmetric tail dependence.

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted likelihood or censored normal likelihood favor density forecasts with more probability mass in the given region, rendering predictive accuracy tests biased towards such densities. Our novel partial likelihood-based scoring rules do not suffer from this problem, as illustrated by means of Monte Carlo simulations and an empirical application to daily S\&P 500 index returns.

A unified stability property in spin glasses

Gibbs' measures in the Sherrington-Kirkpatrick type models satisfy two asymptotic stability properties, the Aizenman-Contucci stochastic stability and the Ghirlanda-Guerra identities, which play a fundamental role in our current understanding of these models. In this paper we show that one can combine these two properties very naturally into one unified stability property

Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information

In this paper we explore how specific aspects of market transparency and agents' behavior affect the efficiency of the market outcome. In particular, we are interested whether learning behavior with and without information about actions of other participants improves market efficiency. We consider a simple market for a homogeneous good populated by buyers and sellers. The valuations of the buyers and the costs of the sellers are given exogenously. Agents are involved in consecutive trading sessions, which are organized as a continuous double auction with electronic book. Using Individual Evolutionary Learning agents submit price bids and offers, trying to learn the most profitable strategy by looking at their realized and counterfactual or "foregone" payoffs. We find that learning outcomes heavily depend on information treatments. Under full information about actions of others, agents' orders tend to be similar, while under limited information agents tend to submit their valuations/costs. This behavioral outcome results in higher price volatility for the latter treatment. We also find that learning improves allocative efficiency when compared with to outcomes with Zero-Intelligent traders.

The marginally stable Bethe lattice spin glass revisited

Bethe lattice spins glasses are supposed to be marginally stable, i.e. their equilibrium probability distribution changes discontinuously when we add an external perturbation. So far the problem of a spin glass on a Bethe lattice has been studied only using an approximation where marginally stability is not present, which is wrong in the spin glass phase. Because of some technical difficulties, attempts at deriving a marginally stable solution have been confined to some perturbative regimes, high connectivity lattices or temperature close to the critical temperature. Using the cavity method, we propose a general non-perturbative approach to the Bethe lattice spin glass problem using approximations that should be hopeful consistent with marginal stability.Comment: 23 pages Revised version, hopefully clearer that the first one: six pages longe

Learning and adaptation's impact on market efficiency

A dynamic model with learning and adaptation captures the evolution in trader beliefs and trading strategies. Through a process of learning and observation, traders improve their understanding of the market. Traders also engage in a process of adaptation by switching between trading strategies based on past performance. The asymptotic properties are derived analytically, demonstrating that convergence to efficiency depends on the model of adaptation. © 2010 Elsevier B.V

ДОСЛІДЖЕННЯ ПРАКТИЧНИХ АСПЕКТІВ ЗАБЕЗПЕЧЕННЯ ЕФЕКТИВНОСТІ МАРКЕТИНГОВИХ КОМУНІКАЦІЙ БАНКУ

The marketing communications play an important role in the activities of banks, because it is one of the most important elements of the marketing activity. As an element of a banking institution’s marketing activity, they must be carefully planned, organized and controlled. The need to plan marketing communications in the bank stems from the fact that today it is difficult for consumers to navigate the banking services market. The ongoing competition for each consumer in the banking market drives banks to integrate marketing communications. Banks are in constant contact with customers of banking services, financial institutions, central banks, etc. Any bank requires interconnected communications that are constantly evolving to meet the changing external and internal environment. Thus, marketing communications play an important stage in the bank’s marketing activity. In an age of digital economy, marketing communications are a prerequisite for improving the increasing the effectiveness of banks and their profitability. The practical aspects of ensuring the effectiveness of a bank’s marketing communications are considered and explored in the article. The structure of the bank’s marketing communications complex is influenced by the following factors: the level of management of the bank, the degree of purchasing power of the potential client, the strategy of promotion of banking services, the peculiarities of the complex of marketing communications of competitors and the financial capacity of the bank. In particular, digitalization (digitization) of the bank involves the modernization of the banking structure, products and channels of interaction with its customers by applying modern technologies to increase the effectiveness of marketing communications, increase profits and its competitiveness.На сьогодні маркетингові комунікації відіграють важливу роль у діяльності банків, оскільки це один з найважливіших елементів маркетингової діяльності. Як елемент маркетингової діяльності банківської установи, їх необхідно ретельно планувати, організовувати та контролювати. Необхідність забезпечення ефективності маркетингових комунікацій у банку випливає з того, що сьогодні споживачам складно орієнтуватися на ринку банківських послуг. Наявна конкуренція за кожного споживача на ринку банківських послуг спонукає банки до інтегрування маркетингових комунікацій. Банки постійно контактують зі споживачами банківських послуг, фінансовими інститутами і центральними банками. Для будь-якого банку необхідні взаємопов’язані комунікації, які постійно удосконалюються відповідно до змін зовнішнього і внутрішнього середовища. Зокрема, в епоху розвитку цифрової економіки маркетингові комунікації є передумовою підвищення ефективності банків і прибутковості їхньої діяльності. Розглянуто і досліджено практичні аспекти забезпечення ефективності маркетингових комунікацій банку. На структуру комплексу маркетингових комунікацій банку впливають такі фактори: рівень менеджменту банку, ступінь купівельної спроможності потенційного клієнта, стратегія просування банківських послуг, особливості комплексу маркетингових комунікацій конкурентів і фінансові можливості банку. Цифровізація (діджиталізація) банку передбачає модернізацію банківської структури, продуктів і каналів взаємодії з його клієнтами шляхом застосування сучасних технологій для підвищення ефективності маркетингових комунікацій, збільшення прибутку та його конкурентоспроможності. Цифровий маркетинг у банківській діяльності постійно розвивається, з’являються нові методи взаємодії з потенційними клієнтами