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on Payment Systems and Financial Technology |
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Issue of 2024‒01‒08
27 papers chosen by |
| By: | Xihan Xiong; Zhipeng Wang; Tianxiang Cui; William Knottenbelt; Michael Huth |
| Abstract: | Technological advancement drives financial innovation, reshaping the traditional finance landscape and redefining user-market interactions. The rise of blockchain and Decentralized Finance (DeFi) underscores this intertwined evolution of technology and finance. While DeFi has introduced exciting opportunities, it has also exposed the ecosystem to new forms of market misconduct. This paper aims to bridge the academic and regulatory gaps by addressing key research questions about market misconduct in DeFi. We begin by discussing how blockchain technology can potentially enable the emergence of novel forms of market misconduct. We then offer a comprehensive definition and taxonomy for understanding DeFi market misconduct. Through comparative analysis and empirical measurements, we examine the novel forms of misconduct in DeFi, shedding light on their characteristics and social impact. Subsequently, we investigate the challenges of building a tailored regulatory framework for DeFi. We identify key areas where existing regulatory frameworks may need enhancement. Finally, we discuss potential approaches that bring DeFi into the regulatory perimeter. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.17715&r=pay |
| By: | Vincent Gurgul; Stefan Lessmann; Wolfgang Karl H\"ardle |
| Abstract: | This paper explores the application of Machine Learning (ML) and Natural Language Processing (NLP) techniques in cryptocurrency price forecasting, specifically Bitcoin (BTC) and Ethereum (ETH). Focusing on news and social media data, primarily from Twitter and Reddit, we analyse the influence of public sentiment on cryptocurrency valuations using advanced deep learning NLP methods. Alongside conventional price regression, we treat cryptocurrency price forecasting as a classification problem. This includes both the prediction of price movements (up or down) and the identification of local extrema. We compare the performance of various ML models, both with and without NLP data integration. Our findings reveal that incorporating NLP data significantly enhances the forecasting performance of our models. We discover that pre-trained models, such as Twitter-RoBERTa and BART MNLI, are highly effective in capturing market sentiment, and that fine-tuning Large Language Models (LLMs) also yields substantial forecasting improvements. Notably, the BART MNLI zero-shot classification model shows considerable proficiency in extracting bullish and bearish signals from textual data. All of our models consistently generate profit across different validation scenarios, with no observed decline in profits or reduction in the impact of NLP data over time. The study highlights the potential of text analysis in improving financial forecasts and demonstrates the effectiveness of various NLP techniques in capturing nuanced market sentiment. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.14759&r=pay |
| By: | Martin Peitz |
| Abstract: | In this chapter, we discuss how platforms manage the interaction between various users. First, we discuss and exemplify governance decisions by platforms that affect access and interactions of users regarding a platform service. Here, we investigate the choice of price structure and the choice of non-price strategies. We also address the horizontal and vertical scope of these platforms. Second, we consider platform decisions that generate spillovers to other platforms or channels, and we explore private incentives and welfare effects. Third, we discuss the role of government regulation in a broad sense, that is, the laws and regulations that constrain platforms and shape their incentives regarding their governance decisions. Emphasis is given to interventions against anti-competitive conduct and practices that may lead to consumer harm. |
| Keywords: | Platform governance, platform regulation, digital ecosystems, digital markets, competition policy, network effects |
| JEL: | L12 L13 L41 L42 D42 D47 K21 K23 M21 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2023_480&r=pay |
| By: | Raúl Bajo-Buenestado; Markus Kinateder; Raul Bajo-Buenestado |
| Abstract: | We present a general and tractable oligopoly model of multi-sided platforms with endogenous side and platform choices of heterogeneous end-users, considering any mix of single-homing and multi-homing platforms and in which participating on one side could preclude doing so on others. We show the existence of a unique equilibrium number of end-users and characterize optimal platform pricing. Using the equilibrium conditions, we formally derive (across sides and platforms) switching effects that distort optimal pricing, which can lead to markups exceeding the Lerner index and rule out the classical “cross-subsidization” result. We then provide a unifying framework to analyze multi-sided platform mergers, which rationalizes mixed results from the previous literature by providing, based on the switching effects, a set of conditions that predict the upward pricing pressure post-merger. We show that while optimal pricing is determined by the nature of end-users’ side choices, their platform choices are crucial for merger analysis. |
| Keywords: | multi-sided markets, heterogeneous end-users, endogenous side choice, mergers of platforms, digital platforms |
| JEL: | D43 G34 L11 L13 L22 L86 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_10818&r=pay |
| By: | Boris Helleu (NIMEC - Normandie Innovation Marché Entreprise Consommation - UNICAEN - Université de Caen Normandie - NU - Normandie Université - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - IRIHS - Institut de Recherche Interdisciplinaire Homme et Société - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université); Yann Abdourazakou; Quentin Dezitter |
| Abstract: | As unique digital identifiers based on blockchain technology, NFTs help record ownership of sports memorabilia in a virtual space. Until now, consumers could only own non-digital items, such as trading cards, branded clothing and various types of print content (Wilson et al., 2021). Blockchain technology applied to non-fungible tokens (NFTs), is revolutionizing the way content is created, exchanged, stored and authenticated for content creators and their fans (Malhotra et al., 2021). Sport offers exceptional ground from the point of view of supply and demand from collectors and brands. We interviewed five major players in the French NFT market in 2023. As a new marketing tool, they offer an additional avenue to explore to boost the relationship with consumers while promoting different innovative sports experiences based on a deeper digital engagement with fans. Each community being different, the challenge remains to articulate an NFT strategy with the marketing approach of the brand. |
| Abstract: | Les NFT, identifiants numériques uniques basés sur la technologie blockchain, permettent d'enregistrer la propriété des souvenirs sportifs dans un espace virtuel. Jusqu'ici, les consommateurs ne pouvaient posséder que des articles non numériques, tels que les cartes à collectionner, vêtements de marque et divers types de contenus imprimés (Wilson et al., 2021). La technologie blockchain appliquée aux jetons non fongibles (NFT), révolutionne la façon dont le contenu est créé, échangé, stocké et authentifié pour les créateurs de contenu et leurs fans (Malhotra et al., 2021). Le sport offre un terrain singulier du point de vue de l'offre et de la demande des collectionneurs. Nous avons interrogé cinq acteurs majeurs du marché français des NFT en 2023. En tant que nouvel outil marketing, les NFT constituent une option supplémentaire pour dynamiser la relation avec les consommateurs. Ils valorisent aussi différentes expériences sportives innovantes basées sur un engagement numérique plus poussé avec les fans. Chaque communauté étant différente, l'enjeu reste d'articuler une stratégie NFT avec l'approche marketing de la marque. |
| Keywords: | NFT, brands, sport marketing, fan experience, marques, sport, marketing sportif |
| Date: | 2023–11–16 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04293196&r=pay |
| By: | Izumi, Atsuko (UTEcon); Sawada , Yasuyuki (University of Tokyo); Watanabe, Yasutora (UTEcon); Elhan-Kayalar, Yesim (Asian Development Bank) |
| Abstract: | In this paper, we review the overall micro, small, and medium-sized enterprise landscape in Asia, including the challenges and constraints faced by enterprises in physical (offline) and online markets. We then explore the unique circumstances and externalities that arise due to the special characteristics of platforms and how they impact merchants and other platform users. Our findings suggest that the unique features of platforms, and the two-sided market structure they foster, require a bespoke policy approach from competition authorities and policymakers. |
| Keywords: | competition policy; two-sided market; platforms; MSMEs |
| JEL: | K21 L41 L44 |
| Date: | 2023–11–28 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbewp:0704&r=pay |
| By: | Joël Cariolle (FERDI - Fondation pour les Etudes et Recherches sur le Développement International); Yasmine Elkhateeb (Cairo University, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique); Mathilde Maurel (FERDI - Fondation pour les Etudes et Recherches sur le Développement International, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | The Internet has significantly expanded worldwide, changing our relationship with the world, and the way we communicate, educate, and inform ourselves. Africa, despite having a very low number of fixed-broadband subscriptions for 100 inhabitants, has not escaped the Internet phenomenon, as the number of individuals with Internet access has risen from 2 in 2002 to 39.7 (per 100 inhabitants) in 2022. Similarly, the number of individuals with mobilecellular telephone subscriptions has jumped from 12.4 in 2002 to 86.3 (per 100 inhabitants) in 2022 (ITU, 2022). |
| Keywords: | Internet, Africa, Digital technologies, Digital development |
| Date: | 2023–11–16 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04289888&r=pay |
| By: | Yunpeng Xiao; Bufan Deng; Siqi Chen; Kyrie Zhixuan Zhou; Ray LC; Luyao Zhang; Xin Tong |
| Abstract: | Non-fungible tokens (NFTs) are decentralized digital tokens to represent the unique ownership of items. Recently, NFTs have been gaining popularity and at the same time bringing up issues, such as scams, racism, and sexism. Decentralization, a key attribute of NFT, contributes to some of the issues that are easier to regulate under centralized schemes, which are intentionally left out of the NFT marketplace. In this work, we delved into this centralization-decentralization dilemma in the NFT space through mixed quantitative and qualitative methods. Centralization-decentralization dilemma is the dilemma caused by the conflict between the slogan of decentralization and the interests of stakeholders. We first analyzed over 30, 000 NFT-related tweets to obtain a high-level understanding of stakeholders' concerns in the NFT space. We then interviewed 15 NFT stakeholders (both creators and collectors) to obtain their in-depth insights into these concerns and potential solutions. Our findings identify concerning issues among users: financial scams, counterfeit NFTs, hacking, and unethical NFTs. We further reflected on the centralization-decentralization dilemma drawing upon the perspectives of the stakeholders in the interviews. Finally, we gave some inferences to solve the centralization-decentralization dilemma in the NFT market and thought about the future of NFT and decentralization. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.10990&r=pay |
| By: | Ariane Tichit (CERDI - Centre d'Études et de Recherches sur le Développement International - IRD - Institut de Recherche pour le Développement - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne); Corentin Elissée (CERDI - Centre d'Études et de Recherches sur le Développement International - IRD - Institut de Recherche pour le Développement - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne); Frédéric Hayek (LIMOS - Laboratoire d'Informatique, de Modélisation et d'Optimisation des Systèmes - ENSM ST-ETIENNE - Ecole Nationale Supérieure des Mines de St Etienne - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne - INP Clermont Auvergne - Institut national polytechnique Clermont Auvergne - UCA - Université Clermont Auvergne); Pascal Lafourcade (LIMOS - Laboratoire d'Informatique, de Modélisation et d'Optimisation des Systèmes - ENSM ST-ETIENNE - Ecole Nationale Supérieure des Mines de St Etienne - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne - INP Clermont Auvergne - Institut national polytechnique Clermont Auvergne - UCA - Université Clermont Auvergne) |
| Abstract: | The process of dematerialization of local currencies and the rapid diffusion of the blockchain have generated a question: its application to local currencies. This article contributes to this reflexion. After having clarified what a blockchain really is, the advantages of its use and the illustration from concrete examples of its implementation, this research concludes that the adoption of such a technology would allow local currencies to gain security, confidence and options for the evolution of the project, even if its concrete implementation poses technical challenges. |
| Abstract: | Le processus de dématérialisation des monnaies locales et la diffusion rapide de la blockchain ont généré une question : celle de son application aux monnaies locales. C'est à cette réflexion que cet article contribue. Après avoir clarifié ce qu'est réellement une blockchain, les avantages de son utilisation et l'illustration à partir d'exemples concrets de son implémentation, cette recherche conclut que l'adoption d'une telle technologie permettrait aux monnaies locales de gagner au niveau de la sécurité, de la confiance et des options que cela ouvre en termes d'évolution du projet, même si sa mise en œuvre concrète pose des défis techniques. |
| Keywords: | Blockchain, Crypto-currencies, Local currency, Convergence |
| Date: | 2022–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cdiwps:hal-03659241&r=pay |
| By: | Sanroman Graciela; Quagliotti Romina; Olivieri Cecilia |
| Abstract: | This paper examines the impact of measures implemented in Uruguay to promote financial inclusion. We analyse the changes in terms of access to debit and credit cards and their determinants. We also employ Diff in Diff strategies to assess the effect of a particular measure: the mandatory payment of salaries through bank accounts. We find evidence that financial inclusion has improved during the period analysed, through the expansion of debit cards. We document that the impact was strongest among low-income households and those headed by women or Afro-descendants. We also show that the expansion was greater than that observed in other similar countries. However, we find almost no change in access to credit cards. |
| JEL: | G21 G50 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:aep:anales:4690&r=pay |
| By: | Chemaya, Nir; Cong, Lin William; Joergensen, Emma; Liu, Dingyue; Zhang, Luyao |
| Abstract: | Decentralized Finance (DeFi) is revolutionizing traditional financial services by enabling direct, intermediary-free transactions, thereby generating a substantial volume of open-source transaction data. This evolving DeFi landscape is particularly influenced by the emergence of Layer 2 (L2) solutions, which are poised to enhance network efficiency and scalability significantly, surpassing the existing capabilities of Layer 1 (L1) infrastructures. However, the detailed impact of these L2 solutions has been somewhat obscured due to a dearth of transaction data indices that can provide in-depth economic insights for empirical research. This study seeks to address this critical gap by conducting a comprehensive analysis of raw transactions sourced from Uniswap, a central decentralized exchange (DEX) within the DeFi ecosystem. The dataset encompasses an extensive collection of over 50 million transactions from both L1 and L2 networks. Additionally, we have curated a wide-ranging repository of daily indices derived from transaction trading data across prominent blockchain networks, including Ethereum, Optimism, Arbitrum, and Polygon. These indices shed light on crucial network dynamics, such as adoption trends, evaluations of scalability, decentralization metrics, wealth distribution patterns, and other key aspects of the DeFi landscape. This rich dataset serves as an invaluable tool, enabling researchers to dissect the complex interplay between DeFi and Layer 2 solutions, thus enhancing our collective understanding of this rapidly evolving ecosystem. Its notable contribution to the data science pipeline includes the implementation of a flexible, open-source Python framework, enabling the dynamic calculation of decentralization indices, customizable to specific research requirements. This adaptability makes the dataset particularly suitable for advanced machine learning applications, including deep learning, thereby solidifying its role as a critical asset in shaping Blockchain as the foundational infrastructure for the intelligent Web3 ecosystem. |
| Date: | 2023–12–05 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:ube2z&r=pay |
| By: | Tymoteusz Doligalski |
| Abstract: | This paper presents a common typology of virtual communities and multi-sided platforms. The analyzed entities comprise 69 of Poland's most prominent websites, representing one of two business models. Based on three dimensions: collaboration among users, reputation-based user competition, and user multi-sidedness, we identified four business models. These are problem community, object community, object market, and reputation market. They were depicted in qualitative system dynamics diagrams. The typology was verified using the statistical clustering technique, which yielded corresponding results. This paper helps comprehend the diversity of value creation logic in virtual communities and multi-sided platforms. |
| Keywords: | platforms, communities, business models, typology |
| JEL: | M10 |
| Date: | 2022–07 |
| URL: | http://d.repec.org/n?u=RePEc:sgh:kaewps:2022079&r=pay |
| By: | Benedict Guttman-Kenney; Paul D. Adams; Stefan Hunt; David Laibson; Neil Stewart; Jesse Leary |
| Abstract: | We run a field experiment and a survey experiment to study an active choice nudge. Our nudge is designed to reduce the anchoring of credit card payments to the minimum payment. In our field experiment, the nudge reduces enrollment in Autopaying the minimum from 36.9% to 9.6%. However, the nudge does not reduce credit card debt after seven payment cycles. Nudged cardholders tend to choose Autopay amounts that are only slightly higher than the minimum payment. The nudge lowers Autopay enrollment resulting in increasing missed payments. Finally, the nudge reduces manual payments by cardholders enrolled in Autopay. |
| JEL: | G5 H0 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31926&r=pay |
| By: | Bellucci, Chiara; Rubínová, Stela; Piermartini, Roberta |
| Abstract: | In this paper we study the impact of digitalization on trade costs in 58 economies over the period 2014 - 2018. Improvements in digital connectivity can reduce trade costs through multiple channels, including better access to information, lower transaction costs, the reduced need for business travel, more efficient customs and logistics, and easier communication. However, these positive effects depend on effective regulation that ensures trust in digital markets and open access to digital infrastructure, services and data. We assess the impact of digital connectivity, proxied by the number of active mobile broadband subscriptions per capita, on a broad measure of trade costs that captures all impediments that make international trade more difficult or costly than domestic trade. We estimate that a 10 percentage point higher digital connectivity is associated with around 2 per cent lower trade costs both in goods and services. Digital trade regulation that ensures cross-border connectivity and information flows amplifies the trade-cost-reducing effect of improved digital connectivity. This result is particularly strong in digitally deliverable services where the marginal effect of connectivity at the best regulation is 80 per cent larger than at the median regulation. |
| Keywords: | digital trade, trade costs, gravity model, digital regulation |
| JEL: | F10 F14 F15 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:wtowps:280397&r=pay |
| By: | Toyo A. M. Dossou (Gbégamey-Cotonou, Benin); Kihumuro Jotham (Beijing Normal University, China); Kouessi P. Dossou (Gbégamey-Cotonou, Benin); Emmanuelle N. Kambaye (Chengdu, China); Simplice A. Asongu (Johannesburg, South Africa); Alastaire S. Alinsato (Gbégamey-Cotonou, Benin) |
| Abstract: | Recently, many studies have examined the ICT-economic growth relationship and the democracy-economic growth linkage with conflicting results. However, the study on the moderating effect of internet and mobile usage on the democracy-economic growth relationship is very scanty. This study, therefore, contributes to the economic development literature by examining the impact of internet and mobile usage on the democracy-economic growth relationship in 26African economies over the period 2000-2020. The panel corrected standard errors (PCSE) estimation technique has been applied. The results show that improving democratic system in Africa can foster economic growth. Moreover, the result reveals that increasing internet and mobile usage can boom economic growth in Africa. Furthermore, the results reveal that the interaction between internet and mobile usage and democracy can boost economic growth in Africa. Policy implications regarding the moderating effect of internet and mobile usage on the democracy-economic growth nexus are discussed. |
| Keywords: | Democracy, internet and mobile usage, Economic growth, Africa |
| Date: | 2023–01 |
| URL: | http://d.repec.org/n?u=RePEc:exs:wpaper:23/074&r=pay |
| By: | Ugwuanyi, Chidera; Oraedu, Chukwunonso; Ifediora, Chuka; Izogo, Ernest; Asongu, Simplice A; Attamah, Ikechukwu |
| Abstract: | Whilst self-service technologies (SSTs) are novel and evolving, they have rapidly grown popular across various retail service settings. Having been introduced into the Nigerian banking space, the level of customers’ satisfaction from the system is still unknown given that it has disrupted the initial service setup customers were used to. Utilising two theoretical perspectives, this study examined what drives customers’ satisfaction with banks’ SST and further assesses their influence on different marketing bottom lines. The study employed a quantitative approach to sampling 310 banks’ SST users within a popular university in Eastern Nigeria. Using the PLS-SEM technique, the study found that the perceived ease of use and perceived control are strong drivers of SST satisfaction and other marketing bottom lines. Surprisingly, perceived usefulness was found not to influence SST satisfaction, and therefore present a unique result in this context. Based on the foregoing, theoretical and managerial implications were provided. |
| Keywords: | Customer behaviour, Customer satisfaction, Technology Acceptance Model, Self-service technologies (SSTs), Stimulus-Response-Organism (S-O-R) Theory, Nigeria. |
| JEL: | E1 O1 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:119328&r=pay |
| By: | Gerth, Florian |
| Abstract: | This paper empirically analyzes the link between financial inclusion (SDG 8.10) and economic activity. Instead of following the past literature and approximating financial inclusion by variables only capturing traditional financial services, it takes into account non-traditional financial services including mobile money and non-branch retail agent outlets. With the help of the Normalized Inverse of the Euclidian Distance and a one-way fixed effects panel model, this pa-per documents empirically robust results about the positive link between financial inclusion and the level economic activity. In addition, a break between poverty and financial inclusion is established by regressing the calculated index of financial inclusion on demographic, socio-economic and variables concerning the health and depth of the financial sector. The implications of this finding are two folds. First, it highlights the improvements of low, lower-middle and upper-middle income countries in terms of outreach to financial services in the last decade. Second, it shows that the level of education and the soundness and depth of the local financial sector are important in reaching higher levels of financial inclusion. Overall, our results emphasize the importance of targeted policies to increase the accessibility, availability and usage of the financial sector in attaining sustainable and long-lasting economic prosperity. |
| Keywords: | financial inclusion; non-traditional financial services; economic development; Financial Access Survey (FAS) |
| JEL: | C23 E13 E44 G20 O16 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:119265&r=pay |
| By: | Boniface Ngah EPO (University of Yaoundé II, Cameroon); Jules Médard NANA DJOMO (University of Yaoundé II, Cameroon); Mark Wiykiynyuy TANGWA (University of Yaoundé II, Cameroon); Éric Dieudonné OBAMA OBAMA (University of Yaoundé II, Cameroon) |
| Abstract: | This study investigates the role that of mobile money on the effect of banking on income inequalities on a panel of 105 developing countries over a period from 1990-2019. We use the system GMMs estimator to examine this relationship for income inequality before as well as after taxes and transfers. Results show that increased in banking contributes to the upsurge in income inequalities in developing countries. Likewise, an increase in bank borrowing also contributes to an increase in income inequality in developing countries. These results were robust to spatial analysis for Sub-Saharan Africa and Latin America and the Caribbean. Policy enactment wise, developing countries should ameliorate mobile money services and access points to significantly reduce inequality. |
| Keywords: | Mobile banking; developing countries; poverty; inequality |
| JEL: | G20 O40 I10 I20 I32 |
| Date: | 2023–01 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:23/073&r=pay |
| By: | Ummara Mumtaz; Summaya Mumtaz |
| Abstract: | The rise of ChatGPT has brought a notable shift to the AI sector, with its exceptional conversational skills and deep grasp of language. Recognizing its value across different areas, our study investigates ChatGPT's capacity to predict stock market movements using only social media tweets and sentiment analysis. We aim to see if ChatGPT can tap into the vast sentiment data on platforms like Twitter to offer insightful predictions about stock trends. We focus on determining if a tweet has a positive, negative, or neutral effect on two big tech giants Microsoft and Google's stock value. Our findings highlight a positive link between ChatGPT's evaluations and the following days stock results for both tech companies. This research enriches our view on ChatGPT's adaptability and emphasizes the growing importance of AI in shaping financial market forecasts. |
| Date: | 2023–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.06273&r=pay |
| By: | Jen-Yin Yeh; Hsin-Yu Chiu; Jhih-Huei Huang |
| Abstract: | This study employs machine learning models to predict the failure of Peer-to-Peer (P2P) lending platforms, specifically in China. By employing the filter method and wrapper method with forward selection and backward elimination, we establish a rigorous and practical procedure that ensures the robustness and importance of variables in predicting platform failures. The research identifies a set of robust variables that consistently appear in the feature subsets across different selection methods and models, suggesting their reliability and relevance in predicting platform failures. The study highlights that reducing the number of variables in the feature subset leads to an increase in the false acceptance rate while the performance metrics remain stable, with an AUC value of approximately 0.96 and an F1 score of around 0.88. The findings of this research provide significant practical implications for regulatory authorities and investors operating in the Chinese P2P lending industry. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.14577&r=pay |
| By: | Nosthoff, Anna-Verena; Maschewski, Felix; Couldry, Nick |
| Abstract: | Tech giants like Apple, Google, and Amazon are increasingly developing apps and services offering mental health treatment. The value of these products for users is dubious — but they do promise the companies lucrative new sources of highly personal data. |
| JEL: | R14 J01 N0 |
| Date: | 2023–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:120934&r=pay |
| By: | Boris Collet (USMB [Université de Savoie] [Université de Chambéry] - Université Savoie Mont Blanc, IREGE - Institut de Recherche en Gestion et en Economie - USMB [Université de Savoie] [Université de Chambéry] - Université Savoie Mont Blanc); Renaud Garcia-Bardidia (UB - Université de Bourgogne, CREGO - Centre de Recherche en Gestion des Organisations - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - UB - Université de Bourgogne - UBFC - Université Bourgogne Franche-Comté [COMUE] - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE]) |
| Abstract: | Two decades after their emergence, the music industry is now dominated by streaming platforms. However, other streaming and listening practices or devices exist on the fringes of this dominant ecosystem. Among them, alternative platforms such as Bandcamp or Soundcloud offer other streaming and business models in line with the values of independent music scenes. These models are based on specific online strategies, but also on dynamics around physical formats. These configurations between music platforms and physical formats and the way they contribute to alternative forms of marketization are the object of this research. Based on an ethnographic study of independent music and its devices, this article questions the plurality of forms of music valuation in the era of streaming platforms. |
| Abstract: | Deux décennies après l'apparition des premières plateformes de streaming, le secteur musical est aujourd'hui dominé par cette forme de distribution. Pourtant, d'autres pratiques et dispositifs de diffusion et d'écoute existent en marge de cet écosystème dominant. Parmi eux, des plateformes alternatives telles que Bandcamp ou Soundcloud proposent d'autres modèles de distribution et de vente en accord avec les mondes de l'indépendance. Ces modèles s'appuient autant sur un positionnement spécifique que sur des dynamiques autour des supports physiques. Ce sont ces configurations entre plateformes et supports musicaux et la manière dont elles participent à des formes de mise en marché alternatives qui font l'objet de cette recherche. À partir d'une étude ethnographique des musiques indépendantes et de leurs dispositifs, cet article questionne la pluralité des formes de mise en valeur de la musique à l'ère des plateformes de streaming |
| Keywords: | alternative platforms, independent music, marketization, music formats, alternative-mainstream |
| Date: | 2023–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04297842&r=pay |
| By: | Brett Hemenway Falk; Gerry Tsoukalas; Niuniu Zhang |
| Abstract: | Recent studies using indirect statistical methods estimate that around 70% of traded value on centralized crypto exchanges like Binance, can be characterized as wash trading. This paper turns to NFT markets, where transaction transparency, including analysis of roundtrip trades and common wallet activities, allows for more accurate direct estimation methods to be applied. We find roughly 30% of NFT volume and between 45-95% of traded value, involve wash trading. More importantly, our approach enables a critical evaluation of common indirect estimation methods used in the literature. We find major differences in their effectiveness; some failing entirely. Roundedness filters, like those used in Cong et al. (2023), emerge as the most accurate. In fact, the two approaches can be closely aligned via hyper-parameter optimization if direct data is available. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.18717&r=pay |
| By: | Andrea Teruzzi |
| Abstract: | The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent data. This research proposes an expectile-based approach for assessing the tail risk of dependent data. Expectile is a summary statistic that generalizes the concept of mean, as the quantile generalizes the concept of the median. We present the empirical findings for a dataset of cryptocurrencies. We propose a method for dynamically evaluating the level of the expectiles by estimating the level of the expectiles of the residuals of a heteroscedastic regression, such as a GARCH model. Finally, we introduce the Marginal Expected Shortfall (MES) as a tool for measuring the marginal impact of single assets on systemic shortfalls. In our case of interest, we are focused on the impact of a single cryptocurrency on the systemic risk of the whole cryptocurrency market. In particular, we present an expectile-based MES for dependent data. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.17239&r=pay |
| By: | Shalini Sharma; Angshul Majumdar; Emilie Chouzenoux; Victor Elvira |
| Abstract: | Our work presents two fundamental contributions. On the application side, we tackle the challenging problem of predicting day-ahead crypto-currency prices. On the methodological side, a new dynamical modeling approach is proposed. Our approach keeps the probabilistic formulation of the state-space model, which provides uncertainty quantification on the estimates, and the function approximation ability of deep neural networks. We call the proposed approach the deep state-space model. The experiments are carried out on established cryptocurrencies (obtained from Yahoo Finance). The goal of the work has been to predict the price for the next day. Benchmarking has been done with both state-of-the-art and classical dynamical modeling techniques. Results show that the proposed approach yields the best overall results in terms of accuracy. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.14731&r=pay |
| By: | Agostino Capponi; Ruizhe Jia; Brian Zhu |
| Abstract: | We study just-in-time (JIT) liquidity provision within blockchain-based decentralized exchanges (DEXs). In contrast to passive liquidity providers (LPs) who deposit assets into liquidity pools before observing order flows, JIT LPs take a more active approach. They monitor pending orders from public blockchain mempools and swiftly supply liquidity, only to withdraw it in the same block. Our game-theoretical analysis uncovers a paradoxical scenario: the presence of a JIT LP, rather than enhancing liquidity as expected, can inadvertently reduce it. A central reason behind the paradox is the adverse selection problem encountered by passive LPs, stemming from the presence of informed arbitrageurs. Unlike passive LPs, JIT LPs have the advantage of analyzing the order flow prior to providing liquidity and block confirmation. We show that this second-mover advantage mitigates their adverse selection costs and potentially crowds out passive LPs, particularly when order flows are not highly elastic to changes in pool liquidity. These equilibrium effects may lead to an overall reduction of pool liquidity and to an increased execution risk for liquidity demanders. To alleviate the detrimental effects of JIT liquidity, we propose a two-tiered fee structure for passive and JIT LPs. We show that this structure may prevent crowding out and improve welfare. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.18164&r=pay |
| By: | Natvik, Gisle J. (Department of Economics); Tangerås, Thomas (Research Institute of Industrial Economics (IFN)) |
| Abstract: | We study commercialization of personal data through personalized advertising by a content platform. Content consumption generates productive data about consumer preferences. The firm invests in artificial intelligence (AI) to improve analytical power and in quality to stimulate content consumption. The profit-maximizing tariff is zero if productive data are highly valuable. Subsidization of usage would generate nonproductive data and be unprofitable. Data provision is efficient when users pay entirely with personal data because then content consumption optimally trades off improvements in user experience against losses in privacy rent. Still, privacy protection is inefficient because of distorted incentives to invest in AI. |
| Keywords: | Artificial intelligence; Content platform; Personalized advertising; Privacy; Quality |
| JEL: | D82 L12 L15 L81 M37 |
| Date: | 2023–12–07 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:iuiwop:1481&r=pay |