Actual Transactions Research Articles

A Margin Design Method Based on the SPAN in Electricity Futures Market Considering the Risk of Power Factor

On-grid integration of renewable energy, also called “green power”, is attracting more and more attention nowadays. Green power futures can be effective in increasing returns to suppliers and increasing market liquidity. However, compared to traditional futures, green power feed-in tariffs may be subject to integrity problems due to lower power factors; therefore, existing margin calculation methods for the futures market are no longer applicable. A SPAN-based margin calculation method that considers the power factor risk is proposed in this paper. The method provides the classification policies of the green power futures, based on the historical power factors of green power suppliers, and allows the margin amount to be adjusted as per the classification. To verify the effectiveness of the proposed method, empirical validation is presented by applying actual transaction data. Results prove that the proposed method can reduce the margin amount while covering the risk effectively.

On-chain analysis-based detection of abnormal transaction amount on cryptocurrency exchanges

Cryptocurrency exchanges play an indispensable role in the cryptocurrency market. However, some exchanges are suspected to be involved in various abnormal or malicious behaviors while providing services to users, such as money laundering, wash trading and even running away. Besides, these behaviors are reported to be often accompanied by an anomalous increase in the transaction amount. Therefore, it is a topic worthy of study to detect whether the abnormal transaction amount occurs in the exchange and when it occurs. This paper uses web crawler tools to collect a relatively complete dataset of exchanges and then conducts a correlation analysis to obtain the most important factors that influence the transaction amount of different exchanges. Then, the prediction model of the influence of various factors on the transaction amount is obtained based on deep learning. The deviation between the predicting transaction amount and the actual transaction amount is calculated to provide a basis for abnormal transaction amount detection. Finally, through a case study on the detection results, some abnormal transaction amounts are related to policy changes and industry events, while the others are suspected to be related to illegal behaviors.

The Effects of Price Dispersion on Sales in the Automobile Industry: A Dynamic Panel Analysis

Price dispersion is an important indicator of pricing strategy and market efficiency. However, the relationship between price dispersion and sales has not been explored, especially for durable goods such as automobiles. In this study, we use a unique data set from Autohome comprising the actual transaction prices of buyers to assess the extent of price dispersion in the new automobile market. Based on an empirical analysis of over 222,592 price observations for 59 vehicle models collected over a period of 48 months, we find that the percentage difference ( PD) and coefficient of variation ( CV) of new automobile transaction prices are 43.4% and 9.9%, respectively. In addition, the empirical results show that the price dispersions lower for non-sedan type, Chinese car brands, and produced by state-owned companies. We further investigate whether the increase in the price dispersion of a new automobile has a positive impact on automobile sales using a multiple quadratic regression model. The findings show that price dispersion has positively impact of sales. More interestingly, negative quadratic effects are observed, indicating a concave-down-increasing relationship between price dispersion and sales. This implies that an extreme price dispersion is less helpful than a moderate price dispersion. These findings advance knowledge of consumer buying behavior and seller pricing strategies, with important theoretical contributions and practical implications for automobile companies.

조선후기 국용 목재 유통업자들의 관계망

In order to truly understand the Joseon society’s commerce in its latter half period, we should examine the relationships that existed between individual merchants and manifested themselves in the merchants’ actual transactions, instead of just discussing the merchants’ activities as a group, or certain institutional regulations that would have dictated their actions. In this article, the timber business is chosen for examination, as it seems like a good place where we could start trying to reconstruct the network which would have formed amongst commercial distributors.<BR> Previous studies concentrated on examining specific groups of merchants or distributors like Shijeon(市廛, licensed central marketplace) merchants or Gong’in(貢人, government tribute agents) groups. But they never sufficiently identified the individual merchants’ or distributors’ relationship itself, which would have gone beyond obvious borders between them and developed a vast and intricate network. Examined in this article, are all the disputes that arose between merchants or distributors over issues involving timber, either used for construction, ship building, funerals or fuels. At the time there were over 18 organizations which were tasked of delivering timber for dynastic usage, and we can find certain distinct characteristics from their operations, in terms of their relationship with the government, their relationship with each other, and their relationship with other local merchants.<BR> First, the amount of timber the government required was massive, so enlisting as a governmental purveyor was not really an attractive task to begin with. Liquidation of purveyor groups was also frequent. But the projected profit was also big, so volunteers kept turning up nonetheless. Second, all the conflicts’ nature were never simple but rather complicated, with interests overlapping. In case of large-scale timber businesses, there were less conflicts amongst merchants and more appeals made to (or frustrations toward) the government. Third, gaining licenses from the government was necessarily demanded to deal in timber, so the private transactions for private needs used to be interposed in the process of procuring timber for governmental usage. All these characteristics were very much due to the special nature of timber-related products. With this study, which tries to go beyond an institutional approach, hopefully the reality of Joseon commerce and the intricate nature of relationships amongst individuals involved in the business would be better understood.

부동산 공시가격의 수평ㆍ수직적 형평성 변화 연구

In this study, it was checked whether the government's public real estate price realization policy was implemented as announced. In addition, we analyzed how much the tax equity (horizontal and vertical) of the announced real estate price has improved due to the realization. And it was carried out to suggest a direction for desirable policy implementation. For this purpose, data on publicly announced prices and actual transaction prices of apartment houses, detached houses, and land across the country for the past five years were collected. Then, by examining previous studies, the optimal methodology for tax equity analysis was selected and three hypotheses were established. In order to prove the hypothesis, the actual transaction price reflection ratio of the official real estate prices collected was calculated. And outliers were removed according to the modified interquartile range method. And horizontal equity was analyzed through the coefficient of quantile (COD). And vertical equity was analyzed by applying the Clapp model. In the process of vertical equity analysis, quantile regression analysis was performed. Test the hypothesis according to the analysis result. In addition, in consideration of the results analyzed during the verification process, a plan for improving the realization of the announced real estate price policy was suggested. The verification result is as follows. Hypothesis 1 (the rate of reflection of real transaction prices in real estate prices for the past 3 years has risen every year) was partially adopted. Hypothesis 2 (horizontal equity of public real estate prices improved every year due to an increase in the reflection rate of actual transaction prices) was also partially adopted. In addition, the third hypothesis (the vertical equity of the announced real estate price would have improved every year due to the increase in the reflection rate of the actual transaction price) was also partially adopted. Using the results of other studies, various measures to improve the realization of published real estate prices are suggested as follows. The first is that it is desirable to calculate the realization rate for detached houses based on the individual house price and the realization rate for land based on the official individual land price. Second, since the difference between the announced balance index (COD) and the calculated COD is large, the calculation criteria should be reexamined. Third, a re-examination is necessary because the realization rate of the townhouse villa and the official land price is decreasing. Fourth, since there is a problem in the realization rate or horizontal equity of detached houses and land, the government should intervene more actively in the calculation of the published price of Si/Gun/Gu. In addition, it is necessary to disclose the actual transaction price data including the published price.

상권 입지요인이 수익형 부동산가격에 미치는 영향

This study examined the factors of COVID-19 pandemic on the actual transaction price of profitable real estate in Gangnam Station, and an empirical analysis was conducted to analyze the impact of COVID-19 pandemic. For the empirical analysis, an analysis of the Hedonic regression model and a difference in differences analysis of the distance section were conducted. As a result of the analysis, it was found that in the model for the entire period, the building coverage rate and the number of elapsed years had a negative effect on the actual transaction price. In the pre COVID-19 model, building coverage rate, the elapsed years and walking distance at Samsung office building were found to have a negative effect. In the post COVID-19 period model, it was found that only the number of floors had a negative effect on the actual transaction price. As a result of the difference in differences analysis on the distance of the station and Samsung office, it was found that walking distance at Samsung office had a negative effect on actual transaction prices for the entire period. And in the pre COVID-19 period, it was found that only in the section of walking distance less than 400 meters, it had a positive effect on the actual transaction price. The results of these studies may provide implications for investment strategies according to changes in the price factors of profitable real estate for major Trade Area in the city after the COVID-19 pandemic.

Cost of trading factor strategies

Recent academic literature claims that style premia are not robust to trading costs. Several papers written by practitioners counter that the assumptions made by academics on how style portfolios rebalance are too conservative. In this paper we analyse the cost of trading factor strategies using a market impact model estimated from actual transactions data, realistic and multiple portfolio construction techniques and up-to-date data. Our results suggest that, for realistic portfolio sizes, the typical costs of rebalancing a single-factor strategy are unlikely to erode the factor premium.&#x0D; In addition, by building portfolios across different factors and with alternative portfolio construction techniques, we are able to assess the degree of similarity amongst strategies over time, which can be viewed as a measure of crowding. The properties of our new crowding indicator are illustrated through an extensive empirical investigation. We then assess its relation to volatility, liquidity and market impact and find that increases in our crowding measure tend to be followed by increases in the volatility of a strategy’s returns.

Are football clubs as pieces of art or as regular corporations? An empirical evidence of market valuation of football clubs in the big 5 leagues

ABSTRACT Purpose: The aim of this paper is to determine whether football clubs are valued according to financial parameters, as in other profit-seeking investments, or depending on the subjective preference of the buyers, in situations where buyers seek emotional rewards or a status symbol. Design: This work analyses a unique data set of the prices of actual transactions of shares from clubs in the big European leagues from 2001 until 2019. A theoretical model is presented introducing financial, sporting, and localisation variables to study their influence in market value. Findings: We have found that the valuation of football clubs in acquisitions is influenced by financial parameters, as in other profit-seeking investments, and does not depend on the subjective preference of the buyers. Practical implications: Our findings show the end of the alignment of interests between new football owners and fans or current organisers of competitions, due to the preferences of the new investor profit-seekers of an American model of sport. Research contributions: The ownership of football clubs in the big leagues has changed dramatically in the last years. For the first time, to the best of our knowledge, the present paper demonstrates the opportunity of analysing the valuations of the football industry with actual data from the transactions.

Could Transaction-Based Financial Benchmarks be Susceptible to Collusive Behavior?

Prior to the series of manipulation scandals, financial benchmarks were perceived as a competitive and objective reflection of underlying money markets. For example, the manipulation of the London Interbank Offered Rate (LIBOR), underpinning financial contracts worth trillions of dollars was unthinkable. To prevent manipulation, financial market regulators around the world have recommended a paradigm shift from estimation-based to transaction-based financial benchmarks. This shift is based on the mainstream economic view that financial benchmarks anchored on actual transactions are not susceptible to anticompetitive behavior. However, unlike auction markets, underlying interbank money markets have unique features. As most activity takes place over the counter, they are opaque and are governed by conventions, trust, and reciprocity. This complicates the achievement of competitive pricing. Using a novel dataset from Bank of Zambia, this article makes an empirical investigation into transaction-based benchmarks’ susceptibility to anticompetitive behavior. Additionally, it contributes to the theoretical understanding of transaction-based financial market benchmarks. The study reflects on financial market regulators’ recommendation to transit from estimation-based to transaction-based financial market benchmarks. Further, the study is of interest to central bankers, as short-term interbank rates are the first stage of the monetary transmission mechanism.

The effect of cashless payments on the internet and mobile banking

Some of the problems of cash transactions were the inconvenience of handling cash and the limited availability of banking services to facilitate cash withdrawals. The purpose of this paper is to examine the impact of cashless payments on the usage of the internet and mobile banking services in twofolds. First, the Wald test was applied to determine the short-run causal effect of the diffusion from cash to cashless payment on the internet and mobile banking. Second, the autoregressive distributed lag (ARDL) bounds test was employed to determine the long-run effect of cashless payments on the internet and mobile banking. The novelty of this study is threefold. First, this study employed the total value of cashless payments transacted per month data that were previously unavailable for time series analysis. Second, unlike studies on the intention to adopt cashless payments, internet and mobile banking, this study used data of actual transactions paid by a consumer. Third, this study established that the internet and mobile banking were delivery channels for cashless payments.

Predicting the Apartment Transaction Price by Using Machine Learning Methods and the Fixed Effects Model

Predicting the prices of housing is a critical issue for all real estate market participants, including financial institutions and governments, as well as homeowners and potential buyers. To evaluate the performance of a housing price prediction analysis model, this study compares machine learning methods and the fixed effects model based on the panel data of actual transactions between January 2006 and July 2020 in Seoul. For this purpose, we are also considering the characteristics of the apartment complex, based on the hedonic pricing approach, as well as macroeconomic variables and policy variables. We find that the Random Forest (RF) model shows higher predictive accuracy than the Multivariate Adaptive Regression Splines (MARS) model in machine learning. Our study shows the potential of the wide use of the machine learning method by utilizing micro-data in predicting and forecasting housing prices more accurately.

Cuproof: Range Proof with Constant Size.

Zero-Knowledge Proof is widely used in blockchains. For example, zk-SNARK is used in Zcash as its core technology to identifying transactions without the exposure of the actual transaction values. Up to now, various range proofs have been proposed, and their efficiency and range-flexibility have also been improved. Bootle et al. used the inner product method and recursion to construct an efficient Zero-Knowledge Proof in 2016. Later, Benediky Bünz et al. proposed an efficient range proof scheme called Bulletproofs, which can convince the verifier that a secret number lies in with being a positive integer. By combining the inner-product and Lagrange’s four-square theorem, we propose a range proof scheme called Cuproof. Our Cuproof can make a range proof to show that a secret number v lies in an interval with no exposure of the real value v or other extra information leakage about v. It is a good and practical method to protect privacy and information security. In Bulletproofs, the communication cost is , while in our Cuproof, all the communication cost, the proving time and the verification time are of constant sizes.

Hydropower Pricing Options for Cross-Border Electricity Trading in China Based on Bi-Level Optimization

Regional cross-border electricity trading is popular in price and cooperation. It is a reliable path to alleviate the shortage of power supply during rapid economic growth. As an important export commodity, the pricing options for hydropower directly relate to the cooperation intention of business parties. This study demonstrates the price formation methods and internal relationships of cascade hydropower stations in CBET. To simulate the decision-making of a bilateral forward contract, a bi-level optimization model was constructed, and the objectives of each layer represent the interests of both parties. The BOM was linearized with Karush-Kuhn-Tucker conditions and strong duality, and finally solved using mixed-integer linear programming. The prices of CHSs in southwestern China were calculated under different pricing options and the results were absorbed in an actual transaction case. Consequently, the complementarity between different exporting countries was verified. The most suitable pricing option for CBET was determined, that is the unified electricity price based on the marginal cost, to be 481 CNY/MW&#x2219;h, which is 20% to 60% higher than the thermal and photovoltaic from other countries. Furthermore, national policy support and economic subsidies are key guarantees for the sustainable development of CBET, which can reduce the discount electricity price to below that of thermal generation by 30%.

A Study on the Estimating Economic Value for Undergroundization of Waste Treatment Facility using the Hedonic Pricing Model

Waste is the by-product of human activity. As long as mankind exists, waste generation is an indispensable factor. In order to stable disposal of waste, waste treatment facilities should be constructed. However, it is difficult to construct the facilities because they are recognized as NIMBY (‘not in my backyard’) facilities due to concerns such as odors, noise, and falling housing prices. Recently, a number of undergroundization of waste treatment facilities have been constructed to reduce negative impacts, but it is rare to research on economic values that can support the feasibility of the project. Therefore, this study aims to the estimating economic value for the undergrounding project (Hanam-si) using the hedonic pricing model. The analysis was conducted on apartment houses located within 3 km of waste treatment facilities, and the variables were determined by actual transaction prices, housing structure variables (size, floor, room, BCR, FAR etc) and external variables (commencement and completion date of subway, complex shopping mall and waste treatment facility) from 2011 to 2017. As a result of the analysis, the construction of undergroundization project is resulted in a 1.953% increase, and completion of the project is 1.374~1.654% increase in housing prices. The influence of housing structure variables is greater than the external variables. In addition, commencement variables are more influential than completion variable in undergroundization project.

A Study on the Determinant Factors of The Actual Transaction Price of Apartment in Sejong Special Self-Governing City

According to the Statistics Korea 2020 Population and Housing Census , 51.5% of the total households in Korea are living in apartments. This was 0.4% increase from the previous year and 14.9% increase from 2000. Most of the new city development and reconstruction redevelopment of existing cities are also supplied mainly to apartments, so the proportion of households living in apartments is expected to increase even more. In accordance with these changes in residence, various studies have been continuously conducted to identify factors that influence apartment prices. This study has a fundamental purpose to understand the objective evidence that there is a difference in the apartment real transaction price of an apartment according to the characteristics of the apartment. The purpose of this study is to provide information so that apartment buyers can make rational decisions in the apartment sales market. At the same time, it is expected that it will serve as a reference for apartment providers to supply apartments of the quantity and quality suitable for the needs of apartment real demander. According to the results of this study, the characteristics factors affecting the actual price of apartments in Administrative Complex City were found to have a greater impact on the locational characteristics than physical characteristics, and the effects of the supply characteristics and urban characteristics were found to be greater than the above two characteristics. Especially, among the supply characteristics, special design competition was the highest. Next, it was confirmed that the Sejong BRT road and Geumgang waterfront of urban characteristics were high. Therefore, the main factors affecting the apartment sales price of the have reached the conclusion that the unique characteristics of the Administrative Complex City have more influence. The implication of the study is that the government should preemptively identify the characteristic factors that affect apartment prices in complex administrative cities and come up with alternatives to solve the problem of imbalance in apartment prices.

Do actions speak louder than words? Evidence from microblogs

This research identifies the determinants of investors’ future beliefs by analyzing more than 50 million tweets on thousands of stocks from the microblogging platform StockTwits. To do so, I divide tweets into two categories: beliefs, representing the average sentiment of all investors regarding a particular stock, and actions, representing the actual transactions disclosed by StockTwits’ users in their tweets. The results show that investors’ next-period beliefs are positively impacted both by beliefs and actions of the current day. The quality of the investment advice strengthens this effect. More communication between investors leads to greater diversity in beliefs and more uncertainty.

Experiences from the Dutch instant payment project: From 0 to 289 million in one year

In May 2015 the leading Dutch banks announced their ambition to offer instant payments (IP) to the Dutch market in four years. The complex and innovative programme, led by the Dutch Payments Association, delivered, in mid-2019, a new IP infrastructure that has now become one of the fastest growing IP environments, with over 289 million interbank IP transactions processed in its first year (April 2019–March 2020). This paper looks back on that period and focuses on the elements that, in our view, were important to the successful introduction of this new payments infrastructure. The challenges, dilemmas and the rationale for the decision of the Dutch banking community to organise the IP project are described. The journey towards achieving all the set goals by means of a clear joint effort from the Dutch payments community was intense and rewarding. IP is expected to become the new normal for SEPA payments in the years to come, provided that some hurdles to full interoperability and reachability in SEPA will be overcome. This paper aims to share insights that may be useful to other parties that are considering introducing IP or that want to push a similar transition from conventional credit transfers towards a 24/7 available, interbank IP backbone (See figure 1 for actual transaction volumes on this new IP backbone).

An Empirical Analysis on the Effect of the Abandoned Building Maintenance Project on the Price of Neighboring Apartments

This paper empirically analyzes the changes in the price of apartments which are adjacent to an abandoned building before and after the selection of the building as a target of a maintenance project by the Ministry of Land, Infrastructure and Transport in Korea. The analytic model to capture a public value from the project is a difference-in-differences framework, and the data used for the analysis correspond to the actual transaction prices. According to the empirical results, after the selection of the abandoned building by the maintenance project, the prices of the neighboring apartments increased by approximately 82.6 dollars per one square meter of the apartments compared to those of apartments which are across a river. The existence of such positive external effects would support the public intervention in managing the abandoned buildings.

지역 하위시장의 아파트 가격 특성 분석: 부산시 수영구 사례를 중심으로

This study examines the factors and characteristics that affect the actual transaction price of apartments in Mangmi-dong and Namcheon-dong which are administrative dongs within the same autonomous district, which are sub-markets of real estate in Busan by region and We want to check how it appears and the difference between branded and non-branded apartments. and additionally check whether there is a price difference between the upper apartment and the lower apartment above the average actual transaction price in the same autonomous district. As a result of the analysis, the ratio of branded apartments to the factors that form high apartment prices in the actual transaction price for each regional submarket is slightly different. The result that the brand value was not significantly reflected in the apartment price compared to the complex or location characteristics on the regional sub-market was derived. First, small apartments of old construction appear low apartment appear high apartment prices in Mangmi-dong. Second, because of high expectation and the possibility of new brand apartments after reconstruction brand apartment preference is clearly visible Namcheon-dong. When examining the price in the price ceiling system, it is needed to review brand value ratio and to devise additional improvement measures.

GROSS INCOME MULTIPLIER AS A FAIRNESS INDICATOR OF TRANSACTION VALUE ON TRANSFER OF RIGHTS ON LAND AND BUILDING IN SOUTH TANGERANG

As the government of Indonesia targets income tax to contribute 50,1% of the overall tax revenue target in Indonesia, the Directorate General of Taxes (DGT) is compelled to maximize the excavation of tax potential. Among others, excavation of income tax potential may apply for income tax upon the transfer of rights on land and/or building. For this final income tax, tax extraction is performed by evaluating the transfer transaction value stated in the Land Deed Officer Monthly Report which should be based on the value received or obtained by the seller based on market price. Unfortunately, there is no means to ensure that the value stated by taxpayer is the actual transaction value. Also, since data on property in Indonesia is not publicly available, the real value of the transfer remains elusive. Therefore, Tax Office requires a method or technique to determine whether the stated value is a reasonable and compliant one. This research aims to examine the feasibility of Gross Income Multiplier to determine the fairness indication of transaction value stated by the taxpayer in the transfer of rights on land and/or building. By understanding the fairness of the stated value as reported in the Land Deed Officer monthly report, DGT is expected to accurately determine the fair transaction value.