Impact Of Derivatives Research Articles

Numerical study of the parameters of a fractional derivative blood flow model in the context of superdiffusive heat transfer

AbstractThis paper explores the impact of temperature on the fractionalization of magnetic nanoparticles in blood, coupled with vibratory motion influenced by rotation. The distribution systems exhibit heightened diffusivity, explored numerically through the finite difference method and the algorithm. The temperature distribution robustly responds to elevated fractional parameters, indicating a critical threshold. The study achieves a comprehensive understanding of temperature and velocity evolution in different tube zones. In comparison, single‐walled carbon nanotubes surpass multiple‐walled carbon nanotubes in distributions, while CuO nanoparticles demonstrate larger distributions at an average fractional‐order parameter of . In the observed growth region at and exhibit noteworthy temperature distributions, highlighting the fractional derivative's impact in highly diffusive models with nanoparticles. It is also noted that in this region, the temperature distribution tends to decrease for all the parameters and values examined, particularly at a low Reynolds number (). However, the introduction of nanoparticles accelerates the processes and distributions across the various observed zones. Furthermore, the accelerated behavior of each nanoparticle can be moderated based on its sphericity. By encompassing all facets of fractional order for controlled rotations, the study sheds light on the role of magnetized nanoparticles in blood dynamics, emphasizing the significance of a critical zone where certain physicochemical properties are disrupted, potentially leading to cellular disorders, and the fluidodynamic effects of vortex flow. This perspective is pivotal for addressing tissue lesions induced by vibrations, as seen in the case of coagulations, and for targeting carcinogenic areas using nanoelements.

Comparative study of integer-order and fractional-order artificial neural networks: Application for mathematical function generation

This paper investigates the impact of fractional derivatives on the activation functions of an artificial neural network (ANN). Based on the results and analysis, a three-layer backpropagation neural network model with fractional and integer derivatives employed in the activation function and fractional gradient descent method backpropagation learning algorithm has been proposed. Specifically, three perceptrons have been proposed based on fractional and integer derivatives applied to activation functions and learning algorithms. They are fractional derivative activation function (FDAF) perceptron, integer derivative activation function (IDAF)-fractional derivative learning algorithm (FDLA) perceptron, and fractional derivative learning algorithm (FDLA) perceptron. The Riemann-Liouville (RL) fractional derivative, Grunwald-Letnikov (GL) derivative, Caputo-Fabrizio (CF) fractional derivative, Caputo (C) fractional derivative, and Atangana-Baleanu (AB) fractional derivative have been employed. The impact of these derivatives’ fractional-order (FO) is investigated in a wide range from 0.1−0.9 on testing mean square error (MSE) and time required to train the perceptron. FO-based and IO-based perceptrons are compared with the help of performance metrics such as testing MSE and the time required to train the models. The training and testing simulation results illustrate that Caputo-Fabrizio derivative-based perceptrons outperform other fractional derivatives. Also, the performance of the FO-based perceptron is better in terms of the least MSE.

The Impact of Derivatives and CEO Overpower on Bank Risk-Taking Behavior: Evidence from Vietnam

The Impact of Derivatives and CEO Overpower on Bank Risk-Taking Behavior: Evidence from Vietnam

THE IMPACT OF DERIVATIVES USE ON FIRM VALUE: DO SMALLER FIRMS BENEFIT MORE? (EVIDENCE FROM BORSA ISTANBUL)

While the impact of derivatives use on firm value is still debated theoretically and empirically, whether smaller or larger firms benefit more from the use of derivatives is largely untouched empirically. In this context, the impact of the intensity of derivatives use on firm value separately for smaller and larger firms using derivatives is analyzed with the 2010-2021 annual data of 70 non-financial Borsa Istanbul (BIST) firms. Difference and System Generalized Method of Moments (GMM) estimation results of the dynamic panel data model show that derivatives use positively and significantly affects firm value in smaller firms, and there is no significant effect of derivatives use on firm value in larger firms. Theories proposing that derivatives use can increase firm value are valid for smaller firms. On the other hand, in BIST, smaller firms benefit more than larger firms from derivatives use. The results of the analysis are also consistent with theories suggesting that the value-enhancement effects of derivatives use for hedging are concentrated in smaller firms. The results are encouraging for smaller firms discussing the decision related to financial risk management with derivatives.

The Impact of Derivatives on Spot Markets: Evidence from the Introduction of Bitcoin Futures Contracts

Cryptocurrencies provide a unique opportunity to identify how derivatives impact spot markets. They are fully fungible and trade across multiple spot exchanges at different prices, and futures contracts were selectively introduced on Bitcoin (BTC) exchange rates against the U.S. dollar (USD) in December 2017. Following the futures introduction, we find a significantly greater increase in cross-exchange price synchronicity for BTC–USD relative to other exchange rate pairs as demonstrated by an increase in price correlations and a reduction in arbitrage opportunities and volatility. We also find support for an increase in price efficiency, market quality, and liquidity. The evidence suggests that futures contracts allowed investors to circumvent arbitrage frictions associated with short-sale constraints, arbitrage risk associated with block confirmation time, and market segmentation. Overall, our analysis supports the view that the introduction of BTC–USD futures was beneficial to the Bitcoin spot market by making the underlying prices more informative. This paper was accepted by Will Cong, Special Section of Management Science: Blockchains and Crypto Economics. Funding: The authors acknowledge financial support from the Global Risk Institute. P. Augustin acknowledges financial support from the Canadian Derivatives Institute and from the Canada Research Chair Program of the Social Sciences and Humanities Research Council Canada. The paper has benefited significantly from a fellow visit of P. Augustin at the Center for Advanced Studies Foundations of Law and Finance funded by the German Research Foundation, project FOR 2774, and from a visiting position of P. Augustin at the finance department of the University of Luxembourg facilitated through the Inter Mobility Programme of the Luxembourg National Research Fund. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4900 .

Impact of Derivatives use on Performance of Pakistani Banks

Purpose: This study examines the impact of derivatives on the financial performance of Pakistani banks by looking at the impact of each derivative among the famous four. Forwards, Futures, Options, and Swaps.
 Design\Methodology\Approach: By taking data from the last 13 years, we incorporated the values of 14 banks. The analysis is carried out by using both OLS and GMM methods of technique to verify the robustness of the results.
 Originality/value: The study adds value to the scare literature of Derivatives and performance relationship in Pakistan by using GMM for endogeneity issues.
 Finding: This paper provides evidence that Pakistani banks are using derivatives for hedging purposes rather than speculation. Use of Forwards and Swaps is significant and impacts positively on Bank’s performance as compared to the other two.
 Keywords: Bank Performance; Derivatives; Hedging; Speculation; GMM

AKSES TRANSPORTASI DALAM PENURUNAN BIAYA LOGISTIK KEPULAUAN BERBASIS KOMODITI UNGGULAN LOKAL

Smooth access to ships and ports can reduce logistics costs, therefore transportation is seen as the lifeblood of the regional economy. The decrease in logistics costs (B_L) is a function of ship visits (Call) with available loading and unloading capacity (Q_bongkar), unloading performance (K_B/M) is the ability and efficiency of the use of loading and unloading labor (TKBM) at the port including loading and unloading equipment. loading at a port in an area, the efficiency of logisticBL logistics transport costs can improve the transportation performance of the archipelago and this condition will have a derivative impact on the purchasing power of the people in the islands. The results of the study obtained parameters 0 = -1.102, 1 = 0.001046, 2 = 0.00005, 4 = + 08970, 4 = 0.000000 where the increase in logistics costs can affect Call, Q_bongkar, Performance_B/M, GRDP_unggulan, if B_L increases by 1% will have an impact also for all existing parameters. if performance_B/M = + 08970. then B_L has a fairly good correlation with improved loading and unloading performance at the port and has a significant effect on cargo which has a strong impact on price declines in encouraging purchasing power and economic growth

ISOLASI DAN IDENTIFIKASI BAKTERI PENAMBAT NITROGEN UNTUK PEMBUATAN BIOFERTILIZER

Nitrogen is a macro nutrient needed by plants. Generally, people use inorganic fertilizers to fulfill nitrogen nutrients in plants. The problem then is, the continuous use of synthetic nitrogen fertilizers has a direct negative impact on the soil and a derivative impact on human health. The use of microorganisms, in this case bacteria, to provide nitrogen to plants can be done by isolating it and making it a biological fertilizer agent. Nitrogen fixing bacteria was isolated on the land of the oil palm plantation of PT Astra Agro Lestari. The isolated nitrogen-fixing bacteria were then tested quantitatively for their ability to fix nitrogen. The bacteria with the highest nitrogen fixing ability were then identified by sequencing their DNA nucleotide bases so that the bacterial strains were identified. The result is that there are 13 bacteria that are able to fix nitrogen with the codes J1, J3, Q5, L1, L11, J31, D1, M6, M5, R1, P2, J4 and C7. The quantitative test shows that bacteria with code D1 are the best at fixing nitrogen in the form of NH4, namely 0.27 ppm. The results of D1 bacterial DNA nucleotide base sequencing showed that the putitive Bacillus aerius strain 24K with identical values ​​and query cover reach
 

Single Stock Futures and Their Impact on Market Quality: Be Careful What You Wish For

The impact of derivatives is almost invariably measured by the liquidity outcomes on the underlying. We explore the relationship between efficiency, fairness and derivatives with respect to the underlying. We provide evidence that the presence of a derivative improves liquidity in the underlying but decreases the degree of fairness - proxied by manipulation likelihood. Our study highlights that a leveraged derivative entices manipulation in the underlying and that typical inhibitors to manipulation, namely high visible execution costs, are in fact desirable.

The Impact of Derivatives on Cash Markets: Evidence From the Introduction of Bitcoin Futures Contracts

Cryptocurrencies provide a unique opportunity to identify how derivatives impact cash markets. They are fully fungible across multiple trading venues and futures contracts were selectively introduced on bitcoin (BTC) exchange rates against the USD in December 2017. Following the futures introduction, we find a significantly greater increase in cross-exchange price synchronicity for BTC-USD relative to other exchange rate pairs, as demonstrated by an increase in price correlations and a reduction in arbitrage opportunities. We also find support for an increase in price efficiency, market quality, and liquidity. Overall, our analysis supports the view that the introduction of BTC-USD futures was beneficial to the bitcoin cash market by making the underlying prices more informative.

Does the use of hedge derivatives improve the credit ratings of Brazilian companies?

ABSTRACT The purpose of this study is to identify the factors that may explain the attribution of credit ratings to firms, focusing especially on the impact of derivatives. The gap explored by this research lies in the novelty of analyzing how rating agencies perceive the effects caused by information related to derivatives use by Brazilian publicly-traded companies. In addition, this study shifts the previous findings from stock analysts to rating agencies, reinforcing the discussion about the complexity of derivatives in the credit risk assessment process. This research topic is currently of interest due to the adoption of International Financial Reporting Standard (IFRS) 9 (Accounting Pronouncements Committee - CPC - 48), which came into effect in January of 2018. Based on these rules, the main novelty presented in this article was its verification of the effect of the derivatives used by companies in order to hedge their credit ratings, thus helping to fill the empirical gap that exists in the literature from the area. The results found challenge the theory that the use of hedge derivatives is viewed positively by investors. However, although no significant statistical impact was found on the ratings of companies that use derivatives, it was observed that the companies that use derivatives and have the highest notional values were those that received the best ratings from Moody’s. With this we broadened the debate about the complexity of the information linked to derivatives use. In the study, 2,090 ratings attributed to non-financial companies with stocks traded on the Brasil, Bolsa, Balcão [B]³ exchange were examined between 2010 and 2016 by using panel data analysis, which lends robustness to the analysis and findings. Contrary to the central hypothesis of this research, the results presented here show that, in Brazil, companies that use derivative financial instruments for hedging do not receive the best credit ratings from rating agencies. One of the main contributions of this study is the evidence that Standard & Poor’s and Moody’s were unable to consistently incorporate information related to derivatives use, thus broadening the discussion about the complexity of these financial instruments.

The impact of derivatives on Malaysian stock market

The essential of derivatives has been discovered by researchers over recent decade. However, the conclusions made regarding the impact of derivatives on stock market volatility remains debatable. The main objective of this study is to examine the impact of derivatives on Malaysian stock market volatility by exploring FTSE Bursa Malaysia Kuala Lumpur Composite Index Futures (BMD FKLI) using FBM KLCI as the underlying asset. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) model was employed to realize the objective. The results have shown that the introduction of futures trading has decreased the volatility of Malaysian stock market. The volatility increased vigorously during the Asian financial crisis compared to the Global financial crisis. However, the role of futures as a risk transfer is agreed as it could improve the market by decreasing the volatility in the spot market.

Hedging and hedging effectiveness under required disclosures: a study of the impact of derivatives use on capital investment

The purpose of this paper is to study the impact of derivatives use on corporate capital expenditures by utilizing reporting changes under the disclosure requirements of the Statement of Financial Accounting Standards 133 (SFAS 133). The standard requires firms to recognize and report the use of derivatives in their financial statements, including its purpose and its hedging effectiveness. This greater transparency is expected to incentivize firms toward demonstrating greater effectiveness in their derivatives use for hedging purposes. The literature on the real consequences of derivatives use is limited, probably due to the difficulty of ascertaining its hedging effectiveness in addition to its purpose, which is made possible under SFAS 133. Since effective hedging reduces risk exposure, lowers the costs of financial distress, and mitigates underinvestment, it can have a real effect in the form of raising the level of capital investment. The research in this paper distinguishes itself from earlier studies in linking derivatives use to hedging and hedging effectiveness in its study of the impact of derivatives use on capital investment. I find evidence supporting a positive effect of derivatives use on capital investment. Additionally, a lower risk exposure that can be linked to hedging effectiveness, as it is under SFAS 133, is shown to have a positive impact on capital investment. From a policy standpoint, the results suggest that required disclosures may have a real impact if they provide affected firms with an incentive to change their behavior while meeting the disclosure requirements.

The Impact of Derivatives Hedging on Stock Trading Volume and Return Volatility -Evidence from the ELW Market in Korea-

The Impact of Derivatives Hedging on Stock Trading Volume and Return Volatility -Evidence from the ELW Market in Korea-

Impact of Individual Stock Derivatives Introduction in India on Its Underlying Spot Market Volatility

This study has made an attempt to examine the impact of the introduction of derivative trading in individual stocks of different market capitalisations that are listed in NSE representing different industrial sectors of the Indian economy using the generalised autoregressive conditional heteroscedastic (GARCH)( p, q) model. This article contributes to existing literature first, by examining the effect of derivative introduction on return volatility of stocks of different market capitalisations. Second, while in earlier studies effect of derivative introduction on return volatility has been examined only on derivative related stocks, in this article it is examined both on derivative-related and derivative-unrelated stocks. Third, the article also examines the impact of derivative trading on stocks of different industrial sectors of the Indian economy. From the result of the study, we find that volatilities of stock returns have declined due to the introduction of derivatives trading on most of the individual large-cap stocks considered in the study, which are all derivative-related stocks. Though we find decrease in return volatilities of all the derivative-unrelated mid-cap stocks in our study, the results of the derivative-related mid-cap stocks are found to be mixed. In case of small-cap stocks, the results indicate a decrease in return volatilities of most of the derivative-related and derivative-unrelated stocks considered in the study. Moreover, there is evidence of volatility reduction for almost all the derivative-unrelated stocks. We find no significant sectoral differences while examining the impact of derivatives trading on return volatilities of stocks representing different sectors of the Indian economy.

Derivatives holdings and market values of U.S. bank holding companies

ABSTRACTWe examine the impact of derivatives held by US bank holding companies on their market valuations over the period 2000 to 2010. By using bank-level data with detailed information on the notional amounts of derivative positions according to holding purposes and underlying asset types, our regression analyses provide three main findings. First, derivative instruments held for hedging rather than trading purposes contribute to enhancing market values. Second, the positive effects exhibit nonmonotonic patterns indicating that excessive amounts of derivatives holdings deteriorate market values. Third, interest rate derivatives are the main source of high valuations.

Impact of Derivatives on Spot Market Volatility : A Case of Indian Agriculture Commodity

In this research study, an attempt has been made to validate the market perceptions of different bodies on the usefulness and suitability of futures contract in developing the underlying agricultural commodity market in agricultural based Indian economy. The daily price information in spot and futures markets, for a period of 10 years (2004 - 2014), for 7 major agricultural commodities is extracted from NCDEX data base and incorporated into various econometric models, such as ADF Test, GARCH model, Dunkin Watson Statistic etc., to test the concerned objective. The effect of commodity futures trading in stabilizing the underlying agricultural commodity market for 7 major commodities, taken from different categories (Spices, Pulses, Oil and Oil Seeds) of Agri-products, are examined to throw some light on the rising inflation in Indian agricultural sector. Like other studies undertaken in world on Indian commodity market, the present study has also exhibited that even though the inflationary pressure on commodity, especially agricultural commodity, prices have gone up sharply after the introduction of commodity futures contracts, the destabilizing effect of the futures contract is casual in nature and tends to vary over a long period of time. The empirical findings significantly shows that comparative advantage of futures market in disseminating information, leading to a significant price discovery and risk management, can help to successfully develop the underlying commodity market in India.

The Introduction of Derivatives Trading on the Spot Market Volatility in Asia

This study investigated the impact of derivatives trading on spot market volatility. Major Asian markets (Hong Kong, Thailand, Korea, Singapore, Taiwan, and Japan) were examined to determine the conditional volatility shifts before and after the introduction of index options. This study follows the approach of Rahman [Rahman, S. (2001), The introduction of derivatives on the Dow Jones industrial average and their impact on the volatility of component stocks. The Journal of Futures Markets, 21-7, 633–653] based upon the GARCH (1.1) model to capture the conditional volatility before and after the event. The sample period was divided into three window periods to limit seasonal and year-end effects. The window results suggested that introducing index options decreased volatility in Hong Kong and increased it in Japan. Additionally, no structural changes were observed during the maximum window period in Taiwan, Korea, Singapore, and Thailand.

Does Hedging Reduce the Cost of Delegation?

I incorporate the choice of hedging instrument into a moral hazard model to study the impact of derivatives on a rm’s value. A hedging instrument creates value by minimizing the expected costs of distress. In the model, managers who exert eort on their project under

ETFs, Arbitrage, and Contagion

An ongoing debate in finance centers on the impact of derivatives on the efficiency of prices of the underlying securities. The paper contributes to this literature by studying whether exchange traded funds (ETFs) — an asset of increasing importance — affect the non-fundamental volatility of the stocks in their baskets. Using identification strategies based on the mechanical variation in ETF ownership, including regression discontinuity, we show that stocks owned by ETFs exhibit significantly higher intraday and daily volatility. Variance-ratio tests, as well as price reversals, suggest that the mean-reverting component of stock prices is inflated by ETF ownership. We estimate that an increase of one standard deviation in ETF ownership is associated with an increase of 19% in intraday stock volatility. Our evidence suggests that ETFs attract a new layer of demand shocks to the stock market due to their high liquidity.