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This article proposes a combination model, which is composed of latent Dirichlet allocation model, TF-IDF feature extraction algorithm and Euclidean distance measurement method, to identify and judge whether the similarities between multiple policy texts exist or not. With the help of actual data result, this will drive the relevant government agencies to figure out problems in a timely manner and provide a decision-making basis for them to formulate and optimise appropriate economic policies. To this end, this article analyses and studies the four types of economic texts that are classified as Insurance, Banking, Tax and Finance from the Central Government of Hebei province and Shijiazhuang city levels. Also, we consider Beijing, Shanghai and Guangdong. Experimental results show that (1) the combination model can quickly and effectively recognise and determine whether there are similarities between multiple economic policy texts; (2) similarities exist or not between the central, provincial and municipal level policy texts depending on the comparison of the distance values across them; (3) the smaller the distance value between economic policy texts of the same kind, the higher the similarity in them; and (4) the distance values between the six policy texts in Finance, Insurance, Bank and Tax categories are ranked from low to high. In terms of similarity, the Finance category is the highest, followed by Insurance and Bank, and the Tax category is the lowest. [ABSTRACT FROM AUTHOR]

We present a new Hawkes-Contact model that combines a Hawkes process and a finite-range contact process to model the stock price movements, especially under the impact of news and other information flows that could lead to contagious effects. To fully capture the underlying price process, we take the Hawkes process to track the full pathway of historical prices on their future movements and the contact process to capture the impact from news/investment sentiment. We compare this full model to a univariate Hawkes process that works as a benchmark model through analyzing their statistical properties using both simulated returns and the real 5-min returns of the crude oil index (Wind CZCE-TA). The statistical properties include probability density function, complementary cumulative distribution function, and Lempel-Ziv Complex. Our results show that the real returns' distribution is often far from normal, but the simulated returns through the Hawkes or Hawke-Contact model can achieve close fit to the real returns and exhibit similar statistical properties. More importantly, the Hawkes-Contact model performs better than the simple Hawkes model in capturing characteristics in the return movements, which indicates that the price evolution is also driven by the news sentiment created after them. [ABSTRACT FROM AUTHOR]

This paper presents a Long Short Term Memory Recurrent Neural Network and Hidden Markov Model (LSTM-HMM) to predict China's Gross Domestic Product (GDP) fluctuation state within a rolling time window. We compare the predictive power of LSTM-HMM with other dynamic forecast systems within different time windows, which involves the Hidden Markov Model (HMM), Gaussian Mixture Model-Hidden Markov Model (GMM-HMM) and LSTM-HMM with an input of monthly Consumer Price Index (CPI) or quarterly CPI within 4-year, 6-year, 8-year and 10-year time window. These forecasting models employed in our empirical analysis share the basic HMM structure but differ in the generation of observable CPI fluctuation states. Our forecasting results suggest that (1) among all the models, LSTM-HMM generally performs better than the other models; (2) the model performance can be improved when model input transforms from quarterly to monthly; (3) among all the time windows, models within 10-year time window have better overall performance; (4) within 10-year time window, the LSTM-HMM, with either quarterly or monthly input, has the best accuracy and consistency. [ABSTRACT FROM AUTHOR]

This paper proposes an optimal hedging strategy in the presence of market frictions using the Long Short Term Memory Recurrent Neural Network (LSTM-RNN) method, which is a modification of the method proposed in Buehler et al. (Deep hedging. Quant. Finance, 2019, 19(8), 1271–1291). The market frictions are transaction costs, liquidity constraints, trading limits and cost of funds. The loss function is a spectral risk measure. We first make an empirical analysis of the LSTM-RNN model of real option markets, which are the Asian market (domestic market 50 ETF option, Hong Kong Hang Seng Index Option, Nikkei Index Option), the North American market (S&P 500 Index Option) and the European market (FTSE 100 Index Option). The benchmark models are from Leland (Option pricing and replication with transaction costs. J. Finance., 1985, 40(5), 1283–1301), Boyle and Vorst (Option replication in discrete time with transaction costs. J. Finance, 1992, 47(1), 271–293) and Whalley and Wilmott (A hedging strategy and option valuation model with transaction costs. OCIAM Working Paper, Mathematical Institute, Oxford, 1993). Finally, we compare the results from the LSTM-RNN model with benchmark models involving transaction costs for both simulated market data generated by Geometric Brownian Motion (GBM) and the Heston model and real market data. The results show that the LSTM-RNN model outperforms benchmark models for low or medium volatility (<0.8), OTM moneyness and under a certain risk level (<80%) in the GBM market setting. For the 50ETF option market, the LSTM-RNN model outperforms benchmark models for ATM and under a certain risk level (<15%). For the HSI option market, the LSTM-RNN model outperforms benchmark models when transaction costs are smaller than 1.5%. For the Nikkei and S&P 500 option markets, the LSTM-RNN model always outperforms benchmark models. For the FTSE option market, the LSTM-RNN model outperforms benchmark models when moneyness is not too deeply ITM. [ABSTRACT FROM AUTHOR]

Cryptocurrencies including Bitcoin are known to be vulnerable to so-called 'double-spending' attacks, where the same digital currency is used to execute multiple different transactions simultaneously. Little is known, however, about the underlying reasons for this vulnerability. Here we develop an agent-based model to study how features of cryptocurrency networks contribute to their vulnerability to double-spending attacks. Perhaps surprisingly, we find neither the number of network nodes nor its path length seem to influence the probability of successful attacks. We find robust evidence that the network's clustering coefficient has substantial influence. In particular, scale-free networks, with their small clustering coefficients, are more than twice as likely to succumb to double-spending attacks than are networks with larger coefficients, such as regular networks. The implication is that cryptocurrency networks, which are scale-free, may be uniquely susceptible to double-spending attacks. [ABSTRACT FROM AUTHOR]

This paper considers the convergence of trading strategies among artificial traders connected to one another in a social network and trading in a continuous double auction financial marketplace. Convergence is studied by means of an agent-based simulation model called the Social Network Artificial stoCk marKet model. Six different canonical network topologies (including no-network) are used to represent the possible connections between artificial traders. Traders learn from the trading experiences of their connected neighbours by means of reinforcement learning. The results show that the proportions of traders using particular trading strategies are eventually stable. Which strategies dominate in these stable states depends to some extent on the particular network topology of trader connections and the types of traders. [ABSTRACT FROM AUTHOR]

In this paper, we analyze and compare long-range power-law correlations of returns, absolute returns, squared returns, cubed returns and square waved returns for sixteen individual stocks from the block of energy sources of Chinese stock market and five stock indices (Shanghai Composite Index, Shenzhen Component Index, Dow Jones Industrial Average index, Nasdaq Composite Index, the Standard and Poor's 500 Index) by using a detrended fluctuation analysis approach. The empirical evidence suggests that Shanghai Composite Index is very close to Shenzhen Component Index and Nasdaq, DJIA is very close to S&P 500 in all cases. And the exponent trends of the returns are close to that of square waved returns. Also, five indices deviate from other sixteen individual energy stocks in all cases except square waved returns. Further, there are long-range correlations and persistence in volatility series of absolute returns and squared returns. Moreover, we investigate the long-term memory of these returns by applying Lo's modified rescaled range statistic. We find that the China energy market exhibits fractal and persistence properties. [ABSTRACT FROM AUTHOR]

Apricots, scientifically known as Prunus armeniaca L, are drupes that resemble and are closely related to peaches or plums. As one of the top consumed fruits, apricots are widely grown worldwide except in Antarctica. A high-quality reference genome for apricot is still unavailable, which has become a handicap that has dramatically limited the elucidation of the associations of phenotypes with the genetic background, evolutionary diversity, and population diversity in apricot. DNA from P. armeniaca was used to generate a standard, size-selected library with an average DNA fragment size of ~20 kb. The library was run on Sequel SMRT Cells, generating a total of 16.54 Gb of PacBio subreads (N50 = 13.55 kb). The high-quality P. armeniaca reference genome presented here was assembled using long-read single-molecule sequencing at approximately 70× coverage and 171× Illumina reads (40.46 Gb), combined with a genetic map for chromosome scaffolding. The assembled genome size was 221.9 Mb, with a contig NG50 size of 1.02 Mb. Scaffolds covering 92.88% of the assembled genome were anchored on eight chromosomes. Benchmarking Universal Single-Copy Orthologs analysis showed 98.0% complete genes. We predicted 30,436 protein-coding genes, and 38.28% of the genome was predicted to be repetitive. We found 981 contracted gene families, 1324 expanded gene families and 2300 apricot-specific genes. The differentially expressed gene (DEG) analysis indicated that a change in the expression of the 9-cis-epoxycarotenoid dioxygenase (NCED) gene but not lycopene beta-cyclase (LcyB) gene results in a low β-carotenoid content in the white cultivar "Dabaixing". This complete and highly contiguous P. armeniaca reference genome will be of help for future studies of resistance to plum pox virus (PPV) and the identification and characterization of important agronomic genes and breeding strategies in apricot. [ABSTRACT FROM AUTHOR]