We document frequent occurrences of negative conversion premium (NCP) events in the Chinese convertible bond market, when the bond is convertible and the underlying stock can be freely sold. This implies that when an NCP event occurs, existing stock holders can earn a riskless profit through a...

We combine convolutional neural network (CNN) and gated recurrent unit (GRU) to form a new structure and embed it as a base layer in the autoencoder (AE) framework to efficiently extract features from financial time series data. To better utilize the hierarchical features, skip connection is...