Search results for: asset prices
679 Overview of Risk Management in Electricity Markets Using Financial Derivatives
Authors: Aparna Viswanath
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Electricity spot prices are highly volatile under optimal generation capacity scenarios due to factors such as non-storability of electricity, peak demand at certain periods, generator outages, fuel uncertainty for renewable energy generators, huge investments and time needed for generation capacity expansion etc. As a result market participants are exposed to price and volume risk, which has led to the development of risk management practices. This paper provides an overview of risk management practices by market participants in electricity markets using financial derivatives.Keywords: financial derivatives, forward, futures, options, risk management
Procedia PDF Downloads 473678 Assessment of Households' Food Security and Hunger Level across Communities in Ile-Ife, Southwestern Nigeria
Authors: Adebayo-Victoria Tobi Dada, Dada Emmanuel
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This study assessed households’ food security and hunger levels among different communities with varying educational and economic background in Ile-Ife, Nigeria, and its environment. It also examined the impacts of varying demography on the household food security level in the area. This was with a view to providing information on the food security status of the subjects within the study area. Ten different communities with varying demography (Parakin, Mokuro, Ilare, Obafemi Awolowo University (OAU) Staff Quarters, Ibadan Road, Aba-Iya Gani, Eleweran, Iraye, Boosa, and Eku-Isobo) were identified within the study area. Fieldwork was then carried out from 7th to 14th of March, 2016 in each of these communities through survey of market prices of food stuff, diet, and nutrition, social well-being, food accessibility and affordability as well as price fluctuation and variation in household’s social background. Selection of households for the survey was done using stratified random sampling method. Key informants included community heads, landlords, tenants, and household heads. Similarly, information on food security levels with respect to demographic backgrounds was obtained from the use of modified Food and Hunger Insecurity Module (FHIM) structured questionnaire. The questionnaire was administered to one percent of the households’ population per community. The results showed that communities such as Parakin and OAU Senior Staff Quarters were dominated by civil servants, while community such as Boosa was dominated by artisans. Respondents earning between ₦11,000 and ₦20,000 per month, during the study period, had the highest percentage across the selected communities. The household food security indices showed that about 41% of the investigated respondents could not guarantee their household food for a month, while 18% reduced or skipped meals. There were positive significant relationships between monthly income (F-value = 132.04), educational status (F-value = 102.30), occupation (F-value = 104.05) and food budget (F-value = 122.09), all at p < 0.05. However, there was no significant relationship between the monthly food budget and household sizes (t-value = -1.4074, p > 0.05). Food secured households’ had the household heads with a higher level of educational attainment. The study concluded that large variations which existed between socio-economic and educational background among the communities had significant effects on households’ food security level in the study area.Keywords: food security, households, hunger level, market prices
Procedia PDF Downloads 205677 Phishing Attacks Facilitated by Open Source Intelligence
Authors: Urva Maryam
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Information has become an important asset to the current cosmos. Globally, various tactics are being observed to confine the spread of information as it makes people vulnerable to security attacks. Open Source Intelligence (OSINT) is a publicly available source that has disseminated information about users or website, companies, and various organizations. This paper focuses on the quantitative method of exploring various OSINT tools that reveal public information of personals. This information could further facilitate the phishing attacks. Phishing attacks can be launched on email addresses, open ports, and unsecured web-surfing. This study allows to analyze information retrieved from OSINT tools i.e., the Harvester, and Maltego, that can be used to send phishing attacks to individuals.Keywords: OSINT, phishing, spear phishing, email spoofing, the harvester, maltego
Procedia PDF Downloads 70676 The Application of Hellomac Rockfall Alert System in Rockfall Barriers: An Explainer
Authors: Kinjal Parmar, Matteo Lelli
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The usage of IoT technology as a rockfall alert system is relatively new. This paper explains the potential of such an alert system called HelloMac from Maccaferri which provides transportation infrastructure asset owners the way to effectively utilize their resources in the detection of boulder impacts on rockfall barriers. This would ensure a faster assessment of the impacted barrier and subsequently facilitates the implementation of remedial works in an effective and timely manner. In addition, the HelloMac can also be integrated with another warning system to alert vehicle users of the unseen dangers ahead. HelloMac is developed to work also in remote areas, where cell coverage is not available. User gets notified when a rockfall even occurs via mobile app, SMS and email. Using such alarming systems effectively, we can reduce the risk of rockfall hazard.Keywords: rockfall, barrier, HelloMac, rockfall alert system
Procedia PDF Downloads 43675 Researching Apache Hama: A Pure BSP Computing Framework
Authors: Kamran Siddique, Yangwoo Kim, Zahid Akhtar
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In recent years, the technological advancements have led to a deluge of data from distinctive domains and the need for development of solutions based on parallel and distributed computing has still long way to go. That is why, the research and development of massive computing frameworks is continuously growing. At this particular stage, highlighting a potential research area along with key insights could be an asset for researchers in the field. Therefore, this paper explores one of the emerging distributed computing frameworks, Apache Hama. It is a Top Level Project under the Apache Software Foundation, based on Bulk Synchronous Processing (BSP). We present an unbiased and critical interrogation session about Apache Hama and conclude research directions in order to assist interested researchers.Keywords: apache hama, bulk synchronous parallel, BSP, distributed computing
Procedia PDF Downloads 243674 Health Monitoring of Concrete Assets in Refinery
Authors: Girish M. Bhatia
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Most of the important structures in refinery complex are RCC Structures for which in-depth structural monitoring and inspection is required for incessant service. Reinforced concrete structures can be under threat from a combination of insidious challenges due to environmental conditions, including temperature and humidity that lead to accelerated deterioration mechanisms like carbonation, as well as marine exposure, above and below ground structures can experience ingress from aggressive ground waters carrying chlorides and sulphates leading to unexpected deterioration that threaten the integrity of a vital structural asset. By application of health monitoring techniques like corrosion monitoring with help of sensor probes, visual inspection of high rise structures with help of drones, it is possible to establish an early warning at the onset of these destructive processes.Keywords: concrete structures, corrosion sensors, drones, health monitoring
Procedia PDF Downloads 393673 Evaluating the Effects of a Positive Bitcoin Shock on the U.S Economy: A TVP-FAVAR Model with Stochastic Volatility
Authors: Olfa Kaabia, Ilyes Abid, Khaled Guesmi
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This pioneer paper studies whether and how Bitcoin shocks are transmitted to the U.S economy. We employ a new methodology: TVP FAVAR model with stochastic volatility. We use a large dataset of 111 major U.S variables from 1959:m1 to 2016:m12. The results show that Bitcoin shocks significantly impact the U.S. economy. This significant impact is pronounced in a volatile and increasing U.S economy. The Bitcoin has a positive relationship on the U.S real activity, and a negative one on U.S prices and interest rates. Effects on the Monetary Policy exist via the inter-est rates and the Money, Credit and Finance transmission channels.Keywords: bitcoin, US economy, FAVAR models, stochastic volatility
Procedia PDF Downloads 239672 Parabolic Impact Law of High Frequency Exchanges on Price Formation in Commodities Market
Authors: L. Maiza, A. Cantagrel, M. Forestier, G. Laucoin, T. Regali
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Evaluation of High Frequency Trading (HFT) impact on financial markets is very important for traders who use market analysis to detect winning transaction opportunity. Analysis of HFT data on tobacco commodity market is discussed here and interesting linear relationship has been shown between trading frequency and difference between averaged trading prices above and below considered trading frequency. This may open new perspectives on markets data understanding and could provide possible interpretation of Adam Smith invisible hand.Keywords: financial market, high frequency trading, analysis, impacts, Adam Smith invisible hand
Procedia PDF Downloads 352671 Co-Integrated Commodity Forward Pricing Model
Authors: F. Boudet, V. Galano, D. Gmira, L. Munoz, A. Reina
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Commodities pricing needs a specific approach as they are often linked to each other and so are expectedly doing their prices. They are called co-integrated when at least one stationary linear combination exists between them. Though widespread in economic literature, and even if many equilibrium relations and co-movements exist in the economy, this principle of co-movement is not developed in derivatives field. The present study focuses on the following problem: How can the price of a forward agreement on a commodity be simulated, when it is co-integrated with other ones? Theoretical analysis is developed from Gibson-Schwartz model and an analytical solution is given for short maturities contracts and under risk-neutral conditions. The application has been made to crude oil and heating oil energy commodities and result confirms the applicability of proposed method.Keywords: co-integration, commodities, forward pricing, Gibson-Schwartz
Procedia PDF Downloads 277670 Smart BIM Documents - the Development of the Ontology-Based Tool for Employer Information Requirements (OntEIR), and its Transformation into SmartEIR
Authors: Shadan Dwairi
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Defining proper requirements is one of the key factors for a successful construction projects. Although there have been many attempts put forward in assist in identifying requirements, but still this area is under developed. In Buildings Information Modelling (BIM) projects. The Employer Information Requirements (EIR) is the fundamental requirements document and a necessary ingredient in achieving a successful BIM project. The provision on full and clear EIR is essential to achieving BIM Level-2. As Defined by PAS 1192-2, EIR is a “pre-tender document that sets out the information to be delivered and the standards and processes to be adopted by the supplier as part of the project delivery process”. It also notes that “EIR should be incorporated into tender documentation to enable suppliers to produce an initial BIM Execution Plan (BEP)”. The importance of effective definition of EIR lies in its contribution to a better productivity during the construction process in terms of cost and time, in addition to improving the quality of the built asset. Proper and clear information is a key aspect of the EIR, in terms of the information it contains and more importantly the information the client receives at the end of the project that will enable the effective management and operation of the asset, where typically about 60%-80% of the cost is spent. This paper reports on the research done in developing the Ontology-based tool for Employer Information Requirements (OntEIR). OntEIR has proven the ability to produce a full and complete set of EIRs, which ensures that the clients’ information needs for the final model delivered by BIM is clearly defined from the beginning of the process. It also reports on the work being done into transforming OntEIR into a smart tool for Defining Employer Information Requirements (smartEIR). smartEIR transforms the OntEIR tool into enabling it to develop custom EIR- tailored for the: Project Type, Project Requirements, and the Client Capabilities. The initial idea behind smartEIR is moving away from the notion “One EIR fits All”. smartEIR utilizes the links made in OntEIR and creating a 3D matrix that transforms it into a smart tool. The OntEIR tool is based on the OntEIR framework that utilizes both Ontology and the Decomposition of Goals to elicit and extract the complete set of requirements needed for a full and comprehensive EIR. A new ctaegorisation system for requirements is also introduced in the framework and tool, which facilitates the understanding and enhances the clarification of the requirements especially for novice clients. Findings of the evaluation of the tool that was done with experts in the industry, showed that the OntEIR tool contributes towards effective and efficient development of EIRs that provide a better understanding of the information requirements as requested by BIM, and support the production of a complete BIM Execution Plan (BEP) and a Master Information Delivery Plan (MIDP).Keywords: building information modelling, employer information requirements, ontology, web-based, tool
Procedia PDF Downloads 116669 The Extent of Virgin Olive-Oil Prices' Distribution Revealing the Behavior of Market Speculators
Authors: Fathi Abid, Bilel Kaffel
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The olive tree, the olive harvest during winter season and the production of olive oil better known by professionals under the name of the crushing operation have interested institutional traders such as olive-oil offices and private companies such as food industry refining and extracting pomace olive oil as well as export-import public and private companies specializing in olive oil. The major problem facing producers of olive oil each winter campaign, contrary to what is expected, it is not whether the harvest will be good or not but whether the sale price will allow them to cover production costs and achieve a reasonable margin of profit or not. These questions are entirely legitimate if we judge by the importance of the issue and the heavy complexity of the uncertainty and competition made tougher by a high level of indebtedness and the experience and expertise of speculators and producers whose objectives are sometimes conflicting. The aim of this paper is to study the formation mechanism of olive oil prices in order to learn about speculators’ behavior and expectations in the market, how they contribute by their industry knowledge and their financial alliances and the size the financial challenge that may be involved for them to build private information hoses globally to take advantage. The methodology used in this paper is based on two stages, in the first stage we study econometrically the formation mechanisms of olive oil price in order to understand the market participant behavior by implementing ARMA, SARMA, GARCH and stochastic diffusion processes models, the second stage is devoted to prediction purposes, we use a combined wavelet- ANN approach. Our main findings indicate that olive oil market participants interact with each other in a way that they promote stylized facts formation. The unstable participant’s behaviors create the volatility clustering, non-linearity dependent and cyclicity phenomena. By imitating each other in some periods of the campaign, different participants contribute to the fat tails observed in the olive oil price distribution. The best prediction model for the olive oil price is based on a back propagation artificial neural network approach with input information based on wavelet decomposition and recent past history.Keywords: olive oil price, stylized facts, ARMA model, SARMA model, GARCH model, combined wavelet-artificial neural network, continuous-time stochastic volatility mode
Procedia PDF Downloads 333668 Resilience of the American Agriculture Sector
Authors: Dipak Subedi, Anil Giri, Christine Whitt, Tia McDonald
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This study aims to understand the impact of the pandemic on the overall economic well-being of the agricultural sector of the United States. The two key metrics used to examine the economic well-being are the bankruptcy rate of the U.S. farm operations and the operating profit margin. One of the primary reasons for farm operations (in the U.S.) to file for bankruptcy is continuous negative profit or a significant decrease in profit. The pandemic caused significant supply and demand shocks in the domestic market. Furthermore, the ongoing trade disruptions, especially with China, also impacted the prices of agricultural commodities. The significantly reduced demand for ethanol and closure of meat processing plants affected both livestock and crop producers. This study uses data from courts to examine the bankruptcy rate over time of U.S. farm operations. Preliminary results suggest there wasn’t an increase in farm operations filing for bankruptcy in 2020. This was most likely because of record high Government payments to producers in 2020. The Federal Government made direct payments of more than $45 billion in 2020. One commonly used economic metric to measure farm profitability is the operating profit margin (OPM). Operating profit margin measures profitability as a share of the total value of production and government payments. The Economic Research Service of the United States Department of Agriculture defines a farm operation to be in a) a high-risk zone if the OPM is less than 10 percent and b) a low-risk zone if the OPM is higher than 25 percent. For this study, OPM was calculated for small, medium, and large-scale farm operations using the data from the Agriculture Resource Management Survey (OPM). Results show that except for small family farms, the share of farms in high-risk zone decreased in 2020 compared to the most recent non-pandemic year, 2019. This was most likely due to higher commodity prices at the end of 2020 and record-high government payments. Further investigation suggests a lower share of smaller farm operations receiving lower average government payments resulting in a large share (over 70 percent) being in the critical zone. This study should be of interest to multiple stakeholders, including policymakers across the globe, as it shows the resilience of the U.S. agricultural system as well as (some) impact of government payments.Keywords: U.S. farm sector, COVID-19, operating profit margin, farm bankruptcy, ag finance, government payments to the farm sector
Procedia PDF Downloads 83667 A Comparison of Smoothing Spline Method and Penalized Spline Regression Method Based on Nonparametric Regression Model
Authors: Autcha Araveeporn
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This paper presents a study about a nonparametric regression model consisting of a smoothing spline method and a penalized spline regression method. We also compare the techniques used for estimation and prediction of nonparametric regression model. We tried both methods with crude oil prices in dollars per barrel and the Stock Exchange of Thailand (SET) index. According to the results, it is concluded that smoothing spline method performs better than that of penalized spline regression method.Keywords: nonparametric regression model, penalized spline regression method, smoothing spline method, Stock Exchange of Thailand (SET)
Procedia PDF Downloads 430666 The Effect of Supply Chain Integration on Information Sharing
Authors: Khlif Hamadi
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Supply chain integration has become a potentially valuable way of securing shared information and improving supply chain performance since competition is no longer between organizations but among supply chains. This research conceptualizes and develops three dimensions of supply chain integration (integration with customers, integration with suppliers, and the interorganizational integration) and tests the relationships between supply chain integration, information sharing, and supply chain performance. Furthermore, the four types of information sharing namely; information sharing with customers, information sharing with suppliers, inter-functional information sharing, and intra-organizational information sharing; and the four constructs of Supply Chain Performance represents expenses of costs, asset utilization, supply chain reliability, and supply chain flexibility and responsiveness. The theoretical and practical implications of the study, as well as directions for future research, are discussed.Keywords: supply chain integration, supply chain management, information sharing, supply chain performance
Procedia PDF Downloads 250665 Investigation of Suitable Linkage System for Transportation Sustainability: The Instance of Bursa in Turkey
Authors: Elvan Ender, Ozge Celik
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Transportation systems play a vital role in access and egress in our lives. Concerns about environmental quality, social equity, economic vitality, and the threat of climate change have converged to produce a growing interest in the concept of sustainability, sustainable development, and sustainable transportation. Cities should respect nature, consider the urban ecological environment as an asset, integrate environmental issues into urban planning and administration, and accelerate the transition to sustainable development. This paper reviews current pedestrian and bike transportation in Bursa and proves the effects of unbalanced distribution to neighbourhoods of this presence. In this way creating proposal map for walking and bicycling to constitute a preliminary base for the physical urban planning of Bursa, has been aimed.Keywords: Bursa, proposal map, sustainability, transportation
Procedia PDF Downloads 331664 MapReduce Algorithm for Geometric and Topological Information Extraction from 3D CAD Models
Authors: Ahmed Fradi
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In a digital world in perpetual evolution and acceleration, data more and more voluminous, rich and varied, the new software solutions emerged with the Big Data phenomenon offer new opportunities to the company enabling it not only to optimize its business and to evolve its production model, but also to reorganize itself to increase competitiveness and to identify new strategic axes. Design and manufacturing industrial companies, like the others, face these challenges, data represent a major asset, provided that they know how to capture, refine, combine and analyze them. The objective of our paper is to propose a solution allowing geometric and topological information extraction from 3D CAD model (precisely STEP files) databases, with specific algorithm based on the programming paradigm MapReduce. Our proposal is the first step of our future approach to 3D CAD object retrieval.Keywords: Big Data, MapReduce, 3D object retrieval, CAD, STEP format
Procedia PDF Downloads 539663 Optimized Approach for Secure Data Sharing in Distributed Database
Authors: Ahmed Mateen, Zhu Qingsheng, Ahmad Bilal
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In the current age of technology, information is the most precious asset of a company. Today, companies have a large amount of data. As the data become larger, access to data for some particular information is becoming slower day by day. Faster data processing to shape it in the form of information is the biggest issue. The major problems in distributed databases are the efficiency of data distribution and response time of data distribution. The security of data distribution is also a big issue. For these problems, we proposed a strategy that can maximize the efficiency of data distribution and also increase its response time. This technique gives better results for secure data distribution from multiple heterogeneous sources. The newly proposed technique facilitates the companies for secure data sharing efficiently and quickly.Keywords: ER-schema, electronic record, P2P framework, API, query formulation
Procedia PDF Downloads 327662 Application Potential of Selected Tools in Context of Critical Infrastructure Protection and Risk Analysis
Authors: Hromada Martin
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Risk analysis is considered as a fundamental aspect relevant for ensuring the level of critical infrastructure protection, where the critical infrastructure is seen as system, asset or its part which is important for maintaining the vital societal functions. Article actually discusses and analyzes the potential application of selected tools of information support for the implementation and within the framework of risk analysis and critical infrastructure protection. Use of the information in relation to their risk analysis can be viewed as a form of simplifying the analytical process. It is clear that these instruments (information support) for these purposes are countless, so they were selected representatives who have already been applied in the selected area of critical infrastructure, or they can be used. All presented fact were the basis for critical infrastructure resilience evaluation methodology development.Keywords: critical infrastructure, protection, resilience, risk analysis
Procedia PDF Downloads 631661 Multi-Period Portfolio Optimization Using Predictive Machine Learning Models
Authors: Peng Liu, Chyng Wen Tee, Xiaofei Xu
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This paper integrates machine learning forecasting techniques into the multi-period portfolio optimization framework, enabling dynamic asset allocation based on multiple future periods. We explore both theoretical foundations and practical applications, employing diverse machine learning models for return forecasting. This comprehensive guide demonstrates the superiority of multi-period optimization over single-period approaches, particularly in risk mitigation through strategic rebalancing and enhanced market trend forecasting. Our goal is to promote wider adoption of multi-period optimization, providing insights that can significantly enhance the decision-making capabilities of practitioners and researchers alike.Keywords: multi-period portfolio optimization, look-ahead constrained optimization, machine learning, sequential decision making
Procedia PDF Downloads 37660 Endogeneity between Shari'ah Governance and Board Governance and Its Impact on Financial Stability
Authors: Sabur Mollah, Asma Mobarek
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This study aims to explore the endogenous relationship between Shari’ah governance and board governance for Islamic banks to identify complementary or substituting relationship between these governance parameters. By using a sample of 161 Islamic Banks from 24 countries for the period of 2005-2013, we show an endogenous relationship between Shari’ah Supervisory Board (SSB) and Board of Directors (BoD). In this relationship, SSB and BoD complement each other. We also show that this complementary relationship between SSB and BoD helps enhance both management and asset quality, but mitigates capital adequacy, earnings, and liquidity in Islamic banks. The study has important implications for financial stability in the Islamic banking system.Keywords: Shari’ah Supervisory Board, Boards of Directors, Islamic banking, financial stability
Procedia PDF Downloads 179659 How to Applicate Knowledge Management in Security Environment within the Scope of Optimum Balance Model
Authors: Hakan Erol, Altan Elibol, Ömer Eryılmaz, Mehmet Şimşek
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Organizations aim to manage information in a most possible effective way for sustainment and development. In doing so, they apply various procedures and methods. The very same situation is valid for each service of Armed Forces. During long-lasting endeavors such as shaping and maintaining security environment, supporting and securing peace, knowledge management is a crucial asset. Optimum Balance Model aims to promote the system from a decisive point to a higher decisive point. In this context, this paper analyses the application of optimum balance model to knowledge management in Armed Forces and tries to find answer to the question how Optimum Balance Model is integrated in knowledge management.Keywords: optimum balance model, knowledge management, security environment, supporting peace
Procedia PDF Downloads 388658 Cuckoo Search Optimization for Black Scholes Option Pricing
Authors: Manas Shah
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Black Scholes option pricing model is one of the most important concepts in modern world of computational finance. However, its practical use can be challenging as one of the input parameters must be estimated; implied volatility of the underlying security. The more precisely these values are estimated, the more accurate their corresponding estimates of theoretical option prices would be. Here, we present a novel model based on Cuckoo Search Optimization (CS) which finds more precise estimates of implied volatility than Particle Swarm Optimization (PSO) and Genetic Algorithm (GA).Keywords: black scholes model, cuckoo search optimization, particle swarm optimization, genetic algorithm
Procedia PDF Downloads 450657 Evaluating the Effects of Weather and Climate Change to Risks in Crop Production
Authors: Marcus Bellett-Travers
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Different modelling approaches have been used to determine or predict yield of crops in different geographies. Central to the methodologies are the presumption that it is the absolute yield of the crop in a given location that is of the highest priority to those requiring information on crop productivity. Most individuals, companies and organisations within the agri-food sector need to be able to balance the supply of crops with the demand for them. Different modelling approaches have been used to determine and predict crop yield. The growing need to ensure certainty of supply and stability of prices requires an approach that describes the risk in producing a crop. A review of current methodologies to evaluate the risk to food production from changes in the weather and climate is presented.Keywords: crop production, risk, climate, modelling
Procedia PDF Downloads 376656 Non-Parametric, Unconditional Quantile Estimation of Efficiency in Microfinance Institutions
Authors: Komlan Sedzro
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We apply the non-parametric, unconditional, hyperbolic order-α quantile estimator to appraise the relative efficiency of Microfinance Institutions in Africa in terms of outreach. Our purpose is to verify if these institutions, which must constantly try to strike a compromise between their social role and financial sustainability are operationally efficient. Using data on African MFIs extracted from the Microfinance Information eXchange (MIX) database and covering the 2004 to 2006 periods, we find that more efficient MFIs are also the most profitable. This result is in line with the view that social performance is not in contradiction with the pursuit of excellent financial performance. Our results also show that large MFIs in terms of asset and those charging the highest fees are not necessarily the most efficient.Keywords: data envelopment analysis, microfinance institutions, quantile estimation of efficiency, social and financial performance
Procedia PDF Downloads 301655 Salt Scarcity and Crisis Solution in Islam Perspective
Authors: Taufik Nugroho, Firsty Dzainuurahmana, Tika Widiastuti
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The polemic about the salt crisis re-emerged, this is a classic problem in Indonesia and is still a homework that is not finished yet. This salt crisis occurs due to low productivity of salt commodities that have not been able to meet domestic demand and lack of salt productivity caused by several factors. One of the biggest factors of the crisis is the weather anomaly that disrupts salt production, less supportive technology and price stability. This study will try to discuss the salt scarcity and crisis solution in Islamic view. As for the conclusion of this study is the need for equilibrium or balancing between demand and supply, need to optimize the role of the government as Hisbah to maintain the balance of market mechanisms and prepare the stock system of salt stock by buying farmers products at reasonable prices then storing them.Keywords: crisis, Islamic solution, scarcity, salt
Procedia PDF Downloads 280654 The Non-Uniqueness of Partial Differential Equations Options Price Valuation Formula for Heston Stochastic Volatility Model
Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma
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An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.Keywords: Black-Scholes partial differential equations, Ito process, option price valuation, partial differential equations
Procedia PDF Downloads 138653 Profitability and Productivity Performance of the Selected Public Sector Banks in India
Authors: Sudipto Jana
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Background and significance of the study: Banking industry performs as a catalyst for industrial growth and agricultural growth, however, as well involves the existence and welfare of the citizens. The banking system in India was described by unmatched growth and the recreation of bunch making in the pre-liberalization era. At the time of financial sector reforms Reserve Bank of India issued a regulatory norm concerning capital adequacy, income recognition, asset classification and provisioning that have increasingly precede meeting by means of the international paramount performs. Bank management ceaselessly manages the triumph, effectiveness, productivity and performance of the bank as good performance, high productivity and efficiency authorizes the triumph of the bank management targets as well as aims of bank. In a comparable move toward performance of any economy depends upon the expediency and effectiveness of its financial system of nation establishes its economic growth indicators. Profitability and productivity are the most important relevant parameters of any banking group. Keeping in view of this, this study examines the profitability and productivity performance of the selected public sector banks in India. Methodology: This study is based on secondary data obtained from Reserve Bank of India database for the periods between 2006 and 2015. This study purposively selects four types of commercial banks, namely, State Bank of India, United Bank of India, Punjab National Bank and Allahabad Bank. In order to analyze the performance with relation to profitability and productivity, productivity performance indicators in terms of capital adequacy ratio, burden ratio, business per employee, spread per employee and advances per employee and profitability performance indicators in terms of return on assets, return on equity, return on advances and return on branch have been considered. In the course of analysis, descriptive statistics, correlation statistics and multiple regression have been used. Major findings: Descriptive statistics indicate that productivity performance of State Bank of India is very satisfactory than other public sector banks in India. But management of productivity is unsatisfactory in case of all the public sector banks under study. Correlation statistics point out that profitability of the public sector banks are strongly positively related with productivity performance in case of all the public sector banks under study. Multiple regression test results show that when profitability increases profit per employee increases and net non-performing assets decreases. Concluding statements: Productivity and profitability performance of United Bank of India, Allahabad Bank and Punjab National Bank are unsatisfactory due to poor management of asset quality as well as management efficiency. It needs government’s interference so that profitability and productivity performance are increased in the near future.Keywords: India, productivity, profitability, public sector banks
Procedia PDF Downloads 419652 Momentum in the Stock Exchange of Thailand
Authors: Mussa Hussaini, Supasith Chonglerttham
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Stocks are usually classified according to their characteristics which are unique enough such that the performance of each category can be differentiated from another. The reasons behind such classifications in the financial market are sometimes financial innovation or it can also be because of finding a premium in a group of stocks with similar features. One of the major classifications in stocks market is called momentum strategy. Based on this strategy stocks are classified according to their past performances into past winners and past losers. Momentum in a stock market refers to the idea that stocks will keep moving in the same direction. In other word, stocks with rising prices (past winners stocks) will continue to rise and those stocks with falling prices (past losers stocks) will continue to fall. The performance of this classification has been well documented in numerous studies in different countries. These studies suggest that past winners tend to outperform past losers in the future. However, academic research in this direction has been limited in countries such as Thailand and to the best of our knowledge, there has been no such study in Thailand after the financial crisis of 1997. The significance of this study stems from the fact that Thailand is an open market and has been encouraging foreign investments as one of the means to enhance employment, promote economic development, and technology transfer and the main equity market in Thailand, the Stock Exchange of Thailand is a crucial channel for Foreign Investment inflow into the country. The equity market size in Thailand increased from $1.72 billion in 1984 to $133.66 billion in 1993, an increase of over 77 times within a decade. The main contribution of this paper is evidence for size category in the context of the equity market in Thailand. Almost all previous studies have focused solely on large stocks or indices. This paper extends the scope beyond large stocks and indices by including small and tiny stocks as well. Further, since there is a distinct absence of detailed academic research on momentum strategy in the Stock Exchange of Thailand after the crisis, this paper also contributes to the extension of existing literature of the study. This research is also of significance for those researchers who would like to compare the performance of this strategy in different countries and markets. In the Stock Exchange of Thailand, we examined the performance of momentum strategy from 2010 to 2014. Returns on portfolios are calculated on monthly basis. Our results on momentum strategy confirm that there is positive momentum profit in large size stocks whereas there is negative momentum profit in small size stocks during the period of 2010 to 2014. Furthermore, the equal weighted average of momentum profit of both small and large size category do not provide any indication of overall momentum profit.Keywords: momentum strategy, past loser, past winner, stock exchange of Thailand
Procedia PDF Downloads 309651 Analyzing the Effects of Adding Bitcoin to Portfolio
Authors: Shashwat Gangwal
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This paper analyses the effect of adding Bitcoin, to the portfolio (stocks, bonds, Baltic index, MXEF, gold, real estate and crude oil) of an international investor by using daily data available from 2nd of July, 2010 to 2nd of August, 2016. We conclude that adding Bitcoin to portfolio, over the course of the considered period, always yielded a higher Sharpe ratio. This means that Bitcoin’s returns offset its high volatility. This paper, recognizing the fact that Bitcoin is a relatively new asset class, gives the readers a basic idea about the working of the virtual currency, the increasing number developments in the financial industry revolving around it, its unique features and the detailed look into its continuously growing acceptance across different fronts (Banks, Merchants and Countries) globally. We also construct optimal portfolios to reflect the highly lucrative and largely unexplored opportunities associated with investment in Bitcoin.Keywords: bitcoin, financial instruments, portfolio management, risk adjusted return
Procedia PDF Downloads 228650 Environmental Impact of Gas Field Decommissioning
Authors: Muhammad Ahsan
Abstract:
The effective decommissioning of oil and gas fields and related assets is one of the most important challenges facing the oil and gas industry today and in the future. Decommissioning decisions can no longer be avoided by the operators and the industry as a whole. Decommissioning yields no return on investment and carries significant regulatory liabilities. The main objective of this paper is to provide an approach and mechanism for the estimation of emissions associated with decommissioning of Oil and Gas fields. The model uses gate to gate approach and considers field life from development phase up to asset end life. The model incorporates decommissioning processes which includes; well plugging, plant dismantling, wellhead, and pipeline dismantling, cutting and temporary fabrication, new manufacturing from raw material and recycling of metals. The results of the GHG emissions during decommissioning phase are 2.31x10-2 Kg CO2 Eq. per Mcf of the produced natural gas. Well plug and abandonment evolved to be the most GHG emitting activity with 84.7% of total field decommissioning operational emissions.Keywords: LCA (life cycle analysis), gas field, decommissioning, emissions
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