Search results for: Price volatility

Authors: Marzouk Benali, Jawad Jeaidi, Behrang Mansoornejad, Olumoye Ajao, Banafsheh Gilani, Nima Ghavidel Mehr

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Canadian forest industry is seeking to identify and implement transformational strategies for enhanced financial performance through the emerging bioeconomy or more specifically through the concept of the biorefinery. For example, processing forest residues or surplus of biomass available on the mill sites for the production of biofuels, biochemicals and/or biomaterials is one of the attractive strategies along with traditional wood and paper products and cogenerated energy. There are many possible process-product biorefinery pathways, each associated with specific product portfolios with different levels of risk. Thus, it is not obvious which unique strategy forest industry should select and implement. Therefore, there is a need for analytical and design tools that enable evaluating biorefinery strategies based on a set of criteria considering a perspective of sustainability over the short and long terms, while selecting the existing core products as well as selecting the new product portfolio. In addition, it is critical to assess the manufacturing flexibility to internalize the risk from market price volatility of each targeted bio-based product in the product portfolio, prior to invest heavily in any biorefinery strategy. The proposed paper will focus on introducing a systematic methodology for designing integrated biorefineries using process systems engineering tools as well as a multi-criteria decision making framework to put forward the most effective biorefinery strategies that fulfill the needs of the forest industry. Topics to be covered will include market analysis, techno-economic assessment, cost accounting, energy integration analysis, life cycle assessment and supply chain analysis. This will be followed by describing the vision as well as the key features and functionalities of the I-BIOREF software platform, developed by CanmetENERGY of Natural Resources Canada. Two industrial case studies will be presented to support the robustness and flexibility of I-BIOREF software platform: i) An integrated Canadian Kraft pulp mill with lignin recovery process (namely, LignoBoost™); ii) A standalone biorefinery based on ethanol-organosolv process.

Keywords: biorefinery strategies, bioproducts, co-production, multi-criteria decision making, tool

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Authors: Sara Sousa

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The environmental goods and services have often been neglected in crucial decisions affecting the environment mainly because the difficulty in estimating their economic value, since we are dealing with non-market goods and, thus, without a price associated. Nevertheless, the inexistence of prices does not necessarily mean these goods have no value. The environment is a key element in today's society that seeks to be as sustainable as possible, where the environmental assets have both use and non-use values. To estimate the use value, researchers may apply the revealed preference methods. This paper provides a theoretical review of the main concepts and methodologies on the economic valuation of the environment, with particular emphasis on the revealed preference techniques. Based on a detailed literature review, this study concludes that, despite some inherent limitations, the revealed preference methodologies – travel cost, hedonic price, and averting behaviour – represent essential tools for the researchers who accept the challenge to estimate the use value of environmental goods and services based on the actual individuals` behaviour. The main purpose of this study is to contribute to an increased theoretical information on the economic valuation of environmental assets, allowing researchers and policymakers to improve future decisions regarding the environment.

Keywords: economic valuation, environmental goods, revealed preference methods, total economic value

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Authors: Phutthiwat Waiyawuththanapoom, Pimploi Tirastittam, Manop Tirastittam

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Thailand is the agriculture country which mainly exports the agriculture product to the other countries in so many ways which are fresh vegetable, chilled vegetable or frozen vegetable. The gross export for Thailand’s vegetable is 30-40 billion baht per year, and the growth rate is about 15-20 percent per year. Ginger is one of the main vegetable product that Thailand export to Japan because Thailand’s Ginger has a good quality and be able to supply Japan’s demand with a reasonable price. This research paper is aimed to study the factors which affect the efficiency of the supply chain process of Thailand’s ginger to Japan. There are 5 factors which related to the exporting Thailand’s ginger to Japan which are quality, price, equipment and supply standard, custom process and distribution pattern. The result of the research showed that the factor which reached the 'very good' significant level is quality of Thailand’s ginger with the score of 4.86. The other 5 factors are in the 'good' significant level. So the most important factor for Thai ginger farmer to concern is the quality of the product.

Keywords: critical success factor, export, ginger, supply chain

Procedia PDF Downloads 369

Authors: Waheed Akhtar

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Bears in Asia facing multiple threats and challenges such as hunting, illegal trading, habitat loss, and human conflicts. According to IUCN Red List, the Asiatic black bear (Ursus thibetanus) is listed as Vulnerable since 1990, population declining by 49% during the last 30 years. The present study was conducted in Manglawar (DwaSaro Mountain) from April-August 2021, to collect all the information on Asiatic black bear observation, illegal hunting, and cub poaching. According to the response of the local community, very intensive illegal hunting and cub poaching were observed. Hunters usually installed many traps in the routes of black bears and when they move in the winter season the cubs get trapped and they collect them and kept in a specialized wooden box that is mainly helpful for further transportation. These cubs are then brought to the concerned Market where they sell them to many dealers. One of the potential observers of the illegal trading responds towards the Market price of the cubs, “The average price of the black bear cub is ranging from 45000-50000 Pakistani Rupees”. Apart from cubs' poaching, the black bear is also hunted for its skin, claws, and teeth.

Keywords: first report, illegal hunting, cub poaching, parts trading, Ursus thibetanus

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Authors: Siri-orn Champatong

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The purpose of this research was to study factors that were related with travel behaviors of Thai tourists at the Ayothaya Floating Market, Phra Nakhon Sri Ayutthaya. The quantitative research was conducted with 400 samples of Thai tourists traveling to the Ayothaya Floating Market. The Questionnaire was a tool used to collect data, and the statistics used for data analysis were mean and Pearson product moment correlation coefficient. The results found that Thai tourists focused on attraction, easy access and facilities of the tourist spot at a high level. In addition, they gave priority to the marketing mix in the dimension of products, price, and distribution channels at a high level as well. For marketing promotion, it was at the moderate level. The results of hypothesis testing revealed that factors related to the attractions of the tourist destination, easy access to the tourist destination, the facilities of the tourist spot, and product and price of the marketing mix were associated with travel behaviors in the aspect of the number of visits used and the budget on tourism.

Keywords: floating market, marketing mix, tourism attractions, travelling behavior

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Authors: Sophia Liang Zhou

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For investors, businesses, consumers, and governments, an accurate assessment of future housing prices is crucial to critical decisions in resource allocation, policy formation, and investment strategies. Previous studies are contradictory about macroeconomic determinants of housing price and largely focused on one or two areas using point prediction. This study aims to develop data-driven models to accurately predict future housing market trends in different markets. This work studied five different metropolitan areas representing different market trends and compared three-time lagging situations: no lag, 6-month lag, and 12-month lag. Linear regression (LR), random forest (RF), and artificial neural network (ANN) were employed to model the real estate price using datasets with S&P/Case-Shiller home price index and 12 demographic and macroeconomic features, such as gross domestic product (GDP), resident population, personal income, etc. in five metropolitan areas: Boston, Dallas, New York, Chicago, and San Francisco. The data from March 2005 to December 2018 were collected from the Federal Reserve Bank, FBI, and Freddie Mac. In the original data, some factors are monthly, some quarterly, and some yearly. Thus, two methods to compensate missing values, backfill or interpolation, were compared. The models were evaluated by accuracy, mean absolute error, and root mean square error. The LR and ANN models outperformed the RF model due to RF’s inherent limitations. Both ANN and LR methods generated predictive models with high accuracy ( > 95%). It was found that personal income, GDP, population, and measures of debt consistently appeared as the most important factors. It also showed that technique to compensate missing values in the dataset and implementation of time lag can have a significant influence on the model performance and require further investigation. The best performing models varied for each area, but the backfilled 12-month lag LR models and the interpolated no lag ANN models showed the best stable performance overall, with accuracies > 95% for each city. This study reveals the influence of input variables in different markets. It also provides evidence to support future studies to identify the optimal time lag and data imputing methods for establishing accurate predictive models.

Keywords: linear regression, random forest, artificial neural network, real estate price prediction

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Authors: Lidia Sanchis-Marco, Antonio Rubia, Pedro Serrano

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This paper studies the informational content of pricing errors in the term structure of sovereign CDS spreads. The residuals from a non-arbitrage model are employed to construct a Price discrepancy estimate, or noise measure. The noise estimate is understood as an indicator of market distress and reflects frictions such as illiquidity. Empirically, the noise measure is computed for an extensive panel of CDS spreads. Our results reveal an important fraction of systematic risk is not priced in default swap contracts. When projecting the noise measure onto a set of financial variables, the panel-data estimates show that greater price discrepancies are systematically related to a higher level of offsetting transactions of CDS contracts. This evidence suggests that arbitrage capital flows exit the marketplace during time of distress, and this consistent with a market segmentation among investors and arbitrageurs where professional arbitrageurs are particularly ineffective at bringing prices to their fundamental values during turbulent periods. Our empirical findings are robust for the most common CDS pricing models employed in the industry.

Keywords: credit default swaps, noise measure, illiquidity, capital arbitrage

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Authors: Ezgi Avci-Surucu, Doganbey Akgul

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Turkey’s energy reforms has achieved energy security through a variety of interlinked measures including electricity, gas, renewable energy and energy efficiency legislation; the establishment of an energy sector regulatory authority; energy price reform; the creation of a functional electricity market; restructuring of state-owned energy enterprises; and private sector participation through privatization and new investment. However, current strategies, namely; “Electricity Sector Reform and Privatization Strategy” and “Electricity Market and Supply Security Strategy” has been criticized for various aspects. The present paper analyzes the implementation of the aforementioned strategies in the framework of generation scheduling, transmission constraints, bidding structure and general aspects; and argues the deficiencies of current strategies which decelerates power investments and creates uncertainties. We conclude by policy suggestions to eliminate these deficiencies in terms of price and risk management, infrastructure, customer focused regulations and systematic market development.

Keywords: electricity markets, risk management, regulations, balancing and settlement, bilateral trading, generation scheduling, bidding structure

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Authors: Bundit Pungnirund, Boonyada Pahasing

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The objective of this research is to study factors related to behaviors of Thai travelers traveling to Koh Kret Island, Nonthaburi Province. The subjects of this study included 400 Thai travelers coming to Koh Kred. Questionnaires were used to collect data which were analyzed by computer program to find mean and correlation coefficient by Pearson. The results showed that Thai travelers reported their opinions and attitudes in high level on the marketing service mix, product, price, place, promotion, personal, physical evidence, and process. They reported on travelling motivation factor, tourist attraction, and facility at high level. Moreover, marketing service mix, product, price, place, promotion, personal, physical, and process including travelling motivation factor, tourist attraction, and facility had positive relationship with the frequency in travelling at statistically significant level (0.01), though in a low relationship but in the same direction.

Keywords: factors, behaviors, Thai travelers, Koh Kled, Nonthaburi Province

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Authors: Miroslav Čulík, Petr Gurný

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This paper is aimed at the financial assessment of the hard coal mining in a given region by real option methodology application. Hard coal mining in this mine makes net loss for the owner during the last years due to the long-term unfavourable mining conditions and significant drop in the coal prices during the last years. Management is going to shut down the operation and abandon the project to reduce the loss of the company. The goal is to assess whether the shutting down the operation is the only and correct solution of the problem. Due to the uncertainty in the future hard coal price evolution, the production might be again restarted if the price raises enough to cover the cost of the production. For the assessment, real option methodology is applied, which captures two important aspect of the financial decision-making: risk and flexibility. The paper is structured as follows: first, current state is described and problem is analysed. Next, methodology of real options is described. At last, project is evaluated by applying real option methodology. The results are commented and recommendations are provided.

Keywords: real option, investment, option to abandon, option to shut down and restart, risk, flexibility

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Authors: Valeria Bondarenko

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In this paper, we propose two problems related to fractal Brownian motion. First problem is simultaneous estimation of two parameters, Hurst exponent and the volatility, that describe this random process. Numerical tests for the simulated fBm provided an efficient method. Second problem is approximation of the increments of the observed time series by a power function by increments from the fractional Brownian motion. Approximation and estimation are shown on the example of real data, daily deposit interest rates.

Keywords: fractional Brownian motion, Gausssian processes, approximation, time series, estimation of properties of the model

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Authors: Yosra Mefteh Rekik, Younes Boujelbene

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We introduce in this paper a new conceptual model representing the stock market dynamics. This model is essentially based on cognitive behavior of the intelligence investors. In order to validate our model, we build an artificial stock market simulation based on agent-oriented methodologies. The proposed simulator is composed of market supervisor agent essentially responsible for executing transactions via an order book and various kinds of investor agents depending to their profile. The purpose of this simulation is to understand the influence of psychological character of an investor and its neighborhood on its decision-making and their impact on the market in terms of price fluctuations. Therefore, the difficulty of the prediction is due to several features: the complexity, the non-linearity and the dynamism of the financial market system, as well as the investor psychology. The Artificial Neural Networks learning mechanism take on the role of traders, who from their futures return expectations and place orders based on their expectations. The results of intensive analysis indicate that the existence of agents having heterogeneous beliefs and preferences has provided a better understanding of price dynamics in the financial market.

Keywords: artificial intelligence methods, artificial stock market, behavioral modeling, multi-agent based simulation

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Authors: M. F. Wu, F. T. Cheng

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Leather industry is the most important traditional industry to provide the leather products in the world for thousand years. The fierce global competitive environment and common awareness of global carbon reduction make livestock supply quantities falling, salt and wet blue leather material reduces and the price skyrockets significantly. Exchange rate fluctuation led sales revenue decreasing which due to the differences of export exchanges and compresses the overall profitability of leather industry. This paper applies activity-based benefit assessment approach to build up fitness fur input mixed model, fur is Wet Blue, which concerned with four key factors: the output rate of wet blue, unit cost of wet blue, yield rate and grade level of Wet Blue to achieve the low cost strategy under given unit price of leather product condition of the company. The research findings indicate that applying this model may improve the input cost structure, decrease numbers of leather product inventories and to raise the competitive advantages of the enterprise in the future.

Keywords: activity-based benefit assessment approach, input mixed, output rate, wet blue

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Authors: M. G. Cattaneo

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The non-effectiveness of certain codified human rights is particularly apparent with reference to the lack of access to essential drugs in developing countries, which represents a breach of the human right to receive adequate health assistance. This paper underlines the conflict and the legal contradictions between human rights, namely health rights, international Intellectual Property Rights, in particular patent law, as well as international trade law. The paper discusses the crucial links between R&D costs for innovation, patents and new medical drugs, with the goal of reformulating the hierarchies of priorities and of interests at stake in the international intellectual property (IP) law system. Different from what happens today, International patent law should be a legal instrument apt at rebalancing an axiological asymmetry between the (conflicting) needs at stake The core argument in the paper is the proposal of an alternative pathway, namely a feasible proposal for a patent law reform. IP laws tend to balance the benefits deriving from innovation with the costs of the provided monopoly, but since developing countries and industrialized countries are in completely different political and economic situations, it is necessary to (re)modulate such exchange according to the different needs. Based on this critical analysis, the paper puts forward a proposal, called Trading Time for Space (TTS), whereby a longer time for patent exclusive life in western countries (Time) is offered to the patent holder company, in exchange for the latter selling the medical drug at cost price in developing countries (Space). Accordingly, pharmaceutical companies should sell drugs in developing countries at the cost price, or alternatively grant a free license for the sale in such countries, without any royalties or fees. However, such social service shall be duly compensated. Therefore, the consideration for such a service shall be an extension of the temporal duration of the patent’s exclusive in the country of origin that will compensate the reduced profits caused by the supply at the price cost in developing countries.

Keywords: global health, global justice, patent law reform, access to drugs

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Authors: Ling Qi, Matloob Khushi, Josiah Poon

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This paper introduces a pre-trained Masked Candlestick Model (MCM) for trading time-series data. The pre-trained model is based on three core designs. First, we convert trading price data at each data point as a set of normalized elements and produce embeddings of each element. Second, we generate a masked sequence of such embedded elements as inputs for self-supervised learning. Third, we use the encoder mechanism from the transformer to train the inputs. The masked model learns the contextual relations among the sequence of embedded elements, which can aid downstream classification tasks. To evaluate the performance of the pre-trained model, we fine-tune MCM for three different downstream classification tasks to predict future price trends. The fine-tuned models achieved better accuracy rates for all three tasks than the baseline models. To better analyze the effectiveness of MCM, we test the same architecture for three currency pairs, namely EUR/GBP, AUD/USD, and EUR/JPY. The experimentation results demonstrate MCM’s effectiveness on all three currency pairs and indicate the MCM’s capability for signal extraction from trading data.

Keywords: masked language model, transformer, time series prediction, trading prediction, embedding, transfer learning, self-supervised learning

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Authors: Adeola Adenikinju, Olusanya E. Olubusoye, Lateef O. Akinpelu, Dilinna L. Nwobi

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Since the enactment of the Fiscal Responsibility Act (2007), the Federal Government of Nigeria (FGN) has made public its fiscal budget and the subsequent implementation report. A critical review of these documents shows significant variations in the five macroeconomic variables which are inputs in each Presidential budget; oil Production target (mbpd), oil price ($), Foreign exchange rate(N/$), and Gross Domestic Product growth rate (%) and inflation rate (%). This results in underperformance of the Federal budget expected output in terms of non-oil and oil revenue aggregates. This paper evaluates first the existing variance between budgeted and actuals, then the relationship and causality between the determinants of Federal fiscal budget assumptions, and finally the determinants of FGN’s Gross Oil Revenue. The paper employed the use of descriptive statistics, the Autoregressive distributed lag (ARDL) model, and a Profit oil probabilistic model to achieve these objectives. This model permits for both the static and dynamic effect(s) of the independent variable(s) on the dependent variable, unlike a static model that accounts for static or fixed effect(s) only. It offers a technique for checking the existence of a long-run relationship between variables, unlike other tests of cointegration, such as the Engle-Granger and Johansen tests, which consider only non-stationary series that are integrated of the same order. Finally, even with small sample size, the ARDL model is known to generate a valid result, for it is the dependent variable and is the explanatory variable. The results showed that there is a long-run relationship between oil revenue as a proxy for budget performance and its determinants; oil price, produced oil quantity, and foreign exchange rate. There is a short-run relationship between oil revenue and its determinants; oil price, produced oil quantity, and foreign exchange rate. There is a long-run relationship between non-oil revenue and its determinants; inflation rate, GDP growth rate, and foreign exchange rate. The grangers’ causality test results show that there is a mono-directional causality between oil revenue and its determinants. The Federal budget assumptions only explain 68% of oil revenue and 62% of non-oil revenue. There is a mono-directional causality between non-oil revenue and its determinants. The Profit oil Model describes production sharing contracts, joint ventures, and modified carrying arrangements as the greatest contributors to FGN’s gross oil revenue. This provides empirical justification for the selected macroeconomic variables used in the Federal budget design and performance evaluation. The research recommends other variables, debt and money supply, be included in the Federal budget design to explain the Federal budget revenue performance further.

Keywords: ARDL, budget performance, oil price, oil quantity, oil revenue

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Authors: Peter Shi

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Algorithmic trading is a rapidly expanding domain within quantitative finance, constituting a substantial portion of trading volumes in the US financial market. The demand for rigorous and robust mathematical theories underpinning these trading algorithms is ever-growing. In this study, the author establishes a new stock market model that integrates the Efficient Market Hypothesis and the statistical arbitrage. The model, for the first time, finds probabilistic relations between the rational price and the market price in terms of the conditional expectation. The theory consequently leads to a mathematical justification of the old market adage: buy-low and sell-high. The thresholds for “low” and “high” are precisely derived using a max-min operation on Bayes’s error. This explicit connection harmonizes the Efficient Market Hypothesis and Statistical Arbitrage, demonstrating their compatibility in explaining market dynamics. The amalgamation represents a pioneering contribution to quantitative finance. The study culminates in comprehensive numerical tests using historical market data, affirming that the “buy-low” and “sell-high” algorithm derived from this theory significantly outperforms the general market over the long term in four out of six distinct market environments.

Keywords: efficient market hypothesis, behavioral finance, Bayes' decision, algorithmic trading, risk control, stock market

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Authors: Dávid Kovács, Bálint Csanády, Dániel Boros, Iván Ivkovic, Lóránt Nagy, Dalma Tóth-Lakits, László Márkus, András Lukács

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The modeling practice of financial instruments has seen significant change over the last decade due to the recognition of time-dependent and stochastically changing correlations among the market prices or the prices and market characteristics. To represent this phenomenon, the Stochastic Correlation Process (SCP) has come to the fore in the joint modeling of prices, offering a more nuanced description of their interdependence. This approach has allowed for the attainment of realistic tail dependencies, highlighting that prices tend to synchronize more during intense or volatile trading periods, resulting in stronger correlations. Evidence in statistical literature suggests that, similarly to the volatility, the SCP of certain stock prices follows rough paths, which can be described using fractional differential equations. However, estimating parameters for these equations often involves complex and computation-intensive algorithms, creating a necessity for alternative solutions. In this regard, the Fractional Ornstein-Uhlenbeck (fOU) process from the family of fractional processes offers a promising path. We can effectively describe the rough SCP by utilizing certain transformations of the fOU. We employed neural networks to understand the behavior of these processes. We had to develop a fast algorithm to generate a valid and suitably large sample from the appropriate process to train the network. With an extensive training set, the neural network can estimate the process parameters accurately and efficiently. Although the initial focus was the fOU, the resulting model displayed broader applicability, thus paving the way for further investigation of other processes in the realm of financial mathematics. The utility of SCP extends beyond its immediate application. It also serves as a springboard for a deeper exploration of fractional processes and for extending existing models that use ordinary Wiener processes to fractional scenarios. In essence, deploying both SCP and fractional processes in financial models provides new, more accurate ways to depict market dynamics.

Keywords: fractional Ornstein-Uhlenbeck process, fractional stochastic processes, Heston model, neural networks, stochastic correlation, stochastic differential equations, stochastic volatility

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Authors: Majid Lotfi Ghahroud, Seyed Jalal Tabatabaei, Ebrahim Karami, AmirArsalan Ghergherechi, Amir Ali Saeidi

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In this study, the relationship between investment growth and stock returns of companies listed in Tehran Stock Exchange and whether their relationship -behavioral or risk factors- are discussed. Generally, there are two perspectives; risk-based approach and behavioral approach. According to the risk-based approach due to increase investment, systemic risk and consequently the stock returns are reduced. But due to the second approach, an excessive optimism or pessimism leads to assuming stock price with high investment growth in the past, higher than its intrinsic value and the price of stocks with lower investment growth, less than its intrinsic value. The investigation period is eight years from 2007 to 2014. The sample consisted of all companies listed on the Tehran Stock Exchange. The method is a portfolio test, and the analysis is based on the t-student test (t-test). The results indicate that there is a negative relationship between investment growth and stock returns of companies and this negative correlation is stronger for firms with higher cash flow. Also, the negative relationship between asset growth and stock returns is due to behavioral factors.

Keywords: behavioral theory, investment growth, risk-based theory, stock returns

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Authors: Hung-Yi Chen, Shih-Jye Wu

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The existing literature provides little discussion on why a public monopolist gives up its market dominant position and allows private firms entering the market. We argue that the privatization of a public monopolist under a vertically related market may induce the entry of private firms. We develop a model of a mixed oligopoly with vertically related markets to explain the change in the market from a public monopolist to a mixed oligopoly and examine issues on privatizing the downstream public enterprise both in the short run and long run in the vertically related markets. We first show that the welfare-maximizing public monopoly firm is suboptimal in the vertically related markets. This is due to the fact that the privatization will reduce the input price charged by the upstream foreign monopolist. Further, the privatization will induce the entry of private firms since input price will decrease after privatization. Third, we demonstrate that the complete privatizing the public firm becomes a possible solution if the entry cost of private firm is low. Finally, we indicate that the public firm should partially privatize if the free-entry of private firms is allowed. JEL classification: F12, F14, L32, L33

Keywords: free entry, mixed oligopoly, public monopoly, the initiation of privatization, vertically related markets, mixed oligopoly

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Authors: Muhammad Tariq, Hammad Tahir, Fawwad Mahmood Butt

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Purpose: This study attempts to examine the best forecasting methodologies in the time series. The time series forecasting models such as VAR, ARCH and the ARMA are considered for the analysis. Methodology: The Bench Marks or the parameters such as Adjusted R square, F-stats, Durban Watson, and Direction of the roots have been critically and empirically analyzed. The empirical analysis consists of time series data of Consumer Price Index and Closing Stock Price. Findings: The results show that the VAR model performed better in comparison to other models. Both the reliability and significance of VAR model is highly appreciable. In contrary to it, the ARCH model showed very poor results for forecasting. However, the results of ARMA model appeared double standards i.e. the AR roots showed that model is stationary and that of MA roots showed that the model is invertible. Therefore, the forecasting would remain doubtful if it made on the bases of ARMA model. It has been concluded that VAR model provides best forecasting results. Practical Implications: This paper provides empirical evidences for the application of time series forecasting model. This paper therefore provides the base for the application of best time series forecasting model.

Keywords: forecasting, time series, auto regression, ARCH, ARMA

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Authors: T. Wejrzanowski, M. Grybczuk, E. Tymicki, K. J. Kurzydlowski

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In the present study numerical simulations silicon carbide single crystal growth process in Physical Vapor Transport reactor are addressed. Silicon Carbide is a perspective material for many applications in modern electronics. One of the main challenges for wider applications of SiC is high price of high quality mono crystals. Improvement of silicon carbide manufacturing process has a significant influence on the product price. Better understanding of crystal growth allows for optimization of the process, and it can be achieved by numerical simulations. In this work Virtual Reactor software was used to simulate the process. Predicted geometrical properties of the final product and information about phenomena occurring inside process reactor were obtained. The latter is especially valuable because reactor chamber is inaccessible during the process due to high temperature inside the reactor (over 2000˚C). Obtained data was used for improvement of the process and reactor geometry. Resultant crystal quality was also predicted basing on crystallization front shape evolution and threading dislocation paths. Obtained results were confronted with experimental data and the results are in good agreement.

Keywords: Finite Volume Method, semiconductors, Physical Vapor Transport, silicon carbide

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Authors: Rosdyana Mangir Irawan Kusuma, Wei-Chun Kao, Ho-Thi Trang, Yu-Yen Ou, Kai-Lung Hua

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Stock market prediction is still a challenging problem because there are many factors that affect the stock market price such as company news and performance, industry performance, investor sentiment, social media sentiment, and economic factors. This work explores the predictability in the stock market using deep convolutional network and candlestick charts. The outcome is utilized to design a decision support framework that can be used by traders to provide suggested indications of future stock price direction. We perform this work using various types of neural networks like convolutional neural network, residual network and visual geometry group network. From stock market historical data, we converted it to candlestick charts. Finally, these candlestick charts will be feed as input for training a convolutional neural network model. This convolutional neural network model will help us to analyze the patterns inside the candlestick chart and predict the future movements of the stock market. The effectiveness of our method is evaluated in stock market prediction with promising results; 92.2% and 92.1 % accuracy for Taiwan and Indonesian stock market dataset respectively.

Keywords: candlestick chart, deep learning, neural network, stock market prediction

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Authors: Nikolaos Georgantzis, Efi Vasileiou

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We present results from experimental price-setting oligopolies in which green firms undertake different levels of energy-saving investments motivated by public subsidies and demand-side advantages. We find that consumers reveal higher willingness to pay for greener sellers’ products. This observation in conjunction to the fact that greener sellers set higher prices is compatible with the use and interpretation of energy-saving behaviour as a differentiation strategy. However, sellers do not exploit the resulting advantage through sufficiently high price-cost margins, because they seem trapped into “run to stay still” competition. Regarding the use of public subsidies to energy-saving sellers we uncover an undesirable crowding-out effect of consumers’ intrinsic tendency to support green manufacturers. Namely, consumers may be less willing to support a green seller whose energy-saving strategy entails a direct financial benefit. Finally, we disentangle two alternative motivations for consumer’s attractions to pro-social firms; first, the self-interested recognition of the firm’s contribution to the public and private welfare and, second, the need to compensate a firm for the cost entailed in each pro-social action. Our results show the prevalence of the former over the latter.

Keywords: corporate social responsibility, energy savings, public good, experiments, vertical differentiation, altruism

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Authors: S. Hamid Mirmohammadi, Shahrazad Tamjidzad

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This paper is concerned with the single-item continuous review inventory system in which demand is stochastic and discrete. The budget consumed for purchasing the ordered items is not restricted but it incurs extra cost when exceeding specific value. The unit purchasing price depends on the quantity ordered under the all-units discounts cost structure. In many actual systems, the budget as a resource which is occupied by the purchased items is limited and the system is able to confront the resource shortage by charging more costs. Thus, considering the resource shortage costs as a part of system costs, especially when the amount of resource occupied by the purchased item is influenced by quantity discounts, is well motivated by practical concerns. In this paper, an optimization problem is formulated for finding the optimal (R, Q) policy, when the system is influenced by the budget limitation and a discount pricing simultaneously. Properties of the cost function are investigated and then an algorithm based on a one-dimensional search procedure is proposed for finding an optimal (R, Q) policy which minimizes the expected system costs .

Keywords: (R, Q) policy, stochastic demand, backorders, limited resource, quantity discounts

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Authors: Jerry Gyimah, Ernest Kissi, Safowaa Osei-Tutu, Charles Dela Adobor, Theophilus Adjei-Kumi, Ernest Osei-Tutu

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Price fluctuation contract is imperative and of paramount essence, in the construction industry as it provides adequate relief and cushioning for changes in the prices of input resources during construction. As a result, several methods have been devised to better help in arriving at fair recompense in the event of price changes. However, stakeholders often appear not to be satisfied with the existing methods of fluctuation evaluation, ostensibly because of the challenges associated with them. The aim of this study was to identify the challenges to the usage of building construction cost indices in Ghana. Data was gathered from contractors and quantity surveying firms. The study utilized a survey questionnaire approach to elicit responses from the contractors and the consultants. Data gathered was analyzed scientifically, using the relative importance index (RII) to rank the problems associated with the existing methods. The findings revealed the following, among others, late release of data, inadequate recovery of costs, and work items of interest not included in the published indices as the main challenges of the existing methods. Findings provide useful lessons for policymakers and practitioners in decision making towards the usage and improvement of available indices.

Keywords: building construction cost indices, challenges, usage, Ghana

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Authors: Concepcion Gonzalez-Concepcion, Maria Candelaria Gil-Fariña, Celina Pestano-Gabino

Abstract:

We analyze six relevant economic and financial variables for the period 2000M1-2015M3 in the context of the Spanish economy: a financial index (IBEX35), a commodity (Crude Oil Price in euros), a foreign exchange index (EUR/USD), a bond (Spanish 10-Year Bond), the Spanish National Debt and the Consumer Price Index. The goal of this paper is to analyze the main relations between them by computing the Wavelet Power Spectrum and the Cross Wavelet Coherency associated with Morlet wavelets. By using a special toolbox in MATLAB, we focus our interest on the period variable. We decompose the time-frequency effects and improve the interpretation of the results by non-expert users in the theory of wavelets. The empirical evidence shows certain instability periods and reveals various changes and breaks in the causality relationships for sample data. These variables were individually analyzed with Daubechies Wavelets to visualize high-frequency variance, seasonality, and trend. The results are included in Proceeding 20th International Academic Conference, 2015, International Institute of Social and Economic Sciences (IISES), Madrid.

Keywords: economic and financial variables, Spain, time-frequency domain, wavelet coherency

Procedia PDF Downloads 241

Authors: Michael Kenomore, Mohamed Hassan, Amjad Shah, Hom Dhakal

Abstract:

Shale gas reservoirs have been of greater importance compared to shale oil reservoirs since 2009 and with the current nature of the oil market, understanding the technical and economic performance of shale gas reservoirs is of importance. Using the Barnett shale as a case study, an economic model was developed to quantify the effect of finding and development costs and gas prices on the basins in the Barnett shale using net present value as an evaluation parameter. A rate of return of 20% and a payback period of 60 months or less was used as the investment hurdle in the model. The Barnett was split into four basins (Strawn Basin, Ouachita Folded Belt, Forth-worth Syncline and Bend-arch Basin) with analysis conducted on each of the basin to provide a holistic outlook. The dataset consisted of only horizontal wells that started production from 2008 to at most 2015 with 1835 wells coming from the strawn basin, 137 wells from the Ouachita folded belt, 55 wells from the bend-arch basin and 724 wells from the forth-worth syncline. The data was analyzed initially on Microsoft Excel to determine the estimated ultimate recoverable (EUR). The range of EUR from each basin were loaded in the Palisade Risk software and a log normal distribution typical of Barnett shale wells was fitted to the dataset. Monte Carlo simulation was then carried out over a 1000 iterations to obtain a cumulative distribution plot showing the probabilistic distribution of EUR for each basin. From the cumulative distribution plot, the P10, P50 and P90 EUR values for each basin were used in the economic model. Gas production from an individual well with a EUR similar to the calculated EUR was chosen and rescaled to fit the calculated EUR values for each basin at the respective percentiles i.e. P10, P50 and P90. The rescaled production was entered into the economic model to determine the effect of the finding and development cost and gas price on the net present value (10% discount rate/year) as well as also determine the scenario that satisfied the proposed investment hurdle. The finding and development costs used in this paper (assumed to consist only of the drilling and completion costs) were £1 million, £2 million and £4 million while the gas price was varied from $2/MCF-$13/MCF based on Henry Hub spot prices from 2008-2015. One of the major findings in this study was that wells in the bend-arch basin were least economic, higher gas prices are needed in basins containing non-core counties and 90% of the Barnet shale wells were not economic at all finding and development costs irrespective of the gas price in all the basins. This study helps to determine the percentage of wells that are economic at different range of costs and gas prices, determine the basins that are most economic and the wells that satisfy the investment hurdle.

Keywords: shale gas, Barnett shale, unconventional gas, estimated ultimate recoverable

Procedia PDF Downloads 302

Authors: Wei Yao, Constantinos Alexiou

Abstract:

In the existing literature, many studies have focused on the implementation and effectiveness of quantitative easing (QE) since 2008, but only a few have evaluated QE’s effect on commodity prices. In this context, by following Frankel’s (1986) commodity price overshooting model, we study the dynamic covariation between the expected real interest rates and six agricultural commodities’ real returns over the period from 2000:1 to 2018 for the US economy. We use wavelet analysis to investigate the causal relationship and co-movement of time series data by calculating the coefficient of determination in different frequencies. We find that a) US unconventional monetary policy may cause more positive and significant covariation between the expected real interest rates and agricultural commodities’ real returns over the short horizons; b) a lead-lag relationship that runs from agricultural commodities’ real returns to the expected real short-term interest rates over the long horizons; and c) a lead-lag relationship from agricultural commodities’ real returns to the expected real long-term interest rates over short horizons. In the realm of monetary policy, we argue that QE may shift the negative relationship between most commodities’ real returns and the expected real interest rates to a positive one over a short horizon.

Keywords: QE, commodity price, interest rate, wavelet coherence

Procedia PDF Downloads 89

Authors: Arjun Paul, Adrijit Goswami

Abstract:

In our present work, an economic order quantity inventory model with shortages is developed where holding cost is expressed as linearly increasing function of time and demand rate is a ramp type function of time. The items considered in the model are deteriorating in nature so that a small fraction of the items is depleted with the passage of time. In order to consider a more realistic situation, the deterioration rate is assumed to follow a continuous uniform distribution with the parameters involved being triangular fuzzy numbers. The inventory manager offers his customer a discount in case he is willing to backorder his demand when there is a stock-out. The optimum ordering policy and the optimum discount offered for each backorder are determined by minimizing the total cost in a replenishment interval. For better illustration of our proposed model in both the crisp and fuzzy sense and for providing richer insights, a numerical example is cited to exemplify the policy and to analyze the sensitivity of the model parameters.

Keywords: fuzzy deterioration rate, price discount on backorder, ramp type demand, shortage, time varying holding cost

Procedia PDF Downloads 199