Search results for: realized volatility

Authors: Ons Triki, Fathi Abid

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Along with the increase in the use of leasing contracts in corporate finance, multiple studies aim to model the credit risk of the lease in order to cover the losses of the lessor of the asset if the lessee goes bankrupt. In the current research paper, a convertible lease contract is elaborated in a continuous time stochastic universe aiming to ensure the financial stability of the firm and quickly recover the losses of the counterparties to the lease in case of default. This work examines the term structure of the lease rates taking into account the credit default risk and the capital structure of the firm. The interaction between the lessee's capital structure and the equilibrium lease rate has been assessed by applying the competitive lease market argument developed by Grenadier (1996) and the endogenous structural default model set forward by Leland and Toft (1996). The cumulative probability of default was calculated by referring to Leland and Toft (1996) and Yildirim and Huan (2006). Additionally, the link between lessee credit risk and lease rate was addressed so as to explore the impact of convertible lease financing on the term structure of the lease rate, the optimal leverage ratio, the cumulative default probability, and the optimal firm value by applying an endogenous conversion threshold. The numerical analysis is suggestive that the duration structure of lease rates increases with the increase in the degree of the market price of risk. The maximal value of the firm decreases with the effect of the optimal leverage ratio. The results are indicative that the cumulative probability of default increases with the maturity of the lease contract if the volatility of the asset service flows is significant. Introducing the convertible lease contract will increase the optimal value of the firm as a function of asset volatility for a high initial service flow level and a conversion ratio close to 1.

Keywords: convertible lease contract, lease rate, credit-risk, capital structure, default probability

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Authors: Badrane Nohayla, Bamousse Zineb

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Financial crises, exchange rate volatility, fluctuations in commodity prices, increased competitive pressures, and environmental issues are all threats that businesses face. In light of these diverse challenges, proactive, agile, and innovative cash management becomes an indispensable financial shield, allowing companies to thrive despite the adverse conditions of the global environment. In the same spirit, uncertainty, turbulence, volatility, and competitiveness continue to disrupt economic environments, compelling companies to swiftly master innovative breakthroughs that provide added value. In such a context, innovation emerges as a catalytic vector for performance, aiming to reduce costs, strengthen growth, and ultimately ensure the sustainability of Moroccan companies in the national arena. Moreover, innovation in treasury management promises to be one of the key pillars of financial stability, enabling companies to navigate the tumultuous waters of a globalized environment. Therefore, the objective of this study is to better understand the impact of innovative treasury management on cost optimization and, by extension, performance improvement. To elucidate this relationship, we conducted an exploratory qualitative study with 20 large Moroccan companies operating in the Casablanca-Settat region. The results highlight that innovation at the heart of treasury management is a guarantee of sustainability against the risks of failure and stands as a true pivot of the performance of Moroccan companies, an important parameter of their financial balance and a catalytic vector of their growth in the national economic landscape. In this regard, this study aims to provide answers to the following question: To what extent does innovation at the core of the treasury function prove to be the indispensable shield to boost performance while optimizing costs for large Moroccan companies?

Keywords: innovative cash management, artificial intelligence (ai), financial performance, risk management, cost savings

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Authors: Xiaobin Liang, Wei Liang, Laibin Zhang, Xiaoyan Guo

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Pipelines pass through coal mined gobs inevitably in the mining area, the stability of which has great influence on the safety of pipelines. After extensive literature study and field research, it was found that there are a few risk assessment methods for coal mined gob pipelines, and there is a lack of data on the gob sites. Therefore, the fuzzy comprehensive evaluation method is widely used based on expert opinions. However, the subjective opinions or lack of experience of individual experts may lead to inaccurate evaluation results. Hence the accuracy of the results needs to be further improved. This paper presents a comprehensive approach to achieve this purpose by combining bow-tie model and cloud inference. The specific evaluation process is as follows: First, a bow-tie model composed of a fault tree and an event tree is established to graphically illustrate the probability and consequence indicators of pipeline failure. Second, the interval estimation method can be scored in the form of intervals to improve the accuracy of the results, and the censored mean algorithm is used to remove the maximum and minimum values of the score to improve the stability of the results. The golden section method is used to determine the weight of the indicators and reduce the subjectivity of index weights. Third, the failure probability and failure consequence scores of the pipeline are converted into three numerical features by using cloud inference. The cloud inference can better describe the ambiguity and volatility of the results which can better describe the volatility of the risk level. Finally, the cloud drop graphs of failure probability and failure consequences can be expressed, which intuitively and accurately illustrate the ambiguity and randomness of the results. A case study of a coal mine gob pipeline carrying natural gas has been investigated to validate the utility of the proposed method. The evaluation results of this case show that the probability of failure of the pipeline is very low, the consequences of failure are more serious, which is consistent with the reality.

Keywords: bow-tie model, natural gas pipeline, coal mine gob, cloud inference

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Authors: Paúl I. Cornejo

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The elastic energy released through Strombolian explosions has been quite studied, detailing various processes, sources, and precursory events at several volcanoes. We realized an analysis based on the relative partitioning of the elastic energy radiated into the atmosphere and ground by Strombolian-type explosions recorded at El Reventador volcano, using infrasound and seismic signals at high and moderate seismicity episodes during intense eruptive stages of explosive and effusive activity. Our results show that considerable values of Volcano Acoustic-Seismic Ratio (VASR or η) are obtained at high seismicity stages. VASR is a physical diagnostic of explosive degassing that we used to compare eruption mechanisms at El Reventador volcano for two datasets of explosions recorded at a Broad-Band BB seismic and infrasonic station located at ~5 kilometers from the vent. We conclude that the acoustic energy EA released during explosive activity (VASR η = 0.47, standard deviation σ = 0.8) is higher than the EA released during effusive activity; therefore, producing the highest values of η. Furthermore, we realized the analysis and characterization of the eruptive intensity for two episodes at high seismicity, calculating a η three-time higher for an episode of effusive activity with an occasional explosive component (η = 0.32, and σ = 0.42), than a η for an episode of only effusive activity (η = 0.11, and σ = 0.18), but more energetic.

Keywords: effusive, explosion quakes, explosive, Strombolian, VASR

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Authors: Zhan Panpan, Lu Lan, Sun Yong, He Xiongwen, Yan Dong, Gu Ming

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The function of the two spacecraft docking network, the communication and control of a docking target with various spacecrafts is realized in the space lab data management system. In order to solve the problem of the complex data communication mode between the space lab and various spaceships, and the problem of software reuse caused by non-standard protocol, a data management software system supporting rendezvous and docking with various spaceships has been designed. The software system is based on CCSDS Spcecraft Onboard Interface Service(SOIS). It consists of Software Driver Layer, Middleware Layer and Appliaction Layer. The Software Driver Layer hides the various device interfaces using the uniform device driver framework. The Middleware Layer is divided into three lays, including transfer layer, application support layer and system business layer. The communication of space lab plaform bus and the docking bus is realized in transfer layer. Application support layer provides the inter tasks communitaion and the function of unified time management for the software system. The data management software functions are realized in system business layer, which contains telemetry management service, telecontrol management service, flight status management service, rendezvous and docking management service and so on. The Appliaction Layer accomplishes the space lab data management system defined tasks using the standard interface supplied by the Middleware Layer. On the basis of layered architecture, rendezvous and docking tasks and the rendezvous and docking management service are independent in the software system. The rendezvous and docking tasks will be activated and executed according to the different spaceships. In this way, the communication management functions in the independent flight mode, the combination mode of the manned spaceship and the combination mode of the cargo spaceship are achieved separately. The software architecture designed standard appliction interface for the services in each layer. Different requirements of the space lab can be supported by the use of standard services per layer, and the scalability and flexibility of the data management software can be effectively improved. It can also dynamically expand the number and adapt to the protocol of visiting spaceships. The software system has been applied in the data management subsystem of the space lab, and has been verified in the flight of the space lab. The research results of this paper can provide the basis for the design of the data manage system in the future space station.

Keywords: space lab, rendezvous and docking, data management, software system

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Authors: Damien Kunjal, Faeezah Peerbhai

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Despite the increasing popularity of exchange-traded funds (ETFs), ETF investment choices may not always be rational. Excess trading volume, misevaluations of securities, and excess return volatility present in financial markets can be attributed to the influence of the overconfidence bias. Whilst previous research has explored the overconfidence bias in stock markets; this study focuses on trading in ETF markets. Therefore, the objective of this study is to investigate the presence of investor overconfidence in the South African ETF market. Using vector autoregressive models, the lead-lag relationship between market turnover and the market return is examined for the market of South African ETFs tracking domestic benchmarks and for the market of South African ETFs tracking international benchmarks over the period November 2000 till August 2019. Consistent with the overconfidence hypothesis, a positive relationship between current market turnover and lagged market return is found for both markets, even after controlling for market volatility and cross-sectional dispersion. This relationship holds for both market and individual ETF turnover suggesting that investors are overconfident when trading in South African ETFs tracking domestic benchmarks and South African ETFs tracking international benchmarks since trading activity depends on past market returns. Additionally, using the global recession as a structural break, this study finds that investor overconfidence is more pronounced after the global recession suggesting that investors perceive ETFs as risk-reducing assets due to their diversification benefits. Overall, the results of this study indicate that the overconfidence bias has a significant influence on ETF investment choices, therefore, suggesting that the South African ETF market is inefficient since investors’ decisions are based on their biases. As a result, the effect of investor overconfidence can account for the difference between the fair value of ETFs and its current market price. This finding has implications for policymakers whose responsibility is to promote the efficiency of the South African ETF market as well as ETF investors and traders who trade in the South African ETF market.

Keywords: exchange-traded fund, market return, market turnover, overconfidence, trading activity

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Authors: Elisa Menicucci, Guido Paolucci

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Purpose: The aim of this paper is to investigate the factors influencing profitability in the Italian hospitality industry during the period 2008-2016. Design/methodology/approach: This study examines the profitability and its determinants using a sample of 2366 Italian hotel firms. First, we use a multidimensional measure of profitability including attributes as return on equity, return on assets and occupancy rate. Second, we examine variables that are potentially related with performance and we sort these into five categories: market variables, business model, ownership structure, management education and control variables. Findings: The results show that financial crisis, business model and ownership structure influence profitability of hotel firms. Specific factors such as the internationalization, location, firm’s declaring accommodation as their primary activity and chain affiliation are associated positively with profitability. We also find that larger hotel firms have higher performance rankings, while hotels with higher operating cash flow volatility, greater sales volatility and a higher occurrence of losses have lower profitability. Research limitations/implications: Findings suggest the importance of considering firm specific factors to evaluate the profitability of a hotel firm. Results also provide evidence for academics to critically evaluate factors that would ensure profitability of hotels in developed countries such as Italy. Practical implications: This investigation offers valuable information and strategic implications for government, tourism policymakers, tourist hotel owners, hoteliers and tourism managers in their decision-making. Originality/value: This paper provides interesting insights into the characteristics and practices of profitable hotels in Italy. Few econometric studies empirically explored the determinants of performance in the European hospitality field so far. Therefore, this paper tries to close an important gap in the existing literature improving the understanding of profitability in the Italian hospitality industry.

Keywords: hotel firms, profitability, determinants, Italian hospitality industry

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Authors: Adeel Zulifqar, Hong Hu

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Auxetic fabrics are a special kind of textile materials which possess negative Poisson’s ratio. Opposite to most of the conventional fabrics, auxetic fabrics get bigger in the transversal direction when stretched or get smaller when compressed. Auxetic fabrics are superior to conventional fabrics because of their counterintuitive properties, such as enhanced porosity under the extension, excellent formability to a curved surface and high energy absorption ability. Up till today, auxetic fabrics have been produced based on two approaches. The first approach involves using auxetic fibre or yarn and weaving technology to fabricate auxetic fabrics. The other method to fabricate the auxetic fabrics is by using non-auxetic yarns. This method has gained extraordinary curiosity of researcher in recent years. This method is based on realizing auxetic geometries into the fabric structure. In the woven fabric structure auxetic geometries can be realized by creating a differential shrinkage phenomenon into the fabric structural unit cell. This phenomenon can be created by using loose and tight weave combinations within the unit cell of interlacement pattern along with elastic and non-elastic yarns. Upon relaxation, the unit cell of interlacement pattern acquires a non-uniform shrinkage profile due to different shrinkage properties of loose and tight weaves in designed pattern, and the auxetic geometry is realized. The development of uni-stretch auxetic woven fabrics and bi-stretch auxetic woven fabrics by using this method has already been reported. This study reports the development of another kind of bi-stretch auxetic woven fabric. The fabric is first designed by transforming the auxetic geometry into interlacement pattern and then fabricated, using the available conventional weaving technology and non-auxetic elastic and non-elastic yarns. The tensile tests confirmed that the developed bi-stretch auxetic woven fabrics exhibit negative Poisson’s ratio over a wide range of tensile strain. Therefore, it can be concluded that the auxetic geometry can be realized into the woven fabric structure by creating the phenomenon of differential shrinkage and bi-stretch woven fabrics made of non-auxetic yarns having auxetic behavior and stretchability are possible can be obtained. Acknowledgement: This work was supported by the Research Grants Council of Hong Kong Special Administrative Region Government (grant number 15205514).

Keywords: auxetic, differential shrinkage, negative Poisson's ratio, weaving, stretchable

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Authors: Periklis Brakatsoulas

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Recent empirical research shows a growing interest in investment decision-making under market anomalies that contradict the rational paradigm. Momentum is undoubtedly one of the most robust anomalies in the empirical asset pricing research and remains surprisingly lucrative ever since first documented. Although predominantly phenomena identified across equities, momentum premia are now evident across various asset classes. Yet few many attempts are made so far to provide traders a diversified portfolio of strategies across different assets and markets. Moreover, literature focuses on patterns from past returns rather than mechanisms to signal future price directions prior to momentum runs. The aim of this paper is to develop a diversified portfolio approach to price distortion signals using daily position data on stocks, credit derivatives, and bonds. An algorithm allocates assets periodically, and new investment tactics take over upon price momentum signals and across different ranking groups. We focus on momentum life cycles, trend reversals, and price acceleration signals. The main effort here concentrates on the density, time span and maturity of momentum phenomena to identify consistent patterns over time and measure the predictive power of buy-sell signals generated by these anomalies. To tackle this, we propose a two-stage modelling process. First, we generate forecasts on core macroeconomic drivers. Secondly, satellite models generate market risk forecasts using the core driver projections generated at the first stage as input. Moreover, using a combination of the ARFIMA and FIGARCH models, we examine the dependence of consecutive observations across time and portfolio assets since long memory behavior in volatilities of one market appears to trigger persistent volatility patterns across other markets. We believe that this is the first work that employs evidence of volatility transmissions among derivatives, equities, and bonds to identify momentum life cycle patterns.

Keywords: forecasting, long memory, momentum, returns

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Authors: Mia Françoise

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This report aims to develop a strategy for assisting short-term investors to benefit from the current economic climate in South Africa by utilizing technical analysis techniques and predictive analytics. As part of this research, value investing and technical analysis principles will be combined to maximize returns for South African investors while optimizing volatility. As an emerging market, South Africa offers many opportunities for high growth in sectors where other developed countries cannot grow at the same rate. Investing in South African companies with significant growth potential can be extremely rewarding. Although the risk involved is more significant in countries with less developed markets and infrastructure, there is more room for growth in these countries. According to recent research, the offshore market is expected to outperform the local market over the long term; however, short-term investments in the local market will likely be more profitable, as the Johannesburg Stock Exchange is predicted to outperform the S&P500 over the short term. The instabilities in the economy contribute to increased market volatility, which can benefit investors if appropriately utilized. Price prediction and portfolio optimization comprise the two primary components of this methodology. As part of this process, statistics and other predictive modeling techniques will be used to predict the future performance of stocks listed on the Johannesburg Stock Exchange. Following predictive data analysis, Modern Portfolio Theory, based on Markowitz's Mean-Variance Theorem, will be applied to optimize the allocation of assets within an investment portfolio. By combining different assets within an investment portfolio, this optimization method produces a portfolio with an optimal ratio of expected risk to expected return. This methodology aims to provide a short-term investment with a stock portfolio that offers the best risk-to-return profile for stocks listed on the JSE by combining price prediction and portfolio optimization.

Keywords: financial stocks, optimized asset allocation, prediction modelling, South Africa

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Authors: Mateusz Paszko, Ksenia Siadkowska

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Due to the low-altitude and relatively low-speed flight, helicopters are easy targets for actual combat assets e.g. infrared-guided missiles. Current techniques aim to increase the combat effectiveness of the military helicopters. Protection of the helicopter in flight from early detection, tracking and finally destruction can be realized in many ways. One of them is cooling hot exhaust gasses, emitting from the engines to the atmosphere in special heat exchangers. Nowadays, this process is realized in ejective coolers, where strong heat and momentum exchange between hot exhaust gases and cold air ejected from atmosphere takes place. Flow effects of air, exhaust gases; mixture of those two and the heat transfer between cold air and hot exhaust gases are given by differential equations of: Mass transportation–flow continuity, ejection of cold air through expanding exhaust gasses, conservation of momentum, energy and physical relationship equations. Calculation of those processes in ejective cooler by means of classic mathematical analysis is extremely hard or even impossible. Because of this, it is necessary to apply the numeric approach with modern, numeric computer programs. The paper discussed the general usability of the Computational Fluid Dynamics (CFD) in a process of projecting the ejective exhaust gases cooler cooperating with helicopter turbine engine. In this work, the CFD calculations have been performed for ejective-based cooler cooperating with the PA W3 helicopter’s engines.

Keywords: aviation, CFD analysis, ejective-cooler, helicopter techniques

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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: 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: Albert Perez-Bellmunt, Eila Rivera, Aida Valls, Berta Estragues, Sara Ortiz, Roberto Seijas, Pedro Alvarez

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INTRODUCTION: Physical and sports activity on a regular basis present numerous health benefits such as the prevention of cardiovascular and metabolic diseases. Also, there is a relation between sport and the psychological or the cognitive process of children and young people. The objective of the present study is to know if the sports practice has any positive influence on the university academic performance. MATERIALS AND METHODS: The level of the physical activity of 220 students of different degrees in health science was evaluated and compared with the academic results (grades). To assess the level of physical and sports activity, the Global Physical Activity Questionnaire (to calculate the sporting level in a general way) and the International Physical Activity Questionnaire (to estimate the physical activity carried out during the days leading up to the academic exams) were used. RESULTS: The students that realized an average level of sports activity the days before the exam obtained better grades than the rest of their classmate and the result was statistically significant. Controversially, if the sports level was analyzed in a general way, no relationship was observed between academic performance and the level of sport realized. CONCLUSION: A moderate physical activity, on the days leading up to an assessment, can be a positive factor for the university academic performance. Despite the fact that a regular sports activity improves many cognitive and physiological processes, the present study did not observe a direct relationship between sport/physical activity and academic performance.

Keywords: academic performance, academic results, global physical activity questionnaire, physical activity questionnaire, sport, sport practice

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Authors: Adam Kurnicki, Bartłomiej Stanczyk, Bartosz Kania

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This paper presents development of the light-weight manipulator with series elastic actuation for medical telediagnostics (USG examination). General structure of realized impedance control algorithm was shown. It was described how to perform force measurements based mainly on elasticity of manipulator links.

Keywords: telediagnostics, elastic manipulator, impedance control, force measurement

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Authors: Yusuf Turan

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Definition of Intellectual Property Rights according to the World Intellectual Property Organization: " Intellectual property (IP) refers to creations of the mind, such as inventions; literary and artistic works; designs; and symbols, names and images used in commerce." It states as follows. There are 2 important points in the definition; we can say that it is the result of intellectual activities that occur by one or more than one PERSON and as INNOVATION. When the history and development of the relevant definitions are briefly examined, it is realized that these two points have remained constant and Intellectual Property law and rights have been shaped around these two points. With the expansion of the scope of the term Intellectual Property as a result of the development of technology, especially in the field of artificial intelligence, questions such as "Can "Artificial Intelligence" be an inventor?" need to be resolved within the expanding scope. In the past years, it was ruled that the artificial intelligence named DABUS seen in the USA did not meet the definition of "individual" and therefore would be an inventor/inventor. With the developing technology, it is obvious that we will encounter such situations much more frequently in the field of intellectual property. While expanding the scope, we should definitely determine the boundaries of how we should decide who performs the mental activity or creativity that we call indispensable on the inventor/inventor according to these problems. As a result of all these problems and innovative situations, it is clearly realized that not only Intellectual Property Law and Rights but also their definitions need to be updated and improved. Ignoring the situations that are outside the scope of the current Intellectual Property Term is not enough to solve the problem and brings uncertainty. The fact that laws and definitions that have been operating on the same theories for years exclude today's innovative technologies from the scope contradicts intellectual property, which is expressed as a new and innovative field. Today, as a result of the innovative creation of poetry, painting, animation, music and even theater works with artificial intelligence, it must be recognized that the definition of Intellectual Property must be revised.

Keywords: artificial intelligence, innovation, the term of intellectual property, right

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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

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Authors: Valeria Bondarenko

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We proposed algorithms for: estimation of parameters fBm (volatility and Hurst exponent) and for the approximation of random time series by functional of fBm. We proved the consistency of the estimators, which constitute the above algorithms, and proved the optimal forecast of approximated time series. The adequacy of estimation algorithms, approximation, and forecasting is proved by numerical experiment. During the process of creating software, the system has been created, which is displayed by the hierarchical structure. The comparative analysis of proposed algorithms with the other methods gives evidence of the advantage of approximation method. The results can be used to develop methods for the analysis and modeling of time series describing the economic, physical, biological and other processes.

Keywords: mathematical model, random process, Wiener process, fractional Brownian motion

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Authors: Anatoliy Kharkhurin

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Modifications that the prefix ‘trans-‘ refers to start within a person. This presentation focuses on the transpersonal that goes beyond the individual (trans-personal) to encompass wider aspects of humanities, specifically peak experience as a culminating stage of the creative act. It proposes a model according to which the peak experience results from a harmonious vibration of four spheres, which transcend an individual’s capacities and bring one to a qualitatively different level of experience. Each sphere represents an aspect of creative activity: superconscious, intellectual, emotive and active. Each sphere corresponds to one of four creative functions: authenticity, novelty, aesthetics, and utility, respectively. The creative act starts in the superconscious sphere: the supreme pleasure of Creation is reflected in creative pleasure, which is realized in creative will. These three instances serve as a source of force axes, which penetrate other spheres, and in place of infiltration establish restrictive, expansive, and integrative principles, respectively; the latter balances the other two and ensures a harmonious vibration within a sphere. This Hegelian-like triad is realized within each sphere in the form of creative capacities. The intellectual sphere nurtures capacities to invent and to elaborate, which are integrated by capacity to conceptualize. The emotive sphere nurtures satiation and restrictive capacities integrated by capacity to balance. The active sphere nurtures goal orientation and stabilization capacities integrated by capacity for self-expression. All four spheres vibrate within each other – the superconscious sphere being in the core of the structure followed by intellectual, emotive, and active spheres, respectively – thereby reflecting the path of creative production. If the spheres vibrate in-phase, their amplitudes amplify the creative energy; if in antiphase – the amplitudes reduce the creative energy. Thus, creative act is perceived as continuum with perfectly harmonious vibration within and between the spheres on one side and perfectly disharmonious vibration on the other.

Keywords: creativity, model, transpersonal, peak experience

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Authors: Pilly Joseph Kagosi

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The study aims at assessing challenges observed during implementation of participatory irrigation management (PIM) approach for food security in semi-arid areas of Tanzania. Data were collected through questionnaire, PRA tools, key informants discussion, Focus Group Discussion (FGD), participant observation and literature review. Data collected from questionnaire was analyzed using SPSS while PRA data was analyzed with the help of local communities during PRA exercise. Data from other methods were analyzed using content analysis. The study revealed that PIM approach has contribution in improved food security at household level due to involvement of communities in water management activities and decision making which enhanced availability of water for irrigation and increased crop production. However there were challenges observed during implementation of the approach including; minimum participation of beneficiaries in decision making during planning and designing stages, meaning inadequate devolution of power among scheme owners; Inadequate and lack of transparency on income expenditure in Water Utilization Associations’ (WUAs), water conflict among WUAs members, conflict between farmers and livestock keepers and conflict between WUAs leaders and village government regarding training opportunities and status; WUAs rules and regulation are not legally recognized by the National court and few farmers involved in planting trees around water sources. However it was realized that some of the mentioned challenges were rectified by farmers themselves facilitated by government officials. The study recommends that, the identified challenges need to be rectified for farmers to realize impotence of PIM approach as it was realized by other Asian countries.

Keywords: potentials of implementing participatory approach, challenges of participatory approach, irrigation management, Tanzania

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Authors: Iman Shabanzadeh

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The economic growth and the special model of development in China have caused sensitivity in the public opinion of the world regarding the nature of this growth and development. In this regard, the Chinese have tried to put an end to such alarming procedures by using all the tools at their disposal and seek to present a peaceful and cooperative image of themselves. In this way, one of the most important diplomatic tools that Beijing has used to reduce the concerns caused by the Threat Theory has been the use of soft power resources and its tools in its development policies. This article begins by analyzing the concept of soft power and examining its foundations in international relations, and continues to examine the components of soft power in its Chinese version. The main purpose of the article is to figure out about the position of West Asia in China's soft power strategy and resources China use to achieve its goals in this region. In response to the main question, the paper's hypothesis is that soft power in its Chinese version had significant differences from Joseph Nye's original idea. In fact, the Chinese have imported the American version of soft power and adjusted, strengthened and, in other words, internalized it with their abilities, capacities and political philosophy. Based on this, China's software presence in West Asia can be traced in three areas. The first source of China's soft power in this region of West Asia is cultural in nature and is realized through strategies such as "use of educational tools and methods", "media methods" and "tourism industry". The second source is related to political soft power, which is applied through the policy of "balance of influence" and the policy of "mediation" and relying on the "ideological foundations of Confucianism". The third source also refers to China's economic soft power and is realized through three tools: "energy exchanges", "foreign investments" and "Belt-Road initiative". The research method of this article is descriptive-analytical.

Keywords: soft power, cooperative power, china, west asia

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Authors: Soumaya Ben Kheilifa, Dorra Mezzez Hmaied

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We propose two approaches to examine whether European hedge fund managers can time market liquidity. Using a sample of 1616 European hedge funds, we find evidence of liquidity timing. More importantly, this ability adds economic value to investors. Thus, it represents valuable managerial skill and a major source of European hedge funds’ performance. Also we show that the majority of these funds demonstrate liquidity timing ability especially during liquidity crisis. Finally, it emerged that our main evidence of liquidity timing remains significant after controlling for market timing and volatility timing.

Keywords: european hedge funds, liquidity timing ability, market liquidity, crisis

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Authors: Carine Kawakami

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In French, as well as in English, there are two types of psychological predicate constructions depending on where the experiencer argument is realized; the first type is in the subject position (e.g. Je regrette d’être venu ici. ‘I regret coming here'), hereinafter called ES construction, and the second type is in the object position (e.g. Cette nouvelle m’a surpris. ‘This new surprised me.'), referred as EO construction. In the previous studies about psychological predicates, the syntactic position of the experiencer argument has been just a matter of its connection with the syntactic or semantic structure of the predicate. So that few attentions have been paid to how two types of realization of experiencer are related to the conceptualization of psychological event and to the function of the sentence describing the psychological event, in the sense of speech act theory. In this research, focusing on the French phenomena limited to the first personal pronoun and the present tense, the ES constructions and the EO constructions will be analyzed from cognitive and functional approach. It will be revealed that, due to the possibility to be used in soliloquy and the high co-occurrence with ça (‘it’), the EO constructions may have expressive function to betray what speaker feels in hic et nunc, like interjection. And in the expressive case, the experiencer is construed as a locus where a feeling appears spontaneously and is construed subjectively (e.g. Ah, ça m’énerve! ‘Oh, it irritates me!'). On the other hand, the ES constructions describe speaker’s mental state in an assertive manner rather than the expressive and spontaneously way. In other words, they describe what speaker feels to the interlocutor (e.g. Je suis énervé. ‘I am irritated.'). As a consequence, when the experiencer argument is realized in the subject position, it is construed objectively and have a participant feature in the sense of cognitive grammar. Finally, it will be concluded that the choice of construction type, at least in French, is correlated to the conceptualization of the psychological event and the discourse feature of its expression.

Keywords: french psychological verb, conceptualization, expressive function, assertive function, experiencer realization

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Authors: Yakin Ekin, Onur Akbulut

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This study aims not only to create a summarized background for the effective and efficient use of the potential of Izmir by providing the strategic planning works and institutional and sectoral strategy documents with different purposes realized by all relevant institutions and organizations in Izmir and Aegean Region to steer towards the same priorities and aims, but also focuses on a criticism and comparison viewpoint about tourism sector in Izmir.

Keywords: regional plan, Izmir, tourism, sectoral strategy

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Authors: Pilly Joseph Kagosi

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The study aims at assessing challenges observed during the implementation of participatory irrigation management (PIM) approach for food security in semi-arid areas of Tanzania. Data were collected through questionnaire, PRA tools, key informants discussion, Focus Group Discussion (FGD), participant observation, and literature review. Data collected from the questionnaire was analysed using SPSS while PRA data was analysed with the help of local communities during PRA exercise. Data from other methods were analysed using content analysis. The study revealed that PIM approach has a contribution in improved food security at household level due to the involvement of communities in water management activities and decision making which enhanced the availability of water for irrigation and increased crop production. However, there were challenges observed during the implementation of the approach including; minimum participation of beneficiaries in decision-making during planning and designing stages, meaning inadequate devolution of power among scheme owners. Inadequate and lack of transparency on income expenditure in Water Utilization Associations’ (WUAs), water conflict among WUAs members, conflict between farmers and livestock keepers and conflict between WUAs leaders and village government regarding training opportunities and status; WUAs rules and regulation are not legally recognized by the National court and few farmers involved in planting trees around water sources. However, it was realized that some of the mentioned challenges were rectified by farmers themselves facilitated by government officials. The study recommends that the identified challenges need to be rectified for farmers to realize impotence of PIM approach as it was realized by other Asian countries.

Keywords: challenges, participatory approach, irrigation management, food security, semi arid areas

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Authors: Meng-Jie Hsiao, Cam Nguyen

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Wide-band devices in Ku band (12-18 GHz) and K band (18-27 GHz) have received significant attention for high-data-rate communications and high-resolution sensing. Especially, devices operating around 24 GHz is attractive due to the 24-GHz unlicensed applications. One of the most important components in RF systems is power amplifier (PA). Various PAs have been developed in the Ku and K bands on GaAs, InP, and silicon (Si) processes. Although the PAs using GaAs or InP process could have better power handling and efficiency than those realized on Si, it is very hard to integrate the entire system on the same substrate for GaAs or InP. Si, on the other hand, facilitates single-chip systems. Hence, good PAs on Si substrate are desirable. Especially, Si-based PA having good linearity is necessary for next generation communication protocols implemented on Si. We report a 16.5 to 25.5 GHz Si-based PA having flat saturated power of 19.5 ± 1.5 dBm, output 1-dB power compression (OP1dB) of 16.5 ± 1.5 dBm, and 15-23 % power added efficiency (PAE). The PA consists of a drive amplifier, two main amplifiers, and lump-element Wilkinson power divider and combiner designed and fabricated in TowerJazz 0.18µm SiGe BiCMOS process having unity power gain frequency (fMAX) of more than 250 GHz. The PA is realized as a cascode amplifier implementing both heterojunction bipolar transistor (HBT) and n-channel metal–oxide–semiconductor field-effect transistor (NMOS) devices for gain, frequency response, and linearity consideration. Particularly, a body-floating technique is utilized for the NMOS devices to improve the voltage swing and eliminate parasitic capacitances. The developed PA has measured flat gain of 20 ± 1.5 dB across 16.5-25.5 GHz. At 24 GHz, the saturated power, OP1dB, and maximum PAE are 20.8 dBm, 18.1 dBm, and 23%, respectively. Its high performance makes it attractive for use in Ku/K-band, especially 24 GHz, communication and radar systems. This paper was made possible by NPRP grant # 6-241-2-102 from the Qatar National Research Fund (a member of Qatar Foundation). The statements made herein are solely the responsibility of the authors.

Keywords: power amplifiers, amplifiers, communication systems, radar systems

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Authors: Dhaksha Vivekanandan

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DeFi is a network that avoids reliance on financial intermediaries through its peer-to-peer financial network. DeFi operates outside of government control; hence it is important for us to understand its impacts. This study employs a literature review to understand DeFi and its emergence, as well as its implications on transparency, social impact, and regulation. Further, 3 case studies are analysed within the context of these categories. DeFi’s provision of increased transparency poses environmental and storage costs and can lead to user privacy being endangered. DeFi allows for the provision of entrepreneurial incentives and protection against monetary censorship and capital control. Despite DeFi's transparency issues and volatility costs, it has huge potential to reduce poverty; however, regulation surrounding DeFi still requires further tightening by governments.

Keywords: DeFi, transparency, regulation, social impact

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Authors: Wali Ullah, Muhammad Nishat

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The study investigates the extent to which the so called Nelson-Siegel model (DNS) and its extended version that accounts for time varying volatility (DNS-EGARCH) can optimally fit the yield curve and predict its future path in the context of an emerging economy. For the in-sample fit, both models fit the curve remarkably well even in the emerging markets. However, the DNS-EGARCH model fits the curve slightly better than the DNS. Moreover, both specifications of yield curve that are based on the Nelson-Siegel functional form outperform the benchmark VAR forecasts at all forecast horizons. The DNS-EGARCH comes with more precise forecasts than the DNS for the 6- and 12-month ahead forecasts, while the two have almost similar performance in terms of RMSE for the very short forecast horizons.

Keywords: yield curve, forecasting, emerging markets, Kalman filter, EGARCH

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Authors: Alev Atak

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We study the endogeneity in the cryptocurrency market over the branching ratio of the Hawkes process and evaluate the movement of self-excitability in the financial markets. We consider a semi-parametric self-exciting point process regression model where the excitation function is assumed to be smooth and decreasing but otherwise unspecified, and the baseline intensity is assumed to be a linear function of the regressors. We apply the empirical analysis to the three largest crypto assets, i.e. Bitcoin - Ethereum - Ripple, and provide a comparison with other financial assets such as SP500, Gold, and the volatility index VIX observed from January 2015 to December 2020. The results depict variable and high levels of endogeneity in the basket of cryptocurrencies under investigation, underlining the evidence of a significant role of endogenous feedback mechanisms in the price formation process.

Keywords: hawkes process, cryptocurrency, endogeneity, reflexivity

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Authors: L. Della Ragione, G. Meccariello

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In recent years the progress of the automobile industry in Italy in the field of reduction of emissions values is very remarkable. Nevertheless, their evaluation and reduction is a key problem, especially in the cities, which account for more than 50% of world population. In this paper we dealt with the problem of describing a quantitative approach for the reconstruction of GPS coordinates and altitude, in the context of correlation study between driving cycles / emission / geographical location, during an experimental campaign realized with some instrumented cars.

Keywords: air pollution, driving cycles, GPS signal, vehicle location

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