Search results for: volatility persistence

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: G. Swati, D. Haranath

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Commercially available long afterglow /persistent phosphors are proprietary materials and hence the exact composition and phase responsible for their luminescent characteristics such as initial intensity and afterglow luminescence time are not known. Further to generate various emission colors, commercially available persistence phosphors are physically blended with fluorescent organic dyes such as rodhamine, kiton and methylene blue etc. Blending phosphors with organic dyes results into complete color coverage in visible spectra, however with time, such phosphors undergo thermal and photo-bleaching. This results in the loss of their true emission color. Hence, the current work is dedicated studies on inorganic based thermally and chemically stable primary color emitting nanophosphors namely SrAl2O4:Eu2+, Dy3+, (CaZn)TiO3:Pr3+, and Sr2MgSi2O7:Eu2+, Dy3+. SrAl2O4: Eu2+, Dy3+ phosphor exhibits a strong excitation in UV and visible region (280-470 nm) with a broad emission peak centered at 514 nm is the characteristic emission of parity allowed 4f65d1→4f7 transitions of Eu2+ (8S7/2→2D5/2). Sunlight excitable Sr2MgSi2O7:Eu2+,Dy3+ nanophosphors emits blue color (464 nm) with Commercial international de I’Eclairage (CIE) coordinates to be (0.15, 0.13) with a color purity of 74 % with afterglow time of > 5 hours for dark adapted human eyes. (CaZn)TiO3:Pr3+ phosphor system possess high color purity (98%) which emits intense, stable and narrow red emission at 612 nm due intra 4f transitions (1D2 → 3H4) with afterglow time of 0.5 hour. Unusual property of persistence luminescence of these nanophoshphors supersedes background effects without losing sensitive information these nanophosphors offer several advantages of visible light excitation, negligible substrate interference, high contrast bifurcation of ridge pattern, non-toxic nature revealing finger ridge details of the fingerprints. Both level 1 and level 2 features from a fingerprint can be studied which are useful for used classification, indexing, comparison and personal identification. facile methodology to extract high contrast fingerprints on non-porous and porous substrates using a chemically inert, visible light excitable, and nanosized phosphorescent label in the dark has been presented. The chemistry of non-covalent physisorption interaction between the long afterglow phosphor powder and sweat residue in fingerprints has been discussed in detail. Real-time fingerprint development on porous and non-porous substrates has also been performed. To conclude, apart from conventional dark vision applications, as prepared primary color emitting afterglow phosphors are potentional candidate for developing high contrast latent fingerprints.

Keywords: fingerprints, luminescence, persistent phosphors, rare earth

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Authors: J. Lück, S. Rudman

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Language has long been a site of struggle in South Africa with an educational language policy that favoured English and Afrikaans as high status languages and positioned other language users in deficit ways. Furthermore, a segregationist past led to individuals viewing each other as racial beings and racial categorisations still prevail in private and public life. It has been argued that it is important to explore how South African youth identities are being constructed, if past discourses still shape their identities or if they are negotiating new ways of being. The paper probes the role of language, discourse and embedded ideologies in the persistence or not of youth linguistic identities and discourses, the implications for their lived realities and for their construction of other language users and the possibilities of shifts occurring with an awareness of such discourses. It finds that past discourses continue to shape youth identities and are surging in the light of what is happening in the country today.

Keywords: discourse, ideologies, language, linguistic identities

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Authors: Amit Tribedi

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Genuine Quantumness present in Quantum Systems is the resource for implementing Quantum Information and Computation Protocols which can outperform the classical counterparts. These Quantumness measures encompass non-local ones known as quantum entanglement (QE) and quantum information theoretic (QIT) ones, e.g. Quantum Discord (QD). In this paper, some well-known measures of QE and QD in some wheel-like frustrated molecular magnetic systems have been studied. One of the systems has already been synthesized using coordination chemistry, and the other is hypothetical, where the dominant interaction is the spin-spin exchange interaction. Exact analytical methods and exact numerical diagonalization methods have been used. Some counter-intuitive non-trivial features, like non-monotonicity of quantum correlations with temperature, persistence of multipartite entanglement over bipartite ones etc. indicated by the behaviour of the correlations and the QIT measures have been found. The measures, being operational ones, can be used to realize the resource of Quantumness in experiments.

Keywords: 0D Magnets, discord, entanglement, frustration

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Authors: Haitham Taha

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The cognitive flexibility of 27 asthmatic children with learning difficulties was tested by using the Wisconsin card sorting test (WCST) and compared to the performances of 30 non-asthmatic children who have persistence learning difficulties also. The results revealed that the asthmatic group had poor performance through all the WCST psychometric parameters and especially the preservative errors one. The results were discussed in light of the postulation that poor executive functions and specifically poor cognitive flexibility are in the basis of the learning difficulties of asthmatic children with learning difficulties. Neurophysiologic framework was suggested for explaining the etiology of poor executive functions and cognitive flexibility among children with moderate into severe asthma.

Keywords: asthma, learning disabilities, executive functions, cognitive flexibility, WCST

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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: Sarra Sobti, Baelhadj Hamdi-Aïssa

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The bacteria of the soil, usually called rhizobium, have a considerable importance in agriculture because of their capacity to fix the atmospheric nitrogen in symbiosis with the plants of the family of legumes. The present work was to study the effect of the salinity on growth and nodulation of alfalfa-rhizobia symbiosis at different agricultural experimental sites in Ouargla. The experiment was conducted in 3 steps. The first one was the isolation and characterization of the Rhizobia; next, the evolution of the isolates tolerance to salinity at three levels of NaCl (6, 8,12 and 16 g/L); and the last step was the evolution of the tolerance on symbiotic characteristics. The results showed that the phenotypic characterizations behave practically as Rhizobia spp, and the effects of salinity affect the symbiotic process. The tolerance to high levels of salinity and the survival and persistence in severe and harsh desert conditions make these rhizobia highly valuable inoculums to improve productivity of the leguminous plants cultivated under extreme environments.

Keywords: rhizobia, symbiosis, salinity, tolerance, nodulation, soil, Medicago sativa L.

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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: Fariba Sepahvand, Seyed Hassan Moosa-kazemi

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The objective was to determine the population dynamics of Anopheles maculipinnis s.l. in relation to probable malaria transmission. The study was carried out in three villages in Isfahan and charmahal bakhteari provinces of Iran, from April to March 2014. Mosquitoes were collected by Total catch, Human and Animal bait collection. An. maculipinnis play as a dominant vector with exophagic and endophilic behavior. Ovary dissection revealed four dilatations indicate at least 9% of the population can reach to the dangerous age to potentially malaria transmission. Two peaks of blood feeding were observed, 9.00-10.00 P.M, and the 12.00-00.01 A.M. The gonotrophic cycle, survival rate, life expectancy of the species was 4, 0.82 and five days, respectively. Vectorial capacity was measured as 0.028. In conclusion, moderate climatic conditions support the persistence, density and longevity of An maculipinnis s.l. could result in more significant malaria transmission.

Keywords: age determination, Anopheles maculipinnis, center of Iran, Malaria

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Authors: Nqobile Muleya, Winston Garira, Godwin Mchau

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Citrus Black Spot (CBS) is a fungal disease that is responsible for huge economical loss and poses a threat to the citrus industry worldwide. We construct a mathematical model framework for citrus black spot between fruits to characterise the dynamics of the disease development, paying attention to the pathogen life cycle. We have made an observation from the model analysis that the initial inoculum from ascomata is very important for disease development and thereafter it is no longer important due to conidia which is responsible for secondary infection. Most importantly, the model indicated that ascospores and conidia are very important parameters in developing citrus black spot within a short distance. The basic reproductive number and its importance in relation to citrus black spot persistence are outlined. A numerical simulation of the model was done to explain the theoretical findings.

Keywords: epidemiological modelling, Guidnardia citricarpa, life cycle stage, fungal, disease development

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Authors: Minh Quang Le, Dane Taylor

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Convection is a well-studied topic in fluid dynamics, yet it is less understood in the context of networks flows. Here, we incorporate techniques from topological data analysis (namely, persistent homology) to automate the detection and characterization of convective/cyclic/chiral flows over networks, particularly those that arise for irreversible Markov chains (MCs). As two applications, we study convection cycles arising under the PageRank algorithm, and we investigate chiral edges flows for a stochastic model of a bi-monomer's configuration dynamics. Our experiments highlight how system parameters---e.g., the teleportation rate for PageRank and the transition rates of external and internal state changes for a monomer---can act as homology regularizers of convection, which we summarize with persistence barcodes and homological bifurcation diagrams. Our approach establishes a new connection between the study of convection cycles and homology, the branch of mathematics that formally studies cycles, which has diverse potential applications throughout the sciences and engineering.

Keywords: homology, persistent homolgy, markov chains, convection cycles, filtration

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Authors: Yuichi Morita, Yoshiteru Nakamori

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In car dealer business of Japan, a sale professional is a key factor of company’s success. We hypothesize that, if a corporation knows what is the sales professionals’ trait of its corporation’s business field, it will be easier for a corporation to secure and nurture sales persons effectively. The lean human resources management will ensure business success and good performance of corporations, especially small and medium ones. The goal of the paper is to determine the traits of sales professionals for small-and medium-size car dealers, using chi-square test and the variable rough set model. As a result, the results illustrate that experience of job change, learning ability and product knowledge are important, and an academic background, building a career with internal transfer, experience of the leader and self-development are not important to be a sale professional. Also, we illustrate sales professionals’ traits are persistence, humility, improvisation and passion at business.

Keywords: traits of sales professionals, variable precision rough sets theory, sales professional, sales professionals

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Authors: Shashwat Gangwal

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This paper analyses the effect of adding Bitcoin, to the portfolio (stocks, bonds, Baltic index, MXEF, gold, real estate and crude oil) of an international investor by using daily data available from 2^nd of July, 2010 to 2^{nd of} August, 2016. We conclude that adding Bitcoin to portfolio, over the course of the considered period, always yielded a higher Sharpe ratio. This means that Bitcoin’s returns offset its high volatility. This paper, recognizing the fact that Bitcoin is a relatively new asset class, gives the readers a basic idea about the working of the virtual currency, the increasing number developments in the financial industry revolving around it, its unique features and the detailed look into its continuously growing acceptance across different fronts (Banks, Merchants and Countries) globally. We also construct optimal portfolios to reflect the highly lucrative and largely unexplored opportunities associated with investment in Bitcoin.

Keywords: bitcoin, financial instruments, portfolio management, risk adjusted return

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Authors: Nur Köprülü

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One of the main questions that have arisen after the Arab uprisings has centered on whether they will lead to democratic transition and what the roles of Islamist actors will be. It has become apparent today that one of the key outcomes has been the partial, if not total, overthrow of authoritarian regimes in some cases. So, this article aims to analyse three synchronous upshots brought about by the uprisings, referring to patterns of state formation in the Maghreb and Mashreq. One of the main outcomes has been the persistence of authoritarianism in various forms, and the fragility of the Arab republics coping with the protests as compared to the more resilient character of the monarchies. In addition, none of the uprisings has brought an Islamist organization to incontestable power, as some predicted. However, ‘old’ Islamist actors have since re-emerged as key players, namely the Muslim Brotherhood in Tunisia, Egypt, Jordan and elsewhere. Thus, to understand the synthesis of change and continuity in the Middle East in the aftermath of the Arab Spring, analysing the changing faces of authoritarianism in the region and the impact on Islamists in both the Maghreb and the Mashreq is imperative.

Keywords: authoritarianism, democratization, Arab spring, Islamists

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Authors: Doaa Wael, Naswa Abdelbaky

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Malware is malicious software that is built to cause destructive actions and damage information systems and networks. Malware infections increase rapidly, and types of malware have become more sophisticated, which makes the malware detection process more difficult. On the other side, the Internet of Things IoT technology is vulnerable to malware attacks. These IoT devices are always connected to the internet and lack security. This makes them easy for hackers to access. These malware attacks are becoming the go-to attack for hackers. Thus, in order to deal with this challenge, new malware detection techniques are needed. Currently, building a blockchain solution that allows IoT devices to download any file from the internet and to verify/approve whether it is malicious or not is the need of the hour. In recent years, blockchain technology has stood as a solution to everything due to its features like decentralization, persistence, and anonymity. Moreover, using blockchain technology overcomes some difficulties in malware detection and improves the malware detection ratio over-than the techniques that do not utilize blockchain technology. In this paper, we study malware detection models which are based on blockchain technology. Furthermore, we elaborate on the effect of blockchain technology in malware detection, especially in the android environment.

Keywords: malware analysis, blockchain, malware attacks, malware detection approaches

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Authors: Andrés Quiroz, Emilio Hormazabal, Ana Mutis, Fernando Ortega, Manuel Chacón-Fuentes, Leonardo Parra

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Red clover (Trifolium pratense L.) is an important forage species in temperate regions of the world. The main limitation of this species worldwide is a lack of persistence related to the high mortality of plants due to a complex of biotic and abiotic factors, determining a life span of two or three seasons. Because of the importance of red clover in Chile, a red clover breeding program was started at INIA Carillanca Research Center in 1989, with the main objective of improving the survival of plants, forage yield, and persistence. The main selection criteria for selecting new varieties have been based on agronomical parameters and biotic factors. The main biotic factor associated with red clover mortality in Chile is Hylastinus obscurus (Coleoptera: Curculionidae). Both larval and adults feed on the roots, causing weakening and subsequent death of clover plants. Pesticides have not been successful for controlling infestations of this root borer. Therefore, alternative strategies for controlling this pest are a high priority for red clover producers. Currently, the role of semiochemical in the interaction between H. obscurus and red clover plants has been widely studied for our group. Specifically, from the red clover foliage has been identified limonene is eliciting repellency from the root borer. Limonene is generated in the plant from two independent biosynthetic pathways, the mevalonic acid, and deoxyxylulose pathway. Mevalonate pathway enzymes are localized in the cytosol, whereas the deoxyxylulose phosphate pathway enzymes are found in plastids. In summary, limonene can be determinated by enzymatic bioassay using GPP as substrate and by limonene synthase expression. Therefore, the main objective of this work was to study genetic variation of limonene in material provided by INIA´s Red Clover breeding program. Protein extraction was carried out homogenizing 250 mg of leave tissue and suspended in 6 mL of extraction buffer (PEG 1500, PVP-30, 20 mM MgCl2 and antioxidants) and stirred on ice for 20 min. After centrifugation, aliquots of 2.5 mL were desalted on PD-10 columns, resulting in a final volume of 3.5 mL. Protein determination was performed according to Bradford with BSA as a standard. Monoterpene synthase assays were performed with 50 µL of protein extracts transferred into gas-tight 2 mL crimp seal vials after addition of 4 µL MgCl₂ and 41 µL assay buffer. The assay was started by adding 5 µL of a GPP solution. The mixture was incubated for 30 min at 40 °C. Biosynthesized limonene was quantified in a GC equipped with a chiral column and using synthetic R and S-limonene standards. The enzymatic the production of R and S-limonene from different Superqueli-Carillanca genotypes is shown in this work. Preliminary results showed significant differences in limonene content among the genotypes analyzed. These results constitute an important base for selecting genotypes with a high content of this repellent monoterpene towards H. obscurus.

Keywords: head space, limonene enzymatic determination, red clover, Hylastinus obscurus

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Authors: Nada Souissi, Mourad Mroua

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The main purpose of this study is to examine the interaction between financial asset volatility, economic factors and investor's behavioral indicators related to both the company's and the markets stocks for the period from January 2000 to January2020. Using multiple linear regression and Bayesian Networks modeling, results show a positive and negative relationship between investor's psychology index, economic factors and predicted stock market return. We reveal that the application of the Bayesian Discrete Network contributes to identify the different cause and effect relationships between all economic, financial variables and psychology index.

Keywords: Financial asset return predictability, Economic factors, Investor's psychology index, Bayesian approach, Probabilistic networks, Parametric learning

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Authors: Akhentoolove Corbin, Leta De Jonge, Charmaine De Jonge

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Introduction: Various writers have promoted the adoption of the 4th R in the education curricula (relationships, respect, reasoning, religion, computing, science, art, conflict management, music) and the 5th R (responsibility). They argue that the traditional 3 Rs are not adequate for the modern environment and the requirements for students to become functional citizens in society. In particular, the developing countries of the anglophone Caribbean (most of which are tiny islands) are susceptible to the dangers and complexities of climate change and global economic volatility. These proposed additions to the 3Rs do have some justification, but this research considers Resilience as even more important and relevant in a world that is faced with the negative prospects of climate change, poverty, discrimination, and economic volatility. It is argued that the foundation for resilient citizens, workers, and workplaces, must be built in the elementary and secondary/middle schools and then through the tertiary level, to achieve an outcome of more resilient students. Government, business, and society require widespread resilience to be capable of ‘bouncing back’ and be more adaptable, transformational, and sustainable. Methodology: The paper utilises a mixed-methods approach incorporating a questionnaire and interviews to determine participants’ opinions on the importance and relevance of resilience in the schools’ curricula and to government, business, and society. The target groups are as follows: educators at all levels, education administrators, members of the business sector, public sector, and 3rd sector. The research specifically targets the anglophone Caribbean developing countries (Barbados, Guyana, Jamaica, Trinidad, St. Lucia, and St Vincent, and the Grenadines). The research utilises SPSS for data analysis. Major Findings: The preliminary findings suggest that the majority of participants support the adoption of resilience as a 4th R in the curricula of the elementary, secondary/middle schools, and tertiary level in the anglophone Caribbean. The final results will allow the researchers to reveal more specific details on any variations among the islands in the sample andto engage in an in-depth discussion of the relevance and importance of resilience as the 4th R. Conclusion: Results seem to suggest that the education system should adopt the 4th R of resilience so that educators working in collaboration with the family and community/village can develop young citizens who are more resilient and capable of manifesting the behaviours and attitudes associated with ‘bouncing back,’ adaptability, transformation, and sustainability. These findings may be useful for education decision-makers and governments in these Caribbean islands, who have the authority and responsibility for the development of education policy, laws, and regulations.

Keywords: education, resilient students, adaptable, transformational, resilient citizens, workplaces, government

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Authors: Obioma Uche

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Due to the recent volatility in oil & gas prices as well as increased development of non-conventional resources, it has become even more essential to critically evaluate the profitability of petroleum prospects prior to making any investment decisions. Traditionally, simple Monte Carlo (MC) algorithms have been used to randomly sample probability distributions of economic and geological factors (e.g. price, OPEX, CAPEX, reserves, productive life, etc.) in order to obtain probability distributions for profitability metrics such as Net Present Value (NPV). In recent years, second-order MC algorithms have been shown to offer an advantage over simple MC techniques due to the added consideration of uncertainties associated with the probability distributions of the relevant variables. Here, a strategy for the application of the second-order MC technique to a case study is demonstrated to analyze its effectiveness as a tool for portfolio management.

Keywords: Monte Carlo algorithms, portfolio management, profitability, risk analysis

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Authors: Marcin Adamczak

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The growth of Chinese film market and its dynamic incomparable to any other historical phenomenon has already made China the second world market and potential future leader in 2-3 years period. The growing power of Chines box-office and its future prospects is then the crucial and potentially disturbing factor for persistence of global Hollywood reality. The paper is based on market statistical data. The main findings of the analysis are defining of essential obstacles for the development of Chinese market and its foreign expansion. However, the new strategies employed by the industry (acquisitions of cinema chains abroad, blockbuster made with the involvement of figures from Hollywood star system, coproduction ties within Pacific basin) could be a successful remedy for current shortcomings. The main factor for development will be wider economical framework and maintenance of growth pace. The future state of Chinese film market will be one of the main factors shaping global film culture and film market in following decades of XXI century.

Keywords: production studies, film market, Chinese film market, distribution

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Authors: Dong Won Kim, Hye Ji Kim, Hyun Young Jung

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Improved energy storage is inevitably needed to improve energy efficiency and to be environmentally friendly to chemical processes. Ionic liquids (ILs) can play a crucial role in addressing these needs due to inherent adjustable properties including low volatility, low flammability, inherent conductivity, wide liquid range, broad electrochemical window, high thermal stability, and recyclability. Here, binary mixtures of ILs were prepared with fumed silica nanoparticles and characterized to obtain ILs with conductivity and electrochemical properties optimized for use in energy storage devices. The solutes were prepared by varying the size and the weight percent concentration of the nanoparticles and made up 10 % of the binary mixture by weight. We report on the physical and electrochemical properties of the individual ILs and their binary mixtures.

Keywords: ionic liquid, silica nanoparticle, energy storage, electrochemical properties

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Authors: Sina Dehghani, Zhikang Rong

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Historically, a variety of approaches have been taken to forecast commodity prices due to the significant implications of these values on the global economy. An accurate forecasting tool for a valuable commodity would significantly benefit investors and governmental agencies. Silver, in particular, has grown significantly as a commodity in recent years due to its use in healthcare and technology. This manuscript aims to utilize the Geometric Brownian Motion predictive model to forecast silver commodity prices over multiple 3-year periods. The results of the study indicate that the model has several limitations, particularly its inability to work effectively over longer periods of time, but still was extremely effective over shorter time frames. This study sets a baseline for silver commodity forecasting with GBM, and the model could be further strengthened with refinement.

Keywords: geometric Brownian motion, commodity, risk management, volatility, stochastic behavior, price forecasting

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Authors: Katleho Daniel Makatjane, Diteboho Lawrence Xaba, Ntebogang Dinah Moroke

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The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high persistence of time-varying, as the location parameter is higher and the skewness parameter implied the departure of scale parameter from the normality with the unconditional parameter as 1.5. The results also revealed that there is a perseverance of the leptokurtic behaviour in stock returns which implies the returns are heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS model. Finally, we proposed further researches specifically to model the existence of time-varying parameters with a more detailed model that encounters the heavy tail distribution of the series and computes the risk measure associated with the returns.

Keywords: generalized autoregressive score model, South Africa, stock returns, time-varying

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Authors: Yusuf Ziya Halefoğlu

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Phosphorescence, classically, excitation effects (radiation, electron beam, electric field, temperature, etc.) is the name given after the elimination of materials that glow in the visible region. This event continues to glow after the elimination of the effect of excitation is called phosphorescence. In this study were synthesized by the method of the combustion lanthanide doped alkaline earth aluminates. High temperature and long reaction time required and the sol-gel method of combustion according to the methods of solid state synthesis temperature lower than the short reaction time, a small particle size, convenience, and is superior in terms of being secured. Their microstructures and its effect on the photoluminescence properties were studied. Phosphorescence is derived in the dark when produced materials are held in sunlight or under ultraviolet light typically at 365-520 nm wavelength range. In this study, the optimal ratio of rare earth elements, in terms of brightness and glow duration was examined by SEM, XRD and photoluminescence analysis.

Keywords: persistence luminescence, phosphorescence, trap depth, combustion method

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Authors: Thomas Chinwe Urama, Patrick Oseloka Ezepue, Peters Chimezie Nnanwa

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This paper investigates the universal financial dynamics in two dominant stock markets in Sub-Saharan Africa, through an in-depth analysis of the cross-correlation matrix of price returns in Nigerian Stock Market (NSM) and Johannesburg Stock Exchange (JSE), for the period 2009 to 2013. The strength of correlations between stocks is known to be higher in JSE than that of the NSM. Particularly important for modelling Nigerian derivatives in the future, the interactions of other stocks with the oil sector are weak, whereas the banking sector has strong positive interactions with the other sectors in the stock exchange. For the JSE, it is the oil sector and beverages that have greater sectorial correlations, instead of the banks which have the weaker correlation with other sectors in the stock exchange.

Keywords: random matrix theory, cross-correlations, emerging markets, option pricing, eigenvalues eigenvectors, inverse participation ratios and implied volatility

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Authors: M. G. Mattos, J. E. Pécora Jr, T. A. Briso

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Today's challenging business environment, with unpredictable demand and volatility, requires a supply chain strategy that handles uncertainty and risks in the right way. Even though inventory models have been previously explored, this paper seeks to apply these concepts on a practical situation. This study involves the inventory replenishment problem, applying techniques that are mainly based on mathematical assumptions and modeling. The primary goal is to improve the retailer’s supply chain processes taking store differences when setting the various target stock levels. Through inventory review policy, picking piece implementation and minimum exposure definition, we were able not only to promote the inventory reduction as well as improve sales results. The inventory management theory from literature review was then tested on a single case study regarding a particular department in one of the largest Latam retail chains.

Keywords: inventory, distribution, retail, risk, safety stock, sales, uncertainty

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Authors: Tim Vollmer, Andrea Greven, Malte Brettel

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Family firms represent the predominant business structure worldwide, accounting for 90 percent of all operational businesses. These firms are essential to society and the economy. In the past decade, family firm exits increased by 72%; and in the next five years, 95,000 German family firms will be sold, acquired, or liquidated. For family firms, socioemotional wealth represents the frame of reference and value to preserve when making decisions. Family firm exits threaten the socioemotional wealth, as in extreme scenarios, economic logic may take over. So, a dilemma arises: Maintaining socioemotional wealth versus pursuing financial wealth. Family firm researchers agree that family involvement leads to specific goals, behaviors, and outcomes. For instance, the desire to protect socioemotional wealth when selling the firm and the focus on particular exit success dimensions, depending on the family's role inside the firm. However, despite the regularity of family firm exits, there is little research on the effect of family involvement on the family firm CEOs' perceived exit performance. We investigate the family firm CEOs' perceived exit performance, which we call exit success. Considering the deficiencies in the literature, we identify two research gaps. First, it remains unclear how family involvement affects the dimensions of exit success. Hence, we provide evidence of which success dimensions matter most depending on the family's involvement and how to differentiate successful from unsuccessful exits. Second, prior work has analyzed family involvement in the socioemotional wealth context but found contradictory findings. This work considers, for example, the family generation in control and identifies the tipping point of economic objectives becoming preferable over socioemotional wealth-related goals. This paper theorizes and empirically investigates, through the lens of socioemotional wealth and conflict theory, how socioemotional wealth mediates the relationship between family involvement and family firms' exit success. We analyze family firms' exit success dimensions of personal financial benefits, personal reputation, employee benefits, and firm mission persistence. Family involvement considers the family firms' heterogeneity in ownership, management, and generation. We use a quantitative approach in the form of an online survey by drawing on 116 responses from former family firm CEOs'. This study highlights that socioemotional wealth mediates the relationship between the dimensions of family involvement and exit success. The greater socioemotional wealth, the greater the family firm CEOs focus on the pro-organizational exit success dimensions of employee benefits and firm mission persistence. In contrast, the self-regarding dimension of personal financial benefits is significantly negatively affected. An important finding is that later generations and the number of family managers involved significantly negatively affect the two pro-organizational dimensions of exit success. Family ownership does not show any significant effect. Our work widens implications for research, theory, and practice by contributing in two meaningful ways. First, our results offer insights to differentiate successful from unsuccessful family firm exits and provide evidence of which success dimensions matter and which to focus on, most dependent on the family's role inside the firm. Second, our article advances research and empirical understanding of family firms and socioemotional wealth by clarifying contradictory findings.

Keywords: exit success, family firm exit, perceived exit performance, socioemotional wealth

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Authors: Tegan H. Emerson, Colin C. Olson, George Stantchev, Jason A. Edelberg, Michael Wilson

Abstract:

Detecting small targets at range is difficult because there is not enough spatial information present in an image sub-region containing the target to use correlation-based methods to differentiate it from dynamic confusers present in the scene. Moreover, this lack of spatial information also disqualifies the use of most state-of-the-art deep learning image-based classifiers. Here, we use characteristics of target tracks extracted from video sequences as data from which to derive distinguishing topological features that help robustly differentiate targets of interest from confusers. In particular, we calculate persistent homology from time-delayed embeddings of dynamic statistics calculated from motion tracks extracted from a wide field-of-view video stream. In short, we use topological methods to extract features related to target motion dynamics that are useful for classification and disambiguation and show that small targets can be detected at range with high probability.

Keywords: motion tracks, persistence images, time-delay embedding, topological data analysis

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Authors: Walid Chkili

Abstract:

This paper investigates the dynamic relationship between gold and stock markets using data for BRICS counties. For this purpose, we estimate three multivariate GARCH models (namely CCC, DCC and BEKK) for weekly stock and gold data. Our main objective is to examine time variations in conditional correlations between the two assets and to check the effectiveness use of gold as a hedge for equity markets. Empirical results reveal that dynamic conditional correlations switch between positive and negative values over the period under study. This correlation is negative during the major financial crises suggesting that gold can act as a safe haven during the major stress period of stock markets. We also evaluate the implications for portfolio diversification and hedging effectiveness for the pair gold/stock. Our findings suggest that adding gold in the stock portfolio enhance its risk-adjusted return.

Keywords: gold, financial markets, hedge, multivariate GARCH

Procedia PDF Downloads 472