Search results for: volatility clustering

Authors: Yegnanew A. Shiferaw

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Background: commodity price volatility originating from excessive commodity price fluctuation has been a global problem especially after the recent financial crises. Volatility is a measure of risk or uncertainty in financial analysis. It plays a vital role in risk management, portfolio management, and pricing equity. Objectives: the core objective of this paper is to examine the relationship between the prices of agricultural commodities with oil price, gas price, coal price and exchange rate (USD/Rand). In addition, the paper tries to fit an appropriate model that best describes the log return price volatility and estimate Value-at-Risk and expected shortfall. Data and methods: the data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016. The data sets consists of the daily returns of agricultural commodity prices namely: white maize, yellow maize, wheat, sunflower, soya, corn, and sorghum. The paper applies the three-state Markov-switching (MS) regression, the standard single-regime GARCH and the two regime Markov-switching GARCH (MS-GARCH) models. Results: to choose the best fit model, the log-likelihood function, Akaike information criterion (AIC), Bayesian information criterion (BIC) and deviance information criterion (DIC) are employed under three distributions for innovations. The results indicate that: (i) the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate, (ii) for all agricultural commodities except sunflower, k=3 had higher log-likelihood values and lower AIC and BIC values. Thus, the three-state MS regression model outperformed the two-state MS regression model (iii) MS-GARCH(1,1) with generalized error distribution (ged) innovation performs best for white maize and yellow maize; MS-GARCH(1,1) with student-t distribution (std) innovation performs better for sorghum; MS-gjrGARCH(1,1) with ged innovation performs better for wheat, sunflower and soya and MS-GARCH(1,1) with std innovation performs better for corn. In conclusion, this paper provided a practical guide for modelling agricultural commodity prices by MS regression and MS-GARCH processes. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: commodity prices, MS-GARCH model, MS regression model, South Africa, volatility

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Authors: Vincenzo Russo, Rosella Giacometti

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The paper aims to assess the insurance industry's resilience under Solvency II against adverse scenarios. Starting from the economic balance sheet available under Solvency II for insurance and reinsurance undertakings, we assume that assets and liabilities follow a bivariate geometric Brownian motion (GBM). Then, using the results available under Margrabe's formula, we establish an analytical solution to calibrate the volatility of the asset-liability ratio. In such a way, we can estimate the probability of default and the probability of breaching the undertaking's Solvency Capital Requirement (SCR). Furthermore, since estimating the volatility of the Solvency Ratio became crucial for insurers in light of the financial crises featured in the last decades, we introduce a novel measure that we call Resiliency Ratio. The Resiliency Ratio can be used, in addition to the Solvency Ratio, to evaluate the insurance industry's resilience in case of adverse scenarios. Finally, we introduce a simplified stress test tool to evaluate the economic balance sheet under stressed conditions. The model we propose is featured by analytical tractability and fast calibration procedure where only the disclosed data available under the Solvency II public reporting are needed for the calibration. Using the data published regularly by the European Insurance and Occupational Pensions Authority (EIOPA) in an aggregated form by country, an empirical analysis has been performed to calibrate the model and provide the related results at the country level.

Keywords: Solvency II, solvency ratio, volatility of the asset-liability ratio, probability of default, probability to breach the SCR, resilience ratio, stress test

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Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

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A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic

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Authors: Nelson Kimeli Kemboi Yego, Juma Kasozi, Joseph Nkruzinza, Francis Kipkogei

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The study investigated the low uptake of health insurance in Kenya despite efforts to achieve universal health coverage through various health insurance schemes. Unsupervised machine learning techniques were employed to identify patterns in health insurance uptake based on sociodemographic factors among Kenyan households. The aim was to identify key demographic groups that are underinsured and to provide insights for the development of effective policies and outreach programs. Using the 2021 FinAccess Survey, the study clustered Kenyan households based on their health insurance uptake and sociodemographic features to reveal patterns in health insurance uptake across the country. The effectiveness of k-prototypes clustering, hierarchical clustering, and agglomerative hierarchical clustering in clustering based on sociodemographic factors was compared. The k-prototypes approach was found to be the most effective at uncovering distinct and well-separated clusters in the Kenyan sociodemographic data related to health insurance uptake based on silhouette, Calinski-Harabasz, Davies-Bouldin, and Rand indices. Hence, it was utilized in uncovering the patterns in uptake. The results of the analysis indicate that inclusivity in health insurance is greatly related to affordability. The findings suggest that targeted policy interventions and outreach programs are necessary to increase health insurance uptake in Kenya, with the ultimate goal of achieving universal health coverage. The study provides important insights for policymakers and stakeholders in the health insurance sector to address the low uptake of health insurance and to ensure that healthcare services are accessible and affordable to all Kenyans, regardless of their socio-demographic status. The study highlights the potential of unsupervised machine learning techniques to provide insights into complex health policy issues and improve decision-making in the health sector.

Keywords: health insurance, unsupervised learning, clustering algorithms, machine learning

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Authors: Mouataz Zreika, Maria Estela Varua

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Stock investment decisions are often made based on current events of the global economy and the analysis of historical data. Conversely, visual representation could assist investors’ gain deeper understanding and better insight on stock market trends more efficiently. The trend analysis is based on long-term data collection. The study adopts a hybrid method that combines the Clustering algorithm and Force-directed algorithm to overcome the scalability problem when visualizing large data. This method exemplifies the potential relationships between each stock, as well as determining the degree of strength and connectivity, which will provide investors another understanding of the stock relationship for reference. Information derived from visualization will also help them make an informed decision. The results of the experiments show that the proposed method is able to produced visualized data aesthetically by providing clearer views for connectivity and edge weights.

Keywords: clustering, force-directed, graph drawing, stock investment analysis

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Authors: K. Umbleja, M. Ichino

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Symbolic data mining has been developed to analyze data in very large datasets. It is also useful in cases when entry specific details should remain hidden. Symbolic data mining is quickly gaining popularity as datasets in need of analyzing are becoming ever larger. One type of such symbolic data is a histogram, which enables to save huge amounts of information into a single variable with high-level of granularity. Other types of symbolic data can also be described in histograms, therefore making histogram a very important and general symbolic data type - a method developed for histograms - can also be applied to other types of symbolic data. Due to its complex structure, analyzing histograms is complicated. This paper proposes a method, which allows to compare two histogram-valued variables and therefore find a dissimilarity between two histograms. Proposed method uses the Ichino-Yaguchi dissimilarity measure for mixed feature-type data analysis as a base and develops a dissimilarity measure specifically for histogram data, which allows to compare histograms with different number of bins and bin widths (so called general histogram). Proposed dissimilarity measure is then used as a measure for clustering. Furthermore, linkage method based on weighted averages is proposed with the concept of cluster compactness to measure the quality of clustering. The method is then validated with application on real datasets. As a result, the proposed dissimilarity measure is found producing adequate and comparable results with general histograms without the loss of detail or need to transform the data.

Keywords: dissimilarity measure, hierarchical clustering, histograms, symbolic data analysis

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Authors: D.Mendes, J. Henriques, P. Carvalho, T. Rocha, S. Paredes, R. Cabiddu, R. Trimer, R. Mendes, A. Borghi-Silva, L. Kaminsky, E. Ashley, R. Arena, J. Myers

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The continued exploration of clinically relevant predictive models continues to be an important pursuit. Cardiorespiratory fitness (CRF) portends clinical vital information and as such its accurate prediction is of high importance. Therefore, the aim of the current study was to develop a data-driven model, based on computational intelligence techniques and, in particular, clustering approaches, to predict CRF. Two prediction models were implemented and compared: 1) the traditional Wasserman/Hansen Equations; and 2) an interpretable clustering approach. Data used for this analysis were from the 'FRIEND - Fitness Registry and the Importance of Exercise: The National Data Base'; in the present study a subset of 10690 apparently healthy individuals were utilized. The accuracy of the models was performed through the computation of sensitivity, specificity, and geometric mean values. The results show the superiority of the clustering approach in the accurate estimation of CRF (i.e., maximal oxygen consumption).

Keywords: cardiorespiratory fitness, data-driven models, knowledge extraction, machine learning

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Authors: Maria Debora Braga, Luigi Riso, Maria Grazia Zoia

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Risk-based approaches to asset allocation are portfolio construction methods that do not rely on the input of expected returns for the asset classes in the investment universe and only use risk information. They include the Minimum Variance Strategy (MV strategy), the traditional (volatility-based) Risk Parity Strategy (SRP strategy), the Most Diversified Portfolio Strategy (MDP strategy) and, for many, the Equally Weighted Strategy (EW strategy). All the mentioned approaches were based on portfolio volatility as a reference risk measure but in 2023, the Kurtosis-based Risk Parity strategy (KRP strategy) and the Minimum Kurtosis strategy (MK strategy) were introduced. Understandably, they used the fourth root of the portfolio-fourth moment as a proxy for portfolio kurtosis to work with a homogeneous function of degree one. This paper contributes mainly theoretically and methodologically to the framework of risk-based asset allocation approaches with two steps forward. First, a new and more flexible objective function considering a linear combination (with positive coefficients that sum to one) of portfolio volatility and portfolio kurtosis is used to alternatively serve a risk minimization goal or a homogeneous risk distribution goal. Hence, the new basic idea consists in extending the achievement of typical risk-based approaches’ goals to a combined risk measure. To give the rationale behind operating with such a risk measure, it is worth remembering that volatility and kurtosis are expressions of uncertainty, to be read as dispersion of returns around the mean and that both preserve adherence to a symmetric framework and consideration for the entire returns distribution as well, but also that they differ from each other in that the former captures the “normal” / “ordinary” dispersion of returns, while the latter is able to catch the huge dispersion. Therefore, the combined risk metric that uses two individual metrics focused on the same phenomena but differently sensitive to its intensity allows the asset manager to express, in the context of an objective function by varying the “relevance coefficient” associated with the individual metrics, alternatively, a wide set of plausible investment goals for the portfolio construction process while serving investors differently concerned with tail risk and traditional risk. Since this is the first study that also implements risk-based approaches using a combined risk measure, it becomes of fundamental importance to investigate the portfolio effects triggered by this innovation. The paper also offers a second contribution. Until the recent advent of the MK strategy and the KRP strategy, efforts to highlight interesting properties of risk-based approaches were inevitably directed towards the traditional MV strategy and SRP strategy. Previous literature established an increasing order in terms of portfolio volatility, starting from the MV strategy, through the SRP strategy, arriving at the EQ strategy and provided the mathematical proof for the “equalization effect” concerning marginal risks when the MV strategy is considered, and concerning risk contributions when the SRP strategy is considered. Regarding the validity of similar conclusions when referring to the MK strategy and KRP strategy, the development of a theoretical demonstration is still pending. This paper fills this gap.

Keywords: risk parity, portfolio kurtosis, risk diversification, asset allocation

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Authors: Othmane Zarhali, Cécilia Aubrun, Emmanuel Bacry, Jean-Philippe Bouchaud, Jean-François Muzy

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The Nested factor model was introduced by Bouchaud and al., where the asset return fluctuations are explained by common factors representing the market economic sectors and residuals (noises) sharing with the factors a common dominant volatility mode in addition to the idiosyncratic mode proper to each residual. This construction infers that the factors-residuals log volatilities are correlated. Here, we consider the case of a single factor where the only dominant common mode is a S-fbm process (introduced by Peng, Bacry and Muzy) with Hurst exponent H around 0.11 and the residuals having in addition to the previous common mode idiosyncratic components with Hurst exponents H around 0. The reason for considering this configuration is twofold: preserve the Nested factor model’s characteristics introduced by Bouchaud and al. and propose a framework through which the stylized fact reported by Peng and al. is reproduced, where it has been observed that the Hurst exponents of stock indices are large as compared to those of individual stocks. In this work, we show that the Log S-fbm Nested factor model’s construction leads to a Hurst exponent of single stocks being the ones of the idiosyncratic volatility modes and the Hurst exponent of the index being the one of the common volatility modes. Furthermore, we propose a statistical procedure to estimate the Hurst factor exponent from the stock returns dynamics together with theoretical guarantees, with good results in the limit where the number of stocks N goes to infinity. Last but not least, we show that the factor can be seen as an index constructed from the single stocks weighted by specific coefficients.

Keywords: hurst exponent, log S-fbm model, nested factor model, small intermittency approximation

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Authors: Muhammad Ilham Agus Salim, Mohammad Ali

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In this article, we have elaborated a study over the nature of Islamic financial transaction by comparing between Dinar and IDR currency in Indonesia. We have found the interesting issue among scholars and practitioners in which Dinar would be a single currency ASEAN Economic Community (AEC), then becoming motivation and added value research. The assessment among dinar volatility analysis for three years ago and IDR fluctuation as well as outlook qualitative test regarding dinar are components of analysis that weak Indonesian currency should be altered to be better coinage. The value of dinar more stable than IDR and also eligible as a currency e.g. limited quantities, easy to carry, durable, easy to saved, and has the same quality. On the other hand, the existing of IDR has defeated by inflation. The EViews program explained that Dinar at current level still fluctuate, but in the first different have fixed variant. The result of analysis describing that dinar has potential as the medium exchange, because the material of dinar is relevant and feasible since 14 century until present. Therefore, dinar should be considered to solve Indonesia crisis today.

Keywords: medium of exchange, dinar & IDR currency, volatility analysis, EViews program

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Authors: Lamaa Sellami, Bechir Alaya

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Nowadays, video-on-demand (VoD) applications are becoming one of the tendencies driving vehicular network users. In this paper, considering the unpredictable vehicle density, the unexpected acceleration or deceleration of the different cars included in the vehicular traffic load, and the limited radio range of the employed communication scheme, we introduce the “Dynamic Vehicular Clustering” (DVC) algorithm as a new scheme for video streaming systems over VANET. The proposed algorithm takes advantage of the concept of small cells and the introduction of wireless backhauls, inspired by the different features and the performance of the Long Term Evolution (LTE)- Advanced network. The proposed clustering algorithm considers multiple characteristics such as the vehicle’s position and acceleration to reduce latency and packet loss. Therefore, each cluster is counted as a small cell containing vehicular nodes and an access point that is elected regarding some particular specifications.

Keywords: video-on-demand, vehicular ad-hoc network, mobility, vehicular traffic load, small cell, wireless backhaul, LTE-advanced, latency, packet loss

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Authors: M. Bahgat, H. A. Hanafy, S. Lakdawala

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Clustering phenomenon of pellets was observed frequently in shaft processes operating at higher temperatures. Clustering is a result of the growth of fibrous iron precipitates (iron whiskers) that become hooked to each other and finally become crystallized during the initial stages of metallization. If the pellet clustering is pronounced, sometimes leads to blocking inside the furnace and forced shutdown takes place. This work clarifies further the relation between metallic iron whisker growth and iron ore mineralogy. Various pellet sizes (6 – 12.0 & +12.0 mm) from three different ores (A, B & C) were (completely and partially) reduced at 985 ^oC with H₂/CO gas mixture using thermos-gravimetric technique. It was found that reducibility increases by decreasing the iron ore pellet’s size. Ore (A) has the highest reducibility than ore (B) and ore (C). Increasing the iron ore pellet’s size leads to increase the probability of metallic iron whisker formation. Ore (A) has the highest tendency for metallic iron whisker formation than ore (B) and ore (C). The reduction reactions for all iron ores A, B and C are mainly controlled by diffusion reaction mechanism.

Keywords: shaft furnace, cluster, metallic iron whisker, mineralogy, ferrous metallurgy

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Authors: Baoubadi Atozou, Koffi Akakpo

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Since the decade 2000, the use of foodstuffs such as corn, wheat, and soybeans in biofuel production has been growing sharply in the United States, Canada, and Europe. Thus, prices for these agricultural products are rising in the world market. These cereals are the most important source of calorific energy for West African Economic and Monetary Union (WAEMU) countries members’ population. These countries are highly dependent on imports of most of these products. Thereby, rising prices can have an important impact on import levels and consequently on food security in these countries. This study aims to analyze the interrelationship between the prices of these commodities and their volatilities, and their effects on imports of these agricultural products by each WAEMU ’country member. The Autoregressive Distributed Lag (ARDL) model, the GARCH Multivariate model, and the Granger Causality Test are used in this investigation. The results show that import levels are highly and significantly sensitive to price changes as well as their volatility. In the short term as well as in the long term, there is a significant relationship between the prices of these products. There is a positive relationship in general between price volatility. And these volatilities have negative effects on the level of imports. The market characteristics affect food security in these countries, especially access to food for vulnerable and low-income populations. The policies makers must adopt viable strategies to increase agricultural production and limit their dependence on imports.

Keywords: price volatility, import of agricultural products, food safety, WAEMU

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Authors: Changhong Guo, Shaomei Fang, Yong He

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In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional g-Brownian motion, Taylor's series of fractional order, uncertain volatility

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Authors: Shima Soltanzadeh, Mohammad Hosain Fazel Zarandi, Mojtaba Barzegar Astanjin

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Diagnosis of male infertility by the laboratory tests is expensive and, sometimes it is intolerable for patients. Filling out the questionnaire and then using classification method can be the first step in decision-making process, so only in the cases with a high probability of infertility we can use the laboratory tests. In this paper, we evaluated the performance of four classification methods including naive Bayesian, neural network, logistic regression and fuzzy c-means clustering as a classification, in the diagnosis of male infertility due to environmental factors. Since the data are unbalanced, the ROC curves are most suitable method for the comparison. In this paper, we also have selected the more important features using a filtering method and examined the impact of this feature reduction on the performance of each methods; generally, most of the methods had better performance after applying the filter. We have showed that using fuzzy c-means clustering as a classification has a good performance according to the ROC curves and its performance is comparable to other classification methods like logistic regression.

Keywords: classification, fuzzy c-means, logistic regression, Naive Bayesian, neural network, ROC curve

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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: Frodouard Minani

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Since last decade, wireless sensor networks (WSNs) have been used in many areas like health care, agriculture, defense, military, disaster hit areas and so on. Wireless Sensor Networks consist of a Base Station (BS) and more number of wireless sensors in order to monitor temperature, pressure, motion in different environment conditions. The key parameter that plays a major role in designing a protocol for Wireless Sensor Networks is energy efficiency which is a scarcest resource of sensor nodes and it determines the lifetime of sensor nodes. Maximizing sensor node’s lifetime is an important issue in the design of applications and protocols for Wireless Sensor Networks. Clustering sensor nodes mechanism is an effective topology control approach for helping to achieve the goal of this research. In this paper, the researcher presents an energy efficiency protocol to prolong the network lifetime based on Energy efficient clustering algorithm. The Low Energy Adaptive Clustering Hierarchy (LEACH) is a routing protocol for clusters which is used to lower the energy consumption and also to improve the lifetime of the Wireless Sensor Networks. Maximizing energy dissipation and network lifetime are important matters in the design of applications and protocols for wireless sensor networks. Proposed system is to maximize the lifetime of the Wireless Sensor Networks by choosing the farthest cluster head (CH) instead of the closest CH and forming the cluster by considering the following parameter metrics such as Node’s density, residual-energy and distance between clusters (inter-cluster distance). In this paper, comparisons between the proposed protocol and comparative protocols in different scenarios have been done and the simulation results showed that the proposed protocol performs well over other comparative protocols in various scenarios.

Keywords: base station, clustering algorithm, energy efficient, sensors, wireless sensor networks

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Authors: Jaehong Yu, Seoung Bum Kim

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Clustering analysis can facilitate the extraction of intrinsic patterns in a dataset and reveal its natural groupings without requiring class information. For effective clustering analysis in high dimensional datasets, unsupervised dimensionality reduction is an important task. Unsupervised dimensionality reduction can generally be achieved by feature extraction or feature selection. In many situations, feature selection methods are more appropriate than feature extraction methods because of their clear interpretation with respect to the original features. The unsupervised feature selection can be categorized as feature subset selection and feature ranking method, and we focused on unsupervised feature ranking methods which evaluate the features based on their importance scores. Recently, several unsupervised feature ranking methods were developed based on ensemble approaches to achieve their higher accuracy and stability. However, most of the ensemble-based feature ranking methods require the true number of clusters. Furthermore, these algorithms evaluate the feature importance depending on the ensemble clustering solution, and they produce undesirable evaluation results if the clustering solutions are inaccurate. To address these limitations, we proposed an ensemble-based feature ranking method with random subspace and multiple-k ensemble (FRRM). The proposed FRRM algorithm evaluates the importance of each feature with the random subspace ensemble, and all evaluation results are combined with the ensemble importance scores. Moreover, FRRM does not require the determination of the true number of clusters in advance through the use of the multiple-k ensemble idea. Experiments on various benchmark datasets were conducted to examine the properties of the proposed FRRM algorithm and to compare its performance with that of existing feature ranking methods. The experimental results demonstrated that the proposed FRRM outperformed the competitors.

Keywords: clustering analysis, multiple-k ensemble, random subspace-based feature evaluation, unsupervised feature ranking

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Authors: Abdul Kader

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This paper attempts to investigate several contributory factors to recent volatility in the Islamic Banking sector of Bangladesh. In particular, the study explores corporate governance, credit management, credit regulations, inept board of directors, using religious sentiment as a means to deceive general people, and the degree of political interference as potential contributory factors. To find the correlation among different variables, semi-structured questionnaires were distributed among the clients, bank managers, some Banking scholars and ex-members of the board of directors of three Islamic Banks in Bangladesh. Later, ten interviews were collected from key informants to gain in-depth information about the present mismanagement of Islamic Banks in Bangladesh. After then, data were analyzed using statistical software and substantiated by secondary sources like newspapers, reports and investigative reports aired in screen media. The paper found a correlation between almost all contributory factors and recent unstable conditions in the Islamic banking sector. After performing regression analysis, this paper found a more significant relationship between some of the contributory factors with Banking volatility than others. For instance, credit management, inept board of directors, depriving customers of proving no profit in the name of business—no interest-- and political interference have a strong significant positive correlation with the present poor condition of Islamic Banking. This paper concludes that while internal management is important in recovering the losses, the government needs to ensure framing better policy for the Islamic Banking system, Central Bank needs to supervise and monitor all Islamic banks meticulously and loan receivers must go through the impartial evaluation and approved by the representatives of the Central Shariah Board. This paper also recommends that there is a need to strengthen the auditing system and improve regulatory oversight of the Islamic Banks in Bangladesh. Policy recommendations that this paper put forward could provide an outline for dealing with the existing challenging condition of Islamic Banks and these could be applied to similar problems in other countries where the Islamic Banking model exists.

Keywords: Islamic bank, volatility in banking sector, shariah law, credit management, political interference

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Authors: Sumiko Anno, Keiji Imaoka, Takeo Tadono, Tamotsu Igarashi, Subramaniam Sivaganesh, Selvam Kannathasan, Vaithehi Kumaran, Sinnathamby Noble Surendran

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Dengue outbreaks are affected by biological, ecological, socio-economic and demographic factors that vary over time and space. These factors have been examined separately and still require systematic clarification. The present study aimed to investigate the spatial-temporal clustering relationships between these factors and dengue outbreaks in the northern region of Sri Lanka. Remote sensing (RS) data gathered from a plurality of satellites were used to develop an index comprising rainfall, humidity and temperature data. RS data gathered by ALOS/AVNIR-2 were used to detect urbanization, and a digital land cover map was used to extract land cover information. Other data on relevant factors and dengue outbreaks were collected through institutions and extant databases. The analyzed RS data and databases were integrated into geographic information systems, enabling temporal analysis, spatial statistical analysis and space-time clustering analysis. Our present results showed that increases in the number of the combination of ecological factor and socio-economic and demographic factors with above the average or the presence contribute to significantly high rates of space-time dengue clusters.

Keywords: ALOS/AVNIR-2, dengue, space-time clustering analysis, Sri Lanka

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Authors: Marc S. Paolella, Pawel Polak

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The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and non-ellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio optimization with active risk monitoring. The former selects optimal portfolio weights. The latter, independently, initiates market exit in case of excessive risks. The strategy agrees with the stylized fact of stock market major sell-offs during the initial stage of market downturns. The advantages of the new framework are illustrated with an extensive empirical study. It leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk fear portfolio strategy outperforms various competing types of optimal portfolios, even in the presence of conservative transaction costs and frequent rebalancing. The risk monitoring of the optimal portfolio can serve as an early warning system against large market risks. In particular, the new strategy avoids all the losses during the 2008 financial crisis, and it profits from the subsequent market recovery.

Keywords: comfort, financial crises, portfolio optimization, risk monitoring

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Authors: Tammeen Siraj, Wenxing Zhou, Terry Huang, Mohammad Al-Amin

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The high resolution inline inspection (ILI) tool is used extensively in the pipeline industry to identify, locate, and measure metal-loss corrosion anomalies on buried oil and gas steel pipelines. Corrosion anomalies may occur singly (i.e. individual anomalies) or as clusters (i.e. a colony of corrosion anomalies). Although the ILI technology has advanced immensely, there are measurement errors associated with the sizes of corrosion anomalies reported by ILI tools due limitations of the tools and associated sizing algorithms, and detection threshold of the tools (i.e. the minimum detectable feature dimension). Quantifying the measurement error in the ILI data is crucial for corrosion management and developing maintenance strategies that satisfy the safety and economic constraints. Studies on the measurement error associated with the length of the corrosion anomalies (in the longitudinal direction of the pipeline) has been scarcely reported in the literature and will be investigated in the present study. Limitations in the ILI tool and clustering process can sometimes cause clustering error, which is defined as the error introduced during the clustering process by including or excluding a single or group of anomalies in or from a cluster. Clustering error has been found to be one of the biggest contributory factors for relatively high uncertainties associated with ILI reported anomaly length. As such, this study focuses on developing a consistent and comprehensive framework to quantify the measurement errors in the ILI-reported anomaly length by comparing the ILI data and corresponding field measurements for individual and clustered corrosion anomalies. The analysis carried out in this study is based on the ILI and field measurement data for a set of anomalies collected from two segments of a buried natural gas pipeline currently in service in Alberta, Canada. Data analyses showed that the measurement error associated with the ILI-reported length of the anomalies without clustering error, denoted as Type I anomalies is markedly less than that for anomalies with clustering error, denoted as Type II anomalies. A methodology employing data mining techniques is further proposed to classify the Type I and Type II anomalies based on the ILI-reported corrosion anomaly information.

Keywords: clustered corrosion anomaly, corrosion anomaly assessment, corrosion anomaly length, individual corrosion anomaly, metal-loss corrosion, oil and gas steel pipeline

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Authors: Fayyaz Rasool, Naureen Aziz Qureshi, Shakeela Parveen

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Labeo rohita populations from five geographical locations from the hatchery and riverine system of Punjab-Pakistan were studied for the clustering on the basis of similarities and differences based on morphometric parameters within the species. Agglomerative Hierarchical Clustering (AHC) was done by using Pearson Correlation Coefficient and Unweighted Pair Group Method with Arithmetic Mean (UPGMA) as Agglomeration method by XLSTAT 2012 version 1.02. A dendrogram with the data on the morphometrics of the representative samples of each site divided the populations of Labeo rohita in to five major clusters or classes. The variance decomposition for the optimal classification values remained as 19.24% for within class variation, while 80.76% for the between class differences. The representative central objects of the each class, the distances between the class centroids and also the distance between the central objects of the classes were generated by the analysis. A measurable distinction between the classes of the populations of the Labeo rohita was indicated in this study which determined the impacts of changing environment and other possible factors influencing the variation level among the populations of the same species.

Keywords: AHC, Labeo rohita, hatchery, riverine, morphometric

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Authors: Nada Slimane, Foued Theljani, Faouzi Bouani

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The paper addresses the problem of fault diagnosis for systems operating in several modes (normal or faulty) based on states assessment. We use, for this purpose, a methodology consisting of three main processes: 1) sequential data clustering, 2) linear model regression and 3) state filtering. Typically, Kalman Filter (KF) is an algorithm that provides estimation of unknown states using a sequence of I/O measurements. Inevitably, although it is an efficient technique for state estimation, it presents two main weaknesses. First, it merely predicts states without being able to isolate/classify them according to their different operating modes, whether normal or faulty modes. To deal with this dilemma, the KF is endowed with an extra clustering step based fully on sequential version of the k-means algorithm. Second, to provide state estimation, KF requires state space models, which can be unknown. A linear regularized regression is used to identify the required models. To prove its effectiveness, the proposed approach is assessed on a simulated benchmark.

Keywords: clustering, diagnosis, Kalman Filtering, k-means, regularized regression

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Authors: Jainendra Singh, Zaheeruddin

Abstract:

A typical wireless sensor networks (WSNs) consists of several tiny and low-power sensors which use radio frequency to perform distributed sensing tasks. The longevity of wireless sensor networks (WSNs) is a major issue that impacts the application of such networks. While routing protocols are striving to save energy by acting on sensor nodes, recent studies show that network lifetime can be enhanced by further involving sink mobility. A common approach for energy efficiency is partitioning the network into clusters with correlated data, where the representative nodes simply transmit or average measurements inside the cluster. In this paper, we propose an energy- efficient homogenous clustering (EHC) technique. In this technique, the decision of each sensor is based on their residual energy and an estimate of how many of its neighboring cluster heads (CHs) will benefit from it being a CH. We, also explore the routing algorithm in clustered WSNs. We show that the proposed schemes significantly outperform current approaches in terms of packet delay, hop count and energy consumption of WSNs.

Keywords: wireless sensor network, energy efficiency, clustering, routing

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Authors: Manverpreet Kaur, Amarpreet Singh

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The demand of Vehicular ad hoc networks is increasing day by day, due to offering the various applications and marvelous benefits to VANET users. Clustering in VANETs is most important to overcome the connectivity problems of VANETs. In this paper, we proposed a new clustering technique Enhanced cluster based connectivity maintenance in vehicular ad hoc network. Our objective is to form long living clusters. The proposed approach is grouping the vehicles, on the basis of the longest list of neighbors to form clusters. The cluster formation and cluster head selection process done by the RSU that may results it reduces the chances of overhead on to the network. The cluster head selection procedure is the vehicle which has closest speed to average speed will elect as a cluster Head by the RSU and if two vehicles have same speed which is closest to average speed then they will be calculate by one of the new parameter i.e. distance to their respective destination. The vehicle which has largest distance to their destination will be choosing as a cluster Head by the RSU. Our simulation outcomes show that our technique performs better than the existing technique.

Keywords: VANETs, clustering, connectivity, cluster head, intelligent transportation system (ITS)

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Authors: Asma Omri, Noureddine Benothman, Sofiane Sayahi, Fethi Tlili, Hichem Besbes

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Cycling, a popular mode of transportation, can also be perilous due to cyclists' vulnerability to collisions with vehicles and obstacles. This paper presents an innovative cyclist safety system based on radar technology designed to offer real-time collision risk warnings to cyclists. The system incorporates a low-power radar sensor affixed to the bicycle and connected to a microcontroller. It leverages radar point cloud detections, a clustering algorithm, and a supervised classifier. These algorithms are optimized for efficiency to run on the TI’s AWR 1843 BOOST radar, utilizing a coarse classification approach distinguishing between cars, trucks, two-wheeled vehicles, and other objects. To enhance the performance of clustering techniques, we propose a 2-Level clustering approach. This approach builds on the state-of-the-art Density-based spatial clustering of applications with noise (DBSCAN). The objective is to first cluster objects based on their velocity, then refine the analysis by clustering based on position. The initial level identifies groups of objects with similar velocities and movement patterns. The subsequent level refines the analysis by considering the spatial distribution of these objects. The clusters obtained from the first level serve as input for the second level of clustering. Our proposed technique surpasses the classical DBSCAN algorithm in terms of geometrical metrics, including homogeneity, completeness, and V-score. Relevant cluster features are extracted and utilized to classify objects using an SVM classifier. Potential obstacles are identified based on their velocity and proximity to the cyclist. To optimize the system, we used the View of Delft dataset for hyperparameter selection and SVM classifier training. The system's performance was assessed using our collected dataset of radar point clouds synchronized with a camera on an Nvidia Jetson Nano board. The radar-based cyclist safety system is a practical solution that can be easily installed on any bicycle and connected to smartphones or other devices, offering real-time feedback and navigation assistance to cyclists. We conducted experiments to validate the system's feasibility, achieving an impressive 85% accuracy in the classification task. This system has the potential to significantly reduce the number of accidents involving cyclists and enhance their safety on the road.

Keywords: 2-level clustering, coarse classification, cyclist safety, warning system based on radar technology

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Authors: Sumanpreet Kaur, Harjit Pal Singh, Vikas Khullar

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In Wireless Sensor Network (WSN), the sensor containing motes (nodes) incorporate batteries that can lament at some extent. To upgrade the energy utilization, clustering is one of the prototypical approaches for split sensor motes into a number of clusters where one mote (also called as node) proceeds as a Cluster Head (CH). CH selection is one of the optimization techniques for enlarging stability and network lifespan. Deterministic Stable Election Protocol (DSEP) is an effectual clustering protocol that makes use of three kinds of nodes with dissimilar residual energy for CH election. Fuzzy Logic technology is used to expand energy level of DSEP protocol by using fuzzy inference system. This paper presents protocol DSEP using Fuzzy Logic (DSEP-FL) CH by taking into account four linguistic variables such as energy, concentration, centrality and distance to base station. Simulation results show that our proposed method gives more effective results in term of a lifespan of network and stability as compared to the performance of other clustering protocols.

Keywords: DSEP, fuzzy logic, energy model, WSN

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Authors: Vithaya Intaraphimol

Abstract:

This research investigates the effect of financial accounting information and non-financial accounting reports on corporate credibility via strength of board of directors and market environment volatility as moderating effect. Data in this research is collected by questionnaire form non-financial companies listed on the Stock Exchange of Thailand. Multiple regression statistic technique is chosen for analyzing the data. The empirical results find that firms with greater financial accounting information reports and non-financial accounting information reports will gain greater corporate credibility. Therefore, the corporate reporting has the value for the firms. Moreover, the strength of board of directors will positively moderate the financial and non-financial accounting information reports and corporate credibility relationship. Whereas, market environment volatility will negatively moderate the financial and nonfinancial accounting information reports and corporate credibility relationship.

Keywords: corporate credibility, financial and non-financial reports, firms performance, economics

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Authors: Tarik Bazgour, Cedric Heuchenne, Danielle Sougne

Abstract:

We examine time variation in the market beta of portfolios sorted on quality, liquidity level and liquidity beta characteristics across stock market phases. Using US stock market data for the period 1970-2010, we find, first, the US stock market was driven by four regimes. Second, during the crisis regime, low (high) quality, high (low) liquidity beta and illiquid (liquid) stocks exhibit an increase (a decrease) in their market betas. This finding is consistent with the flight-to-quality and liquidity phenomena. Third, we document the same pattern across stocks when the market volatility is low. We argue that, during low volatility times, investors shift their portfolios towards low quality and illiquid stocks to seek portfolio gains. The pattern observed in the tranquil regime can be, therefore, explained by a flight-to-low-quality and to illiquidity. Finally, our results reveal that liquidity level is more important than liquidity beta during the crisis regime.

Keywords: financial crises, quality, liquidity, liquidity risk, regime-switching models

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