Search results for: equal weighted portfolio

Authors: Susanne Fridsten, Kristina Hellman, Anders Sundin, Lennart Blomqvist

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Background: Patients diagnosed with locally advanced cervical carcinoma are treated with definitive concomitant chemo-radiotherapy. Treatment failure occurs in 30-50% of patients with very poor prognoses. The treatment is standardized with risk for both over-and undertreatment. Consequently, there is a great need for biomarkers able to predict therapy outcomes to allow for individualized treatment. Aim: To explore the role of T2- and diffusion-weighted magnetic resonance imaging (MRI) for early prediction of therapy outcome and the optimal time point for assessment. Methods: A pilot study including 15 patients with cervical carcinoma stage IIB-IIIB (FIGO 2009) undergoing definitive chemoradiotherapy. All patients underwent MRI four times, at baseline, 3 weeks, 5 weeks, and 12 weeks after treatment started. Tumour size, size change (∆size), visibility on diffusion-weighted imaging (DWI), apparent diffusion coefficient (ADC) and change of ADC (∆ADC) at the different time points were recorded. Results: 7/15 patients relapsed during the study period, referred to as "poor prognosis", PP, and the remaining eight patients are referred to "good prognosis", GP. The tumor size was larger at all time points for PP than for GP. The ∆size between any of the four-time points was the same for PP and GP patients. The sensitivity and specificity to predict prognostic group depending on a remaining tumor on DWI were highest at 5 weeks and 83% (5/6) and 63% (5/8), respectively. The combination of tumor size at baseline and remaining tumor on DWI at 5 weeks in ROC analysis reached an area under the curve (AUC) of 0.83. After 12 weeks, no remaining tumor was seen on DWI among patients with GP, as opposed to 2/7 PP patients. Adding ADC to the tumor size measurements did not improve the predictive value at any time point. Conclusion: A large tumor at baseline MRI combined with a remaining tumor on DWI at 5 weeks predicted a poor prognosis.

Keywords: chemoradiotherapy, diffusion-weighted imaging, magnetic resonance imaging, uterine cervical carcinoma

Procedia PDF Downloads 115

Authors: Azza Gaber Farag, Yasser Atta Shehata, Sara Elsayed Elghazouly, Mustafa Elsayed Elshaib, Nesreen Gamal Elden Elhelbawy

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Background: Androgen receptor (AR) polymorphism in cytosine adenineguanine (CAG) repeat has an effect on the functional capacity of AR in males. However, little researches in this field are available regarding female sexual function. Aim: To investigate the possible link between polymorphism in the CAG repeat of AR gene and female sexual function in a sample of the Egyptian population. Materials and methods: 500 Egyptian married females completed a questionnaire regarding sociodemographic, reproductive, and sexual data. AR CAG repeat length was analyzed for those having female sexual dysfunctions (FSD) using real-time PCR. Results: The most sensitive domain to AR CAG repeat length was the orgasm domain that showed significant positive correlations with short allele (p=0.001), long allele (p=.015), biallellic mean (p=.000), and X weighted biallelic mean (p=.000). The satisfaction domain had significant positive correlations with the biallelic mean (p=.035), and the X weighted biallelic mean (p=. 032). However, the pain domain was of significant negative correlations with AR polymorphism of short allele (p=.002), biallelic mean (p=.013), and X weighted biallelic mean (p = . 011). Conclusions: AR polymorphism could represent a non-negligible aspect in female sexual function. The lower AR CAG repeat polymorphism was of significant impact on FSD, affecting mainly female orgasm followed by pain disorders that finally reflected On her sexual satisfaction.

Keywords: female sexual dysfunction, androgen receptor, CAG repeat polymorphism, androgen

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Authors: Gulnara Galeeva, Yulia Kasperskaya

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The study deals with the relevant problem related to the formation of the efficient investment portfolio of an enterprise. The structure of the investment portfolio is connected to the degree of influence of intangible assets on the enterprise’s income. This determines the importance of research on the content of intangible assets. However, intangible assets studies do not take into consideration how the enterprise state can affect the content and the importance of intangible assets for the enterprise`s income. This affects accurateness of the calculations. In order to study this problem, the research was divided into several stages. In the first stage, intangible assets were classified based on their synergies as the underlying intangibles and the additional intangibles. In the second stage, this classification was applied. It showed that the lifecycle model and the theory of abrupt development of the enterprise, that are taken into account while designing investment projects, constitute limit cases of a more general theory of bifurcations. The research identified that the qualitative content of intangible assets significant depends on how close the enterprise is to being in crisis. In the third stage, the author developed and applied the Wide Pairwise Comparison Matrix method. This allowed to establish that using the ratio of the standard deviation to the mean value of the elements of the vector of priority of intangible assets makes it possible to estimate the probability of a full-blown crisis of the enterprise. The author has identified a criterion, which allows making fundamental decisions on investment feasibility. The study also developed an additional rapid method of assessing the enterprise overall status based on using the questionnaire survey with its Director. The questionnaire consists only of two questions. The research specifically focused on the fundamental role of stochastic resonance in the emergence of bifurcation (crisis) in the economic development of the enterprise. The synergetic approach made it possible to describe the mechanism of the crisis start in details and also to identify a range of universal ways of overcoming the crisis. It was outlined that the structure of intangible assets transforms into a more organized state with the strengthened synchronization of all processes as a result of the impact of the sporadic (white) noise. Obtained results offer managers and business owners a simple and an affordable method of investment portfolio optimization, which takes into account how close the enterprise is to a state of a full-blown crisis.

Keywords: analytic hierarchy process, bifurcation, investment portfolio, intangible assets, wide matrix

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Authors: Farid Habibi Tanha, Hawati Janor, Mojtaba Jahanbazi

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The purpose of this study is to examine the effect of asymmetric information on the composition of capital inflows. This study uses the stock market microstructure to capture the asymmetric information. Such an approach allows one to capture the level and extent of the asymmetric information from a firm’s perspective. This study focuses on the two-dimensional measure of the market microstructure in capturing asymmetric information. The composition of capital inflows is measured by running six models simultaneously. By employing the panel data technique, the main finding of this research shows an increase in the asymmetric information of the stock market, in any of the two dimensions of width and depth. This leads to the reduction of foreign investments in both forms of foreign portfolio investment (FPI) and foreign direct investment (FDI), while the reduction in FPI is higher than that of the FDI. The significant effect of asymmetric information on capital inflows implicitly suggests for policymakers to control the changes of foreign capital inflows through transparency in the level of the market.

Keywords: capital flows composition, asymmetric information, stock market microstructure, foreign portfolio investment, foreign direct investment

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Authors: Saowanit Sukparungsee

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Generally, the traditional Shewhart p chart has been developed by for charting the binomial data. This chart has been developed using the normal approximation with condition as low defect level and the small to moderate sample size. In real applications, however, are away from these assumptions due to skewness in the exact distribution. In this paper, a modified Exponentially Weighted Moving Average (EWMA) control chat for detecting a change in binomial data by improving square root transformations, namely ISRT p EWMA control chart. The numerical results show that ISRT p EWMA chart is superior to ISRT p chart for small to moderate shifts, otherwise, the latter is better for large shifts.

Keywords: number of defects, exponentially weighted moving average, average run length, square root transformations

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Authors: Chimezie P. Nnanwa, Thomas C. Urama, Patrick O. Ezepue

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In this paper we use Random Matrix Theory to analyze the eigen-structure of the empirical correlations of 82 stocks which are consistently traded in the Nigerian Stock Exchange (NSE) over a 4-year study period 3 August 2009 to 26 August 2013. We apply the Marchenko-Pastur distribution of eigenvalues of a purely random matrix to investigate the presence of investment-pertinent information contained in the empirical correlation matrix of the selected stocks. We use hypothesised standard normal distribution of eigenvector components from RMT to assess deviations of the empirical eigenvectors to this distribution for different eigenvalues. We also use the Inverse Participation Ratio to measure the deviation of eigenvectors of the empirical correlation matrix from RMT results. These preliminary results on the dynamics of asset price correlations in the NSE are important for improving risk-return trade-offs associated with Markowitz’s portfolio optimization in the stock exchange, which is pursued in future work.

Keywords: correlation matrix, eigenvalue and eigenvector, inverse participation ratio, portfolio optimization, random matrix theory

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Authors: Venera Goxha

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Property and inheritance rights for women whose husbands were killed or disappeared during the last war in Kosovo is the purpose of this study, respectively, the access of these women to family real estate. The case study is about women whose husbands were killed or disappeared during the last war in Kosovo and who, on this occasion, earned the title of 'widow'.The research is conducted in the villages of Krusha e Vogël - Municipality of Prizren, and Krusha e Madhe - Municipality of Rahovec, one of the most suffered villages from the recent war in Kosovo. Krusha e Vogël, as a result of the recent war, has 113 male victims, or 70% of all men from the age of 13 to the age of 77, leaving widows and orphans. In the village of Krusha e Madhe, 243 Albanians were massacred by Serbs living in the same village, leaving widows and orphaned children alive. According to these data, most of the Krushian families, as heads of households, have surviving wives and widows. Therefore, being the head of the family and facing a mountain of challenges, such as economic, social, and cultural, the issue of how these women have approached the property and family heritage is considered. The equal right to property and inheritance is a right that is guaranteed to women with all legislation in force, starting from the Constitution of the Republic of Kosovo onwards. Article 7 of the Constitution of Kosovo and the subsequent legal framework recognizes the equality of women and the equal division of property between heirs, daughters, and sons. However, some of the legislation does not successfully reflect the current reality in Kosovo. All these ambiguities follow from the ‘patriarchal law’ of the Albanians in the time of the early Middle Ages, later known as the ‘Kanun of Lekë Dukagjini’. At the time it was written and applied, it weighted the law in force, but later over time, it passed into tradition, culture, and mentality. The Kanun of Lekë Dukagjini, in no context, has treated women equally to men. The female, according to the Kanun, was a working tool, a creature to be born, to work, to carry, to raise children, and to remain faithful to the husband even when the husband is not faithful.

Keywords: property rights, heritage, widows, code

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Authors: Hina Munir Abbasi

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The current paper examines the relationship and diversification ability of Islamic stock indices /conventional stocks indices and Real Estate Investment Trust (REITs).To represent conditional dependency between stocks and REITs in a more realistic way, new modeling technique, time-varying copula with switching dependence is used. It represents reliance structure more accurately and realistically than a single copula regime as dependence may alter between positive and negative correlation regimes with time. The fluctuating behavior of markets has significant impact on economic variables; especially the downward trend during crisis. Overall addition of Real Estate Investment Trust in stocks portfolio reduces risks and provide better diversification benefit. Results varied depending upon the circumstances of the country. REITs provides better diversification benefits for Islamic Stocks, when both markets are bearish and can provide hedging benefit for conventional stocks portfolio.

Keywords: conventional stocks, real estate investment trust, copula, diversification, risk spillover, safe heaven

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Authors: Muge Unal, Cengiz Uslu, Mehmet Faruk Altunkasa

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Walkability relates to the ability of the places to connect people with varied destinations within a reasonable amount of time and effort, and to offer visual interest in journeys throughout the network. So, the good quality of the physical environment and arrangement of walkway and sidewalk appear to be more crucial in influencing the pedestrian route choice. Also, proximity, connectivity, and accessibility are significant factor for walkability in terms of an equal opportunity for using public spaces. As a result, there are two important points for walkability. Firstly, the place should have a well-planned street network for accessible and secondly facilitate the pedestrian need for comfort. In this respect, this study aims to examine the both physical and bioclimatic comfort levels of the current condition of pedestrian route with reference to design criteria of a street to access the urban green spaces. These aspects have been identified as the main indicators for walkable streets such as continuity, materials, slope, bioclimatic condition, walkway width, greenery, and surface. Additionally, the aim was to identify the factors that need to be considered in future guidelines and policies for planning and design in urban spaces especially streets. Adana city was chosen as a study area. Adana is a province of Turkey located in south-central Anatolia. This study workflow can be summarized in four stages: (1) environmental and physical data were collected by referred to literature and used in a weighted criteria method to determine the importance level of these data , (2) environmental characteristics of pedestrian routes gained from survey studies are evaluated to hierarchies these criteria of the collected information, (3) and then each pedestrian routes will have a score that provides comfortable access to the park, (4) finally, the comfortable routes to park will be mapped using GIS. It is hoped that this study will provide an insight into future development planning and design to create a friendly and more comfort street environment for the users.

Keywords: comfort level, geographical information system (GIS), walkability, weighted criteria method

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Authors: Rishikesh Yadav, Ramakanta Meher, Vishnu Narayan Mishra

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The main aim of this article is to investigate the statistical convergence of the summation of integral type operators and to obtain the weighted statistical convergence. The rate of statistical convergence by means of modulus of continuity and function belonging to the Lipschitz class are also studied. We discuss the convergence of the defined operators by graphical representation and put a better rate of convergence than the Szasz-Mirakjan-Kantorovich operators. In the last section, we extend said operators into bivariate operators to study about the rate of convergence in sense of modulus of continuity and by means of Lipschitz class by using function of two variables.

Keywords: The Szasz-Mirakjan-Kantorovich operators, statistical convergence, modulus of continuity, Peeters K-functional, weighted modulus of continuity

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Authors: Jean Marie Tshimula, Atsushi Togashi

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We develop a data-science approach for providing an interactive visualization and predictive models to find insights into the projects' historical data in order for stakeholders understand some unseen opportunities in the African market that might escape them behind the online project portfolio of the African Development Bank. This machine learning-based web application identifies the market trend of the fastest growing economies across the continent as well skyrocketing sectors which have a significant impact on the future of business in Africa. Owing to this, the approach is tailored to predict where the investment needs are the most required. Moreover, we create a corpus that includes the descriptions of over more than 1,200 projects that approximately cover 14 sectors designed for some of 53 African countries. Then, we sift out this large amount of semi-structured data for extracting tiny details susceptible to contain some directions to follow. In the light of the foregoing, we have applied the combination of Latent Dirichlet Allocation and Random Forests at the level of the analysis module of our methodology to highlight the most relevant topics that investors may focus on for investing in Africa.

Keywords: machine learning, topic modeling, natural language processing, big data

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Authors: Erindi Allaj

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This paper studies arbitrage pricing theory in financial markets with transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded volume. The investors in the market always buy at the ask and sell at the bid price. Transaction costs are composed of two terms, one is able to capture the implicit transaction costs and the other the price impact. Moreover, a new definition of a self-financing portfolio is obtained. The self-financing condition suggests that continuous trading is possible, but is restricted to predictable trading strategies which have left and right limit and finite quadratic variation. That is, predictable trading strategies of infinite variation and of finite quadratic variation are allowed in our setting. Within this framework, the existence of an equivalent probability measure is equivalent to the absence of arbitrage opportunities, so that the first fundamental theorem of asset pricing (FFTAP) holds. It is also proved that, when this probability measure is unique, any contingent claim in the market is hedgeable in an L2-sense. The price of any contingent claim is equal to the risk-neutral price. To better understand how to apply the theory proposed we provide an example with linear transaction costs.

Keywords: arbitrage pricing theory,
transaction costs, fundamental theorems of arbitrage, financial markets

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Authors: Ahcene Habbi, Yassine Boudouaoui

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This paper deals with the problem of automatic rule generation for fuzzy systems design. The proposed approach is based on hybrid artificial bee colony (ABC) optimization and weighted least squares (LS) method and aims to find the structure and parameters of fuzzy systems simultaneously. More precisely, two ABC based fuzzy modeling strategies are presented and compared. The first strategy uses global optimization to learn fuzzy models, the second one hybridizes ABC and weighted least squares estimate method. The performances of the proposed ABC and ABC-LS fuzzy modeling strategies are evaluated on complex modeling problems and compared to other advanced modeling methods.

Keywords: automatic design, learning, fuzzy rules, hybrid, swarm optimization

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Authors: Paolo Fantozzi, Luigi Laura, Umberto Nanni

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The problem of Entity relation discovery in structured data, a well covered topic in literature, consists in searching within unstructured sources (typically, text) in order to find connections among entities. These can be a whole dictionary, or a specific collection of named items. In many cases machine learning and/or text mining techniques are used for this goal. These approaches might be unfeasible in computationally challenging problems, such as processing massive data streams. A faster approach consists in collecting the cooccurrences of any two words (entities) in order to create a graph of relations - a cooccurrence graph. Indeed each cooccurrence highlights some grade of semantic correlation between the words because it is more common to have related words close each other than having them in the opposite sides of the text. Some authors have used sliding windows for such problem: they count all the occurrences within a sliding windows running over the whole text. In this paper we generalise such technique, coming up to a Weighted-Distance Sliding Window, where each occurrence of two named items within the window is accounted with a weight depending on the distance between items: a closer distance implies a stronger evidence of a relationship. We develop an experiment in order to support this intuition, by applying this technique to a data set consisting in the text of the Bible, split into verses.

Keywords: cooccurrence graph, entity relation graph, unstructured text, weighted distance

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Authors: Mohamed Al-Badrashiny, Abdelghani Bellaachia

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This paper presents a classifier ensemble approach for predicting the survivability of the breast cancer patients using the latest database version of the Surveillance, Epidemiology, and End Results (SEER) Program of the National Cancer Institute. The system consists of two main components; features selection and classifier ensemble components. The features selection component divides the features in SEER database into four groups. After that it tries to find the most important features among the four groups that maximizes the weighted average F-score of a certain classification algorithm. The ensemble component uses three different classifiers, each of which models different set of features from SEER through the features selection module. On top of them, another classifier is used to give the final decision based on the output decisions and confidence scores from each of the underlying classifiers. Different classification algorithms have been examined; the best setup found is by using the decision tree, Bayesian network, and Na¨ıve Bayes algorithms for the underlying classifiers and Na¨ıve Bayes for the classifier ensemble step. The system outperforms all published systems to date when evaluated against the exact same data of SEER (period of 1973-2002). It gives 87.39% weighted average F-score compared to 85.82% and 81.34% of the other published systems. By increasing the data size to cover the whole database (period of 1973-2014), the overall weighted average F-score jumps to 92.4% on the held out unseen test set.

Keywords: classifier ensemble, breast cancer survivability, data mining, SEER

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Authors: Belaynesh Chekol, Numan Çelebi

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The main purpose of this work is to recognize individual characters extracted from natural scene images using scale invariant feature transform (SIFT) features as an input to K-nearest neighbor (KNN); a classification learner algorithm. For this task, 1,068 and 78 images of English alphabet characters taken from Chars74k data set is used to train and test the classifier respectively. For each character image, We have generated describing features by using SIFT algorithm. This set of features is fed to the learner so that it can recognize and label new images of English characters. Two types of KNN (fine KNN and weighted KNN) were trained and the resulted classification accuracy is 56.9% and 56.5% respectively. The training time taken was the same for both fine and weighted KNN.

Keywords: character recognition, KNN, natural scene image, SIFT

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Authors: Abdul Jalil M. Khalaf, Esraa M. Kadhim

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The Hosoya polynomial of a graph G is a graphical invariant polynomial that its first derivative at x= 1 is equal to the Wiener index and second derivative at x=1 is equal to the Hyper-Wiener index. In this paper we study the Hosoya polynomial of zero-divisor graphs.

Keywords: Hosoya polynomial, wiener index, Hyper-Wiener index, zero-divisor graphs

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Authors: T. Francis Thamburaj, A. Aloysius

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Polymorphism is one of the main pillars of the object-oriented paradigm. It induces hidden forms of class dependencies which may impact software quality, resulting in higher cost factor for comprehending, debugging, testing, and maintaining the software. In this paper, a new cognitive complexity metric called Cognitive Weighted Polymorphism Factor (CWPF) is proposed. Apart from the software structural complexity, it includes the cognitive complexity on the basis of type. The cognitive weights are calibrated based on 27 empirical studies with 120 persons. A case study and experimentation of the new software metric shows positive results. Further, a comparative study is made and the correlation test has proved that CWPF complexity metric is a better, more comprehensive, and more realistic indicator of the software complexity than Abreu’s Polymorphism Factor (PF) complexity metric.

Keywords: cognitive complexity metric, object-oriented metrics, polymorphism factor, software metrics

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Authors: Oğuzhan Urhan

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In this paper, an improved motion estimation (ME) approach based on weighted constrained one-bit transform is proposed for block-based ME employed in video encoders. Binary ME approaches utilize low bit-depth representation of the original image frames with a Boolean exclusive-OR based hardware efficient matching criterion to decrease computational burden of the ME stage. Weighted constrained one-bit transform (WC‑1BT) based approach improves the performance of conventional C-1BT based ME employing 2-bit depth constraint mask instead of a 1-bit depth mask. In this work, the range of constraint mask is further extended to increase ME performance of WC-1BT approach. Experiments reveal that the proposed method provides better ME accuracy compared existing similar ME methods in the literature.

Keywords: fast motion estimation; low-complexity motion estimation, video coding

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Authors: Yi-Min Lan, Hung-Wen Cheng, Hsuan-Ling Chang, Jou-Ping Yu

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The study applies machine learning models to construct momentum strategies and utilizes the information coefficient as an indicator for selecting stocks with strong and weak momentum characteristics. Through this approach, the study has built investment portfolios capable of generating superior returns and conducted a thorough analysis. Compared to existing research on momentum strategies, machine learning is incorporated to capture non-linear interactions. This approach enhances the conventional stock selection process, which is often impeded by difficulties associated with timeliness, accuracy, and efficiency due to market risk factors. The study finds that implementing bidirectional momentum strategies outperforms unidirectional ones, and momentum factors with longer observation periods exhibit stronger correlations with returns. Optimizing the number of stocks in the portfolio while staying within a certain threshold leads to the highest level of excess returns. The study presents a novel framework for momentum strategies that enhances and improves the operational aspects of asset management. By introducing innovative financial technology applications to traditional investment strategies, this paper can demonstrate significant effectiveness.

Keywords: information coefficient, machine learning, momentum, portfolio, return prediction

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Authors: Sepehr Moradi, Mehdi Asadi Rad

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The aim of this study is to evaluate and compare carcass weight of pure and mixed races Namebar 30-day pigeons to investigate about their sex, race, and some auxiliary variables. In this paper, 68 pieces of pigeons as 34 male and female pairs with equal age are studied randomly. A natural incubation was done from each pair. All produced chickens were slaughtered at 30 days age after 12 hours hunger. Then their carcasses were weighted by a scale with one gram precision. A covariance analysis was used since there were many auxiliary variables and unequal observations. SAS software was used for statistical analysis. Mean weight of carcass in pure race (Namebar-Namebar) with 8 records, 219.5±61.3 gr and mixed races of Kabood-Namebar, Parvazy-Namebar, Tizpar-Namebar, Namebar-Kabood, Namebar-Tizpar, and Namebar-Parvazy with 8, 10, 8, 12, 12, and 10 records were 369.9±54.6, 338.3±52.7, 224.5±73.6, 142.3±67.8, 155.6±56.2, and 170.2±55 gr, respectively.. Difference carcass weight of 30-day of Namebar-Namebar race with Namebar-Kabood, Namebar-Parvazy, Namebar-Tizpar, Parvazy-Namebar and Tizpar-Namebar mixed races was not significant, and was significant in level 5% with Kabood- Namebar (P < 0.05). Effect of sex and age were also significant in 1% level (P < 0.01), but mutual effect of sex and race was not significant. The results showed that most and least weights of carcass belonged to Kabood-Namebar and Namebar-Kabood.

Keywords: squab, Namebar race, 30-day carcass weight, pigeons

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Authors: Yuri Boiko, Ci Lin, Iluju Kiringa, Tet Yeap

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The performance of a BLDC motor controlled by the Kalman filter-based position-sensorless drive is studied in terms of its dependence on the system’s parameters' variations. The effects of system’s parameters changes on the dynamic behavior of state variables are verified. Simulated is a closed-loop control scheme with a Kalman filter in the feedback line. Distinguished are two separate data sampling modes in analyzing feedback output from the BLDC motor: (1) equal angular separation and (2) equal time intervals. In case (1), the data are collected via equal intervals Δθ of rotor’s angular position θᵢ, i.e., keeping Δθ=const. In case (2), the data collection time points tᵢ are separated by equal sampling time intervals Δt=const. Demonstrated are the effects of the parameters changes on the sensorless control flow, in particular, reduction of the torque ripples, switching spikes, torque load balancing. It is specifically shown that an efficient suppression of commutation induced torque ripples is achievable selection of the sampling rate in the Kalman filter settings above certain critical value. The computational cost of such suppression is shown to be higher for the motors with lower induction values of the windings.

Keywords: BLDC motor, Kalman filter, sensorless drive, state variables, torque ripples reduction, sampling rate

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Authors: Yuzhi Cai

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This talk presents a Bayesian approach to quantile autoregressive (QAR) time series model estimation and forecasting. We establish that the joint posterior distribution of the model parameters and future values is well defined. The associated MCMC algorithm for parameter estimation and forecasting converges to the posterior distribution quickly. We also present a combining forecasts technique to produce more accurate out-of-sample forecasts by using a weighted sequence of fitted QAR models. A moving window method to check the quality of the estimated conditional quantiles is developed. We verify our methodology using simulation studies and then apply it to currency exchange rate data. An application of the method to the USD to GBP daily currency exchange rates will also be discussed. The results obtained show that an unequally weighted combining method performs better than other forecasting methodology.

Keywords: combining forecasts, MCMC, quantile modelling, quantile forecasting, predictive density functions

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Authors: Sepehr Moradi, Mehdi Asadi Rad

Abstract:

This study is to evaluate the live weight of adult pigeons to investigate about their sex, race, their mutual effects and some auxiliary variables in 4 races of Kabood, Tizpar, Parvazy, and Namebar. In this paper, 152 pieces of pigeons as 76 male and female pairs with equal age are studied randomly. Then the birds were weighted by a scale with one gram precision. Software was used for statistical analysis. Mean live weight of adult male and female pigeons in 4 races (Kabood, Tizpar, Parvazy and Namebar with (15, 20, 20, 21) and (20, 21, 18, 17) records were, (530±56, 388.75±32, 392±34, 552±48) and (446±34, 342±32, 341±46, 457±57) gr, respectively. Difference weight of adult live of male with female was significant in 1% level (P < 0.01). Difference live weight of male adult pigeon was significant in 5% level (P < 0.05). Different live weight of female adult pigeon between Kabood, Parvazy and Tizpar races were significant in 5% level (P < 0.05) but mean live weight Kabood race with Namebar race and Parvazy with Tizpar were not significant. The results showed that most and least mean live weights belonged to Namebar of the male pigeon race and Parvazy of the female pigeon race.

Keywords: Iranian Native Pigeons, adult weight, live weight, adult pigeons

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Authors: S. Turkan

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In this paper, the Turkey’s Top 500 Industrial Enterprises data in 2014 were analyzed by data envelopment analysis. Data envelopment analysis is used to detect efficient decision-making units such as universities, hospitals, schools etc. by using inputs and outputs. The decision-making units in this study are enterprises. To detect efficient enterprises, some financial ratios are determined as inputs and outputs. For this reason, financial indicators related to productivity of enterprises are considered. The efficient foreign weighted owned capital enterprises are detected via super efficiency model. According to the results, it is said that Mercedes-Benz is the most efficient foreign weighted owned capital enterprise in Turkey.

Keywords: data envelopment analysis, super efficiency, logistic regression, financial ratios

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Authors: Punitha Periyasamy, Mahalingam Sudalaimuthu, Sachikanta Nanda, Arasu Sundaram

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India holds 17.5% of the world’s population but has only 2% of the total geographical area of the world where 27.35% of the area is categorized as wasteland due to lack of or less groundwater. So there is a demand for excessive groundwater for agricultural and non agricultural activities to balance its growth rate. With this in mind, an attempt is made to find the groundwater potential zone in Gomukhi river sub basin of Vellar River basin, TamilNadu, India covering an area of 1146.6 Sq.Km consists of 9 blocks from Peddanaickanpalayam to Villupuram fall in the sub basin. The thematic maps such as Geology, Geomorphology, Lineament, Landuse, and Landcover and Drainage are prepared for the study area using IRS P6 data. The collateral data includes rainfall, water level, soil map are collected for analysis and inference. The digital elevation model (DEM) is generated using Shuttle Radar Topographic Mission (SRTM) and the slope of the study area is obtained. ArcGIS 10.1 acts as a powerful spatial analysis tool to find out the ground water potential zones in the study area by means of weighted overlay analysis. Each individual parameter of the thematic maps are ranked and weighted in accordance with their influence to increase the water level in the ground. The potential zones in the study area are classified viz., Very Good, Good, Moderate, Poor with its aerial extent of 15.67, 381.06, 575.38, 174.49 Sq.Km respectively.

Keywords: ArcGIS, DEM, groundwater, recharge, weighted overlay

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Authors: Elvira Mustikawati P.H., Iis Dewi Ratih, Dita Amelia

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Bojonegoro has proclaimed a policy of zero malnutrition. Therefore, as an effort to solve the cases of malnutrition children in Bojonegoro, this study used the approach geographically Mixed Weighted Regression (MGWR) to determine the factors that influence the percentage of malnourished children under five in which factors can be divided into locally influential factor in each district and global factors that influence throughout the district. Based on the test of goodness of fit models, R2 and AIC values in GWR models are better than MGWR models. R2 and AIC values in MGWR models are 84.37% and 14.28, while the GWR models respectively are 91.04% and -62.04. Based on the analysis with GWR models, District Sekar, Bubulan, Gondang, and Dander is a district with three predictor variables (percentage of vitamin A, the percentage of births assisted health personnel, and the percentage of clean water) that significantly influence the percentage of malnourished children under five.

Keywords: GWR, MGWR, R2, AIC

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Authors: Sepehr Moradi, Mehdi Asadi Rad

Abstract:

The aim of this study is to evaluate and compare live weight of pure and mixed races Tizpar 30-day pigeons to investigate about their sex, race, and some auxiliary variables. In this paper, 70 pieces of pigeons as 35 male and female pairs with equal age are studied randomly. A natural incubation was done from each pair. All produced chickens were weighted at 30 days age before and after hunger by a scale with one gram precision. A covariance analysis was used since there were many auxiliary variables and unequal observations. SAS software was used for statistical analysis. Mean weight of live in pure race (Tizpar-Tizpar) with 12 records, 182.3±60.9 gr and mixed races of Tizpar-Kabood, Tizpar-Parvazy, Tizpar-Namebar, Kabood-Tizpar, Namebar-Tizpar, and Parvazy-Tizpar with 10, 10, 8, 6, 12, and 12 records were 114.3±71.6, 210.6±71.7, 353.2±86, 520.8±81.5, 288.3±65.6, and 382.6±70.4 gr, respectively. Effects of sex, race and some auxiliary variables were also significant in 1% level (P < 0.01). Difference live weight of 30-day of Tizpar-Tizpar race with Tizpar-Namebar and Parvazi-Tizpar mixed races was significant in 5% level (P < 0.05) and with Kabood-Tizpar mixed races was significant in 1% level (P < 0.01) but with Tizpar-Kabood, Nmaebar-Tizpar and Tizpar-Parvazy mixed races was not significant. The results showed that most and least weights of live belonged to Kabood-Tizpar and Tizpar-Kabood.

Keywords: squabs, Tizpar race, 30-day live weight, pigeons

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Authors: Yuyang Cheng, Marcos Escobar-Anel

Abstract:

This paper introduces a multivariate 4/2 stochastic covariance process generalizing the one-dimensional counterparts presented in Grasselli (2017). Our construction permits stochastic correlation not only among stocks but also among volatilities, also known as co-volatility movements, both driven by more convenient 4/2 stochastic structures. The parametrization is flexible enough to separate these types of correlation, permitting their individual study. Conditions for proper changes of measure and closed-form characteristic functions under risk-neutral and historical measures are provided, allowing for applications of the model to risk management and derivative pricing. We apply the model to an expected utility theory problem in incomplete markets. Our analysis leads to closed-form solutions for the optimal allocation and value function. Conditions are provided for well-defined solutions together with a verification theorem. Our numerical analysis highlights and separates the impact of key statistics on equity portfolio decisions, in particular, volatility, correlation, and co-volatility movements, with the latter being the least important in an incomplete market.

Keywords: stochastic covariance process, 4/2 stochastic volatility model, stochastic co-volatility movements, characteristic function, expected utility theory, verication theorem

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Authors: M. Pawlaczyk-Łuszczyńska, T. Wszołek, A. Dudarewicz, P. Małecki, M. Kłaczyński, A. Bortkiewicz

Abstract:

Human tolerance to infrasound is defined by the hearing threshold. Infrasound that cannot be heard (or felt) is not annoying and is not thought to have any other adverse or health effects. Recent research has largely confirmed earlier findings. ISO 7196:1995 recommends the use of G-weighted characteristics for the assessment of infrasound. There is a strong correlation between G-weighted SPL and annoyance perception. The aim of this study was to propose exposure limits for infrasound from wind turbines. However, only a few countries have set limits for infrasound. These limits are usually no higher than 85-92 dBG, and none of them are specific to wind turbines. Over the years, a number of studies have been carried out to determine hearing thresholds below 20 Hz. It has been recognized that 10% of young people would be able to perceive 10 Hz at around 90 dB, and it has also been found that the difference in median hearing thresholds between young adults aged around 20 years and older adults aged over 60 years is around 10 dB, irrespective of frequency. This shows that older people (up to about 60 years of age) retain good hearing in the low frequency range, while their sensitivity to higher frequencies is often significantly reduced. In terms of exposure limits for infrasound, the average hearing threshold corresponds to a tone with a G-weighted SPL of about 96 dBG. In contrast, infrasound at Lp,G levels below 85-90 dBG is usually inaudible. The individual hearing threshold can, therefore be 10-15 dB lower than the average threshold, so the recommended limits for environmental infrasound could be 75 dBG or 80 dBG. It is worth noting that the G86 curve has been taken as the threshold of auditory perception of infrasound reached by 90-95% of the population, so the G75 and G80 curves can be taken as the criterion curve for wind turbine infrasound. Finally, two assessment methods and corresponding exposure limit values have been proposed for wind turbine infrasound, i.e. method I - based on G-weighted sound pressure level measurements and method II - based on frequency analysis in 1/3-octave bands in the frequency range 4-20 Hz. Separate limit values have been set for outdoor living areas in the open countryside (Area A) and for noise sensitive areas (Area B). In the case of Method I, infrasound limit values of 80 dBG (for areas A) and 75 dBG (for areas B) have been proposed, while in the case of Method II - criterion curves G80 and G75 have been chosen (for areas A and B, respectively).

Keywords: infrasound, exposure limit, hearing thresholds, wind turbines

Procedia PDF Downloads 49