Search results for: fundamental theorems of arbitrage
1762 Implicit Transaction Costs and the Fundamental Theorems of Asset Pricing
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
Procedia PDF Downloads 3131761 Calibration of Hybrid Model and Arbitrage-Free Implied Volatility Surface
Authors: Kun Huang
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This paper investigates whether the combination of local and stochastic volatility models can be calibrated exactly to any arbitrage-free implied volatility surface of European option. The risk neutral Brownian Bridge density is applied for calibration of the leverage function of our Hybrid model. Furthermore, the tails of marginal risk neutral density are generated by Generalized Extreme Value distribution in order to capture the properties of asset returns. The local volatility is generated from the arbitrage-free implied volatility surface using stochastic volatility inspired parameterization.Keywords: arbitrage free implied volatility, calibration, extreme value distribution, hybrid model, local volatility, risk-neutral density, stochastic volatility
Procedia PDF Downloads 2291760 Market Illiquidity and Pricing Errors in the Term Structure of CDS
Authors: Lidia Sanchis-Marco, Antonio Rubia, Pedro Serrano
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This paper studies the informational content of pricing errors in the term structure of sovereign CDS spreads. The residuals from a non-arbitrage model are employed to construct a Price discrepancy estimate, or noise measure. The noise estimate is understood as an indicator of market distress and reflects frictions such as illiquidity. Empirically, the noise measure is computed for an extensive panel of CDS spreads. Our results reveal an important fraction of systematic risk is not priced in default swap contracts. When projecting the noise measure onto a set of financial variables, the panel-data estimates show that greater price discrepancies are systematically related to a higher level of offsetting transactions of CDS contracts. This evidence suggests that arbitrage capital flows exit the marketplace during time of distress, and this consistent with a market segmentation among investors and arbitrageurs where professional arbitrageurs are particularly ineffective at bringing prices to their fundamental values during turbulent periods. Our empirical findings are robust for the most common CDS pricing models employed in the industry.Keywords: credit default swaps, noise measure, illiquidity, capital arbitrage
Procedia PDF Downloads 5341759 The Probability Foundation of Fundamental Theoretical Physics
Authors: Quznetsov Gunn
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In the study of the logical foundations of probability theory, it was found that the terms and equations of the fundamental theoretical physics represent terms and theorems of the classical probability theory, more precisely, of that part of this theory, which considers the probability of dot events in the 3 + 1 space-time. In particular, the masses, moments, energies, spins, etc. turn out of parameters of probability distributions such events. The terms and the equations of the electroweak and of the quark-gluon theories turn out the theoretical-probabilistic terms and theorems. Here the relation of a neutrino to his lepton becomes clear, the W and Z bosons masses turn out dynamic ones, the cause of the asymmetry between particles and antiparticles is the impossibility of the birth of single antiparticles. In addition, phenomena such as confinement and asymptotic freedom receive their probabilistic explanation. And here we have the logical foundations of the gravity theory with phenomena dark energy and dark matter.Keywords: classical theory of probability, logical foundation of fundamental theoretical physics, masses, moments, energies, spins
Procedia PDF Downloads 2601758 Derivation of BCK\BCI-Algebras
Authors: Tumadhir Fahim M Alsulami
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The concept of this paper builds on connecting between two important notions, fuzzy ideals of BCK-algebras and derivation of BCI-algebras. The result we got is a new concept called derivation fuzzy ideals of BCI-algebras. Followed by various results and important theorems on different types of ideals. In chapter 1: We presented the basic and fundamental concepts of BCK\ BCI- algebras as follows: BCK/BCI-algebras, BCK sub-algebras, bounded BCK-algebras, positive implicative BCK-algebras, commutative BCK-algebras, implicative BCK- algebras. Moreover, we discussed ideals of BCK-algebras, positive implicative ideals, implicative ideals and commutative ideals. In the last section of chapter 1 we proposed the notion of derivation of BCI-algebras, regular derivation of BCI-algebras and basic definitions and properties. In chapter 2: It includes 3 sections as follows: Section 1 contains elementary concepts of fuzzy sets and fuzzy set operations. Section 2 shows O. G. Xi idea, where he applies fuzzy sets concept to BCK-algebras and we studied fuzzy sub-algebras as well. Section 3 contains fuzzy ideals of BCK-algebras basic definitions, closed fuzzy ideals, fuzzy commutative ideals, fuzzy positive implicative ideals, fuzzy implicative ideals, fuzzy H-ideals and fuzzy p-ideals. Moreover, we investigated their concepts in diverse theorems and propositions. In chapter 3: The main concept of our thesis on derivation fuzzy ideals of BCI- algebras is introduced. Chapter 3 splits into 4 sections. We start with General definitions and important theorems on derivation fuzzy ideal theory in section 1. Section 2 and 3 contain derivations fuzzy p-ideals and derivations fuzzy H-ideals of BCI- algebras, several important theorems and propositions were introduced. The last section studied derivations fuzzy implicative ideals of BCI-algebras and it includes new theorems and results. Furthermore, we presented a new theorem that associate derivations fuzzy implicative ideals, derivations fuzzy positive implicative ideals and derivations fuzzy commutative ideals. These concepts and the new results were obtained and introduced in chapter 3 were submitted in two separated articles and accepted for publication.Keywords: BCK, BCI, algebras, derivation
Procedia PDF Downloads 871757 Valuation of Caps and Floors in a LIBOR Market Model with Markov Jump Risks
Authors: Shih-Kuei Lin
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The characterization of the arbitrage-free dynamics of interest rates is developed in this study under the presence of Markov jump risks, when the term structure of the interest rates is modeled through simple forward rates. We consider Markov jump risks by allowing randomness in jump sizes, independence between jump sizes and jump times. The Markov jump diffusion model is used to capture empirical phenomena and to accurately describe interest jump risks in a financial market. We derive the arbitrage-free model of simple forward rates under the spot measure. Moreover, the analytical pricing formulas for a cap and a floor are derived under the forward measure when the jump size follows a lognormal distribution. In our empirical analysis, we find that the LIBOR market model with Markov jump risk better accounts for changes from/to different states and different rates.Keywords: arbitrage-free, cap and floor, Markov jump diffusion model, simple forward rate model, volatility smile, EM algorithm
Procedia PDF Downloads 3861756 Implied Fundamental Rights under Article 21 of the Constitution of India: Effects and Applicability
Authors: N. Sathish Gowda
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A constitution without fundamental rights will become zero. The very object of constitution of three organs viz, legislature, executive and judiciary under the constitution of India is to protect, preserve and promote fundamental rights guaranteed under part-III. In India, along with express fundamental rights, Supreme Court has also recognized implied fundamental rights. But, unfortunately State has not been implementing these implied fundamental rights. In this regard, this research paper discusses the catalogue of implied fundamental rights evolved by the judiciary in interpreting Article 21 of the Constitution of India and seeks to examine the effects and applicability of these rights in India.Keywords: fundamental rights, nuances of Article 21, express fundamental rights, implied fundamental rights, procedure established by law
Procedia PDF Downloads 3371755 The Faithful Extension of Constant Height and Constant Width Between Finite Posets
Authors: Walied Hazim Sharif
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The problem of faithful extension with the condition of keeping constant height h and constant width w, i.e. for h w -inextensibility, seems more interesting than the brute extension of finite poset (partially ordered set). We shall investigate some theorems of hw-inextensive and hw-exrensive posets that can be used to formulate the faithful extension problem. A theorem in its general form of hw-inextensive posets is given to implement the presented theorems.Keywords: faithful extension, poset, extension, inextension, height, width, hw-extensive, hw-inextensive
Procedia PDF Downloads 3561754 Faithful Extension of Constant Height and Constant Width between Finite Posets
Authors: Walied Hazim Sharif
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The problem of faithful extension with the condition of keeping constant height h and constant width w, i.e. for hw-inextensibility, seems more interesting than the brute extension of finite poset (partially ordered set). We shall investigate some theorems of hw-inextensive and hw-extensive posets that can be used to formulate the faithful extension problem. A theorem in its general form of hw-inextensive posets are given to implement the presented theorems.Keywords: faithful extension, poset, extension, inextension, height, width, hw-extensive, hw-inextensive
Procedia PDF Downloads 2291753 A Data Science Pipeline for Algorithmic Trading: A Comparative Study in Applications to Finance and Cryptoeconomics
Authors: Luyao Zhang, Tianyu Wu, Jiayi Li, Carlos-Gustavo Salas-Flores, Saad Lahrichi
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Recent advances in AI have made algorithmic trading a central role in finance. However, current research and applications are disconnected information islands. We propose a generally applicable pipeline for designing, programming, and evaluating algorithmic trading of stock and crypto tokens. Moreover, we provide comparative case studies for four conventional algorithms, including moving average crossover, volume-weighted average price, sentiment analysis, and statistical arbitrage. Our study offers a systematic way to program and compare different trading strategies. Moreover, we implement our algorithms by object-oriented programming in Python3, which serves as open-source software for future academic research and applications.Keywords: algorithmic trading, AI for finance, fintech, machine learning, moving average crossover, volume weighted average price, sentiment analysis, statistical arbitrage, pair trading, object-oriented programming, python3
Procedia PDF Downloads 991752 Analysis of Chatterjea Type F-Contraction in F-Metric Space and Application
Authors: Awais Asif
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This article investigates fixed point theorems of Chatterjea type F-contraction in the setting of F-metric space. We relax the conditions of F-contraction and define modified F-contraction for two mappings. The study provides fixed point results for both single-valued and multivalued mappings. The results are further extended to common fixed point theorems for two mappings. Moreover, to discuss the applicability of our results, an application is provided, which shows the role of our results in finding the solution to functional equations in dynamic programming. Our results generalize and extend the existing results in the literature.Keywords: Chatterjea type F-contraction, F-cauchy sequence, F-convergent, multi valued mappings
Procedia PDF Downloads 1021751 Basic Properties of a Fundamental Particle: Behavioral-Physical and Visual Methods for the Study of Fundamental Particle
Authors: Shukran M. Dadayev
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To author's best knowledge, in this paper, the Basic Properties and Research methods of a Fundamental Particle is studied for the first time. That's to say, Fundamental Particle has not been discovered in the Nature yet. Because Fundamental Particle consists of specific Physical, Geometrical and Internal bases. Geometrical and Internal characteristics that are considered significant for the elementary and fundamental particles aren’t basic properties, characteristics or criteria of a Fundamental Particle. Of course, completely new Physical and Visual experimental methods of Quantum mechanics and Behavioral-Physical investigations of Particles are needed to study and discover the Fundamental Particle. These are new Physical, Visual and Behavioral-Physical experimental methods for describing and discovering the Fundamental Particle in the Nature and Microworld. Fundamental Particle consists of the same Energy-Mass-Motion system and a symmetry of Energy-Mass-Motion. Fundamental Particle supplies each of the elementary particles with the same Energy-Mass-Motion system at the same time and regulates each of the particles. Fundamental Particle gives Energy, Mass and Motion to each particles at the same time, each of the Particles consists of acquired Energy-Mass-Motion system and symmetry. Energy, Mass, Motion given by the Fundamental Particle to the particles are Symmetrical Equivalent and they remain in their primary shapes in all cases. Fundamental Particle gives Energy-Mass-Motion system and symmetry consisting of different measures and functions to each of the particles. The Motion given by the Fundamental Particle to the particles is Gravitation, Gravitational Interaction not only gives Motion, but also cause Motion by attracting. All Substances, Fields and Cosmic objects consist of Energy-Mass-Motion. The Field also includes specific Mass. They are always Energetic, Massive and Active. Fundamental Particle establishes the bases of the Nature. Supplement and Regulating of all the particles existing in the Nature belongs to Fundamental Particle.Keywords: basic properties of a fundamental particle, behavioral-physical and visual methods, energy-mass-motion system and symmetrical equivalence, fundamental particle
Procedia PDF Downloads 33911750 A Probabilistic Theory of the Buy-Low and Sell-High for Algorithmic Trading
Authors: Peter Shi
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Algorithmic trading is a rapidly expanding domain within quantitative finance, constituting a substantial portion of trading volumes in the US financial market. The demand for rigorous and robust mathematical theories underpinning these trading algorithms is ever-growing. In this study, the author establishes a new stock market model that integrates the Efficient Market Hypothesis and the statistical arbitrage. The model, for the first time, finds probabilistic relations between the rational price and the market price in terms of the conditional expectation. The theory consequently leads to a mathematical justification of the old market adage: buy-low and sell-high. The thresholds for “low” and “high” are precisely derived using a max-min operation on Bayes’s error. This explicit connection harmonizes the Efficient Market Hypothesis and Statistical Arbitrage, demonstrating their compatibility in explaining market dynamics. The amalgamation represents a pioneering contribution to quantitative finance. The study culminates in comprehensive numerical tests using historical market data, affirming that the “buy-low” and “sell-high” algorithm derived from this theory significantly outperforms the general market over the long term in four out of six distinct market environments.Keywords: efficient market hypothesis, behavioral finance, Bayes' decision, algorithmic trading, risk control, stock market
Procedia PDF Downloads 311749 A Coupled System of Caputo-Type Katugampola Fractional Differential Equations with Integral Boundary Conditions
Authors: Yacine Arioua
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In this paper, we investigate the existence and uniqueness of solutions for a coupled system of nonlinear Caputo-type Katugampola fractional differential equations with integral boundary conditions. Based upon a contraction mapping principle, Schauders fixed point theorems, some new existence and uniqueness results of solutions for the given problems are obtained. For application, some examples are given to illustrate the usefulness of our main results.Keywords: fractional differential equations, coupled system, Caputo-Katugampola derivative, fixed point theorems, existence, uniqueness
Procedia PDF Downloads 2221748 Approximation of Analytic Functions of Several Variables by Linear K-Positive Operators in the Closed Domain
Authors: Tulin Coskun
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We investigate the approximation of analytic functions of several variables in polydisc by the sequences of linear k-positive operators in Gadjiev sence. The approximation of analytic functions of complex variable by linear k-positive operators was tackled, and k-positive operators and formulated theorems of Korovkin's type for these operators in the space of analytic functions on the unit disc were introduced in the past. Recently, very general results on convergence of the sequences of linear k-positive operators on a simply connected bounded domain within the space of analytic functions were proved. In this presentation, we extend some of these results to the approximation of analytic functions of several complex variables by sequences of linear k-positive operators.Keywords: analytic functions, approximation of analytic functions, Linear k-positive operators, Korovkin type theorems
Procedia PDF Downloads 3061747 Optimality Conditions and Duality for Semi-Infinite Mathematical Programming Problems with Equilibrium Constraints, Using Convexificators
Authors: Shashi Kant Mishra
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In this paper, we consider semi-infinite mathematical programming problems with equilibrium constraints (SIMPEC). We establish necessary and sufficient optimality conditions for the SIMPEC, using convexificators. We study the Wolfe type dual problem for the SIMPEC under the ∂∗convexity assumptions. A Mond-Weir type dual problem is also formulated and studied for the SIMPEC under the ∂∗-convexity, ∂∗-pseudoconvexity and ∂∗quasiconvexity assumptions. Weak duality theorems are established to relate the SIMPEC and two dual programs in the framework of convexificators. Further, strong duality theorems are obtained under generalized standard Abadie constraint qualification (GS-ACQ).Keywords: mathematical programming problems with equilibrium constraints, optimality conditions, semi-infinite programming, convexificators
Procedia PDF Downloads 2881746 Normalized Enterprises Architectures: Portugal's Public Procurement System Application
Authors: Tiago Sampaio, André Vasconcelos, Bruno Fragoso
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The Normalized Systems Theory, which is designed to be applied to software architectures, provides a set of theorems, elements and rules, with the purpose of enabling evolution in Information Systems, as well as ensuring that they are ready for change. In order to make that possible, this work’s solution is to apply the Normalized Systems Theory to the domain of enterprise architectures, using Archimate. This application is achieved through the adaptation of the elements of this theory, making them artifacts of the modeling language. The theorems are applied through the identification of the viewpoints to be used in the architectures, as well as the transformation of the theory’s encapsulation rules into architectural rules. This way, it is possible to create normalized enterprise architectures, thus fulfilling the needs and requirements of the business. This solution was demonstrated using the Portuguese Public Procurement System. The Portuguese government aims to make this system as fair as possible, allowing every organization to have the same business opportunities. The aim is for every economic operator to have access to all public tenders, which are published in any of the 6 existing platforms, independently of where they are registered. In order to make this possible, we applied our solution to the construction of two different architectures, which are able of fulfilling the requirements of the Portuguese government. One of those architectures, TO-BE A, has a Message Broker that performs the communication between the platforms. The other, TO-BE B, represents the scenario in which the platforms communicate with each other directly. Apart from these 2 architectures, we also represent the AS-IS architecture that demonstrates the current behavior of the Public Procurement Systems. Our evaluation is based on a comparison between the AS-IS and the TO-BE architectures, regarding the fulfillment of the rules and theorems of the Normalized Systems Theory and some quality metrics.Keywords: archimate, architecture, broker, enterprise, evolvable systems, interoperability, normalized architectures, normalized systems, normalized systems theory, platforms
Procedia PDF Downloads 3171745 On Tarski’s Type Theorems for L-Fuzzy Isotone and L-Fuzzy Relatively Isotone Maps on L-Complete Propelattices
Authors: František Včelař, Zuzana Pátíková
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Recently a new type of very general relational structures, the so called (L-)complete propelattices, was introduced. These significantly generalize complete lattices and completely lattice L-ordered sets, because they do not assume the technically very strong property of transitivity. For these structures also the main part of the original Tarski’s fixed point theorem holds for (L-fuzzy) isotone maps, i.e., the part which concerns the existence of fixed points and the structure of their set. In this paper, fundamental properties of (L-)complete propelattices are recalled and the so called L-fuzzy relatively isotone maps are introduced. For these maps it is proved that they also have fixed points in L-complete propelattices, even if their set does not have to be of an awaited analogous structure of a complete propelattice.Keywords: fixed point, L-complete propelattice, L-fuzzy (relatively) isotone map, residuated lattice, transitivity
Procedia PDF Downloads 2451744 The Impact of Improved Grain Storage Technology on Marketing Behaviour and Livelihoods of Maize Farmers: A Randomized Controlled Trial in Ethiopia
Authors: Betelhem M. Negede, Maarten Voors, Hugo De Groote, Bart Minten
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Farmers in Ethiopia produce most of their own food during one agricultural season per year. Therefore, they need to use on-farm storage technologies to bridge the lean season and benefit from price arbitrage. Maize stored using traditional storage bags offer no protection from insects and molds, leading to high storage losses. In Ethiopia access to and use of modern storage technologies are still limited, restraining farmers to benefit from local maize price fluctuations. We used a randomized controlled trial among 871 maize farmers to evaluate the impacts of Purdue Improved Crop Storage (PICS) bags, also known as hermetic bags, on storage losses, and especially on behavioral changes with respect to consumption, marketing, and income among maize farmers in Ethiopia. This study builds upon the limited previous experimental research that has tried to understand farmers’ grain storage and post-harvest losses and identify mechanisms behind the persistence of these challenges. Our main hypothesis is that access to PICS bags allows farmers to increase production, storage and maize income. Also delay the length of maize storage, reduce maize post-harvest losses and improve their food security. Our results show that even though farmers received only three PICS bags that represent 10percent of their total maize stored, they delay their length of maize storage for sales by two weeks. However, we find no treatment effect on maize income, suggesting that the arbitrage of two weeks is too small. Also, we do not find any reduction in storage losses due to farmers’ reaction by selling early and by using cheap and readily available but potentially harmful storage chemicals. Looking at the heterogeneity treatment effects between the treatment variable and highland and lowland villages, we find a decrease in the percentage of maize stored by 4 percent in the highland villages. This confirms that location specific factors, such as agro-ecology and proximity to markets are important factors that influence whether and how much of the harvest a farmer stores. These findings highlight the benefits of hermetic storage bags, by allowing farmers to make inter-temporal arbitrage and by reducing potential health risks from storage chemicals. The main policy recommendation that emanates from our study is that postharvest losses reduction throughout the whole value chain is an important pathway to food and income security in Sub-Saharan Africa (SSA). However, future storage loss interventions with hermetic storage technologies should take into account the agro-ecology of the study area and quantify storage losses beyond farmers self-reported losses, such as the count and weigh method. Finally, studies on hermetic storage technologies indicate positive impacts on post-harvest losses and in improving food security, but the adoption and use of these technologies is currently still low in SSA. Therefore, future works on the scaling up of hermetic bags, should consider reasons why farmers only use PICS bags to store grains for consumption, which is usually related to a safety-first approach or due to lack of incentives (higher price from maize not treated with chemicals), and no grain quality check.Keywords: arbitrage, PICS hermetic bags, post-harvest storage loss, RCT
Procedia PDF Downloads 981743 Competitive Advantages of a Firm without Fundamental Technology: A Case Study of Sony, Casio and Nintendo
Authors: Kiyohiro Yamazaki
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A purpose of this study is to examine how a firm without fundamental technology is able to gain the competitive advantage. This paper examines three case studies, Sony in the flat display TV industry, Casio in the digital camera industry and Nintendo in the home game machine industry. This paper maintain the firms without fundamental technology construct two advantages, economic advantage and organizational advantage. An economic advantage involves the firm can select either high-tech or cheap devices out of several device makers, and change the alternatives cheaply and quickly. In addition, organizational advantage means that a firm without fundamental technology is not restricted by organizational inertia and cognitive restraints, and exercises the characteristic of strength.Keywords: firm without fundamental technology, economic advantage, organizational advantage, Sony, Casio, Nintendo
Procedia PDF Downloads 2511742 Closed-Form Sharma-Mittal Entropy Rate for Gaussian Processes
Authors: Septimia Sarbu
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The entropy rate of a stochastic process is a fundamental concept in information theory. It provides a limit to the amount of information that can be transmitted reliably over a communication channel, as stated by Shannon's coding theorems. Recently, researchers have focused on developing new measures of information that generalize Shannon's classical theory. The aim is to design more efficient information encoding and transmission schemes. This paper continues the study of generalized entropy rates, by deriving a closed-form solution to the Sharma-Mittal entropy rate for Gaussian processes. Using the squeeze theorem, we solve the limit in the definition of the entropy rate, for different values of alpha and beta, which are the parameters of the Sharma-Mittal entropy. In the end, we compare it with Shannon and Rényi's entropy rates for Gaussian processes.Keywords: generalized entropies, Sharma-Mittal entropy rate, Gaussian processes, eigenvalues of the covariance matrix, squeeze theorem
Procedia PDF Downloads 4641741 An Approximate Formula for Calculating the Fundamental Mode Period of Vibration of Practical Building
Authors: Abdul Hakim Chikho
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Most international codes allow the use of an equivalent lateral load method for designing practical buildings to withstand earthquake actions. This method requires calculating an approximation to the fundamental mode period of vibrations of these buildings. Several empirical equations have been suggested to calculate approximations to the fundamental periods of different types of structures. Most of these equations are knowing to provide an only crude approximation to the required fundamental periods and repeating the calculation utilizing a more accurate formula is usually required. In this paper, a new formula to calculate a satisfactory approximation of the fundamental period of a practical building is proposed. This formula takes into account the mass and the stiffness of the building therefore, it is more logical than the conventional empirical equations. In order to verify the accuracy of the proposed formula, several examples have been solved. In these examples, calculating the fundamental mode periods of several farmed buildings utilizing the proposed formula and the conventional empirical equations has been accomplished. Comparing the obtained results with those obtained from a dynamic computer has shown that the proposed formula provides a more accurate estimation of the fundamental periods of practical buildings. Since the proposed method is still simple to use and requires only a minimum computing effort, it is believed to be ideally suited for design purposes.Keywords: earthquake, fundamental mode period, design, building
Procedia PDF Downloads 2441740 The Empirical Analysis and Comparisons Using TAIEX Derivatives
Authors: Pao-Peng Hsu, Ying-Hsiu Chen
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Historical data shows that there were high correlations among TAIEX Futures, Electronic Sector Index Futures, Finance Sector Index Futures and Taiwan Top 50 ETF. The performance under various futures is also discussed. We found that the worst portfolio is consisted of T50-ETF and T50-ETF futures and best portfolio is consisted of T50-ETF and TF. It implies that the annual return of a portfolio increases if a portfolio’s risk diversifies.Keywords: arbitrage opportunities, ETF, futures, TAIEX
Procedia PDF Downloads 3381739 The Standard of Reasonableness in Fundamental Rights Adjudication under the Indian Constitution
Authors: Nandita Narayan
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In most constitutional democracies, courts have been the gatekeepers of fundamental rights. The task of determining whether a violation is in fact justified, therefore, is judicial. Any state action, legislative or administrative, has to be tested by the application of two standards – first, the action must be within the scope of the authority conferred by law and, second, it must be reasonable. If any action, within the scope of the authority conferred by law is found to be unreasonable, it will be struck down as unconstitutional or ultra vires. This paper seeks to analyse the varying standards of reasonableness adopted by the Supreme Court of India where there is a violation of fundamental rights by state action. This is sought to be done by scrutinising case laws and classifying the legality of the violation under one of three levels of judicial scrutiny—strict, intermediate, or weak. The paper concludes by proving that there is an irregularity in the standards adopted, thus resulting in undue discretionary power of the judiciary which strikes at the very concept of reasonableness and ultimately becomes arbitrary in nature. This conclusion is reached by the comparison of reasonableness review of fundamental rights in other jurisdictions such as the USA and Canada.Keywords: constitutional law, judicial review, fundamental rights, reasonableness, India
Procedia PDF Downloads 1101738 Mechanism of Changing a Product Concept
Authors: Kiyohiro Yamazaki
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The purpose of this paper is to examine the hypothesis explaining the mechanism in the case, where the product is deleted or reduced the fundamental function of the product through the product concept changes in the digital camera industry. This paper points out not owning the fundamental technology might cause the change of the product concept. Casio could create new competitive factor so that this paper discusses a possibility of the mechanism of changing the product concept.Keywords: firm without fundamental technology, product development, product concept, digital camera industry, Casio
Procedia PDF Downloads 5261737 About the Number of Fundamental Physical Interactions
Authors: Andrey Angorsky
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In the article an issue about the possible number of fundamental physical interactions is studied. The theory of similarity on the dimensionless quantity as the damping ratio serves as the instrument of analysis. The structure with the features of Higgs field comes out from non-commutative expression for this ratio. The experimentally checked up supposition about the nature of dark energy is spoken out.Keywords: damping ratio, dark energy, dimensionless quantity, fundamental physical interactions, Higgs field, non-commutative expression
Procedia PDF Downloads 941736 A Simple Approach for the Analysis of First Vibration Mode of Layered Soil Profiles
Authors: Haizhong Zhang, Yan-Gang Zhao
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Fundamental period, mode shape, and participation factor are important basic information for the understanding of earthquake response of ground. In this study, a simple approach is presented to calculate these basic information of layered soil profiles. To develop this method, closed form equations are derived for analysis of free vibration of layered soil profiles firstly, based on equilibrium between inertia and elastic forces. Then, by further associating with the Madera procedure developed for estimation of fundamental period, a simple method that can directly determine the fundamental period, mode shape and participation factor is proposed. The proposed approach can be conveniently implemented in simple spreadsheets and easily used by practicing engineers. In addition, the accuracy of the proposed approach is investigated by analyzing first vibration mode of 67 representative layered soil profiles, it is found that results by the proposed method agree very well with accurate results.Keywords: layered soil profile, natural vibration, fundamental period, fundamental mode shape
Procedia PDF Downloads 2811735 Seismic Base Shear Force Depending on Building Fundamental Period and Site Conditions: Deterministic Formulation and Probabilistic Analysis
Authors: S. Dorbani, M. Badaoui, D. Benouar
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The aim of this paper is to investigate the effect of the building fundamental period of reinforced concrete buildings of (6, 9, and 12-storey), with different floor plans: Symmetric, mono-symmetric, and unsymmetric. These structures are erected at different epicentral distances. Using the Boumerdes, Algeria (2003) earthquake data, we focused primarily on the establishment of the deterministic formulation linking the base shear force to two parameters: The first one is the fundamental period that represents the numerical fingerprint of the structure, and the second one is the epicentral distance used to represent the impact of the earthquake on this force. In a second step, with a view to highlight the effect of uncertainty in these parameters on the analyzed response, these parameters are modeled as random variables with a log-normal distribution. The variability of the coefficients of variation of the chosen uncertain parameters, on the statistics on the seismic base shear force, showed that the effect of uncertainty on fundamental period on this force statistics is low compared to the epicentral distance uncertainty influence.Keywords: base shear force, fundamental period, epicentral distance, uncertainty, lognormal variables, statistics
Procedia PDF Downloads 2821734 An Efficient Fundamental Matrix Estimation for Moving Object Detection
Authors: Yeongyu Choi, Ju H. Park, S. M. Lee, Ho-Youl Jung
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In this paper, an improved method for estimating fundamental matrix is proposed. The method is applied effectively to monocular camera based moving object detection. The method consists of corner points detection, moving object’s motion estimation and fundamental matrix calculation. The corner points are obtained by using Harris corner detector, motions of moving objects is calculated from pyramidal Lucas-Kanade optical flow algorithm. Through epipolar geometry analysis using RANSAC, the fundamental matrix is calculated. In this method, we have improved the performances of moving object detection by using two threshold values that determine inlier or outlier. Through the simulations, we compare the performances with varying the two threshold values.Keywords: corner detection, optical flow, epipolar geometry, RANSAC
Procedia PDF Downloads 3651733 Analyses of the Constitutional Identity in Hungary: A Case Study on the Concept of Constitutionalism and Legal Continuity in New Fundamental Law of Hungary
Authors: Zsuzsanna Fejes
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The aim of this paper is to provide an overview of the legal history of constitutionalism in Hungary, in focus of the democratic transitions in 1989-1990, describing the historical and political background of the changes and presenting the main and most important features of the new democracy, and institutional and legal orders. In Hungary the evolved political, economic and moral crisis prior to the constitutional years 2010-11 had been such a constitutional moment, which led to an opportune and unavoidable change at the same time. The Hungarian constitutional power intended to adopt a new constitution, which was competent to create a common constitutional identity and to express a national unity. The Hungarian Parliament on 18th April 2011 passed the New Fundamental Law. The new Fundamental Law rich in national values meant a new challenge for the academics, lawyers, and political scientists. Not only the classical political science, but also the constitutional law and theory have to struggle with the interpretation of the new declarations about national constitutional values in the Fundamental Law. The main features and structure of the new Fundamental Law will be analysed, and given a detailed interpretation of the Preamble as a declaration of constitutional values. During the examination of the Preamble shall be cleared up the components of Hungarian statehood and national unity, individual and common human rights, the practical and theoretical demand on national sovereignty, and the content and possibilities for the interpretation of the achievements of the historical Constitution. These scopes of problems will be presented during the examination of the text of National Avowal, as a preamble of the Fundamental Law. It is examined whether the Fundamental Law itself could be suitable and sufficient means to citizens of Hungary to express the ideas therein as their own, it will be analysed how could the national and European common traditions, values and principles stated in the Fundamental Law mean maintenance in Hungary’s participation in the European integration.Keywords: common constitutional values, constitutionalism, national identity, national sovereignty, national unity, statehood
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