Search results for: minimum variance portfolio

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: Akinola Ikudayisi, Josiah Adeyemo

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The correct estimation of reference evapotranspiration (ETₒ) is required for effective irrigation water resources planning and management. However, there are some variables that must be considered while estimating and modeling ETₒ. This study therefore determines the multivariate analysis of correlated variables involved in the estimation and modeling of ETₒ at Vaalharts irrigation scheme (VIS) in South Africa using Principal Component Analysis (PCA) technique. Weather and meteorological data between 1994 and 2014 were obtained both from South African Weather Service (SAWS) and Agricultural Research Council (ARC) in South Africa for this study. Average monthly data of minimum and maximum temperature (°C), rainfall (mm), relative humidity (%), and wind speed (m/s) were the inputs to the PCA-based model, while ETₒ is the output. PCA technique was adopted to extract the most important information from the dataset and also to analyze the relationship between the five variables and ETₒ. This is to determine the most significant variables affecting ETₒ estimation at VIS. From the model performances, two principal components with a variance of 82.7% were retained after the eigenvector extraction. The results of the two principal components were compared and the model output shows that minimum temperature, maximum temperature and windspeed are the most important variables in ETₒ estimation and modeling at VIS. In order words, ETₒ increases with temperature and windspeed. Other variables such as rainfall and relative humidity are less important and cannot be used to provide enough information about ETₒ estimation at VIS. The outcome of this study has helped to reduce input variable dimensionality from five to the three most significant variables in ETₒ modelling at VIS, South Africa.

Keywords: irrigation, principal component analysis, reference evapotranspiration, Vaalharts

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Authors: Muhammad Umair Shahid, Abdul Rehman, Mudassir Mukhtar, Muhammad Nauman

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The smart antenna is the prominent technology that has become known in recent years to meet the growing demands of wireless communications. In an overcrowded atmosphere, its application is growing gradually. A methodical evaluation of the performance of Fixed Beamforming algorithms for smart antennas such as Multiple Sidelobe Canceller (MSC), Maximum Signal-to-interference ratio (MSIR) and minimum variance (MVDR) has been comprehensively presented in this paper. Simulation results show that beamforming is helpful in providing optimized response towards desired directions. MVDR beamformer provides the most optimal solution.

Keywords: fixed weight beamforming, array pattern, signal to interference ratio, power efficiency, element spacing, array elements, optimum weight vector

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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: Yuzuru Mitsui, Takashi Ikegami

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The exponents of Taylor’s law in deterministic chaotic systems are computed, and their meanings are intensively discussed. Taylor’s law is the scaling relationship between the mean and variance (in both space and time) of population abundance, and this law is known to hold in a variety of ecological time series. The exponents found in the temporal Taylor’s law are different from those of the spatial Taylor’s law. The temporal Taylor’s law is calculated on the time series from the same locations (or the same initial states) of different temporal phases. However, with the spatial Taylor’s law, the mean and variance are calculated from the same temporal phase sampled from different places. Most previous studies were done with stochastic models, but we computed the temporal and spatial Taylor’s law in deterministic systems. The temporal Taylor’s law evaluated using the same initial state, and the spatial Taylor’s law was evaluated using the ensemble average and variance. There were two main discoveries from this work. First, it is often stated that deterministic systems tend to have the value two for Taylor’s exponent. However, most of the calculated exponents here were not two. Second, we investigated the relationships between chaotic features measured by the Lyapunov exponent, the correlation dimension, and other indexes with Taylor’s exponents. No strong correlations were found; however, there is some relationship in the same model, but with different parameter values, and we will discuss the meaning of those results at the end of this paper.

Keywords: chaos, density effect, population dynamics, Taylor’s law

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Authors: Mostafa Kazemi, Zahra N. Farkhani

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This paper proposes an integrated Data Envelopment Analysis (DEA) and Variance Inflation Factor (VIF) model for measuring the technical efficiency of decision making units. The model is validated using a set of 69% sales representatives’ dairy products. The analysis is done in two stages, in the first stage, VIF technique is used to distinguish independent effective factors of resellers, and in the second stage we used DEA for measuring efficiency for both constant and variable return to scales status. Further DEA is used to examine the utilization of environmental factors on efficiency. Results of this paper indicated an average managerial efficiency of 83% in the whole sales representatives’ dairy products. In addition, technical and scale efficiency were counted 96% and 80% respectively. 38% of sales representative have the technical efficiency of 100% and 72% of the sales representative in terms of managerial efficiency are quite efficient.High levels of relative efficiency indicate a good condition for sales representative efficiency.

Keywords: data envelopment analysis (DEA), relative efficiency, sales representatives’ dairy products, variance inflation factor (VIF)

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Authors: Basem Elarbe, Ibrahim Elganidi, Norida Ridzuan, Norhyati Abdullah

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Wax deposition in production pipelines and transportation tubing from offshore to onshore is critical in the oil and gas industry due to low-temperature conditions. It may lead to a reduction in production, shut-in, plugging of pipelines and increased fluid viscosity. The most significant popular approach to solve this issue is by injection of a wax inhibitor into the channel. This research aims to determine the amount of wax deposition of Malaysian crude oil by estimating the effective parameters using (Design-Expert version 7.1.6) by response surface methodology (RSM) method. Important parameters affecting wax deposition such as cold finger temperature, inhibitor concentration and experimental duration were investigated. It can be concluded that SA-co-BA copolymer had a higher capability of reducing wax in different conditions where the minimum point of wax reduction was found at 300 rpm, 14℃, 1h, 1200 ppmThe amount of waxes collected for each parameter were 0.12g. RSM approach was applied using rotatable central composite design (CCD) to minimize the wax deposit amount. The regression model’s variance (ANOVA) results revealed that the R2 value of 0.9906, indicating that the model can be clarified 99.06% of the data variation, and just 0.94% of the total variation were not clarified by the model. Therefore, it indicated that the model is extremely significant, confirming a close agreement between the experimental and the predicted values. In addition, the result has shown that the amount of wax deposit decreased significantly with the increase of temperature and the concentration of poly (stearyl acrylate-co-behenyl acrylate) (SABA), which were set at 14°C and 1200 ppm, respectively. The amount of wax deposit was successfully reduced to the minimum value of 0.01 g after the optimization.

Keywords: wax deposition, SABA inhibitor, RSM, operation factors

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Authors: Vinod Kumar, Surjit Angra

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The objective of this theoretical study is to develop simple design formulas for the prediction of minimum film thickness and maximum mean film temperature rise in lightly loaded high-speed rolling/sliding lubricated elliptical contacts incorporating starvation effect. Herein, the reported numerical analysis focuses on thermoelastohydrodynamically lubricated rolling/sliding elliptical contacts, considering the Newtonian rheology of lubricant for wide range of operating parameters, namely load characterized by Hertzian pressure (PH = 0.01 GPa to 0.10 GPa), rolling speed (>10 m/s), slip parameter (S varies up to 1.0), and ellipticity ratio (k = 1 to 5). Starvation is simulated by systematically reducing the inlet supply. This analysis reveals that influences of load, rolling speed, and level of starvation are significant on the minimum film thickness. However, the maximum mean film temperature rise is strongly influenced by slip in addition to load, rolling speed, and level of starvation. In the presence of starvation, reduction in minimum film thickness and increase in maximum mean film temperature are observed. Based on the results of this study, empirical relations are developed for the prediction of dimensionless minimum film thickness and dimensionless maximum mean film temperature rise at the contacts in terms of various operating parameters.

Keywords: starvation, lubrication, elliptical contact, traction, minimum film thickness

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Authors: Andi Darmawan, Dewi Retno Sari Saputro, Purnami Widyaningsih

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Diabetes mellitus (DM) is a chronic disease in human that occurred if pancreas cannot produce enough of insulin hormone or the body uses ineffectively insulin hormone which causes increasing level of glucose in the blood, or it was called hyperglycemia. In Indonesia, DM is a serious disease on health because it can cause blindness, kidney disease, diabetic feet (gangrene), and stroke. The type of DM criteria can also be divided based on the main causes; they are DM type 1, type 2, and gestational. Diabetes type 1 or previously known as insulin-independent diabetes is due to a lack of production of insulin hormone. Diabetes type 2 or previously known as non-insulin dependent diabetes is due to ineffective use of insulin while gestational diabetes is a hyperglycemia that found during pregnancy. The most one type commonly found in patient is DM type 2. The main factors of this disease are genetic (A) and life style (E). Those disease with 2 factors can be constructed with additive genetic and unique environment (AE) model. In this article was discussed parameter estimation of AE model using Bayesian method and the inheritance character simulation on parent-offspring. On the AE model, there are response variable, predictor variables, and parameters were capable of representing the number of population on research. The population can be measured through a taken random sample. The response and predictor variables can be determined by sample while the parameters are unknown, so it was required to estimate the parameters based on the sample. Estimation of AE model parameters was obtained based on a joint posterior distribution. The simulation was conducted to get the value of genetic variance and life style variance. The results of simulation are 0.3600 for genetic variance and 0.0899 for life style variance. Therefore, the variance of genetic factor in DM type 2 is greater than life style.

Keywords: AE model, Bayesian method, diabetes mellitus type 2, genetic, life style

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Authors: Mohammad Javad Mollakazemi, Farhad Asadi, Aref Ghafouri

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In this paper, we considered and applied parametric modeling for some experimental data of dynamical system. In this study, we investigated the different distribution of output measurement from some dynamical systems. Also, with variance processing in experimental data we obtained the region of nonlinearity in experimental data and then identification of output section is applied in different situation and data distribution. Finally, the effect of the spanning the measurement such as variance to identification and limitation of this approach is explained.

Keywords: Gaussian process, nonlinearity distribution, particle filter, system identification

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Authors: Yuyang Cheng, Marcos Escobar-Anel

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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: F. A. Adesoji, A. A. Ayandele

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There has been a concern over non-responsiveness of educational programme in Nigeria’s higher institutions to adequately meet social needs. The study, therefore, investigated the effectiveness of basic elements of the Social Studies Curriculum, the contributions of the Teacher–Related Variables (TRV) such as qualification, area of specialization, teaching experience, teaching methods, gender and teaching facilities to the implementation of the curriculum (IOC) in the Colleges of Education (COEs). The study adopted the descriptive survey design. Four COEs in Oyo, Osun, Ondo and Lagos States were purposively selected. Stratified sampling technique was used to select 455 Social Studies students and 47 Social Studies lecturers. Stakeholders’ Perception of Social Studies Curriculum (r = 0.86), Social Studies Curriculum Resources scale (r = 0.78) and Social Studies Basic Concepts Test (r = 0.78) were used for data collection. Data were analysed using descriptive statistics, multiple regression, and t-test at 0.05 level of significance. COEs teachers and students rated the elements of the curriculum to be effective with mean scores x̄ =3.02 and x̄ =2.80 respectively; x̄ =5.00 and x̄ = 2.50 being the maximum and minimum mean scores. The finding showed average level of availability (x̄ =1.60), adequacy (x̄ =1.55) and utilization (x̄ =1.64) of teaching materials, x̄ =3.00 and x̄ =1.50 being maximum and minimum mean scores respectively. Academic performance of the students is on average with the mean score of x̄ =51.4775 out of maximum mean score of x̄ =100. The TRV and teaching facilities had significant composite contribution to IOC (F (6,45) = 3.92:R² = 0.26) with 39% contributions to the variance of IOC. Area of specialization (β= 29, t = 2.05) and teaching facilities (β = -25, t = 1.181) contributed significantly. The implementation of bachelor degree in Social Studies curriculum was effective in the colleges of education. There is the need to beef-up the provision of facilities to improve the implementation of the curriculum.

Keywords: bachelor degree in social studies, colleges of education in southwestern Nigeria, curriculum implementation, social studies curriculum

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Authors: Gultekin Gurcay

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In this paper, effects and responses of stock were analyzed. This analysis was done periodically. The dimensions of the financial crisis impact on the stock market were investigated by GARCH model. In this context, S&P 500 stock market is modeled with DAX, NIKKEI and BIST100. In this way, The effects of the changing in S&P 500 stock market were examined on European and Asian stock markets. Conditional variance coefficient will be calculated through garch model. The scope of the crisis period, the conditional covariance coefficient will be analyzed comparatively.

Keywords: conditional variance coefficient, financial crisis, garch model, stock market

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Authors: Robab Abdolkhani, Farzin Halabchi, Reza Safdari, Goli Arji

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Background and purpose: The quality of health record depends on the quality of its content and proper documentation. Minimum data set makes a standard method for collecting key data elements that make them easy to understand and enable comparison. The aim of this study was to determine the minimum data set for Iranian athletes’ health records. Methods: This study is an applied research of a descriptive comparative type which was carried out in 2013. By using internal and external forms of documentation, a checklist was created that included data elements of athletes health record and was subjected to debate in Delphi method by experts in the field of sports medicine and health information management. Results: From 97 elements which were subjected to discussion, 85 elements by more than 75 percent of the participants (as the main elements) and 12 elements by 50 to 75 percent of the participants (as the proposed elements) were agreed upon. In about 97 elements of the case, there was no significant difference between responses of alumni groups of sport pathology and sports medicine specialists with medical record, medical informatics and information management professionals. Conclusion: Minimum data set of Iranian athletes’ health record with four information categories including demographic information, health history, assessment and treatment plan was presented. The proposed model is available for manual and electronic medical records.

Keywords: Documentation, Health record, Minimum data set, Sports medicine

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Authors: Cindy Davis, Samantha Rayner

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Secondary traumatic stress (STS) is an indirect form of trauma affecting the psychological well-being of mental health workers; STS is found to be a prevalent risk in mental health occupations. Various factors impact the development of STS within the literature; including the level of trauma individuals are exposed to and their level of empathy. Research is limited on STS in mental health workers in Australia; therefore, this study examined STS and related factors of empathetic behavior and trauma caseload among mental health workers. The research utilized an online survey quantitative research design with a purposive sample of 190 mental health workers (176 females) recruited via professional websites and unofficial social media groups. Participants completed an online questionnaire comprising of demographics, the secondary traumatic stress scale and the empathy scale for social workers. A standard hierarchical regression analysis was conducted to examine the significance of covariates, traumatized clients, traumatic stress within workload and empathy in predicting STS. The current research found 29.5% of participants to meet the criteria for a diagnosis of STS. Age and past trauma within the covariates were significantly associated with STS. Amount of traumatized clients significantly predicted 4.7% of the variance in STS, traumatic stress within workload significantly predicted 4.8% of the variance in STS and empathy significantly predicted 4.9% of the variance in STS. These three independent variables and the covariates accounted for 18.5% of the variance in STS. Practical implications include a focus on developing risk strategies and treatment methods that can diminish the impact of STS.

Keywords: mental health, PTSD, social work, trauma

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Authors: Petr Gurný

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One of the most important tasks in the risk management is the correct determination of probability of default (PD) of particular financial subjects. In this paper a possibility of determination of financial institution’s PD according to the credit-scoring models is discussed. The paper is divided into the two parts. The first part is devoted to the estimation of the three different models (based on the linear discriminant analysis, logit regression and probit regression) from the sample of almost three hundred US commercial banks. Afterwards these models are compared and verified on the control sample with the view to choose the best one. The second part of the paper is aimed at the application of the chosen model on the portfolio of three key Czech banks to estimate their present financial stability. However, it is not less important to be able to estimate the evolution of PD in the future. For this reason, the second task in this paper is to estimate the probability distribution of the future PD for the Czech banks. So, there are sampled randomly the values of particular indicators and estimated the PDs’ distribution, while it’s assumed that the indicators are distributed according to the multidimensional subordinated Lévy model (Variance Gamma model and Normal Inverse Gaussian model, particularly). Although the obtained results show that all banks are relatively healthy, there is still high chance that “a financial crisis” will occur, at least in terms of probability. This is indicated by estimation of the various quantiles in the estimated distributions. Finally, it should be noted that the applicability of the estimated model (with respect to the used data) is limited to the recessionary phase of the financial market.

Keywords: credit-scoring models, multidimensional subordinated Lévy model, probability of default

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Authors: Seyed Abbas Tabatabaei, Marjan Naderan Tahan, Arman Kadkhodai

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An efficient optimization approach, called feasible gate (FG), is developed to enhance the computation efficiency and solution quality of the previously developed highway alignment optimization (HAO) model. This approach seeks to realistically represent various user preferences and environmentally sensitive areas and consider them along with geometric design constraints in the optimization process. This is done by avoiding the generation of infeasible solutions that violate various constraints and thus focusing the search on the feasible solutions. The proposed method is simple, but improves significantly the model’s computation time and solution quality. On the other, highway alignment optimization through Feasible Gates, eventuates only economic model by considering minimum design constrains includes minimum reduce of circular curves, minimum length of vertical curves and road maximum gradient. This modelling can reduce passenger comfort and road safety. In most of highway optimization models, by adding penalty function for each constraint, final result handles to satisfy minimum constraint. In this paper, we want to propose a safety-function solution by introducing gift function.

Keywords: safety, highway geometry, optimization, alignment

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Authors: Idris Adamu Idris

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The Nigerian construction industry is faced with problems of failure of structures/buildings. These failures are attributed to the use of low quality construction materials of which sand crate bock is inclusive. The research was conducted to determine the compressive strength of hollow sand crate block (6”) using locally made cement (Sokoto cement). Samples were tested for 7, 14, 21 and 28 days for mix ratio of 1:3 to 1:12. From the laboratory results obtained, a mix ratio of 1:10 corresponding to a minimum compressive strength of 1.9N/mm2 at 7 days should be adopted. This satisfies the BS 2028, 1364 1986 which specified a minimum compressive strength of 1.8N/mm2 at 7 days. At 28 days of curing, the same mix ratio meets the minimum BS standard of 2.5N/mm2 .

Keywords: buildings, cement, construction, hollow sand crate block, Nigeria

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Authors: M. A. Alqahtani, D. P. Coleman, N. D. Pugh, L. D. M. Nokes

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In diagnostic ultrasound, the echo graphic B-scan texture is an important area of investigation since it can be analyzed to characterize the histological state of internal tissues. An important factor requiring consideration when evaluating ultrasonic tissue texture is the depth. The effect of attenuation with depth of ultrasound, the size of the region of interest, gain, and dynamic range are important variables to consider as they can influence the analysis of texture features. These sources of variability have to be considered carefully when evaluating image texture as different settings might influence the resultant image. The aim of this study is to investigate the effect of depth on the texture features in-vivo using a 3D ultrasound probe. The left leg medial head of the gastrocnemius muscle of 10 healthy subjects were scanned. Two regions A and B were defined at different depth within the gastrocnemius muscle boundary. The size of both ROI’s was 280*20 pixels and the distance between region A and B was kept constant at 5 mm. Texture parameters include gray level, variance, skewness, kurtosis, co-occurrence matrix; run length matrix, gradient, autoregressive (AR) model and wavelet transform were extracted from the images. The paired t –test was used to test the depth effect for the normally distributed data and the Wilcoxon–Mann-Whitney test was used for the non-normally distributed data. The gray level, variance, and run length matrix were significantly lowered when the depth increased. The other texture parameters showed similar values at different depth. All the texture parameters showed no significant difference between depths A and B (p > 0.05) except for gray level, variance and run length matrix (p < 0.05). This indicates that gray level, variance, and run length matrix are depth dependent.

Keywords: ultrasound image, texture parameters, computational biology, biomedical engineering

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Authors: Zhenqiu Liu

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Visualizing the heterogeneity within cell-populations for single-cell RNA-seq data is crucial for studying the functional diversity of a cell. However, because of the high level of noises, outlier, and dropouts, it is very challenging to measure the cell-to-cell similarity (distance), visualize and cluster the data in a low-dimension. Minimum volume embedding (MVE) projects the data into a lower-dimensional space and is a promising tool for data visualization. However, it is computationally inefficient to solve a semi-definite programming (SDP) when the sample size is large. Therefore, it is not applicable to single-cell RNA-seq data with thousands of samples. In this paper, we develop an efficient algorithm with an accelerated proximal gradient method and visualize the single-cell RNA-seq data efficiently. We demonstrate that the proposed approach separates known subpopulations more accurately in single-cell data sets than other existing dimension reduction methods.

Keywords: single-cell RNA-seq, minimum volume embedding, visualization, accelerated proximal gradient method

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Authors: Harold P. Pareja

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This paper answers the question whether the minimum age of criminal responsibility under the Republic Act No. 9344 (Juvenile Justice Act) as amended by Republic Act No. 10630 should be lowered to 15 years of age or not in the light of international standards and domestic concerns both of which will definitely elicit strong views. It also explores the specific provision on the minimum age of criminal responsibility under the Republic Act No. 9344 (Juvenile Justice Act) and traces the bases of such law by discussing its presented evidences and justifications as reflected in the records of proceedings in the law-making phase. On one hand, the paper discusses the impact of lowering the minimum age to the state of juvenile delinquencies and to the rate of rehabilitation for those CICL who have undergone the DSWD-supervised recovery programs. On the other hand, it presents its impact to the international community specifically to the Committee of the Rights of the Child and the UNICEF considering that the even the current minimum age set in RA 9344 is lower than the international standards. Document review and content analysis are the major research tools. Primary and secondary sources were used as references such as Philippine laws on juvenile justice and from the different states international think-tanks. The absence of reliable evidences on criminal capacity made the arguments in increasing the MACR in the harder position. Studies on criminal capacity vary from different countries and from practitioners in in the fields of psychology, psychiatry and forensics. Juvenile delinquency is mainly contributed by poverty and dysfunctional families. On the other hand, the science of the criminal mind specifically among children has not been established yet. Philippines have the legal obligations to be faithful to the CRC and other related international instruments for the juvenile justice and welfare system. Decreasing MACR does not only send wrong message to the international community but the Philippines is violating its own laws.

Keywords: juvenile justice, minimum age of responsibility (MAR), juvenile justice act of the Philippines, children in conflict with the law, international standards on juvenile justice

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Authors: M. Z. Abdul Rofiq Badril Rizal

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This research is aimed to know the improvement of students’ English writing skill by using brainstorming technique. The technique used in writing is able to help the students’ difficulties in generating ideas and to lead the students to arrange the ideas well as well as to focus on the topic developed in writing. The research method used is classroom action research. The data sources of the research are an English teacher who acts as an observer and the students of class X.MIA5 consist of 35 students. The test result and observation are collected as the data in this research. Based on the research result in cycle one, the percentage of students who reach minimum accomplishment criteria (MAC) is 76.31%. It shows that the cycle must be continued to cycle two because the aim of the research has not accomplished, all of the students’ scores have not reached MAC yet. After continuing the research to cycle two and the weaknesses are improved, the process of teaching and learning runs better. At the test which is conducted in the end of learning process in cycle two, all of the students reach the minimum score and above 76 based on the minimum accomplishment criteria. It means the research has been successful and the percentage of students who reach minimum accomplishment criteria is 100%. Therefore, the writer concludes that brainstorming technique is able to improve the students’ English writing skill at the tenth grade of SMAN 2 Jember.

Keywords: brainstorming technique, improving, writing skill, knowledge and innovation engineering

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Authors: Wee Tong Liaw, Elaine Wong Yee Sing

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Since 2001, many companies in Singapore have voluntarily participated in the bi-annual Singapore HEALTH Award initiated by the Health Promotion Board of Singapore (HPB). The Singapore HEALTH Award (SHA), is an industry wide award and assessment process. SHA assesses and recognizes employers in Singapore for implementing a comprehensive and sustainable health promotion programme at their workplaces. The rationale for implementing a sustained health promoting workplace and participating in SHA is obvious when company management is convinced that healthier employees, business productivity, and profitability are positively correlated. However, performing research or empirical studies on the impact of a sustained health promoting workplace on stock returns are not likely to yield any interests in the absence of a systematic and independent assessment on the comprehensiveness and sustainability of a health promoting workplace in most developed economies. The principles of diversification and mean-variance efficient portfolio in Modern Portfolio Theory developed by Markowitz (1952) laid the foundation for the works of many financial economists and researchers, and among others, the development of the Capital Asset Pricing Model from the work of Sharpe (1964), Lintner (1965) and Mossin (1966), and the Fama-French Three-Factor Model of Fama and French (1992). This research seeks to support the rationale by studying whether there is a significant relationship or impact of a sustained health promoting workplace on the performance of companies listed on the SGX. The research shall form and test hypotheses pertaining to the impact of a sustained health promoting workplace on company’s performances, including stock returns, of companies that participated in the SHA and companies that did not participate in the SHA. In doing so, the research would be able to determine whether corporate and fund manager should consider the significance of a sustained health promoting workplace as a risk factor to explain the stock returns of companies listed on the SGX. With respect to Singapore’s stock market, this research will test the significance and relevance of a health promoting workplace using the Singapore Health Award as a proxy for non-diversifiable risk factor to explain stock returns. This study will examine the significance of a health promoting workplace on a company’s performance and study its impact on stock price performance and beta and examine if it has higher explanatory power than the traditional single factor asset pricing model CAPM (Capital Asset Pricing Model). To study the significance there are three key questions pertinent to the research study. I) Given a choice, would an investor be better off investing in a listed company with a sustained health promoting workplace i.e. a Singapore Health Award’s recipient? II) The Singapore Health Award has four levels of award starting from Bronze, Silver, Gold to Platinum. Would an investor be indifferent to the level of award when investing in a listed company who is a Singapore Health Award’s recipient? III) Would an asset pricing model combining FAMA-French Three Factor Model and ‘Singapore Health Award’ factor be more accurate than single factor Capital Asset Pricing Model and the Three Factor Model itself?

Keywords: asset pricing model, company's performance, stock prices, sustained health promoting workplace

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Authors: Kevin Spencer G. Anglim, Zhenyu Zhang, Qingbin Gao

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Reusable launch vehicles (RLVs) present a more environmentally-friendly approach to accessing space when compared to traditional launch vehicles that are discarded after each flight. This paper studies the recyclable nature of RLVs by presenting a solution method for determining minimum-fuel optimal trajectories using principles from optimal control theory and particle swarm optimization (PSO). This problem is formulated as a minimum-landing error powered descent problem where it is desired to move the RLV from a fixed set of initial conditions to three different sets of terminal conditions. However, unlike other powered descent studies, this paper considers the highly nonlinear effects caused by atmospheric drag, which are often ignored for studies on the Moon or on Mars. Rather than optimizing the controls directly, the throttle control is assumed to be bang-off-bang with a predetermined thrust direction for each phase of flight. The PSO method is verified in a one-dimensional comparison study, and it is then applied to the two-dimensional cases, the results of which are illustrated.

Keywords: minimum-fuel optimal trajectory, particle swarm optimization, reusable rocket, SpaceX

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Authors: Mehdi Fuladipanah

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Sensitivity analysis as a technique is applied to determine influential input factors on model output. Variance-based sensitivity analysis method has more application compared to other methods because of including linear and non-linear models. In this paper, van Rijn’s movable bed roughness formula was selected to evaluate because of its reasonable results in sandy rivers. This equation contains four variables as: flow depth, sediment size,bBed form height and bed form length. These variable’s importance was determined using the first order of Fourier Amplitude Sensitivity Test. Sensitivity index was applied to evaluate importance of factors. The first order FAST based sensitivity indices test, explain 90% of the total variance that is indicating acceptance criteria of FAST application. More value of this index is indicating more important variable. Results show that bed form height, bed form length, sediment size and flow depth are more influential factors with sensitivity index: 32%, 24%, 19% and 15% respectively.

Keywords: sdensitivity analysis, variance, movable bed roughness formula, Sandy River

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Authors: Periklis Brakatsoulas

Abstract:

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

Keywords: forecasting, long memory, momentum, returns

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Authors: Kalai Lamia, Jilani Faouzi

Abstract:

Measuring and controlling risk is one of the most attractive issues in finance. With the persistence of uncontrolled and erratic stocks movements, volatility is perceived as a barometer of daily fluctuations. An objective measure of this variable seems then needed to control risks and cover those that are considered the most important. Non-linear autoregressive modeling is our first evaluation approach. In particular, we test the presence of “persistence” of conditional variance and the presence of a degree of a leverage effect. In order to resolve for the problem of “asymmetry” in volatility, the retained specifications point to the importance of stocks reactions in response to news. Effects of shocks on volatility highlight also the need to study the “long term” behaviour of conditional variance of stocks returns and articulate the presence of long memory and dependence of time series in the long run. We note that the integrated fractional autoregressive model allows for representing time series that show long-term conditional variance thanks to fractional integration parameters. In order to stop at the dynamics that manage time series, a comparative study of the results of the different models will allow for better understanding volatility structure over the Tunisia stock market, with the aim of accurately predicting fluctuation risks.

Keywords: asymmetry volatility, clustering, stylised facts, leverage effect

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Authors: Auwal Garba, Rabiu Maijama’a, Abdullahi Muhammad Jalam

Abstract:

Variability in climate has affected the agricultural production all over the globe. This concern has motivated important changes in the field of research during the last decade. Climate variability is believed to have declining effects towards rice production in Nigeria. This study examined climate variability and its impact on rice productivity in Dass Local Government Area, Bauchi State, by employing Linear Trend Model (LTM), analysis of variance (ANOVA) and regression analysis. Annual seasonal data of the climatic variables for temperature (min. and max), rainfall, and solar radiation from 1990 to 2015 were used. Results confirmed that 74.4% of the total variation in rice yield in the study area was explained by the changes in the independent variables. That is to say, temperature (minimum and maximum), rainfall, and solar radiation explained rice yield with 74.4% in the study area. Rising mean maximum temperature would lead to reduction in rice production while moderate increase in mean minimum temperature would be advantageous towards rice production, and the persistent rise in the mean maximum temperature, in the long run, will have more negatively affect rice production in the future. It is, therefore, important to promote agro-meteorological advisory services, which will be useful in farm planning and yield sustainability. Closer collaboration among the meteorologist and agricultural scientist is needed to increase the awareness about the existing database, crop weather models among others, with a view to reaping the full benefits of research on specific problems and sustainable yield management and also there should be a special initiative by the ADPs (State Agricultural Development Programme) towards promoting best agricultural practices that are resilient to climate variability in rice production and yield sustainability.

Keywords: climate variability, impact, productivity, rice

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Authors: Edson Vengesai

Abstract:

Derivative products have become essential instruments in portfolio diversification, price discovery, and, most importantly, risk hedging. Derivatives are complex instruments; their valuation, volatility implications, and real impact on the underlying assets' behaviour are not well understood. Little is documented empirically, with conflicting conclusions on how these instruments affect firm risk exposures. Given the growing interest in using derivatives in risk management and portfolio engineering, this study examines the practical impact of derivative usage on the underlying stock price exposure and systematic risk. The paper uses data from South African listed firms. The study employs GARCH models to understand the effect of derivative uses on conditional stock volatility. The GMM models are used to estimate the effect of derivatives use on stocks' systematic risk as measured by Beta and on the total risk of stocks as measured by the standard deviation of returns. The results provide evidence on whether derivatives use is instrumental in reducing stock returns' systematic and total risk. The results are subjected to numerous controls for robustness, including financial leverage, firm size, growth opportunities, and macroeconomic effects.

Keywords: derivatives use, hedging, volatility, stock price exposure

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Authors: Muhammad Sufyan, Muhammad J. Arif, Muhammad Arshad, Usman Shoukat

Abstract:

In Pakistan, wheat (Triticum aestivum L.) is seriously attacked by the wheat ‎aphid. Naturally, bio control agents play an important role in managing wheat aphid. However, association ‎among pest, natural enemies and host plant is highly affected by food resource ‎concentration and predator/parasitoid factor of any ecosystem. The present ‎study was conducted to estimate the effect of different dose levels of macro ‎and micronutrients on the aphid population and its entomophagous insect ‎on wheat and their tri-trophic association. The experiment was laid out in ‎RCBD with six different combinations of macro and micronutrients and a control treatment. The data was initiated from the second week of ‎the February till the maturity of the crop. Data regarding aphid population and ‎coccinellids counts were collected on weekly basis and subjected to analysis of ‎variance and mean comparison. The data revealed that aphid ‎population was at peak in the last week of March. Coccinellids population ‎increased side by side with aphid population and declined after second week of ‎April. Aphid parasitism was maximum 25% on recommended dose of Double and ‎Flasher and minimum 8.67% on control treatment. Maximum aphid population was observed on first April with 687.2 specimens. However, this maximum population was shown against the application of Double + Flasher treatment. The minimum aphid population was recorded after the application of HiK Gold + Flasher recommended dose on 15th April. The coccinellids population was at peak level at on 8th April and against the treatment double recommended dose of HiK gold + Flasher. Amount of nitrogen, phosphorus and potassium percentage dry leaves ‎components was maximum (2.33, 0.18 and 2.62 % dry leaves. respectively) in ‎plots treated with recommended double dose mixture of Double + Flasher and ‎Hi-K Gold + Flasher while it was minimum (1.43, 0.12 and 1.77 dry leaves ‎respectively) in plots where no nutrients applied. The result revealed that maximum parasitism was at recommended level of micro and macro nutrients application.‎ Maximum micro nutrients zinc, copper, manganese, iron and boron found with values 46.67 ppm, 21.81 ppm, 62.35 ppm, 152.69 ppm and 36.78 respectively. The result also showed that Over application of macro and micro nutrients should be avoided because it do not help in pest control, conversely it may cause stress on plant. The treatment Double and Flasher recommended dose ratio is almost comparable with recommended dose and present studies confirm its usefulness on wheat.

Keywords: entomophagous insects, macro and micro nutrients, tri-trophic, wheat aphid

Procedia PDF Downloads 199