Search results for: patent portfolio

Authors: Aylin W Sahin, Alice Jaeger, Laura Nyhan, Gregory Belt, Steffen Münch, Elke K. Arendt

Abstract:

Our current food systems cause an increase in malnutrition resulting in more people being overweight or obese in the Western World. Additionally, our natural resources are under enormous pressure and the greenhouse gas emission increases yearly with a significant contribution to climate change. Hence, transforming our food systems is of highest priority. Plant-based food products have a lower environmental impact compared to their animal-based counterpart, representing a more sustainable protein source. However, most plant-based protein ingredients, such as soy and pea, are lacking indispensable amino acids and extremely limited in their functionality and, thus, in their food application potential. They are known to have a low solubility in water and change their properties during processing. The low solubility displays the biggest challenge in the development of milk alternatives leading to inferior protein content and protein quality in dairy alternatives on the market. Moreover, plant-based protein ingredients often possess an off-flavour, which makes them less attractive to consumers. EverPro, a plant-protein isolate originated from Brewer’s Spent Grain, the most abundant by-product in the brewing industry, represents the missing piece in the plant protein portfolio. With a protein content of >85%, it is of high nutritional value, including all indispensable amino acids which allows closing the protein quality gap of plant proteins. Moreover, it possesses high techno-functional properties. It is fully soluble in water (101.7 ± 2.9%), has a high fat absorption capacity (182.4 ± 1.9%), and a foaming capacity which is superior to soy protein or pea protein. This makes EverPro suitable for a vast range of food applications. Furthermore, it does not cause changes in viscosity during heating and cooling of dispersions, such as beverages. Besides its outstanding nutritional and functional characteristics, the production of EverPro has a much lower environmental impact compared to dairy or other plant protein ingredients. Life cycle assessment analysis showed that EverPro has the lowest impact on global warming compared to soy protein isolate, pea protein isolate, whey protein isolate, and egg white powder. It also contributes significantly less to freshwater eutrophication, marine eutrophication and land use compared the protein sources mentioned above. EverPro is the prime example of sustainable ingredients, and the type of plant protein the food industry was waiting for: nutritious, multi-functional, and environmentally friendly.

Keywords: plant-based protein, upcycled, brewers' spent grain, low environmental impact, highly functional ingredient

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Authors: M. Barański

Abstract:

The article presents a new vibration diagnostic method designed to (PM) machines with permanent magnets. Those devices are commonly used in small wind and water systems or vehicles drives. The author’s method is very innovative and unique. Specific structural properties of PM machines are used in this method - electromotive force (EMF) generated due to vibrations. There was analysed number of publications which describe vibration diagnostic methods and tests of electrical PM machines and there was no method found to determine the technical condition of such machine basing on their own signals. In this article, the method genesis, the similarity of machines with permanent magnet to vibration sensor and simulation and laboratory tests results will be discussed. The method of determination the technical condition of electrical machine with permanent magnets basing on its own signals is the subject of patent application No P.405669, and it is the main thesis of author’s doctoral dissertation.

Keywords: vibrations, generator, permanent magnet, traction drive, electrical vehicle

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Authors: George Zhou, Yunchan Chen, Candace Chien

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Kidney replacement therapy is the current standard of care for end-stage renal diseases. In-center or home hemodialysis remains an integral component of the therapeutic regimen. Arteriovenous fistulas (AVF) make up the vascular circuit through which blood is filtered and returned. Naturally, AVF patency determines whether adequate clearance and filtration can be achieved and directly influences clinical outcomes. Our aim was to build a deep learning model for automated AVF stenosis screening based on the sound of blood flow through the AVF. A total of 311 patients with AVF were enrolled in this study. Blood flow sounds were collected using a digital stethoscope. For each patient, blood flow sounds were collected at 6 different locations along the patient’s AVF. The 6 locations are artery, anastomosis, distal vein, middle vein, proximal vein, and venous arch. A total of 1866 sounds were collected. The blood flow sounds are labeled as “patent” (normal) or “stenotic” (abnormal). The labels are validated from concurrent ultrasound. Our dataset included 1527 “patent” and 339 “stenotic” sounds. We show that blood flow sounds vary significantly along the AVF. For example, the blood flow sound is loudest at the anastomosis site and softest at the cephalic arch. Contextualizing the sound with location metadata significantly improves classification performance. How to encode and incorporate categorical metadata is an active area of research1. Herein, we study ordinal (i.e., integer) encoding schemes. The numerical representation is concatenated to the flattened feature vector. We train a vision transformer (ViT) on spectrogram image representations of the sound and demonstrate that using scalar multiples of our integer encodings improves classification performance. Models are evaluated using a 10-fold cross-validation procedure. The baseline performance of our ViT without any location metadata achieves an AuROC and AuPRC of 0.68 ± 0.05 and 0.28 ± 0.09, respectively. Using the following encodings of Artery:0; Arch: 1; Proximal: 2; Middle: 3; Distal 4: Anastomosis: 5, the ViT achieves an AuROC and AuPRC of 0.69 ± 0.06 and 0.30 ± 0.10, respectively. Using the following encodings of Artery:0; Arch: 10; Proximal: 20; Middle: 30; Distal 40: Anastomosis: 50, the ViT achieves an AuROC and AuPRC of 0.74 ± 0.06 and 0.38 ± 0.10, respectively. Using the following encodings of Artery:0; Arch: 100; Proximal: 200; Middle: 300; Distal 400: Anastomosis: 500, the ViT achieves an AuROC and AuPRC of 0.78 ± 0.06 and 0.43 ± 0.11. respectively. Interestingly, we see that using increasing scalar multiples of our integer encoding scheme (i.e., encoding “venous arch” as 1,10,100) results in progressively improved performance. In theory, the integer values do not matter since we are optimizing the same loss function; the model can learn to increase or decrease the weights associated with location encodings and converge on the same solution. However, in the setting of limited data and computation resources, increasing the importance at initialization either leads to faster convergence or helps the model escape a local minimum.

Keywords: arteriovenous fistula, blood flow sounds, metadata encoding, deep learning

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Authors: Zdzislaw Piotr Kaminski, Miroslaw Wendeker, Zbigniew Czyz

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The paper describes the geometric model, calculation algorithm and results of the CFD simulation of the airflow around a rotor in the vertical axis wind turbine (VAWT) with the ANSYS Fluent computational solver. The CFD method enables creating aerodynamic characteristics of forces acting on rotor working surfaces and determining parameters such as torque or power generated by the rotor assembly. The object of the research was a rotor whose construction is based on patent no.PL219985. The conducted tests enabled a mathematical model with a description of the generation of aerodynamic forces acting on each rotor blade. Additionally, this model was compared to the results of the wind tunnel tests. The analysis also focused on the influence of the blade angle on turbine power and the TSR. The research has shown that the turbine blade angle has a significant impact on the optimal value of the TSR.

Keywords: computational fluid dynamics, numerical analysis, renewable energy, wind turbine

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Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma

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An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.

Keywords: Black-Scholes partial differential equations, Ito process, option price valuation, partial differential equations

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Authors: Manel Youssef, Lotfi Belkacem

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This paper employs multivariate long memory GARCH models to simultaneously estimate mean and conditional variance spillover effects between oil prices and different financial markets. Since different financial assets are traded based on these market sector returns, it’s important for financial market participants to understand the volatility transmission mechanism over time and across these series in order to make optimal portfolio allocation decisions. We examine weekly returns from January 1, 2003 to November 30, 2012 and find evidence of significant transmission of shocks and volatilities between oil prices and some of the examined financial markets. The findings support the idea of cross-market hedging and sharing of common information by investors.

Keywords: oil prices, stock indices returns, oil volatility, contagion, DCC-multivariate (FI) GARCH

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Authors: Seonjae Lee, Sungjoo Lee

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Excavation is necessary to remain competitive in the current business environment. The company survived the rapidly changing industry conditions by adapting new business strategy and reducing technology challenges. Traditionally, the two methods are conducted excavations for new businesses. The first method is, qualitative analysis of expert opinion, which is gathered through opportunities and secondly, new technologies are discovered through quantitative data analysis of method patents. The second method increases time and cost. Patent data is restricted for use and the purpose of discovering business opportunities. This study presents the company's characteristics (sector, size, etc.), of new business opportunities in customized form by reviewing the value chain perspective and to contributing to creating new business opportunities in the proposed model. It utilizes the trademark database of the Korean Intellectual Property Office (KIPO) and proprietary company information database of the Korea Enterprise Data (KED). This data is key to discovering new business opportunities with analysis of competitors and advanced business trademarks (Module 1) and trading analysis of competitors found in the KED (Module 2).

Keywords: value chain, trademark, trading analysis, new business opportunity

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Authors: Ming Luo

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In this real world, a manufacturer may produce more than one product. The products produced by the same manufacturer may share the same type of parts, similar design, and be produced in the same factory, i.e. some common causes. From the perspective of warranty management, the frequencies of those products’ warranty claims may have statistical dependence caused by the common causes. Warranty policy optimisation in the existing research, majorly, has not considered such dependence, which may increase bias in decision making. In the market, renewing warranty policies are provided to some unrepairable products and consumer electronic products. This paper optimises the renewing warranty policy collectively in a multi-product scenario with a consideration of the dependence among the warranty claims of the products produced by the same manufacturer. The existence of the optimal solution is proved. Numerical examples are used to validate the applicability of the proposed methods.

Keywords: mean-risk framework, modern portfolio theory, renewing warranty policy, warranty policy optimisation

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Authors: M. Benjamin Stacey

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Energy efficiency has been increasingly recognized as a high value resource through state policies that require utility companies to implement efficiency programs. While policymakers have recognized the statewide economic, environmental, and health related value to residents who rely on this grid supplied resource, varying interests in energy efficiency between socioeconomic groups stands undifferentiated in most state legislation. Instead, the benefits are oftentimes assumed to be distributed equitably across these groups. Despite this fact, these policies are frequently sited by advocacy groups, regulatory bodies and utility companies for their ability to address the negative financial, health and other social impacts of energy poverty in low income communities. Yet, while most states like Michigan require programs that target low income consumers, oftentimes no requirements exist for the equitable investment and energy savings for low income consumers, nor does it stipulate minimal spending levels on low income programs. To further understand the impact of the absence of these factors in legislation, this study examines the distribution of program funds and energy efficiency savings to answer a fundamental energy justice concern; Are there disparities in the investment and benefits of energy efficiency programs between socioeconomic groups? This study compiles data covering the history of Michigan’s Energy Efficiency policy implementation from 2010-2016, analyzing the energy efficiency portfolios of Michigan’s two main energy providers. To make accurate comparisons between these two energy providers' investments and energy savings in low and non-low income programs, the socioeconomic variation for each utility coverage area was captured and accounted for using GIS and US Census data. Interestingly, this study found that both providers invested more equitably in natural gas efficiency programs, however, together these providers invested roughly three times less per household in low income electricity efficiency programs, which resulted in ten times less electricity savings per household. This study also compares variation in commission approved utility plans and actual spending and savings results, with varying patterns pointing to differing portfolio management strategies between companies. This study reveals that for the history of the implementation of Michigan’s Energy Efficiency Policy, that the 35% of Michigan’s population who qualify as low income have received substantially disproportionate funding and energy savings because of the policy. This study provides an overview of results from a social perspective, raises concerns about the impact on energy poverty and equity between consumer groups and is an applicable tool for law makers, regulatory agencies, utility portfolio managers, and advocacy groups concerned with addressing issues related to energy poverty.

Keywords: energy efficiency, energy justice, low income, state policy

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Authors: Linda Kauškale, Ineta Geipele

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Due to the rapidly changing external environment, portfolio management strategies became closely interconnected with real estate industry development and macroeconomic development tendencies. The aim of the research is to analyze sustainable real estate market development influencing factors, with particular focus on its economic and management aspects that influences real estate investment decisions as well. Scientific literature and article analysis, data analysis, expert evaluation, and other quantitative and qualitative research methods were used in the research. Developed real estate market sustainability model and index analysis approach can be applied by investors and real estate companies in real estate asset management and can help in risk minimization activities in international entrepreneurship. Future research directions have been identified in the research as well.

Keywords: indexes, investment decisions, real estate market, sustainability

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Authors: Ioannis P. Panapakidis, Marios N. Moschakis

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The Greek Energy Market is structured as a mandatory pool where the producers make their bid offers in day-ahead basis. The System Operator solves an optimization routine aiming at the minimization of the cost of produced electricity. The solution of the optimization problem leads to the calculation of the System Marginal Price (SMP). Accurate forecasts of the SMP can lead to increased profits and more efficient portfolio management from the producer`s perspective. Aim of this study is to provide a comparative analysis of various machine learning models such as artificial neural networks and neuro-fuzzy models for the prediction of the SMP of the Greek market. Machine learning algorithms are favored in predictions problems since they can capture and simulate the volatilities of complex time series.

Keywords: deregulated energy market, forecasting, machine learning, system marginal price

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Authors: David Pettitt, Benjamin Davies, Georg Holländer, David Brindley

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Cellular based therapies, whose origins can be traced from the intertwined concepts of tissue engineering and regenerative medicine, have the potential to transform the current medical landscape and offer an approach to managing what were once considered untreatable diseases. However, despite a large increase in basic science activity in the cell therapy arena alongside a growing portfolio of cell therapy trials, the number of industry products available for widespread clinical use correlates poorly with such a magnitude of activity, with the number of cell-based therapeutics in mainstream use remaining comparatively low. This research serves to quantitatively assess the barriers to the clinical adoption of cell-based therapeutics through identification of unique barriers, specific challenges and opportunities facing the development and adoption of such therapies.

Keywords: cell therapy, clinical adoption, commercialization, translation

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Authors: Raif Parlakkaya, Ahmet Diken, Erkan Kara

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This paper examines the relationship between corporate governance rating and stock prices of 26 Turkish firms listed in Turkish stock exchange (Borsa Istanbul) by using panel data analysis over five-year period. The paper also investigates the stock performance of firms with governance rating with regards to the market portfolio (i.e. BIST 100 Index) both prior and after governance scoring began. The empirical results show that there is no relation between corporate governance rating and stock prices when using panel data for annual variation in both rating score and stock prices. Further analysis indicates surprising results that while the selected firms outperform the market significantly prior to rating, the same performance does not continue afterwards.

Keywords: corporate governance, stock price, performance, panel data analysis

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Authors: Günther Schuh, Christina König, Toni Drescher

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One of the key factors for the competitiveness and market success of technology-driven companies is the timely provision of information about emerging technologies, changes in existing technologies, as well as relevant related changes in the market's structures and participants. Therefore, many companies conduct technology intelligence (TI) activities to ensure an early identification of appropriate technologies and other (weak) signals. One base activity of TI is technology monitoring, which is defined as the systematic tracking of developments within a specified topic of interest as well as related trends over a long period of time. Due to the very large number of dynamically changing parameters within the technological and the market environment of a company as well as their possible interdependencies, it is necessary to focus technology monitoring on specific indicators or other criteria, which are able to point out technological developments and market changes. In addition to the execution of a literature review on existing approaches, which mainly propose patent-based indicators, it is examined in this paper whether indicator systems from other branches such as risk management or economic research could be transferred to technology monitoring in order to enable an efficient and focused technology monitoring for companies.

Keywords: technology forecasting, technology indicator, technology intelligence, technology management, technology monitoring

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Authors: Asma A. Ben Ahmed, Hajer M. Alborawy, Alaa A. Mashina, Pradeep K. Velautham, Abdulmonem Gobassa, Emhemmed Elgallal, Mohamed N. El Attug

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Generic medicines are those where patent protection has expired, and which may be produced by manufacturers other than the innovator company. Use of generic medicines has been increasing in recent years, primarily as a cost saving measure in healthcare provision. Generic medicines are typically 20 – 90 % cheaper than originator equivalents. Physicians often continue to prescribe brand-name drugs to their patients even when less expensive pharmacologically equivalent generic drugs are available. Because generics are less expensive than their brand-name counterparts, the cost-savings to the patient is not the only factor that physicians consider when choosing between generic and brand-name drugs. Unfortunately Physicians in general and Libyan Physicians in particular tend to prescribe brand-name drugs, even without evidence of their therapeutic superiority, because neither they nor their insured patients bear these drugs’ increased cost with respect to generic substitutes. This study is to compare the quality of five different prednisolone tablets of the same strength from different companies under different trade names: Julphar, October pharma, Akums, Actavis, Pfizer compared them with pure prednisolone reference (BPCRS).

Keywords: quality control, pharmaceutical analysis, generic medicines, prednisolone

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Authors: Nisa Nur Duman, Sümeyya Kiliç

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In global competition conditions, survival of the plants by obtaining competitive advantage relies on the effective usage of existing sources. By this way, the plants can minimize their costs without losing their quality. They also take advantage took advantage on their competitors and enlarge customer portfolio by increasing profit margins. Changing structure of market and customer demands also change the structure of the competition between companies. Furthermore, competition is not only between the companies. By this manner, supply chain and supply chain management get importance by considering company performances. Companies that want to survive, search the ways of decreasing costs and the ways of meeting customer expectations. One of the important tools for reaching these goals is inventory managemet. The best inventory management system is meeting the demands by considering plant goals.

Keywords: Supply chain, inventory management, apparel sector, garment industry

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Authors: Nasreen Thebo, W. Shaikh, A. J. Laghari, P. Nangni

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Prunus dulcis (Almond) shell extract is demonstrated for its biomedical applications. Shell extract prepared by soxhlet method and further characterized by UV-Visible spectrophotometer, atomic absorption spectrophotometer (AAS), FTIR, GC-MS techniques. In this study, the antifungal activity of almond shell extract was observed against clinically isolated pathogenic fungi by strip method. The antioxidant potential of crude shell extract of was evaluated by using DPPH (2-2-diphenyl-1-picryhydrazyl) and radical scavenging system. The possibility of short term therapy was only 20 days. The total antioxidant activity varied from 94.38 to 95.49% and total phenolic content was found as 4.455 mg/gm in almond shell extract. Finally the results provide a great therapeutic potential against Tinea capitis infection of scalp. Included in this study of shell extract that show scientific evidence for clinical efficacy, as well as found to be more useful in the treatment of dermatologic disorders and without any doubt it can be recommended to be Patent.

Keywords: Tinea capitis, DPPH, FTIR, GC-MS therapeutic treatment

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Authors: M. Barański

Abstract:

This paper presents a several diagnostic methods designed to electrical machines especially for permanent magnets (PM) machines. Those machines are commonly used in small wind and water systems and vehicles drives. Those methods are preferred by the author in periodic diagnostic of electrical machines. The special attention should be paid to diagnostic method of turn-to-turn insulation and vibrations. Both of those methods were created in Institute of Electrical Drives and Machines Komel. The vibration diagnostic method is the main thesis of author’s doctoral dissertation. This is method of determination the technical condition of PM electrical machine basing on its own signals is the subject of patent application No P.405669. Specific structural properties of machines excited by permanent magnets are used in this method - electromotive force (EMF) generated due to vibrations. There was analysed number of publications which describe vibration diagnostic methods and tests of electrical machines with permanent magnets and there was no method found to determine the technical condition of such machine basing on their own signals.

Keywords: electrical vehicle, generator, main insulation, permanent magnet, thermography, turn-to-traction drive, turn insulation, vibrations

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Authors: Dimitrios J. Dimitriou

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It is widely recognised that the assets portfolio development is helping to enhance economic growth, productivity and competitiveness. While numerous studies and reports certify the positive effect of investments in large infrastructure investments on the local economy, still, the methodology to estimate the contribution in economic development is a challenging issue for researchers and economists. The key question is how to estimate those economic impacts in each economic system. This paper provides a compact and applicable methodological framework providing quantitative results in terms of the overall jobs and income generated into the project life cycle. According to a deterministic mathematical approach, the key variables and the modelling framework are presented. The numerical case study highlights key results for a new motorway project in Greece, which is experienced economic stress for many years, providing the opportunity for comparisons with similar cases.

Keywords: quantitative modelling, economic impact, large transport infrastructure, economic assessment

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Authors: Sunghae Jun

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Technology management (TM) is important issue in a company improving the competitiveness. Among many activities of TM, technology analysis (TA) is important factor, because most decisions for management of technology are decided by the results of TA. TA is to analyze the developed results of target technology using statistics or Delphi. TA based on Delphi is depended on the experts’ domain knowledge, in comparison, TA by statistics and machine learning algorithms use objective data such as patent or paper instead of the experts’ knowledge. Many quantitative TA methods based on statistics and machine learning have been studied, and these have been used for technology forecasting, technological innovation, and management of technology. They applied diverse computing tools and many analytical methods case by case. It is not easy to select the suitable software and statistical method for given TA work. So, in this paper, we propose a methodology for quantitative TA using statistical computing software called R and data science to construct a general framework of TA. From the result of case study, we also show how our methodology is applied to real field. This research contributes to R&D planning and technology valuation in TM areas.

Keywords: technology management, R system, R data science, statistics, machine learning

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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: Orhan Kurtuluş, Cüneyt Yavuz

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The end of the line controls of the finished products in the automotive industry is important. The control that has been conducted with the manual methods for the sliding doors tracks is not sufficient and faulty products cannot be identified. As a result, the customer has the faulty products. In the scope of this study, the design criteria of the PLC integrated modular end of line control unit has been examined, designed and manufactured to make the control of the 10 different track profile to 2 different vehicles with an objective to minimize the salvage costs by obtaining more sensitive, certain and accurate measurement results. In the study that started with literature and patent review, the design inputs have been specified, the technical concept has been developed, computer supported mechanic design, control system and automation design, design review and design improvement have been made. Laser analog sensors at high sensitivity, probes and modular blocks have been used in the unit. The measurement has been conducted in the system and it is observed that measurement results are more sensitive than the previous methods.

Keywords: control unit design, end of line, modular design, sliding door system

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Authors: Aslam Faheem, Hunjra Ahmed Imran, Tayachi Tahar, Verhoeven Peter, Tariq Yasir

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We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers.

Keywords: asset pricing, frontier markets, market efficiency, Islamic calendar effects, Islamic stock markets

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Authors: Sireesha Tamada, Debraj Bhattacharjee, Pranab K. Dan, Prabha Bhola

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The most important component in an automotive transmission system is the gearbox which controls the speed of the vehicle. In an automatic transmission, the right positioning of actuators ensures efficient transmission mechanism embodiment, wherein the challenge lies in formulating the number of actuators associated with modelling a gearbox. Data with respect to actuation and gear shifting sequence has been retrieved from the available literature, including patent documents, and has been used in this proposed heuristics based methodology for modelling actuation sequence in a gear box. This paper presents a methodological approach in designing a gearbox for the purpose of obtaining an optimal shifting sequence. The computational model considers factors namely, the number of stages and gear teeth as input parameters since these two are the determinants of the gear ratios in an epicyclic gear train. The proposed transmission schematic or stick diagram aids in developing the gearbox layout design. The number of iterations and development time required to design a gearbox layout is reduced by using this approach.

Keywords: automatic transmission, gear-shifting, multi-stage planetary gearbox, rank ordered clustering

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Authors: Elijah Cavan

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In Major League Sports (MLB, NBA, NHL, NFL), it is the Front Office Staff (FOS) who make decisions about who plays for their respective team. The FOS bear the brunt of the responsibility for acquiring players through drafting, trading and signing players in free agency while typically contesting with maximum roster salary constraints. The players themselves are volatile assets of these teams- their value fluctuates with age and performance. A simple comparison can be made when viewing players as assets. The problem here is similar to that of optimizing your investment portfolio. The The goal is ultimately to maximize your periodic returns while tolerating a fixed risk (degree of uncertainty/ potential loss). Each franchise may value assets differently, and some may only tolerate lower risk levels- these are examples of factors that introduce additional constraints into the model. In this talk, we will detail the mathematical formulation of this problem as a constrained optimization problem- which can be solved with classical machine learning methods but is also well posed as a problem to be solved on quantum computers

Keywords: optimization, financial mathematics, sports analytics, simulated annealing

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Authors: Waheed Oseni

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This article reviews emergent global trends in intellectual property protection and identifies patenting as a strategic initiative. Recent developments in software and method of doing business patenting are fast transforming the e‐business landscape. The article discusses the emergent global regulatory framework concerning intellectual property rights and the strategic value of patenting. Important features of a corporate patenting portfolio are described. Superficially, the e‐commerce landscape appears to be dominated by dotcom start-ups or the “dotcomization” of existing brick and mortar companies. But, in reality, at its very bedrock is intellectual property (IP). In this connection, the recent avalanche of patenting of software and method‐of‐doing‐business (MDB) in the USA is a very significant development with regard to rules governing IP rights and, therefore, e‐commerce. Together with the World Trade Organization’s (WTO) IP rules, there is an emerging global regulatory framework for IP rights, an understanding of which is necessary for designing effective e‐commerce strategies.

Keywords: intellectual property, patents, methods, computer software

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Authors: Yuri Katz, Kun Liu, Arunram Atmacharan

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Due to illiquidity, mispricing on Credit Markets is inevitable. This creates huge challenges to banks and investors as they seek to find new ways of risk valuation and portfolio management in a post-credit crisis world. Here, we analyze the difference in behavior of the spread-to-maturity in investment and high-yield categories of US corporate bonds between 2014 and 2023. Deviation from the theoretical dependency of this measure in the universe under study allows to identify multiple cases of mispriced credit risk. Remarkably, we observe mispriced bonds in both categories of credit ratings. This identification is supported by the application of the state-of-the-art machine learning model in more than 90% of cases. Noticeably, the ML-driven model-based forecasting of a category of bond’s credit ratings demonstrate an excellent out-of-sample accuracy (AUC = 98%). We believe that these results can augment conventional valuations of credit portfolios.

Keywords: credit risk, credit ratings, bond pricing, spread-to-maturity, machine learning

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Authors: Algia Hammami, Abdelfatteh Bouri

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In this work, our objective is to study the transmission of volatility between oil and stock markets in developed (USA, Germany, Italy, France and Japan) and emerging countries (Tunisia, Thailand, Brazil, Argentina, and Jordan) for the period 1998-2015. Our methodology consists of analyzing the monthly data by the GARCH-BEKK model to capture the effect in terms of volatility in the variation of the oil price on the different stock market. The empirical results in the emerging countries indicate that the relationships are unidirectional from the stock market to the oil market. For the developed countries, we find that the transmission of volatility is unidirectional from the oil market to stock market. For the USA and Italy, we find no transmission between the two markets. The transmission is bi-directional only in Thailand. Following our estimates, we also noticed that the emerging countries influence almost the same extent as the developed countries, while at the transmission of volatility there a bid difference. The GARCH-BEKK model is more effective than the others versions to minimize the risk of an oil-stock portfolio.

Keywords: GARCH, oil prices, stock market, volatility transmission

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Authors: Yih-Wenn Laih

Abstract:

In recent times, the dependence and co-movement among international financial markets have become stronger than in the past, as evidenced by commentaries in the news media and the financial sections of newspapers. Studying the co-movement between returns in financial markets is an important issue for portfolio management and risk management. The realization of co-movement helps investors to identify the opportunities for international portfolio management in terms of asset allocation and pricing. Since the election of the new Prime Minister, Shinzo Abe, in November 2012, the yen has weakened against the US dollar from the 80 to the 120 level. The policies, known as “Abenomics,” are to encourage private investment through a more aggressive mix of monetary and fiscal policy. Given the close economic relations and competitions among Asia markets, it is interesting to discover the co-movement relations, affected by the depreciation of yen, between stock market of Japan and 5 major Asia stock markets, including China, Hong Kong, Korea, Singapore, and Taiwan. Specifically, we devote ourselves to measure the co-movement of stock markets between Japan and each one of the 5 Asia stock markets in terms of rank correlation coefficients. To compute the coefficients, return series of each stock market is first fitted by a skewed-t GARCH (generalized autoregressive conditional heteroscedasticity) model. Secondly, to measure the dependence structure between matched stock markets, we employ the symmetrized Joe-Clayton (SJC) copula to calculate the probability density function of paired skewed-t distributions. The joint probability density function is then utilized as the scoring scheme to optimize the sequence alignment by dynamic programming method. Finally, we compute the rank correlation coefficients (Kendall's  and Spearman's ) between matched stock markets based on their aligned sequences. We collect empirical data of 6 stock indexes from Taiwan Economic Journal. The data is sampled at a daily frequency covering the period from January 1, 2013 to July 31, 2015. The empirical distributions of returns indicate fatter tails than the normal distribution. Therefore, the skewed-t distribution and SJC copula are appropriate for characterizing the data. According to the computed Kendall’s τ, Korea has the strongest co-movement relation with Japan, followed by Taiwan, China, and Singapore; the weakest is Hong Kong. On the other hand, the Spearman’s ρ reveals that the strength of co-movement between markets with Japan in decreasing order are Korea, China, Taiwan, Singapore, and Hong Kong. We explore the effects of “Abenomics” on Asia stock markets by measuring the co-movement relation between Japan and five major Asia stock markets in terms of rank correlation coefficients. The matched markets are aligned by a hybrid method consisting of GARCH, copula and sequence alignment. Empirical experiments indicate that Korea has the strongest co-movement relation with Japan. The strength of China and Taiwan are better than Singapore. The Hong Kong market has the weakest co-movement relation with Japan.

Keywords: co-movement, depreciation of Yen, rank correlation, stock market

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Authors: Giriraj Achari, Malay Bhattacharyya

Abstract:

In this paper, the effectiveness of Copula Markov Switching Multifractal (MSM) models at forecasting Value-at-Risk of a two-stock portfolio is studied. The innovations are allowed to be drawn from distributions that can capture skewness and leptokurtosis, which are well documented empirical characteristics observed in financial returns. The candidate distributions considered for this purpose are Johnson-SU, Pearson Type-IV and α-Stable distributions. The two univariate marginal distributions are combined using the Student-t copula. The estimation of all parameters is performed by Maximum Likelihood Estimation. Finally, the models are compared in terms of accurate Value-at-Risk (VaR) forecasts using tests of unconditional coverage and independence. It is found that Copula-MSM-models with leptokurtic innovation distributions perform slightly better than Copula-MSM model with Normal innovations. Copula-MSM models, in general, produce better VaR forecasts as compared to traditional methods like Historical Simulation method, Variance-Covariance approach and Copula-Generalized Autoregressive Conditional Heteroscedasticity (Copula-GARCH) models.

Keywords: Copula, Markov Switching, multifractal, value-at-risk

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