Search results for: return on assets

Authors: Raphael Naryongo, Philip Ngare, Anthony Waititu

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This paper deals with numerical simulation of Wishart processes for a single asset risky pricing model whose volatility is described by Wishart affine diffusion processes. The multi-factor specification of volatility will make the model more flexible enough to fit the stock market data for short or long maturities for better returns. The Wishart process is a stochastic process which is a positive semi-definite matrix-valued generalization of the square root process. The aim of the study is to model the log asset stock returns under the double Wishart stochastic volatility model. The solution of the log-asset return dynamics for Bi-Wishart processes will be obtained through Euler-Maruyama discretization schemes. The numerical results on the asset returns are compared to the existing models returns such as Heston stochastic volatility model and double Heston stochastic volatility model

Keywords: euler schemes, log-asset return, infinitesimal generator, wishart diffusion affine processes

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Authors: Gamze Sekeroglu, Mikail Altan

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Working capital is identified as firm’s all current assets. Inventories which are one of the working capital elements are very important among current assets for firms. Because, profitability is an indicator for firms’ financial success is provided with minimum cost and optimum inventory quantity. So in this study, it is investigated as comparatively that the effect of inventory management on the profitability of Turkish firms which operated in weaving industry, eatables industry, wholesale and retail industry in between 2003 – 2012 years. Research data consist of profitability ratios and inventory turnovers ratio calculated by using balance sheets and income statements of firms which operated in Borsa Istanbul (BIST). In this research, the relationship between inventories and profitability is investigated by using SPSS-20 software with regression and correlation analysis. The results achieved from three industry departments which exist in study interpreted as comparatively. Accordingly, it is determined that there is a positive relationship between inventory management and profitability in eatables industry. However, it was founded that there is no relationship between inventory management and profitability in weaving industry and wholesale and retail industry.

Keywords: profitability, regression analysis, inventory management, working capital

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Authors: Muhammad Hikmah

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Based on the population census in 2015, Indonesia consists of 254.9 millions of people, and 80% of them are Muslims (Data of Central Bureau of Statistic). Indonesia becomes the highest number of Muslims civilization in the world. The question would be, is the number of population proportional to the growth of Syariah transaction in Indonesia? It is going to be discussed in this research. The problem limitation of this research is in Syariah Banking. Therefore, Syariah transaction in this study is described as transaction only in Syariah Banking. The researcher focused on the study in Yogyakarta, a city in Indonesia. The development of Syariah Bank assets until January 2016, based on statistic data launched by Financial Services Authority (FSA), has increased Rp 287.44 trillion, however, a total amount of bank achieves Rp 6.198,15 trillions. It means that the assets of Syariah Bank are only 4.64% from the total amount of banking assets in Indonesia, though, Syariah Banking was first established in 1991, known as Bank Muamalat. As we can see that in these 25 years, Syariah Banking could only reach that number. Based on the press conference of FSA and Syariah Banking Exhibition iB Vaganza in 2015, the number of Syariah Bank’s customers are under 10 millions. With 80% of Muslims, Syariah Bank is not able to be a market leader in Indonesia. This will be answered in this research, how much the interest if Muslims in Yogyakarta towards Syariah Bank compared to conventional bank. This study will be conducted in Yogyakarta. The sampling will represent to the muslims having good knowledge of Islam, such as dawn prayer worshipers in some mosques in Yogyakarta. There are some reasons why Indonesian muslims are not interested in Syariah Bank, such as the people do not put trust in Syariah Bank; there are some obligation where they work to have conventional bank; business matters services which is not covered by Syariah Bank where most of them are limited to the laws authorities; and there is no sufficient knowledge about the importance of syariah transaction from religion point of view. Each of them is going to be discussed in this research. The suggestions of this study are we should share our knowledge about Islamic transaction anywhere and we need to support Syariah Bank to have Syariah principles. For those who have the authority should be active as well to announce the rules of the constitution supporting the development of syariah transaction in order to be apply perfectly. We hope that trust from the people will increase, and we should provide Syariah Banking products which fulfill business needs. Finally, syariah transaction will be the solution for all people in the world in bussiness transaction.

Keywords: shariah, Islamic, banking, Indonesia

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Authors: Roghieh Eskandari, Ali Motamedi

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There is a significant demand for renovation as-built assets are aging. To plan for a desirable and comfortable indoor environment, stakeholders use simulation technics to assess potential renovation scenarios with the innovative designs. Diminished Reality (DR), which is a technique of visually removing unwanted objects from the real-world scene in real-time, can contribute to the renovation design visualization for stakeholders by removing existing structures and assets from the scene. Using DR, the objects to be demolished or changed will be visually removed from the scene for a better understanding of the intended design scenarios for stakeholders. This research proposes an integrated system for renovation plan visualization using Building Information Modelling (BIM) data and mixed reality (MR) technologies. It presents a BIM-based DR method that utilizes a textured BIM model of the environment to accurately register the virtual model of the occluded background to the physical world in real-time. This system can facilitate the simulation of the renovation plan by visually diminishing building elements in an indoor environment.

Keywords: diminished reality, building information modelling, mixed reality, stock renovation

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Authors: Michelle Roesler, Ian Glendon, Francis O'Callaghan

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This study expands on recent findings and offers a new perspective on recovery from injury and return to work (RTW) after an acute traumatic occupational hand injury. Recovery is a complex medical and psychosocial process. A number of predictor variables were studied simultaneously to identify the bio-psychosocial variables that impede recovery. An unexpected phenomenon to emerge from this study was the high incidence of complications within the hand-injured patient sample. Twenty six percent (n = 71) of the total sample (N = 263) required a second operation due to complications. This warranted further investigation. Results confirmed that complications not only significantly delayed the RTW outcome but also had a profound psychological impact on the individuals affected. Research has found that surgical complications are usually the result of incorrect early assessment and management. A strategic plan needs to be implemented to ensure the optimal level of surgical care is provided for managing acute traumatic hand injuries to avoid such complications.

Keywords: occupational hand trauma, psychological recovery, return to work, psychology

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Authors: Mohammad Nazri Mustafa, Pedram Hatami Abdullah, M. Fakhrur Razi Ahmad Faizul

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With the issuance of Malaysian National Annex 2017 as a part of MS EN 1998-1:2015, the seismic mapping of Malaysian Peninsular including Sabah and Sarawak has undergone some changes in terms of the Peak Ground Acceleration (PGA) value. The revision to the PGA has raised a concern on the safety of oil and gas onshore structures as these structures were not designed to accommodate the new PGA values which are much higher than the previous values used in the original design. In view of the high numbers of structures and buildings to be re-assessed, a risk assessment methodology has been developed to prioritize and rank the assets in terms of their criticality against the new seismic loading. To-date such risk assessment method for oil and gas onshore structures is lacking, and it is the main intention of this technical paper to share the risk assessment methodology and risk elements scoring finalized via Delphi Method. The finalized methodology and the values used to rank the risk elements have been established based on years of relevant experience on the subject matter and based on a series of rigorous discussions with professionals in the industry. The risk scoring is mapped against the risk matrix (i.e., the LOF versus COF) and hence, the overall risk for the assets can be obtained. The overall risk can be used to prioritize and optimize integrity assessment, repair and strengthening work against the new seismic mapping of the country.

Keywords: methodology, PGA, risk, seismic

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Authors: O. A. Ajigini, E. N. Mwim

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Cybersecurity is the protection of computers, programs, networks, and data from attack, damage, unauthorised, unintended access, change, or destruction. Organisations collect, process and store their confidential and sensitive information on computers and transmit this data across networks to other computers. Moreover, the advent of internet technologies has led to various cyberattacks resulting in dangerous consequences for organisations. Therefore, with the increase in the volume and sophistication of cyberattacks, there is a need to develop models and make recommendations for the management of cybersecurity threats in organisations. This paper reports on various threats that cause malicious damage to organisations in cyberspace and provides measures on how these threats can be eliminated or reduced. The paper explores various aspects of protection measures against cybersecurity threats such as handling of sensitive data, network security, protection of information assets and cybersecurity awareness. The paper posits a model and recommendations on how to manage cybersecurity threats in organisations effectively. The model and the recommendations can then be utilised by organisations to manage the threats affecting their cyberspace. The paper provides valuable information to assist organisations in managing their cybersecurity threats and hence protect their computers, programs, networks and data in cyberspace. The paper aims to assist organisations to protect their information assets and data from cyberthreats as part of the contributions toward community engagement.

Keywords: confidential information, cyberattacks, cybersecurity, cyberspace, sensitive information

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Authors: Zhaopeng Xuan, Yuan Bian, C. Cailleaux, Jing Qin, S. Traore

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Traditional software engineering allows engineers to propose to their clients multiple specialized software distributions assembled from a shared set of software assets. The management of these assets however requires a trade-off between client satisfaction and software engineering process. Clients have more and more difficult to find a distribution or components based on their needs from all of distributed repositories. This paper proposes a software engineering for a user-driven software product line in which engineers define a feature model but users drive the actual software distribution on demand. This approach makes the user become final actor as a release manager in software engineering process, increasing user product satisfaction and simplifying user operations to find required components. In addition, it provides a way for engineers to manage and assembly large software families. As a proof of concept, a user-driven software product line is implemented for eclipse, an integrated development environment. An eclipse feature model is defined, which is exposed to users on a cloud-based built platform from which clients can download individualized Eclipse distributions.

Keywords: software product line, model-driven development, reverse engineering and refactoring, agile method

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Authors: Jingwen Shi, Qi Wu

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We study the role played interest rate risk in carry trade return in order to understand the forward premium puzzle. In this study, our goal is to investigate to what extent carry trade return is indeed due to compensation for risk taking and, more important, to reveal the nature of these risks. Using option data not only on exchange rates but also on interest rate swaps (swaptions), our first finding is that, besides the consensus currency risks, interest rate risks also contribute a non-negligible portion to the carry trade return. What strikes us is our second finding. We find that large downside risks of future exchange rate movements are, in fact, priced significantly in option market on interest rates. The role played by interest rate risk differs structurally from the currency risk. There is a unique premium associated with interest rate risk, though seemingly small in size, which compensates the tail risks, the left tail to be precise. On the technical front, our study relies on accurately retrieving implied distributions from currency options and interest rate swaptions simultaneously, especially the tail components of the two. For this purpose, our major modeling work is to build a new international asset pricing model where we use an orthogonal setup for pricing kernels and specify non-Gaussian dynamics in order to capture three sets of option skew accurately and consistently across currency options and interest rate swaptions, domestic and foreign, within one model. Our results open a door for studying forward premium anomaly through implied information from interest rate derivative market.

Keywords: carry trade, forward premium anomaly, FX option, interest rate swaption, implied volatility skew, uncovered interest rate parity

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Authors: S. Chami, J. Chauvin, T. Demarest, Stan Ng, M. Straus, W. Jahner

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Biometrics tools such as fingerprint and iris are widely used in industry to protect critical assets. However, their vulnerability and lack of robustness raise several worries about the protection of highly critical assets. Biometrics based on Electrocardiographic (ECG) signals is a robust identification tool. However, most of the state-of-the-art techniques have worked on clinical signals, which are of high quality and less noisy, extracted from wearable devices like a smartwatch. In this paper, we are presenting a complete machine learning pipeline that identifies people using ECG extracted from an off-person device. An off-person device is a wearable device that is not used in a medical context such as a smartwatch. In addition, one of the main challenges of ECG biometrics is the variability of the ECG of different persons and different situations. To solve this issue, we proposed two different approaches: per person classifier, and one-for-all classifier. The first approach suggests making binary classifier to distinguish one person from others. The second approach suggests a multi-classifier that distinguishes the selected set of individuals from non-selected individuals (others). The preliminary results, the binary classifier obtained a performance 90% in terms of accuracy within a balanced data. The second approach has reported a log loss of 0.05 as a multi-class score.

Keywords: biometrics, electrocardiographic, machine learning, signals processing

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Authors: Levente Kovács, Fruzsina Luca Kézér, Ottó Szenci

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Prediction of the onset of calving and recognizing difficulties at calving has great importance in decreasing neonatal losses and reducing the risk of health problems in the early postpartum period. In this study, changes of rumination time, reticuloruminal pH and temperature were investigated in eutocic (EUT, n = 10) and dystocic (DYS, n = 8) dairy cows around parturition. Rumination time was continuously recorded using an acoustic biotelemetry system, whereas reticuloruminal pH and temperature were recorded using an indwelling and wireless data transmitting system. The recording period lasted from 3 d before calving until 7 days in milk. For the comparison of rumination time and reticuloruminal characteristics between groups, time to return to baseline (the time interval required to return to baseline from the delivery of the calf) and area under the curve (AUC, both for prepartum and postpartum periods) were calculated for each parameter. Rumination time decreased from baseline 28 h before calving both for EUT and DYS cows (P = 0.023 and P = 0.017, respectively). After 20 h before calving, it decreased onwards to reach 32.4 ± 2.3 and 13.2 ± 2.0 min/4 h between 8 and 4 h before delivery in EUT and DYS cows, respectively, and then it decreased below 10 and 5 min during the last 4 h before calving (P = 0.003 and P = 0.008, respectively). Until 12 h after delivery rumination time reached 42.6 ± 2.7 and 51.0 ± 3.1 min/4 h in DYS and EUT dams, respectively, however, AUC and time to return to baseline suggested lower rumination activity in DYS cows than in EUT dams for the 168-h postpartum observational period (P = 0.012 and P = 0.002, respectively). Reticuloruminal pH decreased from baseline 56 h before calving both for EUT and DYS cows (P = 0.012 and P = 0.016, respectively), but did not differ between groups before delivery. In DYS cows, reticuloruminal temperature decreased from baseline 32 h before calving by 0.23 ± 0.02 °C (P = 0.012), whereas in EUT cows such a decrease was found only 20 h before delivery (0.48 ± 0.05 °C, P < 0.01). AUC of reticuloruminal temperature calculated for the prepartum period was greater in EUT cows than in DYS cows (P = 0.042). During the first 4 h after calving, it decreased from 39.7 ± 0.1 to 39.00 ± 0.1 °C and from 39.8 ± 0.1 to 38.8 ± 0.1 °C in EUT and DYS cows, respectively (P < 0.01 for both groups) and reached baseline levels after 35.4 ± 3.4 and 37.8 ± 4.2 h after calving in EUT and DYS cows, respectively. Based on our results, continuous monitoring of changes in rumination time and reticuloruminal temperature seems to be promising in the early detection of cows with a higher risk of dystocia. Depressed postpartum rumination time of DYS cows highlights the importance of the monitoring of cows experiencing difficulties at calving.

Keywords: reticuloruminal pH, reticuloruminal temperature, rumination time, dairy cows, dystocia

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Authors: Ana Pinheiro, Fatima Suleman

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Literature has revealed strong awareness of companies in regard of expatriation, but issues associated with repatriation of employees after an international assignment have been overlooked. Repatriation is one of the most challenging human resource practices that affect how companies benefit from acquired skills and high potential employees; and gain competitive advantage through network developed during expatriation. However, empirical evidence achieved so far suggests that expatriates have been disappointed because companies lack an effective repatriation strategy. Repatriates’ professional and emotional needs are often unrecognized, while repatriation is perceived as a non-issue by companies. The underlying assumption is that the return to parent company, and original country, culture and language does not demand for any particular support. Unfortunately, this basic view has non-negligible consequences on repatriates, especially on expatriate retention and turnover rates after expatriation. The goal of our study is to examine the specific policies and practices adopted by companies to support employees after an international assignment. We assume that expatriation is process which ends with repatriation. The latter is such a crucial issue as the expatriation and require due attention through appropriate design of human resource management policies and tools. For this purpose, we use data from a qualitative research based on interviews to a sample of firms operating in Portugal. We attempt to compare how firms accommodate the concerns with repatriation in their policies and practices. Therefore, the interviews collect data on both expatriation and repatriation process, namely the selection and skills of candidates to expatriation, training, mentoring, communication and pay policies. Portuguese labor market seems to be an interesting case study for mainly two reasons. On the one hand, Portuguese Government is encouraging companies to internationalize in the context of an external market-oriented growth model. On the other hand, expatriation is being perceived as a job opportunity in the context of high unemployment rates of both skilled and non-skilled. This is an ongoing research and the data collected until now indicate that companies follow the pattern described in the literature. The interviewed companies recognize the higher relevance of repatriation process than expatriation, but disregard specific human resource policies. They have perceived that unfavorable labor market conditions discourage mobility across companies. It should be stressed that companies underline that employees enhanced the relevance of stable jobs and attach far less importance to career development and other benefits after expatriation. However, there are still cases of turnover and difficulties of retention. Managers’ report non-negligible cases of turnover associated with lack of effective repatriation programs and non-recognition of good performance. Repatriates seem to having acquired entrepreneurial spirit and skills and often create their own company. These results suggest that even in the context of worsening labor market conditions, there should be greater awareness of the need to retain talents, experienced and highly skills employees. Ultimately, other companies poach invaluable assets, while internationalized companies risk being training providers.

Keywords: expatriates, expatriation, international management, repatriation

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Authors: Roman Asatryan

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The decision-making processes in Corporate Social Responsibility (CSR) among firms in general and airlines in particular have to do with the benefits that accrue through those investments. The crux of the matter is not whether to invest in CSR or not, but rather, how firms can quantify the benefits derived from such investments. This paper analyzes the cost benefit adjustment strategies for firms in the airline industry in their CSR strategy adoption and implementation. The adjustment strategies identified will enable firms in the airline industry to have a basis for determining the worth of such CSR investments. This paper discusses the cost and benefit analysis model in order to understand the ways airlines can reduce costs and increase returns on CSR, or balance the cost and benefits. The analysis from this study points to the fact that economic concepts especially the CBA are useful, though they are not without challenges. The challenge arises when it is problematic to express the real impact of the externality in monetary terms. The use of rational maximization of the gains may seem to be a rather optimistic goal mainly because of environmental variability, perceptual uncertainty, and imperfect knowledge about the potential externality. This paper concludes that the CBA model gives a basic understanding of the motivations for investing in intangible assets like CSR. Consequently, it sets the tone for formulating relevant hypothesis in empirical studies in investment in CSR in particular and other intangible assets in business operations.

Keywords: cost-benefit analysis, corporate social responsibility, airline industry

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Authors: Allison Tucker, Carolyn Clarke, Erin Keith

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Introduction: In education, the determination to uncover privileged practices requires critical reflection to be placed at the center of both pre-service and in-service teacher education. Confronting deficit thinking about children’s abilities and shifting to holding an image of the child as capable and competent is necessary for teachers to engage in responsive pedagogy that meets children where they are in their learning and builds on strengths. This paper explores the ways in which early elementary teachers' perceptions of the assets of children might shift through the pedagogical use of video clubs. Video club is a pedagogical practice whereby teachers record and view short videos with the intended purpose of deepening their practices. The use of video club as a learning tool has been an extensively documented practice. In this study, a video club is used to watch short recordings of playing children to identify the assets of their students. Methodology: The study on which this paper is based asks the question: What are the ways in which teachers’ image of the child and teaching practices evolve through the use of video club focused on the strengths of children demonstrated during play? Using critical reflection, it aims to identify and describe participants’ experiences of examining their personally held image of the child through the pedagogical tool video club, and how that image influences their practices, specifically in implementing play pedagogy. Teachers enrolled in a graduate-level play pedagogy course record and watch videos of their own students as a means to notice and reflect on the learning that happens during play. Using a co-constructed viewing protocol, teachers identify student strengths and consider their pedagogical responses. Video club provides a framework for teachers to critically reflect in action, return to the video to rewatch the children or themselves and discuss their noticings with colleagues. Critical reflection occurs when there is focused attention on identifying the ways in which actions perpetuate or challenge issues of inherent power in education. When the image of the child held by the teacher is from a deficit position and is influenced by hegemonic dimensions of practice, critical reflection is essential in naming and addressing power imbalances, biases, and practices that are harmful to children and become barriers to their thriving. The data is comprised of teacher reflections, analyzed using phenomenology. Phenomenology seeks to understand and appreciate how individuals make sense of their experiences. Teacher reflections are individually read, and researchers determine pools of meaning. Categories are identified by each researcher, after which commonalities are named through a recursive process of returning to the data until no more themes emerge or saturation is reached. Findings: The final analysis and interpretation of the data are forthcoming. However, emergent analysis of the data collected using teacher reflections reveals the ways in which the use of video club grew teachers’ awareness of their image of the child. It shows video club as a promising pedagogical tool when used with in-service teachers to prompt opportunities for play and to challenge deficit thinking about children and their abilities to thrive in learning.

Keywords: asset-based teaching, critical reflection, image of the child, video club

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Authors: Abisola Akinola, Akinsulere Femi

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The stock market has continually been a source of economic development in most developing countries. This study examined the relationship between investors’ ratio analysis and profitability of quoted companies in Nigeria using secondary data obtained from the annual reports of forty-two (42) companies. The study employed the multiple regression technique to analyze the relationship between investors’ ratio analysis (measured by dividend per share and earning per share) and profitability (measured by the return on equity). The results from the analysis show that investors’ ratio analysis, when measured by earnings per share, have a positive and significant impact on profitability. However, the study noted that investors’ ratio analysis, when measured by dividend per share, tend to have a positive impact on profitability but it is statistically insignificant. By implication, investors and other stakeholders that are interested in investing in stocks can predict the earning capacity of listed firms in the stock market.

Keywords: dividend per share, earnings per share, profitability, return on equity

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Authors: Hamed K. Arzani, Hamid K. Arzani, S.N. Kazi, A. Badarudin

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Numerical investigation into convective heat transfer of CuO-Water based nanofluid in a pipe with return bend under laminar flow conditions has been done. The impacts of Reynolds number and the volume concentration of nanoparticles on the flow and the convective heat transfer behaviour are investigated. The results indicate that the increase in Reynolds number leads to the enhancement of average Nusselt number, and the increase in specific heat in the presence of the nanofluid results in improvement in heat transfer. Also, the presence of the secondary flow in the curve plays a key role in increasing the average Nusselt number and it appears higher than the inlet and outlet tubes. However, the pressure drop curve increases significantly in the tubes with the increase in nanoparticles concentration.

Keywords: laminar forced convection, curve pipe, return bend, nanufluid, CFD

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Authors: Tomola Obamuyi

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The banking system in Nigeria adopted innovative banking, with the aim of enhancing financial inclusion, and making financial services readily and cheaply available to majority of the people, and to contribute to the efficiency of the financial system. Some of the innovative services include: Automatic Teller Machines (ATMs), National Electronic Fund Transfer (NEFT), Point of Sale (PoS), internet (Web) banking, Mobile Money payment (MMO), Real-Time Gross Settlement (RTGS), agent banking, among others. The introduction of these payment systems is expected to increase bank efficiency and customers' satisfaction, culminating in better performance for the commercial banks. However, opinions differ on the possible effects of the various innovative payment systems on the performance of commercial banks in the country. Thus, this study empirically determines how commercial banks use innovation to gain competitive advantage in the specific context of Nigeria's finance and business. The study also analyses the effects of financial innovation on the performance of commercial banks, when different periods of analysis are considered. The study employed secondary data from 2009 to 2018, the period that witnessed aggressive innovation in the financial sector of the country. The Vector Autoregression (VAR) estimation technique forecasts the relative variance of each random innovation to the variables in the VAR, examine the effect of standard deviation shock to one of the innovations on current and future values of the impulse response and determine the causal relationship between the variables (VAR granger causality test). The study also employed the Multi-Criteria Decision Making (MCDM) to rank the innovations and the performance criteria of Return on Assets (ROA) and Return on Equity (ROE). The entropy method of MCDM was used to determine which of the performance criteria better reflect the contributions of the various innovations in the banking sector. On the other hand, the Range of Values (ROV) method was used to rank the contributions of the seven innovations to performance. The analysis was done based on medium term (five years) and long run (ten years) of innovations in the sector. The impulse response function derived from the VAR system indicated that the response of ROA to the values of cheques transaction, values of NEFT transactions, values of POS transactions was positive and significant in the periods of analysis. The paper also confirmed with entropy and range of value that, in the long run, both the CHEQUE and MMO performed best while NEFT was next in performance. The paper concluded that commercial banks would enhance their performance by continuously improving on the services provided through Cheques, National Electronic Fund Transfer and Point of Sale since these instruments have long run effects on their performance. This will increase the confidence of the populace and encourage more usage/patronage of these services. The banking sector will in turn experience better performance which will improve the economy of the country. Keywords: Bank performance, financial innovation, multi-criteria decision making, vector autoregression,

Keywords: Bank performance, financial innovation, multi-criteria decision making, vector autoregression

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Authors: Periklis Brakatsoulas

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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: Zeinab Jafari A., Ali Sharifnezhad B., Mohammad Razi C., Mohammad Haghpanahi D., Arash Maghsoudi

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Background and Objective: Sports-related rupture of the anterior cruciate ligament (ACL) and following injuries have been associated with various disorders, such as long-lasting changes in muscle activation patterns in athletes, which might last after ACL reconstruction (ACLR). The rupture of the ACL might result in abnormal patterns of movement execution, extending the treatment period and delaying athletes’ return to sports (RTS). As ACL injury is especially prevalent among athletes, the lengthy treatment process and athletes’ absence from sports are of great concern to athletes and coaches. Thus, estimating safe time of RTS is of crucial importance. Therefore, using a deep neural network (DNN) to classify the health levels of ACL in injured athletes, this study aimed to estimate the safe time for athletes to return to competitions. Methods: Ten athletes with ACLR and fourteen healthy controls participated in this study. Three health levels of ACL were defined: healthy, six-month post-ACLR surgery and nine-month post-ACLR surgery. Athletes with ACLR were tested six and nine months after the ACLR surgery. During the course of this study, surface electromyography (sEMG) signals were recorded from five knee muscles, namely Rectus Femoris (RF), Vastus Lateralis (VL), Vastus Medialis (VM), Biceps Femoris (BF), Semitendinosus (ST), during single-leg drop landing (SLDL) and forward hopping (SLFH) tasks. The Pseudo-Wigner-Ville distribution (PWVD) was used to produce three-dimensional (3-D) images of the energy distribution patterns of sEMG signals. Then, these 3-D images were converted to two-dimensional (2-D) images implementing the heat mapping technique, which were then fed to a deep convolutional neural network (DCNN). Results: In this study, we estimated the safe time of RTS by designing a DCNN classifier with an accuracy of 90 %, which could classify ACL into three health levels. Discussion: The findings of this study demonstrate the potential of the DCNN classification technique using sEMG signals in estimating RTS time, which will assist in evaluating the recovery process of ACLR in athletes.

Keywords: anterior cruciate ligament reconstruction, return to sports, surface electromyography, deep convolutional neural network

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Authors: Rachid Belhachemi, Pierre Rostan, Alexandra Rostan

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This paper develops a discrete-time option pricing model for index options. The model consists of two key ingredients. First, daily stock return innovations are driven by a continuous hidden threshold mixed skew-normal (HTSN) distribution which generates conditional non-normality that is needed to fit daily index return. The most important feature of the HTSN is the inclusion of a latent state variable with a continuum of states, unlike the traditional mixture distributions where the state variable is discrete with little number of states. The HTSN distribution belongs to the class of univariate probability distributions where parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution has an interpretation in terms of a mixture distribution with time-varying mixing probabilities. It has been shown empirically that this distribution outperforms its main competitor, the mixed normal (MN) distribution, in terms of capturing the stylized facts known for stock returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence. Second, heteroscedasticity in the model is captured by a threeexogenous-factor GARCH model (GARCHX), where the factors are taken from the principal components analysis of various world indices and presents an application to option pricing. The factors of the GARCHX model are extracted from a matrix of world indices applying principal component analysis (PCA). The empirically determined factors are uncorrelated and represent truly different common components driving the returns. Both factors and the eight parameters inherent to the HTSN distribution aim at capturing the impact of the state of the economy on price levels since distribution parameters have economic interpretations in terms of conditional volatilities and correlations of the returns with the hidden continuous state. The PCA identifies statistically independent factors affecting the random evolution of a given pool of assets -in our paper a pool of international stock indices- and sorting them by order of relative importance. The PCA computes a historical cross asset covariance matrix and identifies principal components representing independent factors. In our paper, factors are used to calibrate the HTSN-GARCHX model and are ultimately responsible for the nature of the distribution of random variables being generated. We benchmark our model to the MN-GARCHX model following the same PCA methodology and the standard Black-Scholes model. We show that our model outperforms the benchmark in terms of RMSE in dollar losses for put and call options, which in turn outperforms the analytical Black-Scholes by capturing the stylized facts known for index returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence.

Keywords: continuous hidden threshold, factor models, GARCHX models, option pricing, risk-premium

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Authors: Natalia Feruleva

Abstract:

The goal of this paper is to develop the fraud risk assessment model basing on both relational and financial data and test the impact of the relationships between Russian non-public companies on the likelihood of financial fraud commitment. Relationships mean various linkages between companies such as parent-subsidiary relationship and person-related relationships. These linkages may provide additional opportunities for committing fraud. Person-related relationships appear when firms share a director, or the director owns another firm. The number of companies belongs to CEO and managed by CEO, the number of subsidiaries was calculated to measure the relationships. Moreover, the dummy variable describing the existence of parent company was also included in model. Control variables such as financial leverage and return on assets were also implemented because they describe the motivating factors of fraud. To check the hypotheses about the influence of the chosen parameters on the likelihood of financial fraud, information about person-related relationships between companies, existence of parent company and subsidiaries, profitability and the level of debt was collected. The resulting sample consists of 160 Russian non-public firms. The sample includes 80 fraudsters and 80 non-fraudsters operating in 2006-2017. The dependent variable is dichotomous, and it takes the value 1 if the firm is engaged in financial crime, otherwise 0. Employing probit model, it was revealed that the number of companies which belong to CEO of the firm or managed by CEO has significant impact on the likelihood of financial fraud. The results obtained indicate that the more companies are affiliated with the CEO, the higher the likelihood that the company will be involved in financial crime. The forecast accuracy of the model is about is 80%. Thus, the model basing on both relational and financial data gives high level of forecast accuracy.

Keywords: financial fraud, fraud prediction, non-public companies, regression analysis, relational data

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Authors: Riki H. Patel, Arpan Desai, Trushit Upadhyaya, Shobhit K. Patel

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The micro strip antennas area has seen some inventive work in recent years and is now one of the most dynamic fields of antenna theory. A novel and simple printed wideband monopole antenna is presented. Printed on a single dielectric substrate and easily fed by using a 50 ohm microstip line, low-profile antenna structure with two parallel S-shaped meandered line of same size. In this research, S–form micro strip patch antenna is designed from measuring the prototypes of the proposed antenna one available bands with 10db return loss bandwidths of about GPS application (GPS L2 1490 MHz) and covering the 1400 to 1580 MHz frequency band at 1.5 GHz The simulated results for main parameters such as return loss, impedance bandwidth, radiation patterns and gains are also discussed herein. The modeling study shows that such antennas, in simplicity design and supply, and can satisfy GPS application. Two parallel slots are incorporated to disturb the surface flow path, introducing local inductive effect. This antenna is fed by a coaxial feeding tube.

Keywords: bandwidth, electrically small antenna, microstrip, patch antenna, GPS

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Authors: Sadia Bibi, Karim Ullah

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Islamic banks have excess liquidity, which needs proper management to earn a high rate of return on them to remain competitive. However, they lack assets-backed avenues and rely on a few sukuks, which led them to liquidity management issues. Financial engineering comes forward to innovate and develop instruments for the requisite financial problem. Still, they face many challenges, explored in the context of liquidity management in Islamic banks. The rigorous literature review shows that Shariah compliance, competition from the conventional banks, lack of sufficient instruments, derivatives are still not accepted as legitimate products, the inter-bank market being less developed, and no possibility of lender of last resort is the six significant constraints to financial engineering for liquidity management of Islamic banks. To further explore the problem, a multiple case study strategy is used to extend and develop the theory with the philosophical stance of social constructivism. Narrative in-depth interviews over the telephone are conducted with key personnel at treasury departments of selected banks. Data is segregated and displayed using NVivo 11 software, and the thematic analysis approach identifies themes related to the constraints. The exploration of further constraints to financial engineering for liquidity management of Islamic banks achieves the research aim. The theory is further developed by the addition of three more constraints to the theoretical framework, which are i) lack of skilled human resources, ii) lack of unified vision, and iii) lack of government support to the Islamic banks. These study findings are fruitful for the use of the government, regulatory authorities of the banking sector, the State Bank of Pakistan (Central Bank), and the product design & development division of Islamic banks to make the financial engineering process feasible and resolve liquidity management issues of Islamic banks.

Keywords: financial engineering, liquidity management, Islamic banks, shariah compliance

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Authors: Joanne Danker, Iva Strnadová, Therese Cumming

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As a consequence of the increased evidence of the bi-directional relationship between student well-being and positive educational outcomes, there has been a surge in the number of research studies dedicated to understanding the notion of student well-being and the ways to enhance it. In spite of these efforts, the concept of student well-being remains elusive. Additionally, studies on student well-being mainly consulted adults' perspectives and failed to take into account students' views, which if considered, could contribute to a clearer understanding of the complex concept of student well-being. Furthermore, there is a lack of studies focusing on the well-being of students with autism spectrum disorder (ASD), and these students continue to fare worse in post-school outcomes as compared to students without disabilities, indicating a significant gap in the current research literature. Findings from research conducted on students without disabilities may not be applicable to students with ASD as their educational experiences may differ due to the characteristics associated with ASD. Thus, the purpose of this study was to explore how students with ASD, their parents, and teachers conceptualise student well-being. It also aims to identify the barriers and assets of the well-being of these students. To collect data, 19 teachers and 11 parents participated in interviews while 16 high school students with ASD were involved in a photovoice project regarding their well-being in school. Grounded theory approaches such as open and axial coding, memo-writing, diagramming, and making constant comparisons were adopted to analyse the data. All three groups of participants conceptualised student well-being as a multidimensional construct consisting of several domains. These domains were relationships, engagement, positive/negative emotions, and accomplishment. Three categories of barriers were identified. These were environmental, attitudes and behaviours of others, and impact of characteristics associated with ASD. The identified internal assets that could contribute to student well-being were acceptance, resilience, self-regulation, and ability to work with others. External assets were knowledgeable and inclusive school community, and having access to various school programs and resources. It is crucial that schools and policymakers provide ample resources and programs to adequately support the development of each identified domain of student well-being. This could in turn enhance student well-being and lead to more successful educational outcomes for students with ASD.

Keywords: autism spectrum disorder, grounded theory approach, school experiences, student well-being

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Authors: Umesh Regmi

Abstract:

This paper explores the expansion of Buddhism from India geographically to the Himalayan region of Nepal, Tibet, India, and Bhutan in chronological historical sequence. The Buddhism practiced in Tibet is the spread of the Mahayana-Vajrayana form appropriately designed by Indian Mahasiddhas, who were the practitioners of the highest form of tantra and meditation. Vajrayana Buddhism roots in the esoteric practices incorporating the teachings of Buddha, mantras, dharanis, rituals, and sadhana for attaining enlightenment. This form of Buddhism spread from India to Nepal after the 5th Century AD and Tibet after the 7th century AD and made a return journey to the Himalayan region of Nepal, India, and Bhutan after the 8th century. The first diffusion of this form of Buddhism from India to Nepal and Tibet is partially proven through Buddhist texts and the archaeological existence of monasteries historically and at times relied on mythological traditions. The second diffusion of Buddhism in Tibet was institutionalized through the textual translations and interpretations of Indian Buddhist masters and their Tibetan disciples and the establishment of different monasteries in various parts of Tibet, later resulting in different schools and their traditions: Nyingma, Kagyu, Sakya, Gelug, and their sub-schools. The first return journey of Buddhism from Tibet to the Himalayan region of Nepal, India, and Bhutan in the 8th century is mythologically recorded in local legends of the arrival of Padmasambhava, and the second journey in the 11th century and afterward flourished by many Indian masters who practiced continuously till date. This return journey of Tibetan Buddhism has been intensified after 1959 with the Chinese occupation of Tibet, resulting in the Tibetan Buddhist masters living in exile in major locations like Kathmandu, Dharmasala, Dehradun, Sikkim, Kalimpong, and beyond. The historic-cultural-critical methodology for the recognition of the qualities of cultural expressions analysis presents the Buddhist practices of the Himalayan region, explaining the concepts of Ri (mountain as spiritual symbols), yul-lha (village deities), dhar-lha (spiritual concept of mountain passes), dharchhog-lungdhar (prayer flags), rig-sum gonpo (small stupas), Chenresig, asura (demi gods), etc. Tibetan Buddhist history has preserved important textual and practical aspects of Vajrayana from Buddhism historically in the form of arrival, advent, and development, including rising and fall. Currently, Tibetan Buddhism has influenced a great deal in the contemporary Buddhist practices of the world. The exploratory findings conducted over seven years of field visits and research in the Himalayan regions of Nepal, India, and Bhutan have demonstrated the fact that Buddhism in the Himalayan region is a return journey from Tibet and lately been popularized globally after 1959 by major monasteries and their Buddhist masters, lamas, nuns and other professionals, who have contributed in different periods of time.

Keywords: Buddhism, expansion, Himalayan region, India, Nepal, Bhutan, return, Tibet, Vajrayana Buddhism

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Authors: Abdoulaye Diop, Nahid Emad, Thierry Winter, Mohamed Hilia

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Data assets protection is a crucial issue in the cybersecurity field. Companies use logical access control tools to vault their information assets and protect them against external threats, but they lack solutions to counter insider threats. Nowadays, insider threats are the most significant concern of security analysts. They are mainly individuals with legitimate access to companies information systems, which use their rights with malicious intents. In several fields, behavior anomaly detection is the method used by cyber specialists to counter the threats of user malicious activities effectively. In this paper, we present the step toward the construction of a user and entity behavior analysis framework by proposing a behavior anomaly detection model. This model combines machine learning classification techniques and graph-based methods, relying on linear algebra and parallel computing techniques. We show the utility of an ensemble learning approach in this context. We present some detection methods tests results on an representative access control dataset. The use of some explored classifiers gives results up to 99% of accuracy.

Keywords: cybersecurity, data protection, access control, insider threat, user behavior analysis, ensemble learning, high performance computing

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Authors: R. Suresh, C. B. Singh, A. K. Sarda

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Background: Over the decades, several surgical techniques have been developed to treat anal fistulas with variable success rates and complications. Large amount of work has been done in radiofrequency excision of the fistula for several years but no work has been done for ablating the tract. Therefore one can consider for obliteration ofanal fistula by Radiofrequency ablation (RFA). Material and Methods: A randomized controlled clinical trial was conducted at Lok Nayak Hospital, where a total of 40 patients were enrolled in the study and they were randomly assigned to Group I (fistulectomy)(n=20) and Group II (RFA) (n=20). Aim of the study was to compare the efficacy of RFA of fistula versus fistulectomy in the treatment of a low anal fistula and to evaluate RFA as an effective alternative to fistulectomy with respect to time taken for wound healing as primary outcome and post-operative pain, time taken to return to work as secondary outcomes. Patients with simple low anal fistulas, single internal and external opening, not more than two secondary tracts were included. Patients with high complex fistula, fistulas communicating with cavity, fistula due to condition like tuberculosis, Crohn's, malignancy were excluded from the study. Results: Both groups were comparable with respect to age, sex ratio, type of fistula. Themean healing time was significantly shorter in group II (41.02 days) than in group I(62.68 days).The mean operative time was significantly shorter in groupII (21.40 min) than in group I(28.50 min). The mean time taken to return to work was significantly shorter in group II(8.30 days)than in group I(12.01 days).There was no significant difference in the post operative hospital stay, mean postoperative pain score, wound infection and recurrence between the two groups. Conclusion: The patients who underwent RFA of fistula had shorter wound healing time, operative time and time taken to return to work when compared to those who underwent fistulectomy and therefore RFA shows outcome comparable to fistulectomy in the treatment of low anal fistula.

Keywords: fistulectomy, low anal fistula, radio frequency ablation, wound healing

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Authors: R. Shamsi, F. Sharifi

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In this paper, we obtain the projection of inefficient units in data envelopment analysis (DEA) in the case of stochastic inputs and outputs using the multi-objective programming (MOP) structure. In some problems, the inputs might be stochastic while the outputs are deterministic, and vice versa. In such cases, we propose a multi-objective DEA-R model because in some cases (e.g., when unnecessary and irrational weights by the BCC model reduce the efficiency score), an efficient decision-making unit (DMU) is introduced as inefficient by the BCC model, whereas the DMU is considered efficient by the DEA-R model. In some other cases, only the ratio of stochastic data may be available (e.g., the ratio of stochastic inputs to stochastic outputs). Thus, we provide a multi-objective DEA model without explicit outputs and prove that the input-oriented MOP DEA-R model in the invariable return to scale case can be replaced by the MOP-DEA model without explicit outputs in the variable return to scale and vice versa. Using the interactive methods for solving the proposed model yields a projection corresponding to the viewpoint of the DM and the analyst, which is nearer to reality and more practical. Finally, an application is provided.

Keywords: DEA-R, multi-objective programming, stochastic data, data envelopment analysis

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Authors: Sidiqat A. Aderinoye-Abdulwahab, Lateef L. Adefalu, Rashid S. Adisa, Felix O. Oladipo, Tawakalitu A. Dolapo

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This study investigates whether the rural women in Nigeria have access to productive resources such as land, livestock, and capital in order to determine their level of socio-economic empowerment. The study adopted a case study design while employing qualitative and quantitative methods of data collection. A multi-stage sampling technique was used to identify 7 locations, where 88 women were selected based on simple random sampling technique. Focus group discussions and questionnaire were used to elicit information. Gender analysis framework was used to explore and analyse the data generated for the study. The study found that the rural women desire to engage in gainful economic activities. However, cultural barriers prevent them from adequately exploring livelihood-improving opportunities. It was established that ownership of productive resources such as land and livestock can enhance their livelihoods provided cultural and governance issues do not deter them from accessing the services. It was therefore recommended that appropriate policies that will favour the access and ownership of assets by women so as to empower them need to be in place. The study provides a nuanced perspective on the influence and relevance of possession of physical assets in enhancing women’s livelihood diversification and overall development of rural livelihoods.

Keywords: livelihoods, productivity, development, economic activities, socio-economic empowerment

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Authors: Pawan Kumar Sharma, Sudhakar Dwivedi, R. K. Arora

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Saffron is one of the most precious spices grown on the earth and is cultivated in a very limited area in few countries of the world. It has also been grown as a niche crop in Kishtwar district of Jammu region of Jammu and Kashmir State of India. This paper attempts to examine the presence of cost inefficiencies in saffron production and the associated socio-economic characteristics of saffron growers in the mentioned area. Although the numbers of inputs used in cultivation of saffron were limited, still cost inefficiencies were present in its production. The net present value (NPV), internal rate of return (IRR) and profitability index (PI) of investment in five years of saffron production were INR 1120803, 95.67 % and 3.52 respectively. The estimated coefficients of saffron stochastic cost function for saffron bulbs, human labour, animal labour, manure and saffron output were positive. The saffron growers having non-farm income were more cost inefficient as compared to farmers who did not have sources of income other than farming by 0.04 %. The maximum value of cost efficiency for saffron grower was 1.69 with mean value of 1.12. The majority of farmers have low cost inefficiencies, as the highest frequency of occurrence of the predicted cost efficiency was below 1.06.

Keywords: saffron, internal rate of return, cost efficiency, stochastic frontier model

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