Search results for: Ana Pauna
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 4

Search results for: Ana Pauna

4 A Prediction Model Using the Price Cyclicality Function Optimized for Algorithmic Trading in Financial Market

Authors: Cristian Păuna

Abstract:

After the widespread release of electronic trading, automated trading systems have become a significant part of the business intelligence system of any modern financial investment company. An important part of the trades is made completely automatically today by computers using mathematical algorithms. The trading decisions are taken almost instantly by logical models and the orders are sent by low-latency automatic systems. This paper will present a real-time price prediction methodology designed especially for algorithmic trading. Based on the price cyclicality function, the methodology revealed will generate price cyclicality bands to predict the optimal levels for the entries and exits. In order to automate the trading decisions, the cyclicality bands will generate automated trading signals. We have found that the model can be used with good results to predict the changes in market behavior. Using these predictions, the model can automatically adapt the trading signals in real-time to maximize the trading results. The paper will reveal the methodology to optimize and implement this model in automated trading systems. After tests, it is proved that this methodology can be applied with good efficiency in different timeframes. Real trading results will be also displayed and analyzed in order to qualify the methodology and to compare it with other models. As a conclusion, it was found that the price prediction model using the price cyclicality function is a reliable trading methodology for algorithmic trading in the financial market.

Keywords: Algorithmic trading, automated trading systems, financial markets, high-frequency trading, price prediction.

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3 Price Prediction Line, Investment Signals and Limit Conditions Applied for the German Financial Market

Authors: Cristian Păuna

Abstract:

In the first decades of the 21st century, in the electronic trading environment, algorithmic capital investments became the primary tool to make a profit by speculations in financial markets. A significant number of traders, private or institutional investors are participating in the capital markets every day using automated algorithms. The autonomous trading software is today a considerable part in the business intelligence system of any modern financial activity. The trading decisions and orders are made automatically by computers using different mathematical models. This paper will present one of these models called Price Prediction Line. A mathematical algorithm will be revealed to build a reliable trend line, which is the base for limit conditions and automated investment signals, the core for a computerized investment system. The paper will guide how to apply these tools to generate entry and exit investment signals, limit conditions to build a mathematical filter for the investment opportunities, and the methodology to integrate all of these in automated investment software. The paper will also present trading results obtained for the leading German financial market index with the presented methods to analyze and to compare different automated investment algorithms. It was found that a specific mathematical algorithm can be optimized and integrated into an automated trading system with good and sustained results for the leading German Market. Investment results will be compared in order to qualify the presented model. In conclusion, a 1:6.12 risk was obtained to reward ratio applying the trigonometric method to the DAX Deutscher Aktienindex on 24 months investment. These results are superior to those obtained with other similar models as this paper reveal. The general idea sustained by this paper is that the Price Prediction Line model presented is a reliable capital investment methodology that can be successfully applied to build an automated investment system with excellent results.

Keywords: Algorithmic trading, automated investment system, DAX Deutscher Aktienindex.

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2 Expert Witness Testimony in the Battered Woman Syndrome

Authors: Ana Pauna

Abstract:

The Expert Witness Testimony in the Battered Woman Syndrome Expert witness testimony (EWT) is a kind of information given by an expert specialized in the field (here in BWS) to the jury in order to help the court better understand the case. EWT does not always work in favor of the battered women. Two main decision-making models are discussed in the paper: the Mathematical model and the Explanation model. In the first model, the jurors calculate ″the importance and strength of each piece of evidence″ whereas in the second model they try to integrate the EWT with the evidence and create a coherent story that would describe the crime. The jury often misunderstands and misjudges battered women for their action (or in this case inaction). They assume that these women are masochists and accept being mistreated for if a man abuses a woman constantly, she should and could divorce him or simply leave at any time. The research in the domain found that indeed, expert witness testimony has a powerful influence on juror’s decisions thus its quality needs to be further explored. One of the important factors that need further studies is a bias called the dispositionist worldview (a belief that what happens to people is of their own doing). This kind of attributional bias represents a tendency to think that a person’s behavior is due to his or her disposition, even when the behavior is clearly attributed to the situation. Hypothesis The hypothesis of this paper is that if a juror has a dispositionist worldview then he or she will blame the rape victim for triggering the assault. The juror would therefore commit the fundamental attribution error and believe that the victim’s disposition caused the rape and not the situation she was in. Methods The subjects in the study were 500 randomly sampled undergraduate students from McGill, Concordia, Université de Montréal and UQAM. Dispositional Worldview was scored on the Dispositionist Worldview Questionnaire. After reading the Rape Scenarios, each student was asked to play the role of a juror and answer a questionnaire consisting of 7 questions about the responsibility, causality and fault of the victim. Results The results confirm the hypothesis which states that if a juror has a dispositionist worldview then he or she will blame the rape victim for triggering the assault. By doing so, the juror commits the fundamental attribution error because he will believe that the victim’s disposition, and not the constraints or opportunities of the situation, caused the rape scenario.

Keywords: bias, expert/witness testimony, attribution error, jury, rape myth

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1 Clinical and Methodological Issues in the Research on the Rape Myth

Authors: Ana Pauna, Zbigniew Pleszewski

Abstract:

The purpose of this study is to revisit the concept of rape as represented by professionals in the literature as well as its perception (beliefs and attitudes) in the population at large and to propose methodological improvements to its measurement tool. Rape is a serious crime threatening its victim-s physical and mental health and integrity; and as such is legally prosecuted in all modern societies. The problem is not in accepting or rejecting rape as a criminal act, but rather in the vagueness of its interpretations and “justifications" maintained in the mentality of modern societies - known in the literature as the phenomenon of "rape-myth". The rapemyth can be studied from different perspectives: criminology, sociology, ethics, medicine and psychology. Its investigation requires rigorous scientific objectivity, free of passion (victims of rape are at risk of emotional bias), free of activism (social activists, even if wellintentioned are also biased), free of any pre-emptive assumptions or prejudices. To apply a rigorous scientific procedure, we need a solid, valid and reliable measurement. Rape is a form of heterosexual or homosexual aggression, violently forcing the victim to give-in in the sexual activity of the aggressor against her/his will. Human beings always try to “understand" or find a reason justifying their acts. Psychological literature provides multiple clinical and experimental examples of it; just to mention the famous studies by Milgram on the level of electroshock delivered by the “teacher" towards the “learner" if “scientifically justifiable" or the studies on the behavior of “prisoners" and the “guards" and many other experiments and field observations. Sigmund Freud presented the phenomenon of unconscious justification and called it rationalization. The multiple justifications, rationalizations and repeated opinions about sexual behavior contribute to a myth maintained in the society. What kind of “rationale" our societies apply to “understand" the non-consensual sexual behavior? There are many, just to mention few: • Sex is a ludistic activity for both participants, therefore – even if not consented – it should bring pleasure to both. • Everybody wants sex, but only men are allowed to manifest it openly while women have to pretend the opposite, thus men have to initiate sexual behavior and women would follow. • A person who strongly needs sex is free to manifest it and struggle to get it; the person who doesn-t want it must not reveal her/his sexual attraction and avoid risky situations; otherwise she/he is perceived as a promiscuous seducer. • A person who doesn-t fight against the sexual initiator unconsciously accepts the rape (does it explain why homosexual rapes are reported less frequently than rapes against women?). • Women who are raped deserve it because their wardrobe is very revealing and seducing and they ''willingly'' go to highly risky places (alleys, dark roads, etc.). • Men need to ventilate their sexual energy and if they are deprived of a partner their urge to have sex is difficult to control. • Men are supposed to initiate and insist even by force to have sex (their testosterone makes them both sexual and aggressive). The paper overviews numerous cultural beliefs about masculine versus feminine behavior and their impact on the “rape myth".

Keywords: Rape Myth components, psycho-social factors, testing, Likert-type scale

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