Search results for: Financial Ratios; Spearman Test; Bank OperationsRisk

Authors: Jung Ho Yang, Yong Soo Kim

Abstract:

Electrical units are operated by electrical and electronic components. An environmental test sequence is useful for testing electrical units to reduce reliability issues. This study introduces test sequence guidelines based on relevant principles and considerations for electronic testing according to International Standard IEC-60068-1 and the United States Military Standard MIL-STD-810G. Test sequences were then proposed based on the descriptions for each test. Finally, General Motors (GM) specification GMW3172 was interpreted and compared to IEC-60068-1 and MIL-STD-810G.

Keywords: Reliability, Environmental test sequence, Electrical units, IEC 60068-1, MIL-STD-810G.

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Authors: A. Iqbal, N. Khalid, S. Rafiq

Abstract:

The interrelationship between international stock markets has been a key study area among the financial market researchers for international portfolio management and risk measurement. The characteristics of security returns and their dynamics play a vital role in the financial market theory. This study is an attempt to find out the dynamic linkages among the equity market of USA and emerging markets of Pakistan and India using daily data covering the period of January 2003–December 2009. The study utilizes Johansen (Journal of Economic Dynamics and Control, 12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics and Statistics, 52, 1990) cointegration procedure for long run relationship and Granger-causality tests based on Toda and Yamamoto (Journal of Econometrics, 66, 1995) methodology. No cointegration was found among stock markets of USA, Pakistan and India, while Granger-causality test showed the evidence of unidirectional causality running from New York stock exchange to Bombay and Karachi stock exchanges.

Keywords: Causality, Cointegration, India, Pakistan, Stock Markets, US.

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Authors: Khondokar Farid Ahmmed, Robin Bown

Abstract:

It is widely recognized that the formal financing of Small and Medium Size Enterprises (SMEs) by Private Commercial Banks (PCBs) is restricted. Due to changing financial market competition, SMEs are now important customers to PCBs in the member countries of the Asian Development Bank (ADB). Various initiatives in enhancing the efficiency of risk assessment of PCBs have failed in increasing financing accessibility in the traditional financing system where information asymmetry is a key constraint. In this circumstance, PCBs need to undertake a holistic approach. Holistic approach refers to methods that attempt to fundamentally change established traditions. To undertake holistic approach, this study intends to find the entire established financing culture between PCBs and SMEs in a new lens beyond the tradition on the basis of two basic questions: “What is the traditional lending culture between PCBs and SMEs” and “What could be potential role of PCBs to develop that culture where focusing on SME financing to PCBs". This study considered formal SME financing in Bangladesh by focusing on SMEs applying for their first loan. Bangladesh is a member country of ADB. The data collection method is semi-structured and we utilized face-to-face interviews with in-depth branch managers, higher officials and owner-managers of SME customers of PCBs and higher officials of SME Foundation and the Bangladesh central bank. Discourse analysis method was used for data analysis on the frame of thematic discussion fully based on participants’ views. The research found that branch managers and loan officers have a high level of power in assessing and financing decision-making. There is a changing attitude in PCB sector in requiring flexible collateral assets. Branch managers (Loan Officers) consider value of business prospect of owner-mangers as complementary of collateral assets. However, the study found the assessment process of business prospect is entirely unstructured and linked with socio-cultural settings that does not support PCBs’ changing manner in terms of collateral requirement. The study redefined and classified collateral assets to include all financing constructs in a structure. The degree of value of the collateral assets determines the degree of business prospects. This study suggested applying an outside classroom-learning paradigm such as “knowledge tour” to enhance the value of the kinds of collateral assets. This is the scope of PCBs in increasing SMEs’ financing eligibility in win-win basis. The findings and proposition could be effective in other ADB member countries and audiences in the field.

Keywords: CCA, financing, information asymmetry, PCA, PCB, financing.

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Authors: Sae-Rom Pak, Seung Hwan Park, Jeong Ho Cho, Daewoong An, Cheong-Sool Park, Jun Seok Kim, Jun-Geol Baek

Abstract:

It is important to predict yield in semiconductor test process in order to increase yield. In this study, yield prediction means finding out defective die, wafer or lot effectively. Semiconductor test process consists of some test steps and each test includes various test items. In other world, test data has a big and complicated characteristic. It also is disproportionably distributed as the number of data belonging to FAIL class is extremely low. For yield prediction, general data mining techniques have a limitation without any data preprocessing due to eigen properties of test data. Therefore, this study proposes an under-sampling method using support vector machine (SVM) to eliminate an imbalanced characteristic. For evaluating a performance, randomly under-sampling method is compared with the proposed method using actual semiconductor test data. As a result, sampling method using SVM is effective in generating robust model for yield prediction.

Keywords: Yield Prediction, Semiconductor Test Process, Support Vector Machine, Under Sampling

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Authors: Petr Gurný

Abstract:

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

Keywords: Credit-scoring Models, Multidimensional Subordinated Lévy Model, Probability of Default.

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Authors: M. Suutari

Abstract:

In this content analysis research note the aim was to explore to how sustainability and especially environmental issues are conveyed into environmental items in annual reports and disclosures. As The Global Reporting Initiative (GRI) is a globally wide multistakeholder process, the enterprises using voluntarily GRI framework are considered to be aware of sustainability and environmental concerns. The findings were that although these enterprises included in an environmentally sensitive industry sector and had special capabilities to consider environmental issues there were few GRIreporting enterprises presented substantially detailed environmental items in audited financial statements. There were only slight differences between publishing years 2008 and 2009 - the beginning years of economic turmoil. The environmental issues seemed not to be considered substantial enough for financial reporting as a basis for concerning investment or voting decisions.

Keywords: Environmental, reporting, financial, GRI.

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Authors: Gulnara Moldasheva

Abstract:

The research explores the relationship between management responsibility and corporate governance of listed companies in Kazakhstan. This research employs firm level data of selected listed non-financial firms and firm level data “operational” financial sector, consisted from banking sector, insurance companies and accumulated pension funds using multivariate regression analysis under fixed effect model approach. Ownership structure includes institutional ownership, managerial ownership and private investor’s ownership. Management responsibility of the firm is expressed by the decision of the firm on amount of leverage. Results of the cross sectional panel study for non-financial firms showed that only institutional shareholding is significantly negatively correlated with debt to equity ratio. Findings from “operational” financial sector show that leverage is significantly affected only by the CEO/Chair duality and the size of financial institutions, and insignificantly affected by ownership structure. Also, the findings show, that there is a significant negative relationship between profitability and the debt to equity ratio for non-financial firms, which is consistent with pecking order theory. Generally, the found results suggest that corporate governance and a management responsibility play important role in corporate performance of listed firms in Kazakhstan.

Keywords: Corporate governance, corporate performance, debt to equity ratio, ownership.

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Authors: L. Wang, Y. Chen, T. Wu, S. Hu

Abstract:

In order to enhance the security of critical financial infrastructure, this study carries out a transformation of the architecture of a financial trading terminal to a zero trust architecture (ZTA), constructs an active defense system for the cybersecurity, improves the security level of trading services in the Internet environment, enhances the ability to prevent network attacks and unknown risks, and reduces the industry and security risks brought about by cybersecurity risks. This study introduces Software Defined Perimeter (SDP) technology of ZTA, adapts and applies it to a financial trading terminal to achieve security optimization and fine-grained business grading control. The upgraded architecture of the trading terminal moves security protection forward to the user access layer, replaces VPN to optimize remote access and significantly improves the security protection capability of Internet transactions. The study achieves: 1. deep integration with the access control architecture of the transaction system; 2. no impact on the performance of terminals and gateways, and no perception of application system upgrades; 3. customized checklist and policy configuration; 4. introduction of industry-leading security technology such as single-packet authorization (SPA) and secondary authentication. This study carries out a successful application of ZTA in the field of financial trading, and provides transformation ideas for other similar systems while improving the security level of financial transaction services in the Internet environment.

Keywords: Zero trust, trading terminal, architecture, network security, cybersecurity.

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Authors: Matthias Kirmse, Uwe Petersohn, Elief Paffrath

Abstract:

As in today's semiconductor industries test costs can make up to 50 percent of the total production costs, an efficient test error detection becomes more and more important. In this paper, we present a new machine learning approach to test error detection that should provide a faster recognition of test system faults as well as an improved test error recall. The key idea is to learn a classifier ensemble, detecting typical test error patterns in wafer test results immediately after finishing these tests. Since test error detection has not yet been discussed in the machine learning community, we define central problem-relevant terms and provide an analysis of important domain properties. Finally, we present comparative studies reflecting the failure detection performance of three individual classifiers and three ensemble methods based upon them. As base classifiers we chose a decision tree learner, a support vector machine and a Bayesian network, while the compared ensemble methods were simple and weighted majority vote as well as stacking. For the evaluation, we used cross validation and a specially designed practical simulation. By implementing our approach in a semiconductor test department for the observation of two products, we proofed its practical applicability.

Keywords: Ensemble methods, fault detection, machine learning, semiconductor test.

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Authors: C. Noi-Okwei

Abstract:

In this study, participants with adjustment disorder with depressed mood (aged 18-54 years) with mild depression (N=18), severe depression (N=12) were compared with healthy controls (N=20) on the Multidimensional Aptitude Battery (MAB) a cognitive performance test. Using One Way Analysis of Variance and Matched Sample t-test. The results of the analysis shows that severely depressed participants performed poorly on the cognitive performance test relative to controls, however there were no significant differences on the cognitive performance test scores between the severely depressed and the mildly depressed. In addition, performance on the non-verbal performance subtest was poorer than that of the verbal subtest, suggesting that depression affects the executive functions of the person.

Keywords: adjustment disorder, cognitive performance test, Depression,

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Authors: Aylin Alin

Abstract:

In this paper, penalized power-divergence test statistics have been defined and their exact size properties to test a nested sequence of log-linear models have been compared with ordinary power-divergence test statistics for various penalization, λ and main effect values. Since the ordinary and penalized power-divergence test statistics have the same asymptotic distribution, comparisons have been only made for small and moderate samples. Three-way contingency tables distributed according to a multinomial distribution have been considered. Simulation results reveal that penalized power-divergence test statistics perform much better than their ordinary counterparts.

Keywords: Contingency table, Log-linear models, Penalization, Power-divergence measure, Penalized power-divergence measure.

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Authors: Jyotsna Ogale, Alok Jain

Abstract:

In this paper newly reported Cosh window function is used in the design of prototype filter for M-channel Near Perfect Reconstruction (NPR) Cosine Modulated Filter Bank (CMFB). Local search optimization algorithm is used for minimization of distortion parameters by optimizing the filter coefficients of prototype filter. Design examples are presented and comparison has been made with Kaiser window based filterbank design of recently reported work. The result shows that the proposed design approach provides lower distortion parameters and improved far-end suppression than the Kaiser window based design of recent reported work.

Keywords: Window function, Cosine modulated filterbank, Local search optimization.

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Authors: H. Silvestre

Abstract:

The aim of this paper is to know the sociodemographic and operational-financial determinants of the services quality perceived by users of the national health services. Through the use of an inquiry conducted by the Ministry of Health, comprehending 16.936 interviews in 2006, we intend to find out if there is any characteristic that determines the 2006 inquiry results. With the revision of the literature we also want to know if the operational-financial results have implications in hospitals users- perception on the quality of the received services. In order to achieve our main goals we will make use of the regression analysis to find out the possible dimensions that determine those results.

Keywords: Management by Results, Quality Approach, Tableau de Bord, Total Quality Management, Services quality.

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Authors: K. S. Neelukumari, K. B. Jayanthi

Abstract:

In this paper genetic based test data compression is targeted for improving the compression ratio and for reducing the computation time. The genetic algorithm is based on extended pattern run-length coding. The test set contains a large number of X value that can be effectively exploited to improve the test data compression. In this coding method, a reference pattern is set and its compatibility is checked. For this process, a genetic algorithm is proposed to reduce the computation time of encoding algorithm. This coding technique encodes the 2n compatible pattern or the inversely compatible pattern into a single test data segment or multiple test data segment. The experimental result shows that the compression ratio and computation time is reduced.

Keywords: Backtracking, test data compression (TDC), x-filling, x-propagating and genetic algorithm.

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Authors: Madhav V. Chitturi, Anshu Manik, Kasthurirangan Gopalakrishnan

Abstract:

The dynamic or complex modulus test is considered to be a mechanistically based laboratory test to reliably characterize the strength and load-resistance of Hot-Mix Asphalt (HMA) mixes used in the construction of roads. The most common observation is that the data collected from these tests are often noisy and somewhat non-sinusoidal. This hampers accurate analysis of the data to obtain engineering insight. The goal of the work presented in this paper is to develop and compare automated evolutionary computational techniques to filter test noise in the collection of data for the HMA complex modulus test. The results showed that the Covariance Matrix Adaptation-Evolutionary Strategy (CMA-ES) approach is computationally efficient for filtering data obtained from the HMA complex modulus test.

Keywords: HMA, dynamic modulus, GA, evolutionarycomputation.

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Authors: González-Izal M., Rodríguez-Carreño I, Mallor-Giménez F, Malanda A, Izquierdo M

Abstract:

The purpose of this study was to evaluate and compare new indices based on the discrete wavelet transform with another spectral parameters proposed in the literature as mean average voltage, median frequency and ratios between spectral moments applied to estimate acute exercise-induced changes in power output, i.e., to assess peripheral muscle fatigue during a dynamic fatiguing protocol. 15 trained subjects performed 5 sets consisting of 10 leg press, with 2 minutes rest between sets. Surface electromyography was recorded from vastus medialis (VM) muscle. Several surface electromyographic parameters were compared to detect peripheral muscle fatigue. These were: mean average voltage (MAV), median spectral frequency (Fmed), Dimitrov spectral index of muscle fatigue (FInsm5), as well as other five parameters obtained from the discrete wavelet transform (DWT) as ratios between different scales. The new wavelet indices achieved the best results in Pearson correlation coefficients with power output changes during acute dynamic contractions. Their regressions were significantly different from MAV and Fmed. On the other hand, they showed the highest robustness in presence of additive white gaussian noise for different signal to noise ratios (SNRs). Therefore, peripheral impairments assessed by sEMG wavelet indices may be a relevant factor involved in the loss of power output after dynamic high-loading fatiguing task.

Keywords: Median Frequency, EMG, wavelet transform, muscle fatigue

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Authors: Irwin Ma, Tony Wong, Thiagas Sankar

Abstract:

By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract typical features from the volatility data sets of S&P100 and S&P500 indices that include abrupt drops, jumps and other non-linearity. As a result, accuracy of forecasting has reached an average of over 75% surpassing any other publicly available results on the forecast of any financial index.

Keywords: Discrete stochastic optimization, genetic algorithms, genetic programming, volatility forecast

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Authors: Masood Uzzafer

Abstract:

A dynamic software risk assessment model is presented. Analogies between dynamic financial analysis and software risk assessment models are established and based on these analogies it suggested that dynamic risk model for software projects is the way to move forward for the risk assessment of software project. It is shown how software risk assessment change during different phases of a software project and hence requires a dynamic risk assessment model to capture these variations. Further evolution of dynamic financial analysis models is discussed and mapped to the evolution of software risk assessment models.

Keywords: Software Risk Assessment, Software ProjectManagement, Software Cost, Dynamic Modeling.

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Authors: Yao Jian-Min, Lv Qiang, Zhang Jing

Abstract:

Many measures have been proposed for machine translation evaluation (MTE) while little research has been done on the performance of MTE methods. This paper is an effort for MTE performance analysis. A general frame is proposed for the description of the MTE measure and the test suite, including whether the automatic measure is consistent with human evaluation, whether different results from various measures or test suites are consistent, whether the content of the test suite is suitable for performance evaluation, the degree of difficulty of the test suite and its influence on the MTE, the relationship of MTE result significance and the size of the test suite, etc. For a better clarification of the frame, several experiment results are analyzed relating human evaluation, BLEU evaluation, and typological MTE. A visualization method is introduced for better presentation of the results. The study aims for aid in construction of test suite and method selection in MTE practice.

Keywords: Machine translation, natural language processing, visualization.

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Authors: Yu-Chun Lin

Abstract:

We identify clawback triggers from firms- proxy statements (Form DEF 14A) and use the likelihood of restatements to proxy for financial reporting quality. Based on a sample of 578 U.S. firms that voluntarily adopt clawback provisions during 2003-2009, when restatement-based triggers could be decomposed into two types: fraud and unintentional error, and we do observe the evidence that using fraud triggers is associated with high financial reporting quality. The findings support that fraud triggers can enhance deterrent effect of clawback provision by establishing a viable disincentive against fraud, misconduct, and otherwise harmful acts. These results are robust to controlling for the compensation components, to different sample specifications and to a number of sensitivity.

Keywords: Accruals quality, Clawback provisions, Compensation, Restatements.

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Authors: A. Kumar, G. K. Singh, R. S. Anand

Abstract:

In this paper, various algorithms for designing quadrature mirror filter are reviewed and a new algorithm is presented for the design of near perfect reconstruction quadrature mirror filter bank. In the proposed algorithm, objective function is formulated using the perfect reconstruction condition or magnitude response condition of prototype filter at frequency (ω = 0.5π) in ideal condition. The cutoff frequency is iteratively changed to adjust the filters coefficients using optimization algorithm. The performances of the proposed algorithm are evaluated in term of computation time, reconstruction error and number of iterations. The design examples illustrate that the proposed algorithm is superior in term of peak reconstruction error, computation time, and number of iterations. The proposed algorithm is simple, easy to implement, and linear in nature.

Keywords: Aliasing cancellations filter bank, Filter banks, quadrature mirror filter (QMF), subband coding.

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Authors: Ifedapo Francis Awolowo

Abstract:

The unrelenting series of embarrassing audit failures should stimulate a paradigm shift in accounting. And in this age of information revolution, there is need for a constant improvement on the products or services one offers to the market in order to be relevant. This study explores the perceptions of external auditors, forensic accountants and accounting academics on whether a paradigm shift to forensic accounting can reduce financial statement frauds. Through Neo-empiricism/inductive analytical approach, findings reveal that a paradigm shift to forensic accounting might be the right step in the right direction in order to increase the chances of fraud prevention and detection in the financial statement. This research has implication on accounting education on the need to incorporate forensic accounting into present day accounting curriculum. Accounting professional bodies, accounting standard setters and accounting firms all have roles to play in incorporating forensic accounting education into accounting curriculum. Particularly, there is need to alter the ISA 240 to make the prevention and detection of frauds the responsibilities of bot those charged with the management and governance of companies and statutory auditors.

Keywords: Financial statement fraud, forensic accounting, fraud prevention and detection, auditing, audit expectation gap, corporate governance.

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Authors: A. J. Regan, F. J. Lidgey, M. Betteridge, P. Georgiou, C. Toumazou, K. Hayatleh, J. R. Dibble

Abstract:

Our goal is development of an algorithm capable of predicting the directional trend of the Standard and Poor’s 500 index (S&P 500). Extensive research has been published attempting to predict different financial markets using historical data testing on an in-sample and trend basis, with many authors employing excessively complex mathematical techniques. In reviewing and evaluating these in-sample methodologies, it became evident that this approach was unable to achieve sufficiently reliable prediction performance for commercial exploitation. For these reasons, we moved to an out-ofsample strategy based on linear regression analysis of an extensive set of financial data correlated with historical closing prices of the S&P 500. We are pleased to report a directional trend accuracy of greater than 55% for tomorrow (t+1) in predicting the S&P 500.

Keywords: Financial algorithm, GPU, S&P 500, stock market prediction.

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Authors: A. A. Purohit, M. M. Vaidya, M. D. Kudale

Abstract:

Among the various developing countries in the world like China, Malaysia, Korea etc., India is also developing its infrastructures in the form of Road/Rail/Airports and Waterborne facilities at an exponential rate. Mumbai, the financial epicenter of India is overcrowded and to relieve the pressure of congestion, Navi Mumbai suburb is being developed on the east bank of Thane creek near Mumbai. The government due to limited space at existing Mumbai Airports (domestic and international) to cater for the future demand of airborne traffic, proposes to build a new international airport near Panvel at Navi Mumbai. Considering the precedence of extreme rainfall on 26^th July 2005 and nearby townships being in a low-lying area, wherein new airport is proposed, it is inevitable to study this complex confluence area from a hydrodynamic consideration under both tidal and extreme events (predicted discharge hydrographs), to avoid inundation of the surrounding due to the proposed airport reclamation (1160 hectares) and to determine the safe grade elevation (SGE). The model studies conducted using the application of unstructured mesh to simulate the Panvel estuarine area (93 km²), calibration, validation of a model for hydraulic field measurements and determine the maxima water levels around the airport for various extreme hydrodynamic events, namely the simultaneous occurrence of highest tide from the Arabian Sea and peak flood discharges (Probable Maximum Precipitation and 26^th July 2005) from five rivers, the Gadhi, Kalundri, Taloja, Kasadi and Ulwe, meeting at the proposed airport area revealed that: (a) The Ulwe River flowing beneath the proposed airport needs to be diverted. The 120m wide proposed Ulwe diversion channel having a wider base width of 200 m at SH-54 Bridge on the Ulwe River along with the removal of the existing bund in Moha Creek is inevitable to keep the SGE of the airport to a minimum. (b) The clear waterway of 80 m at SH-54 Bridge (Ulwe River) and 120 m at Amra Marg Bridge near Moha Creek is also essential for the Ulwe diversion and (c) The river bank protection works on the right bank of Gadhi River between the NH-4B and SH-54 bridges as well as upstream of the Ulwe River diversion channel are essential to avoid inundation of low lying areas. The maxima water levels predicted around the airport keeps SGE to a minimum of 11m with respect to Chart datum of Ulwe Bundar and thus development is not only technologically-economically feasible but also sustainable. The unstructured mesh modeling is a promising tool to simulate complex extreme hydrodynamic events and provides a reliable solution to evolve optimal SGE of airport.

Keywords: Airport, hydrodynamics, hydrographs, safe grade elevation, tides.

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Authors: Sheeba V.S, Elizabeth Elias

Abstract:

Optimization of filter banks based on the knowledge of input statistics has been of interest for a long time. Finite impulse response (FIR) Compaction filters are used in the design of optimal signal adapted orthonormal FIR filter banks. In this paper we discuss three different approaches for the design of interpolated finite impulse response (IFIR) compaction filters. In the first method, the magnitude squared response satisfies Nyquist constraint approximately. In the second and third methods Nyquist constraint is exactly satisfied. These methods yield FIR compaction filters whose response is comparable with that of the existing methods. At the same time, IFIR filters enjoy significant saving in the number of multipliers and can be implemented efficiently. Since eigenfilter approach is used here, the method is less complex. Design of IFIR filters in the least square sense is presented.

Keywords: Principal Component Filter Bank, InterpolatedFinite Impulse Response filter, Orthonormal Filter Bank, Eigen Filter.

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Authors: Adriano Bessa Albuquerque, Francisco Jose Barreto Nunes

Abstract:

Software vulnerabilities are increasing and not only impact services and processes availability as well as information confidentiality, integrity and privacy, but also cause changes that interfere in the development process. Security test could be a solution to reduce vulnerabilities. However, the variety of test techniques with the lack of real case studies of applying tests focusing on software development life cycle compromise its effective use. This paper offers an overview of how a Systematic Mapping Study (MS) about security verification, validation and test (VVT) was performed, besides presenting general results about this study.

Keywords: Software test, software security verification validation and test, security test institutionalization, systematic mapping study.

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Authors: Defu Zhang, Qingshan Jiang, Xin Li

Abstract:

This paper deals with the application of a well-known neural network technique, multilayer back-propagation (BP) neural network, in financial data mining. A modified neural network forecasting model is presented, and an intelligent mining system is developed. The system can forecast the buying and selling signs according to the prediction of future trends to stock market, and provide decision-making for stock investors. The simulation result of seven years to Shanghai Composite Index shows that the return achieved by this mining system is about three times as large as that achieved by the buy and hold strategy, so it is advantageous to apply neural networks to forecast financial time series, the different investors could benefit from it.

Keywords: Data mining, neural network, stock forecasting.

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Authors: Edikan E. Akpanibah, Ogunmodimu Dupe Catherine

Abstract:

The relevance of geometric Brownian motion (GBM) in modelling the behaviour of stock market prices (SMP) cannot be over emphasized taking into consideration the volatility of the SMP. Consequently, there is need to investigate how GBM models are being estimated and used in financial market to predict SMP. To achieve this, the GBM estimation and its application to the SMP of some selected companies are studied. The normal and log-normal distributions were used to determine the expected value, variance and co-variance. Furthermore, the GBM model was used to predict the SMP of some selected companies over a period of time and the mean absolute percentage error (MAPE) were calculated and used to determine the accuracy of the GBM model in predicting the SMP of the four companies under consideration. It was observed that for all the four companies, their MAPE values were within the region of acceptance. Also, the MAPE values of our data were compared to an existing literature to test the accuracy of our prediction with respect to time of investment. Finally, some numerical simulations of the graphs of the SMP, expectations and variance of the four companies over a period of time were presented using MATLAB programming software.

Keywords: Stock Market, Geometric Brownian Motion, normal and log-normal distribution, mean absolute percentage error.

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Authors: Dimitrios J. Dimitriou, Maria F. Sartzetaki

Abstract:

Transport infrastructures are high-cost, long-term investments that serve as vital foundations for the operation of a region or nation and are essential to a country’s or business’s economic development and prosperity, by improving well-being and generating jobs and income. The development of appropriate financing options is of key importance in the decision making process in order develop viable transport infrastructures. The development of transport infrastructure has increasingly been shifting toward alternative methods of project financing such as Public Private Partnership (PPPs) and hybrid forms. In this paper, a methodological decision-making framework based on the evaluation of the financial viability of transportation infrastructure for different financial schemes is presented. The framework leads to an assessment of the financial viability which can be achieved by performing various financing scenarios analyses. To illustrate the application of the proposed methodology, a case study of rail transport infrastructure financing scenario analysis in Greece is developed.

Keywords: Rail transport infrastructure; financial viability, scenario analysis, rail project feasibility.

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Authors: Alireza Vakili, Mohsen Danesh Mesgaran, Majid Abdollazade

Abstract:

In this study four Holstein steers with rumen fistula fed 7 kg of dry matter (DM) of diets differing in concentrate to alfalfa hay ratios as 60:40, 70:30, 80:20, and 90:10 in a 4 × 4 latin square design. The pH of the ruminal fluid was measured before the morning feeding (0.0 h) to 8 h post feeding. In this study, a two-layered feed-forward neural network trained by the Levenberg-Marquardt algorithm was used for modelling of ruminal pH. The input variables of the network were time, concentrate to alfalfa hay ratios (C/F), non fiber carbohydrate (NFC) and neutral detergent fiber (NDF). The output variable was the ruminal pH. The modeling results showed that there was excellent agreement between the experimental data and predicted values, with a high determination coefficient (R2 >0.96). Therefore, we suggest using these model-derived biological values to summarize continuously recorded pH data.

Keywords: Ruminal pH, Artificial Neural Network (ANN), Non Fiber Carbohydrate, Neutral Detergent Fiber.

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