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1
Oygur, Tunc, and Gazanfer Unal. "Evidence of Large Fluctuations of Stock Return and Financial Crises from Turkey: Using Wavelet Coherency and Varma Modeling to Forecast Stock Return." Fluctuation and Noise Letters 16, no. 02 (May 25, 2017): 1750020. http://dx.doi.org/10.1142/s0219477517500201.
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Shocks, jumps, booms and busts are typical large fluctuation markers which appear in crisis. Models and leading indicators vary according to crisis type in spite of the fact that there are a lot of different models and leading indicators in literature to determine structure of crisis. In this paper, we investigate structure of dynamic correlation of stock return, interest rate, exchange rate and trade balance differences in crisis periods in Turkey over the period between October 1990 and March 2015 by applying wavelet coherency methodologies to determine nature of crises. The time period includes the Turkeys currency and banking crises; US sub-prime mortgage crisis and the European sovereign debt crisis occurred in 1994, 2001, 2008 and 2009, respectively. Empirical results showed that stock return, interest rate, exchange rate and trade balance differences are significantly linked during the financial crises in Turkey. The cross wavelet power, the wavelet coherency, the multiple wavelet coherency and the quadruple wavelet coherency methodologies have been used to examine structure of dynamic correlation. Moreover, in consequence of quadruple and multiple wavelet coherence, strongly correlated large scales indicate linear behavior and, hence VARMA (vector autoregressive moving average) gives better fitting and forecasting performance. In addition, increasing the dimensions of the model for strongly correlated scales leads to more accurate results compared to scalar counterparts.
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Lioui, Abraham, and Paulo Maio. "Interest Rate Risk and the Cross Section of Stock Returns." Journal of Financial and Quantitative Analysis 49, no. 2 (March 10, 2014): 483–511. http://dx.doi.org/10.1017/s0022109014000131.
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AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM)) and compares favorably with alternative macroeconomic models.
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Škrinjarić, Tihana, and Boško Šego. "Using Grey Incidence Analysis Approach in Portfolio Selection." International Journal of Financial Studies 7, no. 1 (December 23, 2018): 1. http://dx.doi.org/10.3390/ijfs7010001.
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Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial statements information. This research applies a Grey Relational Analysis (GRA) approach to evaluate the performance on a sample of stocks by taking those different factors into consideration. The results based upon a sample of 55 stocks for the trading year 2017 on the Croatian capital market show that using GRA approach in portfolio selection provides useful guidance for investors when making investment decisions, and better portfolio results in terms of risk and return are reachable compared to an equally weighted portfolio benchmark.
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Lee, Cheng-Wen, and Dolgion Gankhuyag. "Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange." Jurnal METRIS 21, no. 01 (June 1, 2020): 47–58. http://dx.doi.org/10.25170/metris.v21i01.2432.
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In this study, we present the Mongolian stock market’s performance post phenomenal financial crisis of 2008-2009, opportunities to invest and the risks problems. For analysis of the study, we used financial portfolio optimization models with restricted structure, mathematical statistic methods and financial methods. First, we considered about portfolio optimization in the Mongolian Stock Exchange using Markowitz’s modern portfolio theory and Telser’s safety first model. We used MSE weekly trading data chosen 50 most traded stocks out of 237 stocks listed at the MSE between 2009 and 2013. We generated 50 weeks mean-variance portfolio and safety first portfolio for 2014 and discussed. We considered weekly investment in the MSE using mean-variance portfolio andsafety first portfolio. The mean-variance portfolio has the best performance of weekly portfolio return with average weekly return and cumulative return. We found stable portfolio against investing risk and did back-test the result. For prospect investors in the MSE, we suggest invest and earn high return in the MSE.
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Hatem, Ben Said. "How Can We Measure Stock Market Returns? An International Comparison." International Business Research 10, no. 5 (April 24, 2017): 121. http://dx.doi.org/10.5539/ibr.v10n5p121.
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The aim of our empirical work is to identify how we can measure stock returns. Stocks returns are approximated as the growth rate of market share price. We use two measures of stocks returns; return on assets, ROA, and return on equity, ROE. As a control variable, we use firm age. Our samples consists of 186 firms from United Kingdom and 186 firms from Ukraine studied over a period of 4 years from 2007 to 2010. To this end, we estimate three models. Using the data panels methodology, we conclude that return on equity approximates better socks returns for United kingdom and Ukraine. We could not however find evidence on a significant association between return on assets and stock returns.
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Yuan, Man. "Mathematical Analysis Method for Stock Market Using MA and KDJ Indicator." Asian Business Research 4, no. 2 (June 6, 2019): 21. http://dx.doi.org/10.20849/abr.v4i2.618.
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With the rapid development of Economic Globalization as well as international trade and capital transaction, stock market take a more and more important position in the finance analysis.In this thesis, I combined the MA the KDJ, MA for long term trend analysis and KDJ for short term analysis. First I introduced MA and KDJ separately, their strength and weakness. Then I try to put them together, adjust the parameters to make them suitable for Shanghai Stock Exchange Composite Index.Then I use my model to simulate transaction in real world, estimate the rate of return and comparing with the stocks’ holding rate and inflation rate. The result is pleasant. At last, I give a conclusion and a further advice to this model.
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Shin, Dong Hoon. "Optimal Pairs Trading Strategy under Geometric Brownian Motion and its Application to the US stocks." International Journal for Innovation Education and Research 9, no. 5 (May 1, 2021): 550–60. http://dx.doi.org/10.31686/ijier.vol9.iss5.3125.
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This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks and calculates the trading price level depending on a single variable called the variance of stock returns without any theoretical background. This study applies the optimal pair trading strategy proposed by Liu et al. (2020) to the top US market cap stocks and examines its performance. This strategy proposes a mathematical background for optimally calculating the trading price level. Since the statistical method for pair selection can be omitted, a pair can be formed only with good stocks with guaranteed liquidity. In addition, strategic risk management is possible because the stop loss set according to the market situation is performed. As the top 10 market cap stocks traded on the US exchange, daily closing price data for 10 years from 2011 to 2020 were applied to optimal pair trading. It was confirmed that the rate of return may differ depending on the adjustment of various parameters including the level of stop loss. In this study, an applicated strategy that properly managed pairs trading and stocks together earned the minimum annual average return 17.88% and the Sharpe ratio reached 1.81. These numbers can be better with the adjustment of the parameters.
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Neilson, E. T., D. A. MacLean, P. A. Arp, F. R. Meng, C. P.-A. Bourque, and J. S. Bhatti. "Modeling carbon sequestration with CO2Fix and a timber supply model for use in forest management planning." Canadian Journal of Soil Science 86, Special Issue (March 1, 2006): 219–33. http://dx.doi.org/10.4141/s05-081.
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Carbon (C) dynamics and forest management have become integrated in recent years, largely due to the Kyoto Protocol stipulating that forest C changes may be accountable in an emissions framework. A C stock modeling framework for forest managers is introduced in this paper. Empirical growth and yield models are used to develop sustainable timber supply for forest companies. These models use linear programming to solve the complex mathematical problem of timing and allocation of forest harvest and silviculture interventions. In this paper, we evaluated the effects of “business as usual”forest management versus management objectives to maximize C sequestration. Goal programming was used to minimize the deviation of two goals for C forest management: maximizing C in the forest, and maximizing the return on investment (net present value of forest timber products). Species-specific wood-to-C content conversion factors were used to parameterize the amount of C in forest stands on Canadian Forces Base Gagetown forest lands in New Brunswick, Canada. Goal programming reduced the loss of revenue associated with increasing C stocks in the forest. Partial harvesting and high valued end-products tended to increase C stocks and provided a higher return on investment in the simulations. Key words: Carbon stock modeling framework, forest, goal programming, partial harvesting, timber supply
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Setyawati, Ni Putu Eka Cahya, and Gede Merta Sudiartha. "PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL MARKOWITZ." E-Jurnal Manajemen Universitas Udayana 8, no. 7 (March 10, 2019): 4213. http://dx.doi.org/10.24843/ejmunud.2019.v08.i07.p08.
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Investment can be related to investing some funds in financial assets or real assets such as land, gold, shares, deposits, bonds and other forms. As a party who is make an investment, investors will be faced with a variety of options in investing that has a rate of return and risk-appropriate expectations. The ways that usually used by investors is to diversify through the creation of a portfolio. The aim of this research is to know the stocks that can be inserted into the optimal portofolio as well as the proportions of each of the stocks, that the model established by Markowitz. This research was conducted on the IDX30 index from January 2017 to January 2018, especially in the mining sector and consumer goods. The results showed, from 14 stock, 7 stock was selected as candidate of portfolio optimal Markowitz models. Stocks that are worth being a member of the optimal portfolio by a proportion of the allocation of each fund i.e. stocks ADRO (0.55%), ASII (0.15%), GGRM (17.61%), ICBP (9.46%), MEDC (5.275), UNVR (41.11%), and UNTR (25.86%), it gives the expected portfolio return of 3.2% and with the level of risk of 3.3%.
 Keywords: optimal portfolio, Markowitz model, mining sector and consumer goods
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Qudratullah, Mohammad Farhan. "Treynor Ratio to Measure Islamic Stock Performance in Indonesia." Jurnal Fourier 8, no. 1 (April 30, 2019): 1–13. http://dx.doi.org/10.14421/fourier.2019.81.1-13.
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Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti dengan inflasi, dan mengganti dengan gross domestic produc (GDP) pada model Treynor Ratio yang diimplementasikan pada pasar modal syariah di Indonesia periode Januari 2011-Juli 2018. Hasil yang diperoleh adalah terdapat kesesuaian yang sangat tinggi hasil pengukuran model Treynor Ratio dengan suku bunga dengan keempat model lainnya. Namun, model-model tersebut tidak menjamin bahwa saham yang memilki kinerja terbaik pada saat ini akan memilki kinerja terbaik dimasa yang akan datang atau sebaliknya. Dilihat dari kedekatan hasil pengukuran kinerjanya, kelima model Treynor Ratio tersebut dapat dikelompokan jadi 2 (dua), yaitu model dengan suku bunga, model dengan inflasi, dan model dengan GDP sebagai kelompok pertama, sedangkan model tanpa suku bunga dan model dengan zakat-rate sebagai kelompok kedua.
 [Treynor Ratio is an innovative pioneer model the size of stock performance proposed by Jack Treynor in 1965 which consists of 3 (three) components, namely stock returns, risk free returns, and stock beta. Many studies approach risk-free returns with interest rates, including when measuring the performance of Islamic stocks, while interest rates are prohibited in the concept of Islamic finance. This paper discusses alternative variables to approach risk-free returns other than interest rates (BI-Rate), namely with 4 (four) approaches, namely: eliminating interest rates, changing zakat rates, changing inflation, and substituting gross domestic products (GDP) in the Treynor Ratio model that is implemented in the Islamic capital market in Indonesia for the period January 2011 - July 2018. The results obtained are very high conformity in the measurement results of the Treynor Ratio model with interest rates with the other four models. However, these models do not guarantee that stocks that have the best performance at this time will have the best performance in the future or vice versa. Judging from the closeness of the results of performance measurement, the five Treynor Ratio models can be grouped into 2 (two), namely models with interest rates, models with inflation, and models with GDP as the first group, while models without interest rates and models with zakat-rate as second group.]
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Tirmizi, Syed Muhammad Ali, Haider Ali, and Sharif Ullah Jan. "Petroleum and Food Sectors Lost Stock Returns against Investments in PSX." Global Management Sciences Review VI, no. I (March 30, 2021): 99–111. http://dx.doi.org/10.31703/gmsr.2021(vi-i).10.
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The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and OLS multiple regression. Further, the Quandt-Andrews test of unknown breakpoint has been applied, which showed an extended structural break during the period 2007 to 2010. Additionally, the results revealed that the coefficients of exchange rate and market return are negatively related to petroleum and food sectors stock returns. Therefore, investors must take precautions before investing funds in stocks of food and petroleum sector firms.
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Gusni, Gusni, and Suskim Riantani. "Penggunaan Arbitrage Pricing Theory Untuk Menganalisis Return Saham Syariah." Jurnal Manajemen 9, no. 1 (June 1, 2017): 68–84. http://dx.doi.org/10.31937/manajemen.v9i1.598.
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Arbitrage Pricing Theory (APT) is one of model that can be used to quantify the risk for investors in order to produce capital gain.There are two empirical models are used in implement the APT: the factor loading model (FLM) and the macro variable model (MVM). Model used in this research was MVM as used by Chen, Roll dan Ross (1986), and Chen, Hsieh dan Jordan (1997). The purpose of this study is to capture the application of APT in Jakarta Islamic Index (JII) using macroeconomic variables (inflation, exchange rate, and interest rate) as the determinants of Syariah stock return and found macro economics variables having powerful effect to the Syariah stock return. To achieve the objectives of this study, a total of 11 listed syariah firms of Jakarta Islamic Index (JII) in Indonesia Stock Exchange were selected by using purposive sampling method from the period of 2009 to 2014. Multiple linear regression has been conducted to capture the application of APT in analized determinants of Syariah stock return. The result shows that only interest rate has effect to the syariah (JII) stock return. Meanwhile inflation and exchange rate have no effect to the syariah stock return. Emperical results clearly indicate that application of APT in justifying returns on Syariah stocks is still weak.
 Keywords: Arbitrage Pricing Theory, Exchange Rate, Inflation, Interest Rate, Stock Return
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WONG, HOCK TSEN. "REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA." Singapore Economic Review 64, no. 05 (December 12, 2016): 1319–49. http://dx.doi.org/10.1142/s0217590816500387.
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This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpur Composite Index (KLCI) are found to be negative and significantly correlated. However, there is insignificant correlation between real exchange rate return of Malaysian ringgit against Japanese Yen (RM/¥) and real stock price return of KLCI. Moreover, the CCC-MGARCH models show that real exchange rate returns and real stock price returns of some stocks are found to be significantly correlated. The KPSS unit root test statistics show that the time invariant conditional variances of real exchange rate returns and real stock price returns are mostly found to be stationary in the levels. There is no evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price return of KLCI but some evidence of Granger causality between the time invariant conditional variances of real exchange rate returns and real stock price returns. There is a link between the exchange rate market and the stock market in Malaysia but not every real stock price return is significantly linked with real exchange rate return.
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Mehrara, Mohsen, Yazdan Gudarzi Farahani, Farzan Faninam, and Abbas Rezazadeh Karsalari. "The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange." International Letters of Social and Humanistic Sciences 71 (July 2016): 17–24. http://dx.doi.org/10.18052/www.scipress.com/ilshs.71.17.
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This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on exchange index in long run. Also the effect of taxes on the stock's price index is negative, so that it reaches its maximum level after the third lag and then alleviates. The GDP shock has positive effect on the stock's price index. Increase in production level leads to increase in earnings and profitability, leading to a positive response from stocks index. Therefore the results showed that the macroeconomic variables such as inflation, exchange rate and GDP have significant effects on Tehran exchange price index. So the hypothesis that the improving economic factors can have a useful role in the booming capital market is confirmed. Also the effect of fiscal policy factors such as tax revenues and government expenditures is more than monetary policy factors on stock returns.
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Stamou, A. I., M. Latsa, and D. Assimacopoulos. "Design of two-storey final settling tanks using mathematical models." Journal of Hydroinformatics 2, no. 4 (October 1, 2000): 235–45. http://dx.doi.org/10.2166/hydro.2000.0021.
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A mathematical model is applied to the design of two-storey final settling tanks. Computations show that the flow and suspended solids (SS) concentration fields for the upper and bottom tanks are similar. The flow field has the ‘two-layer’ structure, observed in real and laboratory settling tanks, consisting of a bottom current and a free surface return current with approximately equal heights. The SS concentration field is governed by the flow field (and vice versa). The SS concentration profiles are uniform in the major part of the tanks. The hydraulic and SS removal efficiencies improve with decreasing flow rate. In both tanks the outlet SS concentrations are lower than the maximum permissible value (20 mg l−1), with the upper tank showing a better performance than the bottom tank.
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Wijayanti, Delia, and Sishadiyati . "ANALISIS SUKU BUNGA, KURS DAN INFLASI TERHADAP RETURN SAHAM BLUE CHIP SEKTOR PERBANKAN." Jurnal Dinamika Ekonomi Pembangunan 3, no. 1 (January 29, 2020): 276–81. http://dx.doi.org/10.33005/jdep.v3i1.102.
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This study aims to analyze the factors that influence stock returns, especially blue chip stocks in the banking sector. The variables used in this study are interest rates, exchange rates and inflation. This research uses a quantitative approach with multiple linear regression analysis models. The results showed that the variable interest rates, exchange rates and inflation affect the blue chip stock returns of the banking sector. But partially, interest rates do not affect the blue chip stock returns of the banking sector while the exchange rate and inflation affect the blue chip stock returns of the banking sector. This research is very useful for investors in making investment decisions, especially in the banking sector.
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El-Demerdash, Basma E., Assem A. Tharwat, and Ihab A. A. El-Khodary. "A Unified Mathematical Model for Stochastic Data Envelopment Analysis." International Journal of Service Science, Management, Engineering, and Technology 12, no. 1 (January 2021): 127–41. http://dx.doi.org/10.4018/ijssmet.2021010108.
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Efficiency measurement is one aspect of organizational performance that managers are usually interested in determining. Data envelopment analysis (DEA) is a powerful quantitative tool that provides a means to obtain useful information about the efficiency and performance of organizations and all sorts of functionally similar, relatively autonomous operating units. DEA models are either with a constant rate of return (CRS) or variable return to scale (VRS). Furthermore, the models could be input-oriented or output-oriented. In many real-life applications, observations are usually random in nature; as a result, DEA efficiency measurement may be sensitive to such variations. The purpose of this study was to develop a unified stochastic DEA model that handles different natures of variables independently (random and deterministic) and can be adapted to model both input/output-oriented problems, whether it is CRS or VRS. The chance-constrained approach was adopted to handle the stochastic variables that exist in the model. The developed model is implemented through an illustrative example.
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AYUNING TYAS, VIAN RISKA, KOMANG DHARMAWAN, and MADE ASIH. "PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013)." E-Jurnal Matematika 3, no. 1 (January 31, 2014): 17. http://dx.doi.org/10.24843/mtk.2014.v03.i01.p061.
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The Arbitrage Pricing Theory (APT) is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB), and theinterest rateof Bank Indonesia(SBI) are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%
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Shazhdekeeva, N. K., and A. O. Chanpalova. "SOLUTION OF THE DUAL PROBLEM BY THE BARANKIN-DORFMAN METHOD FOR THE FORMATION OF THE INVESTMENT PORTFOLIO." BULLETIN Series of Physics & Mathematical Sciences 70, no. 2 (June 30, 2020): 130–34. http://dx.doi.org/10.51889/2020-2.1728-7901.20.
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The article focuses on the consideration of econometric models of stock quotes of large domestic companies based on modeling the securities portfolio and predicting its behavior using mathematical modeling using elements of probability theory and mathematical statistics. It is also shown how the problem of choosing the optimal portfolio can be reduced to the problem of convex quadratic programming. In this article, based on the Markowitz model, a model of an optimal investment portfolio with bilateral restrictions on variables associated with the requirements of the law is developed. An example is considered in which 10 types of stocks and bonds of large Kazakhstani companies are selected, which generates an optimal set of assets and calculates the risk of an optimal portfolio for a given level of expected return. Based on the results obtained, companies and entrepreneurs can build a strategy for investing and buying shares, knowing the probable income from a portfolio of certain types of securities.
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Patalay, Sandeep, and Madhusudhan Rao Bandlamudi. "Decision Support System for Stock Portfolio Selection Using Artificial Intelligence and Machine Learning." Ingénierie des systèmes d information 26, no. 1 (February 28, 2021): 87–93. http://dx.doi.org/10.18280/isi.260109.
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Investing in stock market requires in-depth knowledge of finance and stock market dynamics. Stock Portfolio Selection and management involve complex financial analysis and decision making policies. An Individual investor seeking to invest in stock portfolio is need of a support system which can guide him to create a portfolio of stocks based on sound financial analysis. In this paper the authors designed a Financial Decision Support System (DSS) for creating and managing a portfolio of stock which is based on Artificial Intelligence (AI) and Machine learning (ML) and combining the traditional approach of mathematical models. We believe this a unique approach to perform stock portfolio, the results of this study are quite encouraging as the stock portfolios created by the DSS are based on strong financial health indices which in turn are giving Return on Investment (ROI) in the range of more than 11% in the short term and more than 61% in the long term, therefore beating the market index by a factor of 15%. This system has the potential to help millions of Individual Investors who can make their financial decisions on stocks and may eventually contribute to a more efficient financial system.
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Phuong, Lai Cao Mai. "Investor Sentiment by Money Flow Index and Stock Return." International Journal of Financial Research 12, no. 4 (March 18, 2021): 33. http://dx.doi.org/10.5430/ijfr.v12n4p33.
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Factors affecting stock prices have been studied by many scholars on different stock markets. However, the number of empirical studies applying technical analysis indicators to measure investor sentiment is quite limited. To explore this interesting topic, this study uses the Money Flow Index (MFI) indicator to measure an investor's sentiment by various thresholds and to test its effect on the excess return on Vietnam stock market. Data series including market, interest rate, finance and transaction data of 138 companies listed on the Ho Chi Minh City Stock Exchange from 2015 to June 2020 are used in the equations Regression. The study's findings show that, after controlling for market factors, individual characteristics and liquidity of each company, investor sentiment as measured by the MFI indicator still has a significant impact on the return of stocks at all thresholds. In addition, when the MFI value area is near the starting and ending point of the scale (less than 20, greater than 80), the regression coefficients of these two thresholds and control variables both increase compared to the remaining models, return and significant effect to the excess return of the securities.
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Srivastava, Suresh C., Shahid Hamid, and Askar H. Choudhury. "Stock And Bond Market Linkage In The Empirical Study Of Interest Rate Sensitivity Of Bank Returns." Journal of Applied Business Research (JABR) 15, no. 1 (August 31, 2011): 47. http://dx.doi.org/10.19030/jabr.v15i1.5689.
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<span>The bank stocks equilibrium pricing relation is the traditional CAPM augmented by a second factor to account for the unexpected changes in the interest rates. This paper examines the methodological issue of constructing an interest rate variable that is orthogonal to the market index. We test a new approach in which the interest rate variable and the market return are treated as the components of a bivariate vector, a suitable vector ARMA model is determined, and then the appropriate whitened residuals are used as the interest rate factor in the two-factor model. Results are compared with the results from other models in which prevailing orthogonalization procedure is used. Our investigation indicates that the robustness of the result depends, to a limited extent, on the procedure employed to orthogonalize the two factors.</span>
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Wei, Jun. "Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk." Complexity 2020 (November 2, 2020): 1–10. http://dx.doi.org/10.1155/2020/8816382.
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The excess money supply did not lead to a rapid rise in the price index, which in turn triggered inflation. In this case, the redetermination of the demand for money is particularly important. At the same time, with the continuous expansion of the capital market and the rapid development of the virtual economy, the virtual economy is gradually deviating from the real economy. When selecting assets, microentities often incorporate virtual economic assets into investment considerations. Therefore, it is necessary to establish a money demand model that considers the impact of virtual economic assets. This paper uses the asset selection of microentities as the microfoundation to establish a money demand model to explain its economic significance. And based on the money demand model established, a dynamic equilibrium model of the money market was established, and the stability of the dynamic equilibrium point of the money market was verified through mathematical deduction. Based on the dynamic equilibrium model of the money market, the impact of money supply was analyzed. In order to verify the correctness of the aforementioned theory, this paper conducts an empirical analysis. Through cointegration analysis and the vector error correction model (VECM model), the correctness and applicability of the established money demand model are verified, and money demand, total social wealth, spreads between expected stock returns and interest rates, and real estate expectations are found. There is a long-term equilibrium relationship between the rate of return and the interest rate. The total amount of social wealth, the expected rate of return on stocks, and the interest rate spread will have an impact on the demand for money in the short term.
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Hampton, John, and John Gunn. "Exploitation and movements of yellowfin tuna (Thunnus albacares) and bigeye tuna (T. obesus) tagged in the north-western Coral Sea." Marine and Freshwater Research 49, no. 6 (1998): 475. http://dx.doi.org/10.1071/mf97210.
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Yellowfin tuna (Thunnus albacares) and bigeye tuna (T. obesus) were tagged and released in the north-western Coral Sea off northern Queensland in 1991 and 1992. Over the next five years, recaptures were reported by Australian longline vessels based in Cairns and fishing in the release area, and by industrial tuna fleets fishing in the adjacent western Pacific region, thus demonstrating clear links between the tuna stocks in these areas. Some southerly movements of yellowfin, in particular, further suggested links with stocks supporting the longline fishery in the south-eastern Australian Fishing Zone. Bigeye tuna tag returns and catch per unit effort by Cairns-based longliners showed a strong seasonal signal, peaking in mid year. Yellowfin tag-return data displayed a similar, but weaker, seasonal pattern. The data were analysed by use of tag-attrition models with seasonally variable catchability and with two assumptions regarding changes in targeting of the two species by longliners during the study. Under both assumptions, the local exploitation rates for yellowfin are low: about 0.07 in 1996. For bigeye, the local exploitation rate in 1996 may have been as high as 0.30, warranting a cautious approach to further fishery expansion in this area.
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Moon, Sungjeh, and Joonhyuk Song. "Cross Section of KOSPI Returns Based on Cash Flow Risk Factors." Journal of Derivatives and Quantitative Studies 26, no. 3 (August 31, 2018): 311–43. http://dx.doi.org/10.1108/jdqs-03-2018-b0002.
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This paper introduces two risk factors which are the covariance between long-run consumption growth and cash flows and the duration of cash flow, and investigates how these factors serve to explain the KOSPI return risk premiums. Based on our empirical results comparing the proposed two-factor cash flow model with the standard benchmark models such as CAPM and Fama-French 3-factor model (FF-3F), using KOSPI equity including de-listed stocks, the cash flow model explains 74.7% of the cross-section of equity risk premium while CAPM and FF-3F model explains 41.9% and 64.1% to the maximum, respectively, showing that the cash-flow model is superior in explaining the risk premium factor structure compared with the benchmark models. Also, the pricing error is only 4% in the two-factor cash flow model, while CAPM and FF-3F are 7.7% and 4.7%, respectively, indicating the cash flow model outperforms the standard benchmark models in pricing error as well. These results can be interpreted that the cross section of the equity risk premium is related to a firm’s cash flow and long-run consumption, and therefore the growth rate of consumption in the long run rather than contemporaneous consumption growth rate has a greater influence on the determination of the risk premium.
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Teplova, T. V., T. V. Sokolova, A. Fasano, and V. A. Rodina. "Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions." Voprosy Ekonomiki, no. 9 (September 5, 2020): 40–60. http://dx.doi.org/10.32609/0042-8736-2020-9-40-60.
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In our paper, we study the impact of active investment strategies and factors of their success in the Russian market of collective investment — self-confidence of managers, commissions of management companies (MC) — on return rates of mutual funds. For the first time, not only equity mutual funds, but also bond mutual funds are considered as an object of study; the time period is since 2012. Our study is based on data on the structure of mutual fund portfolios provided by Investfunds. We propose a number of original indicators of an active management style and consider the profitability of mutual funds relative to various benchmarks. Based on testing of multivariate regression models, it has been revealed that the return rate of equity mutual funds is negatively affected by a share of stocks in the fund portfolio which are not included in the market index. When managers take into account their previous negative investment experience, it contributes to the growth of mutual fund return rates. Active investment strategies correlate with increased commissions (up to 4.5% of NAV), but they do not allow an investor to receive higher return rates than index investments. An increase in the share of corporate bonds allows the fund manager to outperform benchmarks for bond funds. For the first time, a nonlinear relationship between the size of mutual funds and the value of commissions has been revealed for the Russian market.
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Lei, Bolin, Boyu Zhang, and Yuping Song. "Volatility Forecasting for High-Frequency Financial Data Based on Web Search Index and Deep Learning Model." Mathematics 9, no. 4 (February 5, 2021): 320. http://dx.doi.org/10.3390/math9040320.
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The existing index system for volatility forecasting only focuses on asset return series or historical volatility, and the prediction model cannot effectively describe the highly complex and nonlinear characteristics of the stock market. In this study, we construct an investor attention factor through a Baidu search index of antecedent keywords, and then combine other trading information such as the trading volume, trend indicator, quote change rate, etc., as input indicators, and finally employ the deep learning model via temporal convolutional networks (TCN) to forecast the volatility under high-frequency financial data. We found that the prediction accuracy of the TCN model with investor attention is better than those of the TCN model without investor attention, the traditional econometric model as the generalized autoregressive conditional heteroscedasticity (GARCH), the heterogeneous autoregressive model of realized volatility (HAR-RV), autoregressive fractionally integrated moving average (ARFIMA) models, and the long short-term memory (LSTM) model with investor attention. Compared with the traditional econometric models, the multi-step prediction results for the TCN model remain robust. Our findings provide a more accurate and robust method for volatility forecasting for big data and enrich the index system of volatility forecasting.
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Turner, C. M. R., N. Aslam, and C. Dye. "Replication, differentiation, growth and the virulence ofTrypanosoma bruceiinfections." Parasitology 111, no. 3 (September 1995): 289–300. http://dx.doi.org/10.1017/s0031182000081841.
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SUMMARYThis study had 2 objectives: first, to investigate how the processes of slender form replication, of differentiation from dividing slender to non-dividing stumpy forms, and of stumpy mortality, combine to determine the initial (acute-phase) growth rate ofTrypanosoma bruceipopulations; second, to determine how acute-phase growth rates influence parasite densities during the subsequent, chronic phase of infection. During the acute phase, slender and stumpy populations both grew approximately exponentially, the latter more slowly than the former. Mathematical models showed how this difference in slender and stumpy growth rates can be explained in terms of heterogeneous replication and differentiation rates. Stumpy life-expectancy was determined for one stock and found to be age-dependent with a half-life of 48–72 h, much larger than observed population doubling times of 5–10 h. A comparison of cloned stocks showed that the highest parasite densities during the chronic phase were associated with the highest acute-phase growth rates of both the whole parasite population and of the subpopulation of slender forms. By contrast, high chronic-phase parasitaemias artificially produced following rapid syringe passage were associated with low acute-phase growth rates of slender forms. Syringe-passaging is a laboratory procedure which selects for virulent parasites, but these parasites behave differently from naturally virulent stocks.
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Chen, Yu, Yantai Chen, Yanlin Guo, and Yanfei Xu. "Research on the Coordination Mechanism of Value Cocreation of Innovation Ecosystems: Evidence from a Chinese Artificial Intelligence Enterprise." Complexity 2021 (February 24, 2021): 1–16. http://dx.doi.org/10.1155/2021/7629168.
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This paper models the game process of the value cocreation of enterprises based on evolutionary game theory (EGT). The factors influencing value cocreation are found through mathematical analysis. Taking iFLYTEK as an example, a representative enterprise of artificial intelligence (AI) in China, six factors affecting value cocreation are verified, which are the excess return rate, the distribution coefficient of the excess return rate, coordination costs in the system, the cost-sharing coefficient, imitation costs, and penalties. These six factors have a profound impact on value cocreation in the ecosystem. Through the case study of iFLYTEK, it is concluded that innovation ecosystems can enable small- and medium-sized AI enterprises to grow. In order to build a sound ecosystem, we need to establish a mechanism to select partners, reduce the costs of cooperation, and strengthen the protection of intellectual property. At the beginning of the cooperation, it is necessary to establish a mechanism with clear responsibilities, rights, and interests. The conclusion is of great significance to the development of AI enterprises.
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Zhang, Bin, Haocen Hong, Min Yu, and Huayong Yang. "Leakage analysis and ground tests of knife edge indium seal to lunar sample return devices." Proceedings of the Institution of Mechanical Engineers, Part G: Journal of Aerospace Engineering 233, no. 6 (April 18, 2018): 2010–22. http://dx.doi.org/10.1177/0954410018768425.
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This work deals with the lunar sample return project, which requires lunar samples to be returned back to the ground without contamination. In this paper, a knife edge indium seal is proposed as a primary sealing form, where indium–silver alloy is welded into an annular groove of a cylindrical container firstly and then extruded by an annular knife edge of a cylindrical lid. The analysis of the leakage and sealing reliability of knife edge indium seal is the main aim of this paper. Firstly, the pretreatment of knife edge indium seal is discussed. Key techniques on indium welding are studied to evaluate its sealing reliability, with the tensile strength and welding void ratio mainly being discussed. Secondly, by means of “Roth” leakage theory, mathematical models on the leak rate for knife edge seal are established. By means of the finite element analysis, the knife edge geometry is optimized with minimum pressing force required. The results justify that the knife edge seal demands much lower pressing force to achieve a considerable sealing performance, which is suitable for low-powered operation. Finally, the ground tests are carried out to evaluate the feasibility of the indium welding and to measure the leak rate of the knife edge indium seal. Experimental results demonstrate the indium welding onto the stainless steel container is feasible, and the leak rate at room temperature is 3.0 × 10−10 Pa·m3/s, which is much lower than the rubber O-type ring seal. The knife edge indium seal is suitable for lunar sample return devices.
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Edirisinghe, Mahesh, Raul Montaño, Vernon Cooray, and F. Roman. "Performance Comparison of Varistor Models under High Current Derivative Impulses." International Letters of Chemistry, Physics and Astronomy 11 (September 2013): 40–53. http://dx.doi.org/10.18052/www.scipress.com/ilcpa.11.40.
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Surge protective devices (SPD) testing procedures are mainly performed with standard current pulse types. However, none of these standard current waveforms reproduce the very fast rise time and the large peak current derivatives observed in subsequent return strokes. In the literature there are several mathematical models to represent metal oxide varistor that have been developed based on standard impulse conditions. These models are being used routinely in the analysis of the various electronic circuits under transient conditions. In this paper, a study was conducted to have a performance comparison between the two varistor models, simplified varistor model and Durbak's model, available in the literature under high current derivative impulses. The experiments and simulations were performed on disk type varistors with different diameter sizes, i.e., 20 mm, 10 mm, and 05mm with nominal operating voltage of 230 V. The Roman Generator developed at Uppsala University was used as the high current derivative impulse generator which can produce a peak current up to 1500 A with 10 ns rise time and its rate-of-rise is in the order of 1011 A/s. The results showed that for standard 8/20 µs lightning impulses, simulation results of these models had a good agreement with the experimental data. However, these two models need to be improving in order to improve their performance under high current derivative impulses into the sub-microsecond range.
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Armitage, John J., Alexander C. Whittaker, Mustapha Zakari, and Benjamin Campforts. "Numerical modelling of landscape and sediment flux response to precipitation rate change." Earth Surface Dynamics 6, no. 1 (February 15, 2018): 77–99. http://dx.doi.org/10.5194/esurf-6-77-2018.
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Abstract. Laboratory-scale experiments of erosion have demonstrated that landscapes have a natural (or intrinsic) response time to a change in precipitation rate. In the last few decades there has been growth in the development of numerical models that attempt to capture landscape evolution over long timescales. However, there is still an uncertainty regarding the validity of the basic assumptions of mass transport that are made in deriving these models. In this contribution we therefore return to a principal assumption of sediment transport within the mass balance for surface processes; we explore the sensitivity of the classic end-member landscape evolution models and the sediment fluxes they produce to a change in precipitation rates. One end-member model takes the mathematical form of a kinetic wave equation and is known as the stream power model, in which sediment is assumed to be transported immediately out of the model domain. The second end-member model is the transport model and it takes the form of a diffusion equation, assuming that the sediment flux is a function of the water flux and slope. We find that both of these end-member models have a response time that has a proportionality to the precipitation rate that follows a negative power law. However, for the stream power model the exponent on the water flux term must be less than one, and for the transport model the exponent must be greater than one, in order to match the observed concavity of natural systems. This difference in exponent means that the transport model generally responds more rapidly to an increase in precipitation rates, on the order of 105 years for post-perturbation sediment fluxes to return to within 50 % of their initial values, for theoretical landscapes with a scale of 100×100 km. Additionally from the same starting conditions, the amplitude of the sediment flux perturbation in the transport model is greater, with much larger sensitivity to catchment size. An important finding is that both models respond more quickly to a wetting event than a drying event, and we argue that this asymmetry in response time has significant implications for depositional stratigraphies. Finally, we evaluate the extent to which these constraints on response times and sediment fluxes from simple models help us understand the geological record of landscape response to rapid environmental changes in the past, such as the Paleocene–Eocene thermal maximum (PETM). In the Spanish Pyrenees, for instance, a relatively rapid (10 to 50 kyr) duration of the deposition of gravel is observed for a climatic shift that is thought to be towards increased precipitation rates. We suggest that the rapid response observed is more easily explained through a diffusive transport model because (1) the model has a faster response time, which is consistent with the documented stratigraphic data, (2) there is a high-amplitude spike in sediment flux, and (3) the assumption of instantaneous transport is difficult to justify for the transport of large grain sizes as an alluvial bedload. Consequently, while these end-member models do not reproduce all the complexity of processes seen in real landscapes, we argue that variations in long-term erosional dynamics within source catchments can fundamentally control when, how, and where sedimentary archives can record past environmental change.
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Deng, Xue, Tao Lin, and Chuangjie Chen. "Comparison and Research on Diversified Portfolios with Several Entropy Measures Based on Different Psychological States." Entropy 22, no. 10 (October 4, 2020): 1125. http://dx.doi.org/10.3390/e22101125.
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In previous studies, there were few portfolio models involving investors’ psychological states, market ambiguity and entropy. Some entropy can make the model have the effect of diversifying investment, which is very important. This paper mainly studies four kinds of entropy. First, we obtained four definitions of entropy from the literature, and gave the function of fuzzy entropy in different psychological states through strict mathematical proof. Then, we construct a fuzzy portfolio entropy decision model based on the investor’s psychological states, and compared it with the possibilistic mean–variance model. Then we presented a numerical example and compared the five different models established. By comparing the results, we find that: (a) The possibilistic mean–Shannon entropy model solves the problem of the possibility of excessive concentration in the possibilistic mean–variance model, but the dispersion is not enough. Conversely, the possibilistic mean–Yager entropy is over–emphasized due to the definition of its own function, such that it gave an investment pattern of equal weight distribution or approximate average distribution. (b) The results of possibilistic mean–proportional entropy can be said to be the middle status of the portfolios of possibilistic mean–Shannon entropy and possibilistic mean–Yager entropy. This portfolio not only achieves a certain rate of return, but also disperses the risk to some extent. (c) The lines of satisfaction for portfolios derived from different models are approximately U–shaped with the increase in return preference. (d) The possibilistic mean–Shannon entropy model tends to have the highest portfolio satisfaction with the same psychological state of the investor.
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Ivanyuk, Vera. "Formulating the Concept of an Investment Strategy Adaptable to Changes in the Market Situation." Economies 9, no. 3 (June 23, 2021): 95. http://dx.doi.org/10.3390/economies9030095.
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The study aims to develop a dynamic model for the management of a strategic investment portfolio, taking into account the impact of crisis processes on asset value. A mathematical model of a dynamic portfolio strategy is developed, and guidelines for framing a long-term investment strategy based on the current state of the investment market are formalized. An efficient method of long-term ensemble forecasting to increase the accuracy of predicting financial time series is elaborated. A methodology for constructing and rebalancing a dynamic strategic investment portfolio based on a changing portfolio strategy that results from assessing the current market state and forecast is developed. The obtained strategic portfolio model has been estimated empirically based on historical data and its rate-of-return characteristics have been compared with those of the existing conventional models used in strategic investment.
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Suzuki, Kenji, Sho Akazawa, and Yohichi Nakao. "Development of Cam-Drive Type Proportional Valve for Water Hydraulics." International Journal of Automation Technology 6, no. 4 (July 5, 2012): 450–56. http://dx.doi.org/10.20965/ijat.2012.p0450.
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This paper describes the development of water hydraulic proportional valves. These valves are spooltype and the spool is driven by a positive cam mechanism with an appropriate motor, such as a stepping motor or servo motor, depending on the application. The cam is placed precisely between two cam followers so that no gap is left between the cam and followers. Accordingly, no return spring is required. The rotational angle of the cam and the displacement of the spool are linear. Mathematical models of static characteristics of the valves are derived. Experimental results for the static characteristics are also shown: internal leakage and pressure gain against spool displacement, flow rate characteristics with no load, and flow rate against load pressure. Although the spool overlaps with sleeve, no dead band was observed in flow rate characteristics with no load because of leakage passing through the clearance around the spool. In addition, the nonlinearity of spool displacement against the rotational angle of the cam was below 0.2% and hysteresis was hardly observed. Feedback control of the displacement of water hydrostatic bearings is conducted as an application of the developed valve.
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Kler, Alexander, Pavel Zharkov, Yulia Potanina, Andrey Marinchenko, and Nikolai Epishkin. "The Effect of the Carbon Tax Value on the Optimal Parameters and Characteristics of Coal Power Plants." Environmental and Climate Technologies 24, no. 3 (November 1, 2020): 104–11. http://dx.doi.org/10.2478/rtuect-2020-0089.
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AbstractThe paper investigates the effect of the carbon tax on the optimal parameters and indicators of two coal power plants: a steam turbine power unit with coal dust burning in a steam boiler and an internal gasification combined cycle power plant. Sufficiently detailed mathematical models have been developed for the considered plants that are focused on calculating the flow rates of working fluids and coolants and thermodynamic parameters at all points of the flowcharts, as well as the structural characteristics of the plant elements. The problems of optimizing the parameters of these plants related to the problems of nonlinear mathematical programming are formulated. As an efficiency criterion, the price of electricity is used at given value of the internal rate of return on investment. Optimization calculations were carried out with a carbon tax in the range from 0 $/t to 140 $/t in increments of 20 $/t. It is shown that with an increase in the charge for emissions, the optimal efficiency of the plants increases, as well as the specific investment. Specific CO2 emissions are reduced. Throughout the entire range of carbon tax values, IGCC power plant has the best economic and environmental indicators.
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Mitchell, Derek. "Thermal efficiency extends distance and variety for honeybee foragers: analysis of the energetics of nectar collection and desiccation by Apis mellifera." Journal of The Royal Society Interface 16, no. 150 (January 2019): 20180879. http://dx.doi.org/10.1098/rsif.2018.0879.
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The desiccation of nectar to produce honey by honeybees ( Apis mellifera L.) is an energy-intensive process, as it involves a quasi-isothermal change in the concentration of sugars from typically 20 to 80% by vaporization (honey ripening). This analysis creates mathematical models for: the collected nectar to honey ratio; energy recovery ratio; honey energy margin; and the break-even distance, which includes the factors of nectar concentration and the distance to the nectar from the nest; energetics of desiccation and a new factor, thermal energy efficiency (TEE) of nectar desiccation. These models show a significant proportion of delivered energy in the nectar must be used in desiccation, and that there is a strong connection between TEE and nest lumped thermal conductance with colony behaviour. They show the connection between TEE and honeybee colony success, or failure, in the rate of return, in terms of distance or quality of foraging. Consequently, TEE is a key parameter in honeybee populations and foraging modelling. For bee keeping, it quantifies the summer benefits of a key hive design parameter, hive thermal conductance and gives a sound theoretical basis for improving honey yields, as seen in expanded polystyrene hives.
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Wnuczak, Paweł. "Voluntary liquidation: When is it financially profitable?" Journal of Management and Financial Sciences, no. 34 (July 27, 2019): 51–75. http://dx.doi.org/10.33119/jmfs.2018.34.3.
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The aim of this article is to offer insight into a concept making it possible to assess the financial rationality of the voluntary liquidation of businesses. The author of the study presents a decision-making algorithm that should be applied before deciding to voluntarily liquidate a business entity. The algorithm is based on the concept of Value Based Management (VBM), and the related calculations have been performed following the basic rules of mathematical finance. The presented solution is also based on the calculation of free cash flow generated by an enterprise for its owners and on investigating the relationship between the said cash flow and the rate of return expected to be attained by the enterprise’s owners. Because no such models are given or discussed in the literature covering the subject matter, it appears that the proposed solution may become a valuable tool to improve the process of making a decision in the scope of voluntary liquidation of an enterprise.
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Jati, Kumara, and Aziza Rahmaniar Salam. "FUNDAMENTALS OF INTEGRATED COMMERCIAL BANK IN MACROECONOMIC AND SHARIA PERSPECTIVE IN INDONESIA." Journal of Islamic Monetary Economics and Finance 3, no. 2 (March 28, 2018): 349–87. http://dx.doi.org/10.21098/jimf.v3i2.895.
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This research analyses the fundamentals of integrated commercial bank in macroeconomic and sharia perspective in Indonesia. Based on the calculation of Vector Autoregression (VAR), the impact of macroeconomic variables (Jakarta Stock Islamic Index / JKSII, Indonesian Stock Price Composite Index / JKSE, Crude Oil Price, and Exchange Rate) on stock prices of commercial banks vary. These shocks indicate an indirect price transmission through exchange rate channels and economic growth. From the Structrural Time Series Model (STSM), JKSII, JKSE, and commercial bank share price prediction will generally increase at the end of 2017 and 2018. This will generate hope and benefit for policy maker and business actors in the banking, finance and sharia sectors. In general, the ARMA-ARCH/GARCH model with dummy variables found negative impact of “Fasting Period and Eid Al-Fitr” on return of JKSII, JKSE, and commercial bank stock price. This indicates a cycle of stock price decline that occurs when consumers spend more money to purchase goods and services. However, this cycle of stock price declines is only temporary because the recovery of the world economy and the increase in demand for goods and services in the future can be a pull factor for stock prices (demand factor). Policy makers and stakeholders related to the financial system, banking and capital markets, especially the sharia sector need to see the movement of conventional bank stocks and “Fasting Period and Eid Al-Fitr” as they move in the opposite direction for a certain period. 
 Keywords: Stock Price of Commercial Bank, Macroeconomic and Sharia Perspective, Vector Autoregression (VAR), Structural Time-Series Models (STSM), ARMA-ARCH/GARCH
 
 JEL Classification Codes: F31, F47, G15, G21
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Safitri, Kristika, Tarno Tarno, and Abdul Hoyyi. "PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)." Jurnal Gaussian 10, no. 2 (May 31, 2021): 230–40. http://dx.doi.org/10.14710/j.gauss.v10i2.29414.
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Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing Model (LCAPM). CAPM is a model that connects expected return with the risk of an asset under market equilibrium condition. LCAPM is a method of new development of the CAPM model which is influenced by liquidity risk. To analyze whether the formed portfolio have a good performance or not, so portfolio perfomance assessment will be done by using The Sharpe Index. This research uses data from closing prices, transaction volume and volume total of LQ45 Index stock on period March 2016-February 2020 and then data of JCI and interest rate of central bank of the Republic of Indonesia. Based on The Sharpe Index, optimal portfolio is LCAPM model portfolio with 3 stock composition and the proportion investment are 32,39% for LPPF, 49,86% for SRIL and 17,75% for TLKM. Keywords: LQ45 Index, Portfolio, Capital Asset Pricing Model (CAPM), Liquidity Adjusted Capital Asset Pricing Model (LCAPM), The Sharpe Index.
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Zhang, Tao, and Yuxiang Peng. "Construction of Control Rights Allocation Index of Listed Companies Based on Neural Network and Machine Learning." Mathematical Problems in Engineering 2021 (March 22, 2021): 1–13. http://dx.doi.org/10.1155/2021/6628916.
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Control power is a core issue that every listed company pays great attention to. The company’s shareholding structure directly affects the allocation of control rights. Therefore, the shareholding structure of listed companies is analyzed, and various factors related to the allocation of company control rights are discussed. It is very important to build indicators of control allocation of listed companies and improve the governance model of listed companies. Based on this, this article proposes to use neural networks and machine learning techniques to build related models and solve related problems. This article takes the control allocation index of listed companies on the SSE and SZSE platforms under good securities’ market conditions as the research object and takes the stock holding allocation of listed companies as a reference for the control allocation index. Combine sliding removal technology and approximate entropy with sample entropy, select the sliding window and sliding step size as 21 data, keep the sliding window unchanged, and calculate the approximate entropy and sample entropy of the sequence after removing 21 data for each sliding value to analyze the correlation between the rate of return, complexity, and effectiveness. The results of the study show that the mean and median of the majority shareholder’s equity pledge behavior are 0.249 and 0, respectively, and the mean and median of the majority shareholder’s equity pledge ratio are 0.147 and 0, respectively, indicating that 24.9% of the companies in the sample have major shareholder equity. Pledge is limited by sample data, and the proportion of major shareholders’ equity pledge is moderate, which means that there is a certain gap in the quality of internal control between companies.
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Hadi, Ali Hasan, and Kadhim Raheim Erzaij. "Determination a Reasonable Concession Period for (PPP) Projects." Civil Engineering Journal 5, no. 6 (June 24, 2019): 1235–48. http://dx.doi.org/10.28991/cej-2019-03091328.
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Public Private Partnership (PPP) are agreements where public bodies enter into long term contractual with private entities for construction or management the public sector facilities, or provision services to the community. Internal rate of return (IRR), pay back regime or tariff, and the concession period (CP) are essential items to success (PPP) projects. This research presents a systematic approach for a win-win partnership contract determined on a quantitative basis, by informing the partnership parties how long contract period should be made. Essence of the proposed methodology is that project completion time should allow a competent contractor to complete the project on schedule and operation period should be long enough to enable the concessionaire to achieve a reasonable return, but not too long such that concessionaire’s return is excessive and public sector’s interests are sacrificed. A case study of a PPP project in Mayoralty of Baghdad was conducted to evaluate performance of the developed mathematical models. The determined concession period (CP) has found to be approximately equal to actual concession period (CP) granted to the private sector. Evaluation shows the possibility to adopt the proposed approach to determine the concession period (CP) more effectively. Instead of opportunism policy, the proposed methodology enables local government of Baghdad province to enhance its policies of awarding the partnership projects to increase private sector participation in infrastructure development. Finally, the proposed method can be used by investment practitioners as a decision support tool for contract concession period (CP), and is worth popularizing to design the contracted concession period (CCP) for partnership projects in Iraq, and also can use as a methodology to assess the critical aspects which related to partnership projects in general.
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Hui, Eddie Chi Man, Otto Muk Fai Lau, and Kak Keung Lo. "A FUZZY DECISION‐MAKING APPROACH FOR PORTFOLIO MANAGEMENT WITH DIRECT REAL ESTATE INVESTMENT." International Journal of Strategic Property Management 13, no. 2 (June 30, 2009): 191–204. http://dx.doi.org/10.3846/1648-715x.2009.13.191-204.
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This study incorporated expert knowledge into the classical quadratic programming approach, i.e., Modern Portfolio Theory (MPT), through fuzzy set theory; in obtaining portfolio return optimization involving direct real estate investment. Two fuzzy mathematical programming models were uniquely specified and estimated in this study, namely, Zimmer‐mann's (2001) fuzzy tactical asset allocation (FTAA) flexible programming model and Ramik and Rimanek's (1985) FTAA robust programming model. These approaches try to overcome the drawbacks of traditional asset allocation models by including expert adjustment in the presence of imprecise information. The findings suggest that the fuzzy tactical asset allocation (FTAA Flexible Model), with the inclusion of expert judgments which contain information usually not found in historical data, is able to produce a portfolio just as efficient as traditional asset allocation models while minimizing the potential issues due to imprecision and vagueness of information. Meanwhile, the FTAA Robust Model proffers a more evenly‐distributed, yet with higher risks and lower returns, portfolio. Aside from the lack of emphasis on portfolio risks minimization, one reason attributed to such anomaly is the low level of returns of high‐risk stocks that are not selected by MPT and FTAA Flexible Models. It results in a unique situation where portfolio diversification does not necessarily guarantee an efficient investment decision. Santruka Šis tyrimas itraukia ekspertines žinias i klasikine kvadratinio programavimo metodika, pavyzdžiui, moderniaja portfelio valdymo teorija, per neapibrežtuju aibiu teorija, siekiant optimizuoti portfelio graža, apimant tiesiogines nekilnojamojo turto investicijas. Šiame tyrime išsamiai aprašomi ir ivertinami du neapibrežtojo matematinio programavimo modeliai. Tai Zimmermann (2001) neapibrežtasis aktyvu paskirstymo lankstusis programavimo modelis ir Ramik bei Rimanek (1985) neapibrežtasis aktyvu paskirstymo robustinis programavimo modelis. Juos taikant bandoma pašalinti tradiciniu aktyvu paskirstymo metodu trūkumus itraukiant ekspertu siūlomus pakeitimus nesant tikslios informacijos. Nustatyta, kad neapibrežtasis aktyvu paskirstymas (neapibrežtasis aktyvu paskirstymo lankstusis programavimo modelis) kartu su ekspertu vertinimais, paprastai apimančiais informacija, kurios negalima rasti tarp istoriniu duomenu, leidžia sudaryti toki pati efektyvu portfeli, kaip ir tradiciniai aktyvu paskirstymo modeliai, tačiau minimizuojant potencialius nesutarimus, kuriu atsiranda del netikslios ir neapibrežtos informacijos. Neapibrežtasis aktyvu paskirstymo robustinis programavimo modelis siūlo tolygiau paskirstyta, tačiau rizikingesni ir ne toki pelninga portfeli. Be portfelio rizikos minimizavimo trūkumo, dar viena priežastis, priskiriama prie šios anomalijos, yra maža dideles rizikos akciju graža, kuri nera pasirenkama moderniojoje portfelio valdymo teorijoje ir neapibrežtuju aktyvu paskirstymo lanksčiuosiuose programavimo modeliuose. Kaip rezultatas gaunama unikali situacija, kai portfelio diversifikavimas nebūtinai garantuoja efektyvu investavimo sprendima.
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Wiggs, Giles F. S. "Desert dune processes and dynamics." Progress in Physical Geography: Earth and Environment 25, no. 1 (March 2001): 53–79. http://dx.doi.org/10.1177/030913330102500103.
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This article reviews the advances made and problems encountered in the measurement, modelling and understanding of desert dune dynamics and processes in the last two decades. The main findings of three methods of investigation are reviewed: field studies, wind tunnel studies and mathematical modelling. Whilst major advances in field techniques have allowed an appreciation of the aerodynamic nature of sand dunes, particular problems with field research are evident in the measurement of aeolian processes on dune surfaces. Specifically, it is shown that attempts to ascertain shear stresses on dune windward slopes in the field and relate changes in stress to sand transport rate and erosion/deposition measurements have generally failed. These difficulties have arisen because the non-log-linear nature of wind velocity profiles on dune surfaces as a result of windflow acceleration has made the calculation of surface shear stresses unviable. Significant advances have been achieved in wind tunnel modelling where high-frequency hot-wire anemometer measurements have enabled shear stress and turbulence characteristics to be determined, although problems have been encountered in choosing appropriate scaling parameters. Empirical field and wind tunnel data have allowed the calibration of mathematical models which are now at a stage where the flow field around dunes can be calculated. It is considered, however, that the emerging technique of modelling using complex systems theory may hold the key to constructing a reliable framework for future investigations. New complex systems models have emphasized the need to return to a larger-scale perspective where dunes are not considered as individual elements, but as an integral part of a dunefield where aeolian processes at the dune scale are not thought to be significant.
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Tyurina, E. A., A. S. Mednikov, and P. Yu Elsukov. "Modular plants for combined biomass-based production of electricity and synthetic liquid fuel." Power engineering: research, equipment, technology 22, no. 1 (April 30, 2020): 113–27. http://dx.doi.org/10.30724/1998-9903-2020-22-1-113-127.
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The high costs of qualified liquid fuels in remote areas of Siberia and the Far East, as well as significant stocks of wood biomass in these areas determine the relevance of the presented studies. The integrated processing of woody biomass into synthetic liquid fuel and electricity will increase the energy and economic efficiency of processing technological waste, as well as improve the environmental situation in these areas. The aim of the work is technical and economic optimization of parameters modular installations of the combined production of electricity and methanol from woody biomass. The article presents an analysis of previously performed work on the topic of research and, based on them, selected one of the most effective ways to process wood biomass - oxidative conversion of this raw material to produce gas enriched in hydrogen and carbon oxides, synthesis of qualified liquid fuels and generating electricity when burning purge gas synthesis process. The technological scheme of modular plants for combined biomass-based production of electricity and synthetic liquid fuel, its mathematical model of its elements and the scheme as a whole are given. On the basis of the selected methods, optimization studies of the operation of a modular energy technology installation were carried out. Analysis of the results showed that the combined production of electricity and methanol based on biomass increases the thermal efficiency of the process by 12% and reduces investment by 15-20% compared with separate production. With an internal rate of return of capital of 15%, the cost of methanol from biomass will be 275-317 dollars per ton. At such a cost, methanol can compete with both boiler-furnace and motor fuels in the eastern regions of Russia.
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Perevaryukha, A. Yu. "Development and scenario experiments with the new model of rapid bioresources crisis under expert control." Mathematical machines and systems 1 (2021): 116–25. http://dx.doi.org/10.34121/1028-9763-2021-1-116-125.
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This paper continues a series of studies dedicated to the analysis of the nonlinear dynamics of complex environmental processes through the use of computational methods. The construction of a computational structure that uses the forms of the hybrid time and the logic of redefined behavior of solutions of the special system of equations to describe important nonlinear phenomena in the man-agement of unstable biosystems is considered in the article. The difference between the described ap-proaches to building a model is that computational experiments based on differential equations and re-defined according to the rules simulate scenarios in the dynamics of controlled biological resources of different types. The form of time allows to operate on a discrete component of the trajectory to describe changes that are visible to experts from the monitoring statistics or from reports from the fishery. The computational structure logically corresponds to the life cycle of large marine fish. Continuous characteristics are used to manage changes in the life cycle model. The new models are intended to de-scribe in scenarios the phenomena of rapid degradation of valuable biological resources with a very small error in the regulation of the rate of removal from the stock. These models have shown that the tradi-tional methods of bioresources management by experts have fundamental shortcomings and problems. Experts overestimate the amount of stocks for commercial removal from the population. Regulation by setting quotas on fish catch does not prevent the fishery from collapsing. The approach is applicable for mathematical predicting of the rapidly inflowing phases of an ecological invasion in aquatic systems.
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Simonson, W., P. Ruiz-Benito, F. Valladares, and D. Coomes. "Modelling above-ground carbon dynamics using multi-temporal airborne lidar: insights from a Mediterranean woodland." Biogeosciences 13, no. 4 (February 19, 2016): 961–73. http://dx.doi.org/10.5194/bg-13-961-2016.
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Abstract. Woodlands represent highly significant carbon sinks globally, though could lose this function under future climatic change. Effective large-scale monitoring of these woodlands has a critical role to play in mitigating for, and adapting to, climate change. Mediterranean woodlands have low carbon densities, but represent important global carbon stocks due to their extensiveness and are particularly vulnerable because the region is predicted to become much hotter and drier over the coming century. Airborne lidar is already recognized as an excellent approach for high-fidelity carbon mapping, but few studies have used multi-temporal lidar surveys to measure carbon fluxes in forests and none have worked with Mediterranean woodlands. We use a multi-temporal (5-year interval) airborne lidar data set for a region of central Spain to estimate above-ground biomass (AGB) and carbon dynamics in typical mixed broadleaved and/or coniferous Mediterranean woodlands. Field calibration of the lidar data enabled the generation of grid-based maps of AGB for 2006 and 2011, and the resulting AGB change was estimated. There was a close agreement between the lidar-based AGB growth estimate (1.22 Mg ha−1 yr−1) and those derived from two independent sources: the Spanish National Forest Inventory, and a tree-ring based analysis (1.19 and 1.13 Mg ha−1 yr−1, respectively). We parameterised a simple simulator of forest dynamics using the lidar carbon flux measurements, and used it to explore four scenarios of fire occurrence. Under undisturbed conditions (no fire) an accelerating accumulation of biomass and carbon is evident over the next 100 years with an average carbon sequestration rate of 1.95 Mg C ha−1 yr−1. This rate reduces by almost a third when fire probability is increased to 0.01 (fire return rate of 100 years), as has been predicted under climate change. Our work shows the power of multi-temporal lidar surveying to map woodland carbon fluxes and provide parameters for carbon dynamics models. Space deployment of lidar instruments in the near future could open the way for rolling out wide-scale forest carbon stock monitoring to inform management and governance responses to future environmental change.
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Alzate, Santiago, Bonie Restrepo-Cuestas, and Álvaro Jaramillo-Duque. "Municipal Solid Waste as a Source of Electric Power Generation in Colombia: A Techno-Economic Evaluation under Different Scenarios." Resources 8, no. 1 (March 13, 2019): 51. http://dx.doi.org/10.3390/resources8010051.
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This work evaluates the techno-economic prefeasibility of waste to energy projects in Colombia using four different conversion technologies of incineration, gasification, anaerobic digestion and landfill gas. Three study cases were selected to represent typical urban centers in Colombia, which were namely Guayatá, Andes and Pasto. After feasible technologies were identified for each case, their energy recovery potential was calculated based on the mathematical models and publicly available information about the composition of the wastes produced in these three municipalities. A subsequent economic analysis was conducted by applying the incentives established in Law 1715 for projects involving non-conventional renewable energy sources. The cash flows produced by each technology in the three scenarios were evaluated to obtain the Internal Rate of Return (IRR), which was found to be influenced by the benefits of this legislation. However, the economic benefits were not significant in the small municipality of Guayatá. In turn, in Andes, a high electricity price (100 USD/MWh) would entail a positive IRR of 2.6%. In Pasto, which is the biggest city of the three, the maximum IRR of landfill gas and anaerobic digestion reached 13.59% and 14.27%, respectively. The results show that these types of projects can have positive economic results if tax and government incentives are taken into account.
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Lundström, T., Hans Åkerstedt, I. Larsson, Jiri Marsalek, and Maria Viklander. "Dynamic Distributed Storage of Stormwater in Sponge-Like Porous Bodies: Modelling Water Uptake." Water 12, no. 8 (July 22, 2020): 2080. http://dx.doi.org/10.3390/w12082080.
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An innovative concept of dynamic stormwater storage in sponge-like porous bodies (SPBs) is presented and modelled using first principles, for down-flow and up-flow variants of SPBs. The rate of inflow driven by absorption and/or capillary action into various porous material structures was computed as a function of time and found to be critically dependent on the type of structure and the porous material used. In a case study, the rates of inflow and storage filling were modelled for various conditions and found to match, or exceed, the rates of rainwater inflow and volume accumulation associated with two types of Swedish rainfalls, of 60-min duration and a return period of 10 years. Hence, the mathematical models indicated that the SPB devices studied could capture relevant amounts of water. The theoretical study also showed that the SPB concepts could be further optimized. Such findings confirmed the potential of dynamic SPB storage to control stormwater runoff and serve as one of numerous elements contributing to restoration of pre-urban hydrology in urban catchments. Finally, the issues to be considered in bringing this theoretical concept to a higher Technological Readiness Level were discussed briefly, including operational challenges. However, it should be noted that a proper analysis of such issues requires a separate study building on the current presentation of theoretical concepts.
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Azaza, Mohamed S., and Mohamed N. Dhraief. "Modeling the Effects of Water Temperature on Growth Rates, Gastric Evacuation and the Return of Appetite in Juvenile Nile Tilapia, Oreochromis niloticus L." Journal of Agricultural Science 12, no. 8 (July 15, 2020): 191. http://dx.doi.org/10.5539/jas.v12n8p191.
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Optimized aquafeeds have long been a major concern of the sustainable aquaculture development. Not only should the feed composition meet the nutritional requirements of the fish, it should also be reasonably managed (feed ration and feeding frequency) to enhance the feed utilisation efficiency, growth performance and decrease the amount of wastes. At present there is no detailed information on how rearing temperature impacts gastric evacuation rate, return of appetite (RA) and daily feed ration among tilapias, considered as one of the leading fish species for worldwide aquaculture production. The objective of this study was to develope mathematical models to estimate maximum daily feed intake for Nile tilapia in relation to feeding frequency and water temperature. Growth was measured in 480 fish (initial body mass 4.30&plusmn;0.02 g) fed in slight excess, following their exposure to four thermal treatment (22, 26, 30 and 34 &deg;C) (four replications per treatment, 21-days rearing period, growth monitoring at 5-days intervals). Gastric evacuation and return of appetite measurement were made by radiographic technique. 
 
 A growth model was developed using a stepwise multiple-regression analysis against fish body mass and water temperature (r2 = 0.939, df = 15) as follow: SGR (%M/day) = -70.606 + 98.433 Log T&deg; &ndash; 33.762 (Log T&deg;)2 - 0.153 Log M (Log T&deg;)2. The gastric emptying was described by an exponential function, which was found to be inversely related to the RA. The instantaneous evacuation rates (Re) determined by linearizing the data were strongly affected by rearing temperature (Q10 = 0.047) in Nile tilapia. The RA following a satiation meal was also significantly dependent on rearing temperature. Based on these data, the maximum daily feed consumption was estimated in relation to feeding schedule for juvenile tilapia reared at different temperatures. 
 
 Considering that unsuitable use of feed adversely impacts on the farm revenue and profit, these results contribute to improve feed management strategies.