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The financial market is complex, evolving and dynamic system, which has an extremely non-linear movement. Thus, investment return prediction represents a significant challenge, especially because of its great diversity, unsteadiness and unstructured data with a high degree of instability and pronounced hidden connections. It is known that accurate prediction of the stock market indexes is very important...
The time series represent a line of observations of unintentional variable in different time periods. The aim of the time series is, on the basis of those observations, to forecast the values of the variable. Further reactions should be predicted on the basis of the data from the past. The research covers the sample representing the Serbian (BELEX15) stock index. The aim of this study is the survey...
Using Malmquist index, this paper measures total factor productivity (TFP) of modern service industry in Yangtze River Delta and Pearl River Delta during 2000-2008, analyzes the sources and trends of TFP growth. Conclusions are made as follows: TFP of modern service industry grew rapidly and had a downward trend in the two zones, and the source of economic growth has shifted from technical efficiency...
This paper discussed the resource of the urban-rural income gap from the aspect of the productivity difference, and we reach the conclusion that the urban-rural income gap mainly resource from the difference in the total factor productivity, the speed of labor transfer, and the capital stock. From the data analysis, we can see the increase of the total factor productivity will help narrow the urban-rural...
Long-distance and large-scale power transmission through ultra-high voltage (UHV) channels is necessary in the foreseeable future of China due to the imbalance between economic development and energy distribution. Mode selection for UHV power transmission, considered as a multi-objective decision-making problem, is the foundation of UHV network planning. Based on the combination weights and the proposed...
Whether the phenomenon of abnormal net redemption exists in Chinese fund market has recently been a controversial issue. An empirical research, based on a multivariate mixed time series model, is conducted to find out the long-term and short-term effects of factors which influence net redemption rate. The empirical results indicate that the abnormal net redemption phenomenon in Chinese fund market...
This paper analyzes the present situation and the existence question of relationship between supply chain partners, then use the customer satisfaction model for analysis, in the end it make appropriate responses and suggestions.
Based on the model of return-based style analysis put forward by Sharpe (1992), the paper made an empirical research on the thirty open-ended funds in China within the sample periods during 2008 and 2011. Through quantifying the degree of the fund style drift and fund performance, this paper studied the relationship between the fund style drift and fund performance. As a result, this paper shows that...
In Malaysia, the Risk Based Capital (RBC) framework was issued by Bank Negara Malaysia (BNM) in April 2007. It was fully implemented on 1 January 2009. The purpose of this study was to examine the impact of the RBC implementation on an insurance company in Malaysia. Subsequently, further analysis was conducted by stress testing the company's capital impact given the adverse plausible event that the...
The purpose of this study is to evaluate the returns performance of Islamic mutual funds in Malaysia according to four types of asset portfolios which are Equity, Debt, Money Market and Asset Allocation. Using Sharpe and Adjusted Sharpe Ratio, Treynor and Jensen Indices as well as Modigliani Measure, the average daily returns for each type of asset fund are being compared relatively to two market...
The objective of this study is to evaluate the overall performance of REITs in Malaysia against Kuala Lumpur Composite Index (KLCI) by using Sharpe and Treynor Ratios, Jensen's Capital Asset Pricing Model (CAPM), Fama-French 3-Factor CAPM as well as Carhart 4-Factor CAPM. The data consist of 14 REITs in Malaysia while the risk free rate is represented by the yield on the 3-month Treasury bills. The...
As new and more sophisticated computer attacks appear across the Internet, sometimes with unknown dimensions and criticality, the implementation of individual security solutions become less effective and in some cases useless. Instead, a combined approach is required to guarantee an appropriate and cost-effective mitigation of such attacks. Most of the current work suggests the deployment of multiple...
Country risk is a quite important factor for international investment. Many institutions and researchers try to assess country risk by using numerous indicators and various evaluation models. This paper investigates the dynamic behavior of country risk in order to offer more detailed information of country risk to investors. First, country beta is taken as the proxy of country risk. Second, dynamic...
To model Chinese ownership-thematic investment, EVT (Extreme Value Theory) is applied in this paper with examples of three typical stock indexes. To characterize the distribution of the selected indexes, POT (Peaks Over Threshold) model is utilized to fit the tails of the distributions. Then VaR and CVaR are computed through the estimated parameters. Empirical results shows that POT model can fit...
In this paper, option selling strategy is discussed which is different from traditional equity and commodity trading strategies. Option selling strategies can achieve various non-linear Profit & Loss (P&L) graphs instead of traditional linear P&L graph. Option sellers make money through taking advantage of time value of option. Option sellers collect premium as time elapses...
Informatization construction becomes an important task of today's power grid enterprises. In order to ensure the informatization implementation, to understand the impact factors of benefit and avoid reckless investment, a reasonable evaluation to the informatization investment efficiency of grid enterprise is needed. This article starts from building index system on the basis of fully understanding...
The existing evaluation index system for enterprise informatization is mostly established for the enterprise informatization application level. And there are not many researches on evaluation index system of informatization investment benefit for enterprises, especially for the grid enterprises. The paper, based on related theories of evaluation for enterprise informatization and combined with characteristics...
Program Trading originates from combination trading technology in 70's in America. It was popular but once it was considered as root of disaster. Nowadays, there are many divergences on program trading risk in international academic world. This essay is to analyze program trading on risk of stock market. The method adopts computational experiment to build artificial stock market under various experimental...
Logistics park construction is a high risk activity for its large investment, long payback period, influenced by many factors. It will result in a great loss that are difficult to restore in a wide range and in a long time to enterprise and society once failure decision. How to properly identify and evaluate the risks of logistics park construction project and manage them has become an important issue...
Technical indicators (TIs) are used to interpret stock market and to predict market trends. The main difficulty in the use of TIs lies in deciding which their optimal parameter values are in each moment, since constant optimal values do not seem to exist. In this work, the use of Multi-Objective Evolutionary Algorithms (MOEAs) is proposed to obtain the best values of the parameters in order to help...
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