Trading Volume and Serial Correlation in Stock Returns in Pakistan. Abstract
|
|
- Amos George
- 8 years ago
- Views:
Transcription
1 Tading Volume and Seial Coelation in Stock Retuns in Pakistan Khalid Mustafa Assistant Pofesso Depatment of Economics, Univesity of Kaachi and Mohammed Nishat Pofesso and Chaiman, Finance and Economics Institute of Business Administation, Kaachi Phone#-4-4 Fax Abstact This pape examines the elationship between aggegate stock maket tading volume and seial coelation of daily stock etuns duing Decembe 99 to Decembe. The esults show that the noninfomational tade has a significant effect on pices and tading activity in addition to pesent etuns, nonlinea volume and volatility. It indicates that stock etuns moved too much due to change in the fundamentals, aggegate expected etuns, and changes in effective isk avesion of maket paticipants. The same esults found in pe-nuclea test peiod (Decembe 4, 99 to May 8, 998). Howeve, the weak and insignificant esult found in post-nuclea test peiod (May 8, 998 to Decembe 3, ). The second ode autocoelation indicates a positive and weak elation as compaed to fist ode autocoelation. Moeove, it is positive when it elates to weighted tading volume in entie sample peiod and two sub-sample peiods. It implies that the ole of infomation is effective afte two days and noninfomatiol ole is less effective.
2 Tading Volume and Seial Coelation in Stock Retuns in Pakistan Khalid Mustafa Muhammad Nishat. Intoduction The fluctuation in tading activity is not only explained by publicly available infomation but also by noninfomation tade due to events, shot selling, and inside tades. These factos ae exogenous to the geneal pice behaviou in stock maket (Campbell, Gossman and Wang 993). Howeve, these fluctuation ceates the simila effect to those poduced by a change in the isk avesion of significant popotion of maket paticipants (Ali, 997). The academic liteatue povides the association between tading volume and stock etun volatility. It is also found that high stock volume is linked with volatility and positive elation between stock etuns and volume. Mose (98) found that the seial coelation of etuns in high volume and high volume peiods tend to have positively autocoelated etuns. Le Baon (99a) and Sentana and Wadhwani (99) showed that autocoelation of daily stock etuns change with the vaiance of etuns. Duffee (99) established the elation between seial coelation and tading volume in aggegate monthly data. Campbell, Gossman and Wang (993) examined the elationship between aggegate stock maket tading volume and the seial coelation of daily stock etun. They found that a stock pice decline on high volume day is moe likely than a stock pice decline on low volume day to be associated with an incease in the expected stock etun. Oman and Mckenzie () investigated the elation between volume of tade and conditional vaiance of tade and found the significant elation between timing of innovational outlies in etuns and volume. Duing ealy nineties the non-infomational factos geate influence on stock maket activity in Pakistan. These factos ae include stuctued changes in stock maket, constucting the stock pice index, based on maket capitalization. These wee the esult of financial libealisation and deegulation policy (Nishat, 999). This has impotant impact in the fom of uncetainty and isk avesion. Due to inadequate egulatoy and weak enfocement of ules, thee has isen the poblem like as inside tading and unchecked magin equiement tading. As a esult these ceated the leveage (Nishat, ), which can easily foced investos in bankuptcy poblem if the investos expectation about futue pices ae not ealised. A numbe of mega poject in pioity sectos like PTCL, Hubco and othes which attacted the investos specially the foeign investos took away all excess liquidity, which in tuns spaked off the stock selling fo wanted of liquidity and this esulted in pice fluctuations. Pefeential teatment fo boke as jobbe and involvement in speculative tade wee also the eason of undue fluctuation in pices. The deteioating situation of law and ode and gooming political instability advesely affected the stock pices. A lage potion of capital Govenment of Pakistan povided subsidies and special tax teatment to these sectos in 99s (Economic suvey of Pakistan, Ministy of Finance).
3 inflow in stock maket was due to potfolio investment. The inflow and out flow of capital depends on the political and economic condition of the county. It is also caused of excessive fluctuation in stock maket (Nishat, ). Ali (997) studied the elationship between stock pices and tading volume in context of Kaachi stock maket s daily data fo vey small time peiod i.e. nine months data. He found that significance of non-infomational tade in explaining the fluctuations in stock pices. The pupose of the study is to investigate the non-infomational tade in Kaachi stock maket using tading volume data. It is difficult to test non-infomational tade by using meely the stock etun data (Ali, 997). The basic logic to use the volume is that the tading activity has explanatoy powe in addition to past etuns, and pice changes accompanied by high volume tend to be evesed (Ali, 997). We de-tend the data of volume and etun and check the stationay of the data by using the Phillips Peon test and then estimate the etun on volatility and tading volume. The est of the pape is oganized such that next section discusses the econometic technique, methodology and descibed the data used in this pape. Section thee pesent the empiical esults. Conclusions ae given in section fou.. Econometic Methodology and Data The main etun seies used in this pape is daily etun ( t ) on value weighted index of stock taded on KSE, ove the peiod Decembe 4, 99 to Decembe 3,. Tading volume (V t ) data and stock pice data ae collected fom daily newspape Business Recode. The stock etun seies is geneated by fist diffeence of log pices and tading volume is used as the log of daily tun ove. We test two seial coelation to find the influence of cuent pice on futue pice. t + t + = α + α + β i i () () To check the day of the week effect we intoduced the dummy vaiables. = α + α + t + β + t α i β i D i i D i i (3) (4) The ole of non-infomational tade on stock pices is detemined by intoducing the change in volume as non-infomation facto. We multiply the tading volume with etuns. Tading volume gives the weight to etuns on those days when tading volume is highe than the etuns on the days when it is nomal. By this
4 3 we ae able to find the impact of etuns on the days of highe tade on the next day etuns so ou equation wil become: = α + α + t + β + t α i β D + α V i t i t 3 t t D + β V 3 t t () (6) To test any non-lineaity in the model we intoduced the squae of tading volume and conditional vaiance, which show the nonlinea elation between stock etuns and tading volume. = α + α + t + β + t α i β D + α V i i i D + β V i t 3 t t 3 t t + α V 4 t 4 t + β V t + α σ + t σ i (7) (8) 3. ESTIMATION AND RESULTS Result with the data fom Dec 4, 99 to Dec 3, is likely to be dominated in pe-nuclea test peiod. That is why we split this peiod into two-sub sample peiod, i.e. Decembe 4,99 to May 8, 998 and May 9, 998 to Decembe 3,. Gaph Log Pices Log Volume Gaph shows high fequency vaiation in pices and volume. To educe this vaiation we have taken diffeence of log volume and log pice. We want to wok with stationay time seies. When we elate ou empiical esults to ou theoetical mo del, we want to measue tading volume elative to the capacity of the Pakistan had nuclea test on May 8, 998 that has significant impact on KSE- and it declines fom 4.9 to 789. and tading volume fom Rs6 million to Rs9 million 3
5 4 maket to absob volume. To emove low fequency vaiations fom the vaiance we measue tunove in logs athe in absolute value. To de-tend the log tunove seies, we subtact a twenty day backwad moving aveage of log tunove 3. GRAPH log of etun - log of volume Gaph shows the tansfomed seies of log stock etun and log of tading volume. The gaphs show that the tend and low fequency vaiations have been emoved. Table shows Phillips-Peon Unit Root Test esults, which test the stationaity of seies of etun and tading volume. It indicates that both seies ae stationay in log fom. Table summaise the evidence on the fist ode autocoelation of the index etun. Fo each of the sample peiod, the table epots the autocoelation with a hetoscedasticity consistent standad eos, and R (Model ) statistics fo egession of the one day ahead etun on a constant etun. R (Model ) is just the squae of the autocoelation. The highest autocoelation is obseved in pe-nuclea test peiod which is.9 and the lowest R is obseved in post nuclea test peiod (Model ) which is.. A egession of one day ahead etun on the cuent etun inteacted with dummies of five day has an R (Model ) statistics. R (Model ) is the geate than R (Model ) in full sample peiod and two sub sample peiods of the basic egession, which shows day of the week effect, is lage in Kaachi stock exchange. The day of the week dummies is significant. We include in all ou subsequent egession. Table 3 shows the elationship between tading volume and the fist autocoelation of value weighted etun index. We egess the one day ahead stock etun on the cuent stock etun inteacted with day of the week dummies, tading volume and tading volume squaed and estimated conditional vaiance. The eason is to take volume squaed is to captue any nonlinealy that may exist in the elationship between tading volume and autocoelation. The esults with full sample i.e. 99- shows that.63 pecent of the vaiance of the one day ahead weighted index etun can be explained by a egession on cuent etun 3 Mitchell, Mak L., and J. Haold Mulhen. (994) used twenty day moving aveage to de-tend the data. 4
6 inteacted with day of the week dummies. Howeve, it is pointed out that R inceased by 3.47 pecent when the egession one-day ahead egess with dummies and tading volume. The coefficient on the tading volume and stock etun poduct is -.6 with hetoscedaticity consistent standad eo of.3. The standad deviation of tading volume is.47. Thus as moves fom fou standad deviations below the mean to fou standad deviations above, the fist ode autocoelation of the stock etun is educed by.. This esult is not compatible with volatility when volume is excluded fom egession. Howeve, nonlinea tem of tading volume is significantly negative which implies a the stong evidence fo any specification than linea volume egession. The esults fo pe-nuclea test and post nuclea test espectively ae pesented in table 3. As shown in penuclea test peiod, the aveage fist ode autocoelation of the stock etun is.3 and a egession of the one day ahead etun on the cuent etun associated with day of the week dummies ae explained by 8.98%. It is inceased if we incopoate the tading volume. In post nuclea test peiod, the fist ode autocoelation is smalle i.e..38 and the egession of one day ahead etun on cuent associated with day of the week dummies with volatility ae explained by. pecent. In this peiod R inceased by 3.36% if etuns egess on tading volume, volatility and tading volume squaed. The esult points out that the addition of the data afte nuclea test has stong effect of tading volume on the fist ode autocoelation of etuns. In this peiod the tading volume is significant at pecent. Moeove, these dummies ae excluded, the volume effect becomes much stonge in 99-. This is because the stock pice evesal of the nuclea test is captued by the day of the week dummies when these ae included o by tading volume when dummies ae omitted. The second ode autocoelation of etuns ae highlighted in table 4. The esult indicates that the second ode autocoelation of etun is smalle but statistically significant. Howeve, when day of the week dummy is incopoated, with cuent etun the R statistics of the egession is elatively highe. Table also shows the tading volume and volatility effects on the second ode autocoelation. The esults show the elatively weak tading volume effect as compaed to the fist ode autocoelation. Ove a full sample peiod 99-, the coefficients of tading volume and tading volume squaed ae.78 and.3 with standad eo. and. espectively. This implies that the second ode autocoelation incease with tading volumes and highe values of volume the positive quadatic tem dominates and auto coelation should decease. In pe -nuclea test peiod the simila esults ae obseved. Howeve, the esults ae elatively weak. In post nuclea peiod the coefficients of tading volume and tading volume squaed ae.4 and.3 with standad eo.6 and.3 espectively. This implies that the second ode autocoelation falls with tading volume and at highe value of tading volume the positive quadatic tem dominate and autocoelation should incease.
7 6 4. Conclusion This study investigates the elationship between aggegate stock maket ta ding volume and seial coelation of daily stock etuns duing Decembe 4, 99 to Decembe 3,. The study also identifies any diffeence in this elationship duing pe-nuclea test (Decembe 4, 99 to May 8, 998) and post-nuclea test (May 9, 998 to Decembe 3, ). The esults indicate a fist ode positive autocoelation between futue etuns and pesent etuns. The coelation becomes negative when pesent etuns ae weighted by a change in the tading volume. This implies that non-infomational tade has a significant effect on pices and tading activity has explanatoy powe in addition to pesent etuns, nonlinea tading volume and volatility. The esults also indicate that stock maket moved too much due to change in the fu ndamentals, aggegate expected etuns, and changes in effective isk avesion of maket paticipants. Moeove, the same esults found in pe -nuclea test peiod. Howeve, the weak and insignificant esults wee found in post-nuclea test peiod. It concludes that the addition of post-nuclea test peiod leads to stonge evidence fo tading volume effect on fist ode auto-coelation. The second ode auto-coelation esults indicates a positive and weak elationships as compaed to fist ode autocoelation. Howeve, it positive when it elates to weighted tading volume in entie sample peiod and two sub-sample peiods. It implies that the ole of infomation is effective afte two days and noninfomational ole is less effective. 6
8 7 Refeences Ali, S. S. (997). Pices and Tading Volume in Pakistan Stock Makets, Jounal of Economic Coopeation Among Islamic Counties, 8, 3, -37. Cambell,J. Y. Sanfod J. Gossman and Jiang Wang. (993). Tading Volume and Seial Coelation in Stock Retun, Quately Jounal of Economics, Duffee, Gegoy, (99) Tading Volume and Retun Revesal. Finance and Economics Discussion Seies no. 9, Boad of Govenos of the Fedeal Reseves System. LeBaon, B. (99a) Some Relation between Volatility and Seial Coelation in Stock Maket Retuns. Jounal of Business, LXV, Mitchell, Mak L., and J. Haold Mulhen. (994). The impact of public infomation on the stock maket. Jounal of Finance, 49, No.3. pp Mose, D. (98) Asymmetic Infomation in Secuities Makets and Tading Volume, Jounal of Financial and Quantitative Analysis, XV, Nishat, M. (999), The Impact of Institutional Development on Stock Pices in Pakistan, Doctoal Dissetation, Auckland Business School, Univesity of Auckland. Nishat, M. (), Institutional Development and Risk Pemia in Pakistan, Pape pesented at Asia- Pacific Finance Association Confeence, held in Shanghai, China. Nishat, M. (), The Systematic Risk and Leveage Effect in Copoate Secto of Pakistan, Pakistan Development Review. Nishat, M. and Mustafa, K. (). Anomalies in Kaachi Stock Maket, (Daft). Oman, M.F. and McKenzie F. (). Hetoscedasticity in Stock Retun Data: Revisited Volume veses GARCH Effects, Applied Financial Economics,, 3-6. Sentana, E. and Sushil Wadhwani (99), Feedback Tades and Stock Retun Autocoelation: Evidence fom a Centuy of Daily Data, Economic Jounal, CII 4-4. Uppal, J. (993), The Intenalisation of the Pakistan Stock Maket: An Empiical Investigation, Pakistan Development Review. 3:
9 8 Table Phillips Peon Unit Root Test Vaiable PP test Result Log of etun Stationay Diffeence of Log Volume -.7 Stationay McKinnon citical values fo ejection of hypothesis of a unit oot at significant level of %= -3.43: at %= -.8 at %= -.6 Table I st auto coelation of stock etun. = α + α t + t + Sample peiod α R (Model ) R (Model ) Dec. 4, 99 to Dec. 3, Coefficient.6..3 Standad eo. t-values 6.9 p-values. (Pe-nuclea test ) Dec. 4, 99 to May Coefficient Standad eo. t-values 8.8 p-values. (Post-nuclea test) May to Dec. 3, Coefficient Standad eo.33 t-values.9 p-values.7 t + β t 8
10 9 TABLE 3 Volume Volatility and Fist Autocoelation = α + αt + α idi i + α3v t t + α4v t + αtσ i α 3 α 4 α R Dec. 4, 99 to Dec. 3, Volume Standad eo.4 z- statistics -.74 P-values. Volume Standad eo 9.96 z- statistics.843 P-values.399 Vol. And volatility Standad eo z- statistics P-values Dec. 4, 99 to May Volume Standad eo.9 z- statistics -4.7 P-values. Volatility Standad eo.44 z- statistics 6.4 P-values. Vol. And volatility Standad eo.9..4 z- statistics P-values... May to Dec. 3, Volume Standad eo.8 z- statistics -.4 P-values.8 Volatility Standad eo. z- statistics -.39 P-values. Vol. And volatility Standad eo z- statistics P-values
11 Table 4 nd ode auto coelation of stock etun. = α + α t + t + Sample peiod β R (Model ) R (Model ) Dec. 4, 99 to Dec. 3, Coefficient Standad eo. t-values.7 p-values. Dec. 4, 99 to May Coefficient Standad eo.6 t-values.94 p-values.3 May to Dec. 3, Coefficient.7.6. Standad eo.33 t-values.7 p-values.88 t + β t
12 Table Volume Volatility and Fist Autocoelation t + + βt + β idit + γ V tt + γ Vt t + γ 3σ i t γ γ γ 3 R Dec. 4, 99 to Dec. 3, Volume..4 Standad eo.6 z- statistics. P-values.7 Volatility Standad eo 9.98 z- statistics 6.47 P-values. Vol. Volatility Standad eo z- statistics P-values... Dec. 4, 99 to May Volume.9.9 Standad eo.8 z- statistics.6 P-values.68 Volatility Standad eo 6.7 z- statistics -.8 P-values.86 Vol. And volatility Standad eo z- statistics P-values May to Dec. 3, Volume..6 Standad eo.9 z- statistics.87 P-values. Volatility Standad eo 6.7 z- statistics -.8 P-values.86 Vol. And volatility Standad eo z- statistics P-values
Ilona V. Tregub, ScD., Professor
Investment Potfolio Fomation fo the Pension Fund of Russia Ilona V. egub, ScD., Pofesso Mathematical Modeling of Economic Pocesses Depatment he Financial Univesity unde the Govenment of the Russian Fedeation
More informationHow Much Should a Firm Borrow. Effect of tax shields. Capital Structure Theory. Capital Structure & Corporate Taxes
How Much Should a Fim Boow Chapte 19 Capital Stuctue & Copoate Taxes Financial Risk - Risk to shaeholdes esulting fom the use of debt. Financial Leveage - Incease in the vaiability of shaeholde etuns that
More informationThe Predictive Power of Dividend Yields for Stock Returns: Risk Pricing or Mispricing?
The Pedictive Powe of Dividend Yields fo Stock Retuns: Risk Picing o Mispicing? Glenn Boyle Depatment of Economics and Finance Univesity of Cantebuy Yanhui Li Depatment of Economics and Finance Univesity
More informationExam #1 Review Answers
xam #1 Review Answes 1. Given the following pobability distibution, calculate the expected etun, vaiance and standad deviation fo Secuity J. State Pob (R) 1 0.2 10% 2 0.6 15 3 0.2 20 xpected etun = 0.2*10%
More informationAn Introduction to Omega
An Intoduction to Omega Con Keating and William F. Shadwick These distibutions have the same mean and vaiance. Ae you indiffeent to thei isk-ewad chaacteistics? The Finance Development Cente 2002 1 Fom
More informationChapter 3 Savings, Present Value and Ricardian Equivalence
Chapte 3 Savings, Pesent Value and Ricadian Equivalence Chapte Oveview In the pevious chapte we studied the decision of households to supply hous to the labo maket. This decision was a static decision,
More informationSemipartial (Part) and Partial Correlation
Semipatial (Pat) and Patial Coelation his discussion boows heavily fom Applied Multiple egession/coelation Analysis fo the Behavioal Sciences, by Jacob and Paticia Cohen (975 edition; thee is also an updated
More informationElectricity transmission network optimization model of supply and demand the case in Taiwan electricity transmission system
Electicity tansmission netwok optimization model of supply and demand the case in Taiwan electicity tansmission system Miao-Sheng Chen a Chien-Liang Wang b,c, Sheng-Chuan Wang d,e a Taichung Banch Gaduate
More informationFirstmark Credit Union Commercial Loan Department
Fistmak Cedit Union Commecial Loan Depatment Thank you fo consideing Fistmak Cedit Union as a tusted souce to meet the needs of you business. Fistmak Cedit Union offes a wide aay of business loans and
More informationThe transport performance evaluation system building of logistics enterprises
Jounal of Industial Engineeing and Management JIEM, 213 6(4): 194-114 Online ISSN: 213-953 Pint ISSN: 213-8423 http://dx.doi.og/1.3926/jiem.784 The tanspot pefomance evaluation system building of logistics
More information9:6.4 Sample Questions/Requests for Managing Underwriter Candidates
9:6.4 INITIAL PUBLIC OFFERINGS 9:6.4 Sample Questions/Requests fo Managing Undewite Candidates Recent IPO Expeience Please povide a list of all completed o withdawn IPOs in which you fim has paticipated
More informationOptimal Capital Structure with Endogenous Bankruptcy:
Univesity of Pisa Ph.D. Pogam in Mathematics fo Economic Decisions Leonado Fibonacci School cotutelle with Institut de Mathématique de Toulouse Ph.D. Dissetation Optimal Capital Stuctue with Endogenous
More informationFinancial Planning and Risk-return profiles
Financial Planning and Risk-etun pofiles Stefan Gaf, Alexande Kling und Jochen Russ Pepint Seies: 2010-16 Fakultät fü Mathematik und Witschaftswissenschaften UNIERSITÄT ULM Financial Planning and Risk-etun
More informationQuestions for Review. By buying bonds This period you save s, next period you get s(1+r)
MACROECONOMICS 2006 Week 5 Semina Questions Questions fo Review 1. How do consumes save in the two-peiod model? By buying bonds This peiod you save s, next peiod you get s() 2. What is the slope of a consume
More informationThe LCOE is defined as the energy price ($ per unit of energy output) for which the Net Present Value of the investment is zero.
Poject Decision Metics: Levelized Cost of Enegy (LCOE) Let s etun to ou wind powe and natual gas powe plant example fom ealie in this lesson. Suppose that both powe plants wee selling electicity into the
More informationDefinitions and terminology
I love the Case & Fai textbook but it is out of date with how monetay policy woks today. Please use this handout to supplement the chapte on monetay policy. The textbook assumes that the Fedeal Reseve
More informationChapter 11: Aggregate Demand II, Applying the IS-LM Model Th LM t
Equilibium in the - model The cuve epesents equilibium in the goods maket. Chapte :, Applying the - Model Th t C ( T) I( ) G The cuve epesents money maket equilibium. M L(, ) The intesection detemines
More informationThere is considerable variation in health care utilization and spending. Geographic Variation in Health Care: The Role of Private Markets
TOMAS J. PHILIPSON Univesity of Chicago SETH A. SEABUY AND Copoation LEE M. LOCKWOOD Univesity of Chicago DANA P. GOLDMAN Univesity of Southen Califonia DAIUS N. LAKDAWALLA Univesity of Southen Califonia
More informationest using the formula I = Prt, where I is the interest earned, P is the principal, r is the interest rate, and t is the time in years.
9.2 Inteest Objectives 1. Undestand the simple inteest fomula. 2. Use the compound inteest fomula to find futue value. 3. Solve the compound inteest fomula fo diffeent unknowns, such as the pesent value,
More informationON THE (Q, R) POLICY IN PRODUCTION-INVENTORY SYSTEMS
ON THE R POLICY IN PRODUCTION-INVENTORY SYSTEMS Saifallah Benjaafa and Joon-Seok Kim Depatment of Mechanical Engineeing Univesity of Minnesota Minneapolis MN 55455 Abstact We conside a poduction-inventoy
More informationPersonal Saving Rate (S Households /Y) SAVING AND INVESTMENT. Federal Surplus or Deficit (-) Total Private Saving Rate (S Private /Y) 12/18/2009
1 Pesonal Saving Rate (S Households /Y) 2 SAVING AND INVESTMENT 16.0 14.0 12.0 10.0 80 8.0 6.0 4.0 2.0 0.0-2.0-4.0 1959 1961 1967 1969 1975 1977 1983 1985 1991 1993 1999 2001 2007 2009 Pivate Saving Rate
More informationIntertemporal Macroeconomics
Intetempoal Macoeconomics Genot Doppelhofe* May 2009 Fothcoming in J. McCombie and N. Allington (eds.), Cambidge Essays in Applied Economics, Cambidge UP This chapte eviews models of intetempoal choice
More informationThings to Remember. r Complete all of the sections on the Retirement Benefit Options form that apply to your request.
Retiement Benefit 1 Things to Remembe Complete all of the sections on the Retiement Benefit fom that apply to you equest. If this is an initial equest, and not a change in a cuent distibution, emembe to
More informationTjalling C. Koopmans Research Institute
Tjalling C. Koopmans Reseach Institute Tjalling C. Koopmans Reseach Institute Utecht School of Economics Utecht Univesity Kiekenpitplein 1-3584 EC Utecht The Nethelands telephone +31 30 53 9800 fax +31
More informationChannel selection in e-commerce age: A strategic analysis of co-op advertising models
Jounal of Industial Engineeing and Management JIEM, 013 6(1):89-103 Online ISSN: 013-0953 Pint ISSN: 013-843 http://dx.doi.og/10.396/jiem.664 Channel selection in e-commece age: A stategic analysis of
More informationThe impact of migration on the provision. of UK public services (SRG.10.039.4) Final Report. December 2011
The impact of migation on the povision of UK public sevices (SRG.10.039.4) Final Repot Decembe 2011 The obustness The obustness of the analysis of the is analysis the esponsibility is the esponsibility
More informationAN IMPLEMENTATION OF BINARY AND FLOATING POINT CHROMOSOME REPRESENTATION IN GENETIC ALGORITHM
AN IMPLEMENTATION OF BINARY AND FLOATING POINT CHROMOSOME REPRESENTATION IN GENETIC ALGORITHM Main Golub Faculty of Electical Engineeing and Computing, Univesity of Zageb Depatment of Electonics, Micoelectonics,
More informationHEALTHCARE INTEGRATION BASED ON CLOUD COMPUTING
U.P.B. Sci. Bull., Seies C, Vol. 77, Iss. 2, 2015 ISSN 2286-3540 HEALTHCARE INTEGRATION BASED ON CLOUD COMPUTING Roxana MARCU 1, Dan POPESCU 2, Iulian DANILĂ 3 A high numbe of infomation systems ae available
More informationINITIAL MARGIN CALCULATION ON DERIVATIVE MARKETS OPTION VALUATION FORMULAS
INITIAL MARGIN CALCULATION ON DERIVATIVE MARKETS OPTION VALUATION FORMULAS Vesion:.0 Date: June 0 Disclaime This document is solely intended as infomation fo cleaing membes and othes who ae inteested in
More informationHow do investments in heat pumps affect household energy consumption?
Discussion Papes Statistics Noway Reseach depatment No. 737 Apil 203 Bente Halvosen and Bodil Meethe Lasen How do investments in heat pumps affect household enegy consumption? Discussion Papes No. 737,
More informationSTUDENT RESPONSE TO ANNUITY FORMULA DERIVATION
Page 1 STUDENT RESPONSE TO ANNUITY FORMULA DERIVATION C. Alan Blaylock, Hendeson State Univesity ABSTRACT This pape pesents an intuitive appoach to deiving annuity fomulas fo classoom use and attempts
More informationMean-Reverting-Ebit-Based Stock Option Evaluation: Theory and Practice
Jounal of Applied Finance & aning, vol. 3, no. 5, 03, 35-36 ISSN: 79-6580 pint vesion, 79-6599 online Scienpess Ltd, 03 Mean-Reveting-bit-ased Stoc Option valuation: Theoy and Pactice Hassan l Ibami Abstact
More informationValuation of Floating Rate Bonds 1
Valuation of Floating Rate onds 1 Joge uz Lopez us 316: Deivative Secuities his note explains how to value plain vanilla floating ate bonds. he pupose of this note is to link the concepts that you leaned
More informationFI3300 Corporate Finance
Leaning Objectives FI00 Copoate Finance Sping Semeste 2010 D. Isabel Tkatch Assistant Pofesso of Finance Calculate the PV and FV in multi-peiod multi-cf time-value-of-money poblems: Geneal case Pepetuity
More informationA framework for the selection of enterprise resource planning (ERP) system based on fuzzy decision making methods
A famewok fo the selection of entepise esouce planning (ERP) system based on fuzzy decision making methods Omid Golshan Tafti M.s student in Industial Management, Univesity of Yazd Omidgolshan87@yahoo.com
More informationCONCEPT OF TIME AND VALUE OFMONEY. Simple and Compound interest
CONCEPT OF TIME AND VALUE OFMONEY Simple and Compound inteest What is the futue value of shs 10,000 invested today to ean an inteest of 12% pe annum inteest payable fo 10 yeas and is compounded; a. Annually
More informationSoftware Engineering and Development
I T H E A 67 Softwae Engineeing and Development SOFTWARE DEVELOPMENT PROCESS DYNAMICS MODELING AS STATE MACHINE Leonid Lyubchyk, Vasyl Soloshchuk Abstact: Softwae development pocess modeling is gaining
More informationA Capacitated Commodity Trading Model with Market Power
A Capacitated Commodity Tading Model with Maket Powe Victo Matínez-de-Albéniz Josep Maia Vendell Simón IESE Business School, Univesity of Navaa, Av. Peason 1, 08034 Bacelona, Spain VAlbeniz@iese.edu JMVendell@iese.edu
More informationThe Role of Gravity in Orbital Motion
! The Role of Gavity in Obital Motion Pat of: Inquiy Science with Datmouth Developed by: Chistophe Caoll, Depatment of Physics & Astonomy, Datmouth College Adapted fom: How Gavity Affects Obits (Ohio State
More informationSupply chain information sharing in a macro prediction market
Decision Suppot Systems 42 (2006) 944 958 www.elsevie.com/locate/dss Supply chain infomation shaing in a maco pediction maket Zhiling Guo a,, Fang Fang b, Andew B. Whinston c a Depatment of Infomation
More informationControlling the Money Supply: Bond Purchases in the Open Market
Money Supply By the Bank of Canada and Inteest Rate Detemination Open Opeations and Monetay Tansmission Mechanism The Cental Bank conducts monetay policy Bank of Canada is Canada's cental bank supevises
More informationStrategic Asset Allocation and the Role of Alternative Investments
Stategic Asset Allocation and the Role of Altenative Investments DOUGLAS CUMMING *, LARS HELGE HAß, DENIS SCHWEIZER Abstact We intoduce a famewok fo stategic asset allocation with altenative investments.
More informationSaving and Investing for Early Retirement: A Theoretical Analysis
Saving and Investing fo Ealy Retiement: A Theoetical Analysis Emmanuel Fahi MIT Stavos Panageas Whaton Fist Vesion: Mach, 23 This Vesion: Januay, 25 E. Fahi: MIT Depatment of Economics, 5 Memoial Dive,
More informationQuestions & Answers Chapter 10 Software Reliability Prediction, Allocation and Demonstration Testing
M13914 Questions & Answes Chapte 10 Softwae Reliability Pediction, Allocation and Demonstation Testing 1. Homewok: How to deive the fomula of failue ate estimate. λ = χ α,+ t When the failue times follow
More informationThe future challenges of Healthcare
The futue challenges of Healthcae D. Eich Hunzike CFO F. Hoffmann La Roche Ltd. JPMogan Healthcae Confeence San Fancisco, Januay 12, 2005 This pesentation contains cetain fowad-looking statements. These
More informationConcept and Experiences on using a Wiki-based System for Software-related Seminar Papers
Concept and Expeiences on using a Wiki-based System fo Softwae-elated Semina Papes Dominik Fanke and Stefan Kowalewski RWTH Aachen Univesity, 52074 Aachen, Gemany, {fanke, kowalewski}@embedded.wth-aachen.de,
More informationVISCOSITY OF BIO-DIESEL FUELS
VISCOSITY OF BIO-DIESEL FUELS One of the key assumptions fo ideal gases is that the motion of a given paticle is independent of any othe paticles in the system. With this assumption in place, one can use
More informationContingent capital with repeated interconversion between debt and equity
Contingent capital with epeated inteconvesion between debt and equity Zhaojun Yang 1, Zhiming Zhao School of Finance and Statistics, Hunan Univesity, Changsha 410079, China Abstact We develop a new type
More informationSkills Needed for Success in Calculus 1
Skills Needed fo Success in Calculus Thee is much appehension fom students taking Calculus. It seems that fo man people, "Calculus" is snonmous with "difficult." Howeve, an teache of Calculus will tell
More informationThe Incidence of Social Security Taxes in Economies with Partial. Compliance: Evidence from the SS Reform in Mexico
The Incidence of Social Secuity Taxes in Economies ith Patial Compliance: Evidence fom the SS Refom in Mexico Gecia M. Maufo Abstact Looking at impovements in social secuity benefits in Mexico, this pape
More informationFinancial Derivatives for Computer Network Capacity Markets with Quality-of-Service Guarantees
Financial Deivatives fo Compute Netwok Capacity Makets with Quality-of-Sevice Guaantees Pette Pettesson pp@kth.se Febuay 2003 SICS Technical Repot T2003:03 Keywods Netwoking and Intenet Achitectue. Abstact
More informationLoyalty Rewards and Gift Card Programs: Basic Actuarial Estimation Techniques
Loyalty Rewads and Gift Cad Pogams: Basic Actuaial Estimation Techniques Tim A. Gault, ACAS, MAAA, Len Llaguno, FCAS, MAAA and Matin Ménad, FCAS, MAAA Abstact In this pape we establish an actuaial famewok
More informationCommon and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies
2004s-62 Common and Fundamental Factos in Stock Retuns of Canadian Oil and Gas Companies M. Matin Boye, idie Filion Séie Scientifique Scientific Seies Montéal écembe 2004 2004 M. Matin Boye, idie Filion.
More informationHard work versus good intentions: Stock options as compensation
Had wok vesus good intentions: Stock options as compensation John M. aon a len R. Waddell b, * a Depatment of conomics, Pudue Univesity, W. Lafayette, IN 47907-1310, USA b Depatment of conomics, Univesity
More informationContinuous Compounding and Annualization
Continuous Compounding and Annualization Philip A. Viton Januay 11, 2006 Contents 1 Intoduction 1 2 Continuous Compounding 2 3 Pesent Value with Continuous Compounding 4 4 Annualization 5 5 A Special Poblem
More informationCollege Enrollment, Dropouts and Option Value of Education
College Enollment, Dopouts and Option Value of Education Ozdagli, Ali Tachte, Nicholas y Febuay 5, 2008 Abstact Psychic costs ae the most impotant component of the papes that ae tying to match empiical
More informationDatabase Management Systems
Contents Database Management Systems (COP 5725) D. Makus Schneide Depatment of Compute & Infomation Science & Engineeing (CISE) Database Systems Reseach & Development Cente Couse Syllabus 1 Sping 2012
More informationarxiv:1110.2612v1 [q-fin.st] 12 Oct 2011
Maket inefficiency identified by both single and multiple cuency tends T.Toká 1, and D. Hováth 1, 1 Sos Reseach a.s., Stojáenská 3, 040 01 Košice, Slovak Republic Abstact axiv:1110.2612v1 [q-fin.st] 12
More informationPromised Lead-Time Contracts Under Asymmetric Information
OPERATIONS RESEARCH Vol. 56, No. 4, July August 28, pp. 898 915 issn 3-364X eissn 1526-5463 8 564 898 infoms doi 1.1287/ope.18.514 28 INFORMS Pomised Lead-Time Contacts Unde Asymmetic Infomation Holly
More informationResearch on Risk Assessment of the Transformer Based on Life Cycle Cost
ntenational Jounal of Smat Gid and lean Enegy eseach on isk Assessment of the Tansfome Based on Life ycle ost Hui Zhou a, Guowei Wu a, Weiwei Pan a, Yunhe Hou b, hong Wang b * a Zhejiang Electic Powe opoation,
More informationOpen Economies. Chapter 32. A Macroeconomic Theory of the Open Economy. Basic Assumptions of a Macroeconomic Model of an Open Economy
Chapte 32. A Macoeconomic Theoy of the Open Economy Open Economies An open economy is one that inteacts feely with othe economies aound the wold. slide 0 slide 1 Key Macoeconomic Vaiables in an Open Economy
More informationData Center Demand Response: Avoiding the Coincident Peak via Workload Shifting and Local Generation
(213) 1 28 Data Cente Demand Response: Avoiding the Coincident Peak via Wokload Shifting and Local Geneation Zhenhua Liu 1, Adam Wieman 1, Yuan Chen 2, Benjamin Razon 1, Niangjun Chen 1 1 Califonia Institute
More informationNBER WORKING PAPER SERIES FISCAL ZONING AND SALES TAXES: DO HIGHER SALES TAXES LEAD TO MORE RETAILING AND LESS MANUFACTURING?
NBER WORKING PAPER SERIES FISCAL ZONING AND SALES TAXES: DO HIGHER SALES TAXES LEAD TO MORE RETAILING AND LESS MANUFACTURING? Daia Bunes David Neumak Michelle J. White Woking Pape 16932 http://www.nbe.og/papes/w16932
More informationSolutions to Problems: Chapter 7
Solution to Poblem: Chapte 7 P7-1. P7-2. P7-3. P7-4. Authoized and available hae LG 2; Baic a. Maximum hae available fo ale Authoized hae 2,000,000 Le: Shae outtanding 1,400,000 Available hae 600,000 b.
More informationYARN PROPERTIES MEASUREMENT: AN OPTICAL APPROACH
nd INTERNATIONAL TEXTILE, CLOTHING & ESIGN CONFERENCE Magic Wold of Textiles Octobe 03 d to 06 th 004, UBROVNIK, CROATIA YARN PROPERTIES MEASUREMENT: AN OPTICAL APPROACH Jana VOBOROVA; Ashish GARG; Bohuslav
More informationSpirotechnics! September 7, 2011. Amanda Zeringue, Michael Spannuth and Amanda Zeringue Dierential Geometry Project
Spiotechnics! Septembe 7, 2011 Amanda Zeingue, Michael Spannuth and Amanda Zeingue Dieential Geomety Poject 1 The Beginning The geneal consensus of ou goup began with one thought: Spiogaphs ae awesome.
More informationShaping the future of diabetes care
Shaping the futue of diabetes cae 1 Heino von Pondzynski Head of Roche Diagnostics 2 The idea Roche Diagnostics, the woldwide leade in Diabetes monitoing, and Disetonics, the woldwide numbe 2-playe in
More informationConverting knowledge Into Practice
Conveting knowledge Into Pactice Boke Nightmae srs Tend Ride By Vladimi Ribakov Ceato of Pips Caie 20 of June 2010 2 0 1 0 C o p y i g h t s V l a d i m i R i b a k o v 1 Disclaime and Risk Wanings Tading
More informationHow To Find The Optimal Stategy For Buying Life Insuance
Life Insuance Puchasing to Reach a Bequest Ehan Bayakta Depatment of Mathematics, Univesity of Michigan Ann Abo, Michigan, USA, 48109 S. David Pomislow Depatment of Mathematics, Yok Univesity Toonto, Ontaio,
More informationPatent renewals and R&D incentives
RAND Jounal of Economics Vol. 30, No., Summe 999 pp. 97 3 Patent enewals and R&D incentives Fancesca Conelli* and Mak Schankeman** In a model with moal hazad and asymmetic infomation, we show that it can
More informationDefine What Type of Trader Are you?
Define What Type of Tade Ae you? Boke Nightmae srs Tend Ride By Vladimi Ribakov Ceato of Pips Caie 20 of June 2010 1 Disclaime and Risk Wanings Tading any financial maket involves isk. The content of this
More informationAn Infrastructure Cost Evaluation of Single- and Multi-Access Networks with Heterogeneous Traffic Density
An Infastuctue Cost Evaluation of Single- and Multi-Access Netwoks with Heteogeneous Taffic Density Andes Fuuskä and Magnus Almgen Wieless Access Netwoks Eicsson Reseach Kista, Sweden [andes.fuuska, magnus.almgen]@eicsson.com
More informationTracking/Fusion and Deghosting with Doppler Frequency from Two Passive Acoustic Sensors
Tacking/Fusion and Deghosting with Dopple Fequency fom Two Passive Acoustic Sensos Rong Yang, Gee Wah Ng DSO National Laboatoies 2 Science Pak Dive Singapoe 11823 Emails: yong@dso.og.sg, ngeewah@dso.og.sg
More informationDebt Shifting in Europe
Debt Shifting in Euope Fancesca Baion Paolo Panteghini Univesità di Bescia Ra aele Miniaci Univesità di Bescia Maia Laua Paisi Univesità di Bescia Mach 1, 011 Abstact This aticle aims at analyzing the
More informationEpdf Sulf petroleum, Eflecti and Eeflecti
ANALYSIS OF GLOBAL WARMING MITIGATION BY WHITE REFLECTING SURFACES Fedeico Rossi, Andea Nicolini Univesity of Peugia, CIRIAF Via G.Duanti 67 0615 Peugia, Italy T: +9-075-585846; F: +9-075-5848470; E: fossi@unipg.it
More informationComparing Availability of Various Rack Power Redundancy Configurations
Compaing Availability of Vaious Rack Powe Redundancy Configuations White Pape 48 Revision by Victo Avela > Executive summay Tansfe switches and dual-path powe distibution to IT equipment ae used to enhance
More informationIBM Research Smarter Transportation Analytics
IBM Reseach Smate Tanspotation Analytics Laua Wynte PhD, Senio Reseach Scientist, IBM Watson Reseach Cente lwynte@us.ibm.com INSTRUMENTED We now have the ability to measue, sense and see the exact condition
More informationCHAPTER 10 Aggregate Demand I
CHAPTR 10 Aggegate Demand I Questions fo Review 1. The Keynesian coss tells us that fiscal policy has a multiplied effect on income. The eason is that accoding to the consumption function, highe income
More informationAMB111F Financial Maths Notes
AMB111F Financial Maths Notes Compound Inteest and Depeciation Compound Inteest: Inteest computed on the cuent amount that inceases at egula intevals. Simple inteest: Inteest computed on the oiginal fixed
More informationRisk Sensitive Portfolio Management With Cox-Ingersoll-Ross Interest Rates: the HJB Equation
Risk Sensitive Potfolio Management With Cox-Ingesoll-Ross Inteest Rates: the HJB Equation Tomasz R. Bielecki Depatment of Mathematics, The Notheasten Illinois Univesity 55 Noth St. Louis Avenue, Chicago,
More informationFinancing Terms in the EOQ Model
Financing Tems in the EOQ Model Habone W. Stuat, J. Columbia Business School New Yok, NY 1007 hws7@columbia.edu August 6, 004 1 Intoduction This note discusses two tems that ae often omitted fom the standad
More informationGESTÃO FINANCEIRA II PROBLEM SET 1 - SOLUTIONS
GESTÃO FINANCEIRA II PROBLEM SET 1 - SOLUTIONS (FROM BERK AND DEMARZO S CORPORATE FINANCE ) LICENCIATURA UNDERGRADUATE COURSE 1 ST SEMESTER 2010-2011 Chapte 1 The Copoation 1-13. What is the diffeence
More informationA Study on Management Skills in Equity Ethical Mutual Funds in Spain
Intenational Jounal of Business and Social Science Vol. 3 No. 21; Novembe 2012 A Study on Management Skills in Equity Ethical Mutual Funds in Spain D. Mohammad Ahmad Talalweh Associate Pofesso Quds Open
More informationThe Supply of Loanable Funds: A Comment on the Misconception and Its Implications
JOURNL OF ECONOMICS ND FINNCE EDUCTION Volume 7 Numbe 2 Winte 2008 39 The Supply of Loanable Funds: Comment on the Misconception and Its Implications. Wahhab Khandke and mena Khandke* STRCT Recently Fields-Hat
More informationExperimentation under Uninsurable Idiosyncratic Risk: An Application to Entrepreneurial Survival
Expeimentation unde Uninsuable Idiosyncatic Risk: An Application to Entepeneuial Suvival Jianjun Miao and Neng Wang May 28, 2007 Abstact We popose an analytically tactable continuous-time model of expeimentation
More informationThe Impacts of Congestion on Commercial Vehicle Tours
Figliozzi 1 The Impacts of Congestion on Commecial Vehicle Tous Miguel Andes Figliozzi Potland State Univesity Maseeh College of Engineeing and Compute Science figliozzi@pdx.edu 5124 wods + 7 Tables +
More informationLiquidity and Insurance for the Unemployed*
Fedeal Reseve Bank of Minneapolis Reseach Depatment Staff Repot 366 Decembe 2005 Liquidity and Insuance fo the Unemployed* Robet Shime Univesity of Chicago and National Bueau of Economic Reseach Iván Wening
More informationIgnorance is not bliss when it comes to knowing credit score
NET GAIN Scoing points fo you financial futue AS SEEN IN USA TODAY SEPTEMBER 28, 2004 Ignoance is not bliss when it comes to knowing cedit scoe By Sanda Block USA TODAY Fom Alabama comes eassuing news
More informationA THEORY OF NET DEBT AND TRANSFERABLE HUMAN CAPITAL
A THEORY OF NET DEBT AND TRANSFERABLE HUMAN CAPITAL Bat M. Lambecht Lancaste Univesity Management School Gzegoz Pawlina Lancaste Univesity Management School Abstact Taditional theoies of capital stuctue
More informationDo Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
Do Bonds Span the Fied Income Makets? Theoy and Evidence fo Unspanned Stochastic olatility PIERRE COLLIN-DUFRESNE and ROBERT S. GOLDSTEIN July, 00 ABSTRACT Most tem stuctue models assume bond makets ae
More informationImpact of High Oil Prices on Pakistan s Economic Growth
pecentage Intenational Jounal of Business and Social Science Vol. 2 No. 17 www.ijbssnet.com Impact of High Oil Pices on Pakistan s Economic Gowth Adiqa Kiani, 1 Abstact This pape discussed the impact of
More informationLiquidity and Insurance for the Unemployed
Liquidity and Insuance fo the Unemployed Robet Shime Univesity of Chicago and NBER shime@uchicago.edu Iván Wening MIT, NBER and UTDT iwening@mit.edu Fist Daft: July 15, 2003 This Vesion: Septembe 22, 2005
More informationMoney Market Funds Intermediation and Bank Instability
Fedeal Reseve Bank of New Yok Staff Repots Money Maket Funds Intemediation and Bank Instability Maco Cipiani Antoine Matin Buno M. Paigi Staff Repot No. 599 Febuay 013 Revised May 013 This pape pesents
More informationImproving Software Effort Estimation Using Neuro-Fuzzy Model with SEER-SEM
Global Jounal of Compute Science and Technology Vol. 10 Issue 12 (Ve. 1.0) Octobe 2010 a g e 51 Impoving Softwae Effot Estimation Using Neuo-Fuzzy Model with SEER-SEM Wei Lin Du 1, Danny Ho 2, Luiz Fenando
More informationSignificant value in diagnostic information
U.S. Centalized Oveview Tom Adkins Vice Pesident Sales and Maketing Centalized, USA 1 Centalized Significant value in diagnostic infomation Diagnostic analysis of blood and othe body fluids pefomed in
More informationComparing Availability of Various Rack Power Redundancy Configurations
Compaing Availability of Vaious Rack Powe Redundancy Configuations By Victo Avela White Pape #48 Executive Summay Tansfe switches and dual-path powe distibution to IT equipment ae used to enhance the availability
More informationReduced Pattern Training Based on Task Decomposition Using Pattern Distributor
> PNN05-P762 < Reduced Patten Taining Based on Task Decomposition Using Patten Distibuto Sheng-Uei Guan, Chunyu Bao, and TseNgee Neo Abstact Task Decomposition with Patten Distibuto (PD) is a new task
More informationEquity compensation plans New Income Statement impact on guidance Earnings Per Share Questions and answers
Investos/Analysts Confeence: Accounting Wokshop Agenda Equity compensation plans New Income Statement impact on guidance Eanings Pe Shae Questions and answes IAC03 / a / 1 1 Equity compensation plans The
More information4a 4ab b 4 2 4 2 5 5 16 40 25. 5.6 10 6 (count number of places from first non-zero digit to
. Simplify: 0 4 ( 8) 0 64 ( 8) 0 ( 8) = (Ode of opeations fom left to ight: Paenthesis, Exponents, Multiplication, Division, Addition Subtaction). Simplify: (a 4) + (a ) (a+) = a 4 + a 0 a = a 7. Evaluate
More informationRecovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey
CENTRAL BANK OF THE REPUBLIC OF TURKEY WORKING PAPER NO: 10/03 Recoveing Risk-Neutal Densities fom Exchange Rate Options: Evidence in Tukey Mach 2010 Halil İbahim AYDIN Ahmet DEĞERLİ Pına ÖZLÜ Cental Bank
More information