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1 – 5 of 5Guglielmo Maria Caporale and Alex Plastun
This paper explores abnormal price changes in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period…
Abstract
Purpose
This paper explores abnormal price changes in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period 01.01.2008–31.12.2018.
Design/methodology/approach
It applies a dynamic trigger approach to detect abnormal price changes and then various statistical methods, including cumulative abnormal returns analysis, to test the following hypotheses: the intraday behaviour of hourly returns on overreaction days is different from that on normal days (H1), there are detectable patterns in intraday price dynamics on days with abnormal price changes (H2) and on the following days (H3).
Findings
The results suggest that there are statistically significant differences between intraday dynamics on days with abnormal price changes and normal days respectively; also, prices tend to change in the direction of the abnormal change during that day, but move in the opposite direction on the following day. Finally, there exist trading strategies that generate abnormal profits by exploiting the detected anomalies, which can be seen as evidence of market inefficiency.
Originality/value
New evidence on abnormal price changes and related trading strategies in the FOREX.
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Keywords
Nelson Alfonso Gómez-Cruz, Isabella Loaiza Saa and Francisco Fernando Ortega Hurtado
The purpose of this paper is to provide a comprehensive survey of the literature about the use of agent-based simulation (ABS) in the study of organizational behavior, decision…
Abstract
Purpose
The purpose of this paper is to provide a comprehensive survey of the literature about the use of agent-based simulation (ABS) in the study of organizational behavior, decision making, and problem-solving. It aims at contributing to the consolidation of ABS as a field of applied research in management and organizational studies.
Design/methodology/approach
The authors carried out a non-systematic search in literature published between 2000 and 2016, by using the keyword “agent-based” to search through Scopus’ business, management and accounting database. Additional search criteria were devised using the papers’ keywords and the categories defined by the divisions and interest groups of the Academy of Management. The authors found 181 articles for this survey.
Findings
The survey shows that ABS provides a robust and rigorous framework to elaborate descriptions, explanations, predictions and theories about organizations and their processes as well as develop tools that support strategic and operational decision making and problem-solving. The authors show that the areas that report the highest number of applications are operations and logistics (37 percent), marketing (17 percent) and organizational behavior (14 percent).
Originality/value
The paper illustrates the increasingly prominent role of ABS in fields such as organizational behavior, strategy, human resources, marketing and logistics. To-date, this is the most complete survey about ABS in all management areas.
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This paper analyzes variations in the effects of monetary and fiscal shocks on responses of macroeconomic variables, determinacy region, and welfare costs due to changes in trend…
Abstract
Purpose
This paper analyzes variations in the effects of monetary and fiscal shocks on responses of macroeconomic variables, determinacy region, and welfare costs due to changes in trend inflation.
Design/methodology/approach
The authors develop the New-Keynesian model, in which the central banks can employ either nominal interest rate (IR rule) or money supply (MS rule) to conduct monetary policies. They also use their capital and recurrent spending budgets to conduct fiscal policies. By using the simulated method of moment (SMM) for parameter estimation, the authors characterize Vietnam's economy during 1996Q1–2015Q1.
Findings
The results report that consequences of monetary policy and fiscal policy shocks become more serious if there is a rise in trend inflation. Furthermore, the money supply might not be an effective instrument, and using the government budget for recurrent spending produces severe consequences in the high-trend inflation economy.
Practical implications
This paper's findings are critical for economists and monetary and fiscal authorities in effectively designing both the monetary and fiscal policies in confronting the shift in the inflation targets.
Originality/value
This is the first paper that examines the effects of trend inflation on the monetary and fiscal policy implementation in the case of Vietnam.
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The term “agent-based modelling” (ABM) is a buzzword which is widely used in the scientific literature even though it refers to a variety of methodologies implemented in different…
Abstract
Purpose
The term “agent-based modelling” (ABM) is a buzzword which is widely used in the scientific literature even though it refers to a variety of methodologies implemented in different disciplinary contexts. The numerous works dealing with ABM require a clarification to better understand the lines of thinking paved by this approach in economics. All modelling tasks are a means and a source of knowledge, and this epistemic function can vary depending on the methodology. this paper is to present four major ways (deductive, abductive, metaphorical and phenomenological) of implementing an agent-based framework to describe economic systems. ABM generates numerous debates in economics and opens the room for epistemological questions about the micro-foundations of macroeconomics; before dealing with this issue, the purpose of this paper is to identify the kind of ABM the author can find in economics.
Design/methodology/approach
The profusion of works dealing with ABM requires a clarification to understand better the lines of thinking paved by this approach in economics. This paper offers a conceptual classification outlining the major trends of ABM in economics.
Findings
There are four categories of ABM in economics.
Originality/value
This paper suggests a methodological categorization of ABM works in economics.
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Seong-Gyu Jeon and Yong Jin Kim
The weapon system of The Navy is the small quantity producing system on multiple kinds. It is consisted of various equipment and the subordinate parts of those which can repair…
Abstract
The weapon system of The Navy is the small quantity producing system on multiple kinds. It is consisted of various equipment and the subordinate parts of those which can repair the damaged part. The operating procedure concerning warship's repair parts managed under these systems is as follows. Firstly, if demand of repair parts occurs from warship which is the operating unit of weapon, then the Fleet(the repair & supply support battalion) is in charge of dealing with these requests. If certain request from warship is beyond the battalion's capability, it is delivered directly to the Logistic Command. In short, the repair and supply support system of repair parts can be described as the multi-level support system. The various theoretical researches on inventory management of Navy's repair parts and simulation study that reflects reality in detail have been carried out simultaneously. However, the majority of existing research has been conducted on aircraft and tank's repairable items, in that, the studies is woefully deficient in the area concerning Navy's inventory management. For that reason, this paper firstly constructs the model of consumable items that is frequently damaged reflecting characteristics of navy's repair parts inventory management using ARENA simulation. After that, this paper is trying to propose methodology to analyze optimal inventory level of each supply unit through OptQuest, the optimization program of ARENA simulation.
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