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1 – 10 of over 6000Jill M. Phillips and Ani L. Katchova
This study examines credit score migration rates of farm businesses, testing whether migration probabilities differ across business cycles. Results suggest that agricultural…
Abstract
This study examines credit score migration rates of farm businesses, testing whether migration probabilities differ across business cycles. Results suggest that agricultural credit ratings are more likely to improve during expansions and deteriorate during recessions. The analysis also tests whether agricultural credit ratings depend on the previous period migration trends. The findings show that credit score ratings exhibit trend reversal where upgrades (downgrades) are more likely to be followed by downgrades (upgrades).
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James J. Divoky and Mary Anne Rothermel
The purpose of this paper is to explore and analyze the effectiveness of long period supplementary zone rules that can simultaneously increase chart sensitivity to small process…
Abstract
Purpose
The purpose of this paper is to explore and analyze the effectiveness of long period supplementary zone rules that can simultaneously increase chart sensitivity to small process drift and not significantly increase the false alarm rate.
Design/methodology/approach
A stable, on‐target process was simulated and drift induced into the process. The rates of drift varied from 0.03σ to .0003σ per subgroup measurement. A total of 613 different supplementary zone rules were implemented in conjunction with the three‐sigma limiting rule. For each combination, 100,000 observations were simulated and the effect on the false alarm rate and increase in chart sensitivity estimated. An effectiveness measure was developed to relate false alarm rate to chart sensitivity.
Findings
A total of 87 rules were uncovered which effectively detected a wide range of process drifts. When the increase in chart sensitivity is discounted by the false alarm rate, 13 rules increased chart sensitivity by over 10 percent. These rules were based on longer rather than shorter rule length.
Research limitations/implications
The effective rules discovered form a nonlinear pattern in the space the examined rules define. This indicates a direction for future research outside the scope of this study. These rules are also easy to implement in existing Shewhart chart applications where the process drifts at an unknown rate.
Originality/value
While supplementary trend rules have been studied in the past, the extension to zone rules has not been made. This study begins to fill that void and indicates the direction for future efforts in the area.
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James J. Divoky and Richard W. Taylor
Examines trend rules in conjunction with other well‐knownsupplementary runs rules to assess their impact when used in controlcharting. Focuses on a set of 613 trend rules deemed…
Abstract
Examines trend rules in conjunction with other well‐known supplementary runs rules to assess their impact when used in control charting. Focuses on a set of 613 trend rules deemed as potential candidates to increase the sensitivity of the control chart. The examined rules are viewed in the light of a stable environment, which determines the false alarm rate, and then in an environment in which the process mean is subjected to drift. Results indicate that there are subsets of trend rules that aid in the detection of out‐of‐control conditions depending on the severity of the drift and the number of zonal‐based supplementary runs rules used.
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This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric…
Abstract
This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing of diffusion processes, nonparametric testing of parametric diffusion models, nonparametric pricing of derivatives, nonparametric estimation and hypothesis testing for nonlinear pricing kernel, and nonparametric predictability of asset returns. For each financial context, the paper discusses the suitable statistical concepts, models, and modeling procedures, as well as some of their applications to financial data. Their relative strengths and weaknesses are discussed. Much theoretical and empirical research is needed in this area, and more importantly, the paper points to several aspects that deserve further investigation.
J.K. Atkinson, M. Glanc, M. Prakorbjanya, M. Sophocleous, R.P. Sion and E. Garcia‐Breijo
The purpose of this paper is to report thick film environmental and chemical sensor arrays designed for deployment in both subterranean and submerged aqueous applications.
Abstract
Purpose
The purpose of this paper is to report thick film environmental and chemical sensor arrays designed for deployment in both subterranean and submerged aqueous applications.
Design/methodology/approach
Various choices of materials for reference electrodes employed in these different applications have been evaluated and the responses of the different sensor types are compared and discussed.
Findings
Results indicate that the choice of binder materials is critical to the production of sensors capable of medium term deployment (e.g. several days) as the binders not only affect the tradeoff between hydration time and drift but also have a significant bearing on device sensitivity and stability. Sensor calibration is shown to remain an issue with long‐term deployments (e.g. several weeks) but this can be ameliorated in the medium term with the use of novel device fabrication and packaging techniques.
Originality/value
The reported results indicate that is possible through careful choice of materials and fabrication methods to achieve near stable thick film reference electrodes that are suitable for use in solid state chemical sensors in a variety of different application areas.
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The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying…
Abstract
Purpose
The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications.
Design/methodology/approach
The volatility of the financial market price is usually defined with the standard deviation or variance of the price or price returns. This standard definition of volatility is split into the upper part and the lower one, which are termed here as Yang volatility and Yin volatility. However, the definition of yin‐yang volatility depends on the scale of the time, thus the notion of scale space of price‐time is also introduced.
Findings
It turns out that the duality of yin‐yang volatility expresses not only the asymmetry of price volatility, but also the information about the trend. The yin‐yang volatilities in the scale space of price‐time provide a complete representation of the information about the multi‐level trends and asymmetric volatilities. Such a representation is useful for designing strategies in market risk management and technical trading. A trading robot (a complete automated trading system) was developed using yin‐yang volatility, its performance is shown to be non‐trivial. The notion and model of yin‐yang volatility has opened up new possibilities to rewrite the option pricing formulas, the GARCH models, as well as to develop new comprehensive models for foreign exchange markets.
Research limitations/implications
The asymmetry of price volatility and the magnitude of volatility in the scale space of price‐time has yet to be united in a more coherent model.
Practical implications
The new model of yin‐yang volatility and scale space of price‐time provides a new theoretical structure for financial market risk. It is likely to enable a new generation of core technologies for market risk management and technical trading strategies.
Originality/value
This work is original. The new notion and model of yin‐yang volatility in scale space of price‐time has cracked up the core structure of the financial market risk. It is likely to open up new possibilities such as: a new portfolio theory with a new objective function to minimize the sum of the absolute yin‐volatilities of the asset returns, a new option pricing theory using yin‐yang volatility to replace the symmetric volatility, a new GARCH model aiming to model the dynamics of yin‐yang volatility instead of the symmetric volatility, new technical trading strategies as are shown in the paper.
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Jow‐Ran Chang, Mao‐Wei Hung and Feng‐Tse Tsai
This paper aims to provide a new approach to evaluate intellectual property (IP) and uses a cautious view of how volatility impacts the economic value of IPs.
Abstract
Purpose
This paper aims to provide a new approach to evaluate intellectual property (IP) and uses a cautious view of how volatility impacts the economic value of IPs.
Design/methodology/approach
Real option is a useful tool for valuing investments under uncertainty and if it is applied to the valuation of IP with some modifications, it is also widely accepted. However, it is still debatable whether there is a constant rate‐of‐return. This paper incorporates a sensitivity variable to account for the volatility of the expected rate of return. Thus, rate‐of‐return can be a constant or increase with volatility.
Findings
First, it was found in the simple model that Vega may be negative when the option is deep in the money. Second, in the general model, the option can be seen as a sequence of options and under the constant rate‐of‐return shortfall setting, it resembles traditional financial options with positive Vega.
Originality/value
The scenario set‐up allows the authors to explain why uncertainties of future cash flows drive firms to invest now instead of later.
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Jun Seong Ho and James B. Lewis
Since 1997, a quantitative revolution has swept Korean economic history and generated a new paradigm. From 1700 to 1900 the Korean economy expanded and contracted along lines…
Abstract
Since 1997, a quantitative revolution has swept Korean economic history and generated a new paradigm. From 1700 to 1900 the Korean economy expanded and contracted along lines suggested by Adam Smith. Economic expansion was based on productive land and a stable commodity market. The direct result was high real skilled wages. Economic contraction became clear from the mid-nineteenth century when the value of land declined, commodity prices rose, and real skilled wages fell. The contraction was apparent before the appearance of Japanese imperialism and the absorption of Korea into the international commodity market after 1876.
Rui Fernandes, Borges Gouveia and Carlos Pinho
This paper intends to quantify the impact of anticipating a capacity expansion, treated as a risky investment in a strategic vertical integration.
Abstract
Purpose
This paper intends to quantify the impact of anticipating a capacity expansion, treated as a risky investment in a strategic vertical integration.
Design/methodology/approach
This paper adapts the real option methodology to a time frame model. It uses a case study to investigate the vertical integration approach.
Findings
The integration value depends on the demand critical level under market volatility. The existence of demand positive jumps affects the demand critical value and the integration decision moment.
Research limitations/implications
The numerical example is limited to a single organization, but the findings allow a generalization of the proposed framework.
Practical implications
The model helps managers to more accurately decide to change from outsourcing to an integration strategy and defer commitment until future uncertainties, related with market and lack of information, can be partially solved. Finally, the paper provides a time framework for a strategic decision support system.
Originality/value
The research in this paper differs from previous literature mainly in four aspects: it quantifies the integration decision under demand uncertainty; its model determines critical demand quantities as the trigger moment for a capacity investment; it examines the impact, on the trigger moment, of the uncertainties in demand for products; and its model incorporates positive shocks impacts in products' demand, making a closer approach to the reality.
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