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Book part
Publication date: 14 September 2007

Chandra R. Bhat and Abdul Rawoof Pinjari

Abstract

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Handbook of Transport Modelling
Type: Book
ISBN: 978-0-08-045376-7

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Article
Publication date: 12 February 2020

Syed Alamdar Ali Shah, Raditya Sukmana and Bayu Arie Fianto

The purpose of this paper is to propose models of duration for maturity gap risk management in Islamic banks.

Abstract

Purpose

The purpose of this paper is to propose models of duration for maturity gap risk management in Islamic banks.

Design/methodology/approach

A thorough review of literature on duration modeling, duration measurement in Islamic banks and Shariah compliance has been conducted to set parameters to develop Shariah-compliant maturity gap risk management mechanism.

Findings

Models based on durations of earning assets and return bearing liabilities using various rates of return earned and paid, benchmark rates and industry standards commonly used by Islamic and conventional banks.

Practical implications

Increased Shariah compliance has threefold impact. Firstly, it will increase trust of customers. Secondly, it will help improve profitability by reducing non-Shariah compliance penalties from the regulators. And finally, it will enhance market capitalization and returns stability to investors because of enhanced customer base, increased level of trust and increased profitability.

Originality/value

This research proposes Shariah-compliant maturity gap risk management models based on the concept of duration according to recommendations of Bank for International Settlements. As there is no such maturity gap risk management mechanism that meets the requirements of Shariah using benchmarks that are common between Islamic and conventional banks; therefore, this research presents risk management solutions that can be applied simultaneously in the entire banking sector.

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Journal of Modelling in Management, vol. 15 no. 3
Type: Research Article
ISSN: 1746-5664

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Article
Publication date: 4 December 2019

Magdalini Titirla and Georgios Aretoulis

This paper aims to examine selected similar Greek highway projects to create artificial neural network-based models to predict their actual construction duration based on…

Abstract

Purpose

This paper aims to examine selected similar Greek highway projects to create artificial neural network-based models to predict their actual construction duration based on data available at the bidding stage.

Design/methodology/approach

Relevant literature review is presented that highlights similar research approaches. Thirty-seven highway projects, constructed in Greece, with similar type of available data, were examined. Considering each project’s characteristics and the actual construction duration, correlation analysis is implemented, with the aid of SPSS. Correlation analysis identified the most significant project variables toward predicting actual duration. Furthermore, the WEKA application, through its attribute selection function, highlighted the most important subset of variables. The selected variables through correlation analysis and/or WEKA and appropriate combinations of these are used as input neurons for a neural network. Fast Artificial Neural Network (FANN) Tool is used to construct neural network models in an effort to predict projects’ actual duration.

Findings

Variables that significantly correlate with actual time at completion include initial cost, initial duration, length, lanes, technical projects, bridges, tunnels, geotechnical projects, embankment, landfill, land requirement (expropriation) and tender offer. Neural networks’ models succeeded in predicting actual completion time with significant accuracy. The optimum neural network model produced a mean squared error with a value of 6.96E-06 and was based on initial cost, initial duration, length, lanes, technical projects, tender offer, embankment, existence of bridges, geotechnical projects and landfills.

Research limitations/implications

The sample size is limited to 37 projects. These are extensive highway projects with similar work packages, constructed in Greece.

Practical implications

The proposed models could early in the planning stage predict the actual project duration.

Originality/value

The originality of the current study focuses both on the methodology applied (combination of Correlation Analysis, WEKA, FannTool) and on the resulting models and their potential application for future projects.

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Journal of Engineering, Design and Technology , vol. 17 no. 6
Type: Research Article
ISSN: 1726-0531

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Article
Publication date: 29 June 2012

Onur Dursun and Christian Stoy

Construction duration is referred to as one of the most crucial success elements for a construction project along with quality and cost. Modelling construction duration

Abstract

Purpose

Construction duration is referred to as one of the most crucial success elements for a construction project along with quality and cost. Modelling construction duration supports decision making at the early stages of a project. Exploring the complex structure of construction duration is necessary; hence this forms a basis to develop a predictive model. Therefore the main aim of this study is to determine the subset of variables for a descriptive model that explains the most substantial part of the variation in construction duration.

Design/methodology/approach

Secondary data set which includes 1,695 observations with 30 quantitative and four qualitative variables was utilized. Multiple linear regression was employed to define the relationship between explanatory variables and construction duration. General procedure for variable selection was presented in detail for data sets that suffer multicollinearity and singularity.

Findings

Analysis indicated that gross external floor area and cost of construction works are the major variables for describing the construction duration. In addition, categorisation with respect to type of facility, project location, availability of construction area, and market conditions was justified to be statistically significant.

Research limitations/implications

The study was limited to the population: German building industry. Besides, the affect of various qualitative variables, identified in the literature, could not be assessed due to lack of data availability.

Originality/value

To the authors' knowledge, the study is the first to assess construction duration for German building projects. Moreover, it provides a method for describing variable selection routine transparently.

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Engineering, Construction and Architectural Management, vol. 19 no. 4
Type: Research Article
ISSN: 0969-9988

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Article
Publication date: 19 September 2016

Isaac Mensah, Theophilus Adjei-Kumi and Gabriel Nani

Determining the duration for road construction projects represents a problem for construction professionals in Ghana. The purpose of this paper is to develop an artificial…

Abstract

Purpose

Determining the duration for road construction projects represents a problem for construction professionals in Ghana. The purpose of this paper is to develop an artificial neural network (ANN) model for determining the duration for rural bituminous surfaced road projects.

Design/methodology/approach

Data for 22 completed bituminous surfaced road projects from the Department of Feeder Roads (rural road agency) were collected and analyzed using the principal component analysis (PCA) and ANN techniques. The data collected were final payment certificates which contained payment bill of quantities (BOQ) of work items executed for the selected completed road projects. The executed quantities in the BOQ were the total quantities of work items for site clearance, earthworks, in-situ concrete, reinforcement, formwork, gravel sub-base/base, bitumen, road line markings and furniture, length of road and actual durations for each of the completed projects. The PCA was first employed to reduce the data in order to identify a smaller number of variables (or significant quantities) that constitute 81.58 percent of the total variance of the collected data. The ANN was then used to develop the network using the identified significant quantities as input variables and the actual durations as output variables.

Findings

The coefficient of correlation (R) and determination (R2) as well as the mean absolute percentage error (MAPE) obtained show that construction professionals can use the developed ANN model for determining duration. The study shows that the best neural network is the multi-layer perceptron with a structure 3-38-1 based on a back propagation feed forward algorithm. The developed network produces good results with an MAPE of 17.56 percent or an average accuracy of 82.44 percent.

Research limitations/implications

Apart from the fact that the sample size was small, the developed model does not incorporate the implications of other likely factors that may affect contract duration.

Practical implications

The outcome of this study is to help construction professionals to fix realistic contract duration for road construction projects before signing a contract. Such realistic contract duration would help reduce time overruns as well as the payment of liquidated and ascertained damages by contractors for late completion.

Originality/value

This paper proposes an alternative way of determining the duration for road construction projects using the total quantities of work items in a final payment BOQ. The approach is based on the PCA and ANN model of quantities of work items of completed road projects.

Details

Engineering, Construction and Architectural Management, vol. 23 no. 5
Type: Research Article
ISSN: 0969-9988

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Article
Publication date: 1 February 2001

A.H. BOUSSABAINE

The first paper of this two‐paper series has developed an understanding of neurofuzzy concept modelling techniques. This second paper demonstrates the power and…

Abstract

The first paper of this two‐paper series has developed an understanding of neurofuzzy concept modelling techniques. This second paper demonstrates the power and versatility of neurofuzzy methods when applied to the determination of construction project duration. The paper explains data selection and preprocessing, the modelling process and optimization of developed models. The paper also presents and discusses the results generated by the developed model.

Details

Engineering, Construction and Architectural Management, vol. 8 no. 2
Type: Research Article
ISSN: 0969-9988

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Article
Publication date: 1 July 2011

Zhang Zongxin and Zhang Xiao

The purpose of this paper is to explain what information is contained in mutual funds' trading behaviors and to try to further assess the impact on the stock market.

Abstract

Purpose

The purpose of this paper is to explain what information is contained in mutual funds' trading behaviors and to try to further assess the impact on the stock market.

Design/methodology/approach

The objective is achieved by an empirical examination using the high‐frequency intraday data. The main methods used for the research are the autoregressive conditional duration model and the UHF‐GARCH model.

Findings

This paper gives an empirical study of mutual funds' behavior on two aspects. The first aspect is the direct impact on micro variables. The results show that mutual funds changing their positions will have different influences to the spread, adding position broadens the spread, while decreasing position makes the spread narrow; behaviors of funds change the clustering characteristic of the duration. The second aspect is the impact on the relationships among micro variables. The results indicate that trading started by liquidity buyers will make volatility larger.

Research limitations/implications

This paper supposes funds as informed traders and individual investors as liquidity traders in China's stock market. If it is not true, some interpretations of empirical results would be wrong. The authors' results may help researchers to understand the information content of funds' trading behaviors in the microstructure aspect.

Originality/value

The paper is an original work, which will be interesting to scholars in market microstructure and to practitioners in the Chinese stock market. The main contributions of the paper are: the use of high‐frequency data to study funds' behaviors and combine the trading duration and investors' trading behavior to analyze the information content of trading behaviors; second, the use of 14 stock samples in the Shanghai Stock Exchange to do the empirical study, which ensures the reliability of the results.

Details

China Finance Review International, vol. 1 no. 3
Type: Research Article
ISSN: 2044-1398

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Article
Publication date: 4 December 2017

Gabriel Nani, Isaac Mensah and Theophilus Adjei-Kumi

A major concern for construction professionals at the rural road agency in Ghana is the problem of fixing contract duration for bridge construction projects in rural…

Abstract

Purpose

A major concern for construction professionals at the rural road agency in Ghana is the problem of fixing contract duration for bridge construction projects in rural areas. The purpose of the study was to develop a tool for construction professionals to forecast duration for bridge projects.

Design/methodology/approach

In all, 100 questionnaires were distributed to professionals at the Department of Feeder Roads to ascertain their views on the work items in a bill of quantities (BOQ) that impact significantly on the duration of bridge construction projects. Historical data for 30 completed bridge projects were also collected from the same Department. The data collected were executed work items in BOQ and actual durations used in completing the works. The qualitative data were analysed using the relative importance index and the quantitative data, processed and analysed using both the stepwise regression method and artificial neural network (ANN) technique.

Findings

The identified predictors, namely, in-situ concrete, weight of prefabricated steel components, gravel sub-base and haulage of aggregates, used as independent variables resulted in the development of a regression model with a mean absolute percentage error (MAPE) of 25 per cent and an ANN model with a feed forward back propagation algorithm with an MAPE of 26 per cent at the validation stage. The study has shown that both regression and ANN models are appropriate for predicting the duration of a new bridge construction project.

Research limitations/implications

The predictors used in the developed models are limited to work items in BOQs only of completed bridge construction projects as well as the small sample size.

Practical implications

The study has developed a working tool for practitioners at the agency to forecast contract duration for bridge projects prior to its commencement.

Originality value

The study has quantified the relationship between the work items in BOQs and the duration of bridge construction projects using the stepwise regression method and the ANN techniques.

Details

Journal of Engineering, Design and Technology, vol. 15 no. 6
Type: Research Article
ISSN: 1726-0531

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Article
Publication date: 19 November 2018

Vasileios Siakoulis

The purpose of this study is to employ a duration-based approach to model the inter-arrival times of bank failures in the US banking system for the period of 1934-2014, in…

Abstract

Purpose

The purpose of this study is to employ a duration-based approach to model the inter-arrival times of bank failures in the US banking system for the period of 1934-2014, in line with the suggestions of Focardi and Fabozzi (2005), who used a similar model for explaining contagion in credit portfolios.

Design/methodology/approach

Conditional duration models that allow duration between bank failures to depend linearly or nonlinearly on its past history are estimated and evaluated.

Findings

The authors find evidence of strong persistence along with nonmonotonic hazard rates, which imply a financial contagion pattern, according to which a high frequency of bank failures generates turbulence, which shortly after leads to additional fails, whereas prolonged periods without abnormal events signify the absence of contagious dependence, which increases the relative periods between bank failure appearance. Further, the authors obtain statistically significant results when they allow duration to depend linearly on past information variables that capture systemic bank crisis factors along with stock and bond market effects.

Originality/value

The originality of this study consists in proposing a new time series approach for the prediction of bank probability of default by incorporating a default-risk contagion mechanism. As contagious bank failures are a key topic in macroprudential supervision, this study could be of value for supervisory authorities in setting pro-active actions and tightening regulatory measures.

Details

The Journal of Risk Finance, vol. 19 no. 5
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 28 April 2020

Syed Alamdar Ali Shah, Raditya Sukmana and Bayu Arie Fianto

The purpose of this research is to propose a framework for research on Macaulay duration and establish future research directions.

Abstract

Purpose

The purpose of this research is to propose a framework for research on Macaulay duration and establish future research directions.

Design/methodology/approach

Thematic, bibliometric and content analyses have been used to review 168 research papers published between 1938 and 2019 taken from ISI Web of Science and Scopus contributed by leading authors, journals and regulatory bodies.

Findings

Identification and integration of themes of duration theory, duration model development and duration model implementation leading to unattended research gaps, and framework for research on Macaulay duration.

Research limitations/implications

The study is based on an extensive review of the literature to extract important themes, research gaps and frameworks. It does not empirically investigate significance of Macaulay duration and various sectors.

Practical implications

This research has several aspects that are helpful for practitioners. Macaulay duration has been the subject of empirical research only without any guiding framework. This research provides a platform to initiate profound researches in various areas of finance. Various proposed models are required to be tested under holistic approach in conventional and emerging fields, especially in Islamic settings.

Originality/value

This research highlights, research themes leading to framework, research gaps and factors that are crucial in developing, extending and testing duration models leading to enhancement of theoretical base of Macaulay duration.

Details

Journal of Economic Studies, vol. 48 no. 1
Type: Research Article
ISSN: 0144-3585

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