Search all articles

This paper suggests that the interaction between consumers has an impact on market structure, in addition to each consumer’s own behavior. In this paper, we replicate the artificial market model proposed by Onozaki and Yanagita, and extend it by adding the network of consumers in order to show that the...

There were many researches about applying various data mining or text mining tools to patent analysis, and there were many scholars and experts have verified the accuracy and the feasibility of those tools. However, since mining tools always tried to analyze the content using some mathematic methodology,...

This study combines extended Kalman filters (EKFs) and support vector machines (SVMs) to implement a fast online predictor for option prices. The EKF is used to infer latent variables and makes a prediction based on the Black-Scholes formula, while the SVM is employed to capture the nonlinear residuals...

The purpose of this paper is to propose a ranking method for solving fuzzy multiple criteria decision making (FMCDM) problems. The representation of multiplication operation on fuzzy numbers is useful for the decision makers to rank all alternatives and choose the best one under the fuzzy multiple criteria...

Recently, owing to the fast-developing of the Internet technology, the popularity of the digital devices and the enhancement of the people’s computer ability, therefore the demand of ubiquitous personal knowledge services has gradually been mature. People can use these services to collect information,...

Recent financial liberalization in Taiwan has caused local banks to face major structural changes. This paper examines the cost structure of 36 local banks in Taiwan using the translog cost function and attempts to identify suitable operating strategies for cost reduction and performance improvements....

In this paper, we present a new framework for knowledge-based decision support systems for government vendor selection and bidding. The system integrates a database, rule base and model base as a tool for managers in the decision-making problems via the Internet. The procurement procedures for and architecture...

A financial decision supporting system based on the fuzzy candlestick pattern is proposed and developed. We model Japanese candlestick patterns by using fuzzy linguistic variables. Japanese candlestick theory is an empirical model of investment decision. The theory assumes that the trend of financial...

We extend the basic random walk Markov-Switching model in two ways and evaluate the out-of-sample forecasting performance on the Japanese yen during 1995-2004. First, we estimate both a two- and also a three-regime Markov switching models. Second, we add four exogenous variables as suggested in the monetary...

About the issue of Internet banking adoption, based on technology acceptance model (TAM), past researches mainly focused on the customers, but seldom researches looked at the Internet banking adoption from banks and their personnel. The bank personnel have financial professionals and are crucial users...

This paper examines the effect of the amendment of an education-related law on university efficiency using the 1994 University Law amendment in Taiwan as a case study. The results indicate that prior to the 1994 amendment; private universities operate in a more efficient manner than public universities....

Traditional evaluation of firm’s market value in credit risk analysis could be contaminated by market noises. The purpose of this article is to price the credit risk in the distance to default with particle filter approach. Compared to the traditional methods, the estimate of the distance to default...

Last year, a Tokyo-based internet venture firm, Hatena Co., ran a political prediction market that was designed to predict the result of the General Election of the Lower House of the Diet, held on September 11, 2005. The market showed reasonable predictive ability that was comparable with the predictions...

Bank runs are usually happened as such that depositors panic and following the consequence of interaction between depositors withdraw their deposits. It is an issue of debt obligation between bank and depositors and an issue of bank capitals distribution among depositors. We consider the role of information...

This work develops a fuzzy linear programming (FLP) method for solving the transportation planning decision (TPD) problems with fuzzy goals, available supply and forecast demand. The proposed method attempts to minimize the total production and transportation costs and the total delivery time with reference...

In this paper we analyse insurance data using Artificial Neural Networks (ANN)[1]. In particular, we use ANN for the problem of Loss Reserving. Loss reserving is the practice of estimating the future payments for the claims which have occurred on an insurance portfolio. A difficulty in forecasting future...

This paper describes a new approach for implementation of an efficient real-time system proper for using in active video conferencing sessions. A camera tracks presenter’s head and its movements and orientations in an unconstrained environment automatically by its pan and tilt actions. Head or face is...

In this paper, we propose the Fuzzy Scheduling System (FSS) to deal with the dedicated machine constraint. The constraint of having a dedicated machine for photolithography process is the new issue introduced in photolithography machinery due to natural bias. If we randomly schedule the wafer lots to...

In the paper, an algorithm based on Dual-Tree Complex Wavelet Transform is proposed for process denoising. Use the variance of the wavelet coefficients at different scales to estimate the parameters of process. Adopting Maximum a Posteriori estimator estimates the wavelet coefficients of process. The...

This paper examines the volatility dynamics of the greater China stock markets (Shanghai A- and B-shares, Shenzhen A- and B-shares, Taiwan, and Hong Kong) by employing a multivariate (tetravariate) framework that incorporates the features of asymmetries, persistence, and time-varying correlations, which...

A data-driven Takagi-Sugeno (TS) fuzzy model is developed for modeling a real plant with the dependent inputs, the nonlinear and the time-varying input-output relation. The collinearity of inputs can be eliminated through the principal component analysis (PCA). The TS model split the operating region...

In this paper, we propose a method that reduces the cycle time of RFID reader networks by overlapping slots. A mathematical formulation of the problem is specified and an effective heuristic algorithm is developed.

Utilizing the technique of information granule diffusion and fuzzy inference with max-min operation, this paper provides a new model to estimate isoseismal area by earthquake magnitude. The model does not depend on any extra condition but scanty historical earthquake recorders. The technique of information...

The link between stock returns and economic growth has been an important research topic in the financial economic literature. The purpose of this study is to employ a threshold vector autoregressive (TVAR) approach in order to investigate the non-linear relationship between stock returns and output growth...

In multimedia cellular network, a Mobile Host (MH) requests multimedia services and may experience handoffs to several cells. When the target cell cannot provide adequate bandwidth for a service, instead of directly dropping a request, the MH is put into the handoff queue and hopefully the request bandwidth...

In this paper, we present a new method for ranking generalized fuzzy numbers for dealing with fuzzy risk analysis problems. The proposed method considers the defuzzified values, the heights and the spreads of generalized fuzzy numbers, simultaneously, for ranking generalized fuzzy numbers. It gets better...

In this paper, we present two new methods for evaluating students’ answerscripts using vague values, where the evaluating marks awarded to the questions in the students’ answerscripts are represented by vague values. The vague mark awarded to each question of a student’s answerscript can be regarded...

OCR makes it possible for the user to edit or search the document’s contents. In this paper we describe a special water fill technique for detecting the upside down text document. Each character has a upside and downside filling capacities. A character may have two sides or one side filling capacity...

This paper presents a technique to improve the performance of laser phase-shift range finders. The phase measurement is performed by using a new method to extract the phase-shift data from the peak of received and transmitted intermediate frequency signal amplitudes. The pulse width modulation is used...

In this paper, accuracy improvement in the displacement measurement systems using Doppler-interferometry method is presented. The cross-talk error reduction methods are also discussed. Based on the mentioned method, a new nano-displacement measurement system is designed. In the designed system, the signal...

In this paper, design and simulation of a nanometric displacement measurement system is discussed. The combination of the Doppler effect and interferometry method is being used. A stabilized three-longitudinal-mode He-Ne laser with 632.8nm wavelength and 35cm cavity length is used. Its primary and secondary...

Predicting fatigue life of composite materials is essential to increase reliability of manufacturing systems. The predicting techniques for fatigue life of composite materials are not widely investigated. The support vector regression (SVR) is an emerging forecasting technique and has been applied in...

This paper proposes a class of nonlinear stochastic volatility (SV) models based on the Box-Cox transformation. The proposed class encompasses many parametric SV models that have appeared in the literature, including the well known lognormal SV model, and has an advantage in the ease with which different...

In large vehicles such as a train, passengers can access Internet through an in-vehicle mobile router to effectively reduce the cost and overhead of roaming to a new network. While we apply the idea of mobile network into large vehicles, the critical issue is how to build up seamless Internet access...

For the overheads of 802.11 WLAN, several frame aggregation mechanisms had been proposed to deal with this shortcoming. Since the rare consideration of QoS in these proposals, we took advantage of 802.11e queueing model to enhance the priority scheduling. This paper approaches to eliminate the decomposition...

Due to the rapid grow up of transaction volume of derivatives in the financial market, the Black-Scholes options pricing model (BSM) is played an important role recently and widely applied in various options contract. However, this theoretical model limited by the influences of many unexpected real world...

This paper presents a framework and tools for modeling and simulating societies as complex systems. Although the concept of the complex systems has been highly demanded in social sciences, there is no satisfactory scheme for modeling and simulating it. In this paper, we propose the model framework, which...

This paper extends the dynamic programming, utility maximization model proposed by Wang (2004) to value an investment opportunity whose income streams follows a regime-switching process in incomplete markets. Specifically, the model is applied to solve for certainty equivalent of an investment opportunity...

This study develops inter-temporal dynamic asset allocation with stochastic volatility (DAASV) models. The DAASV models integrate the stochastic volatility feature inherent in asset returns into the allocation procedure. By applying the DAASV, an investor can more efficiently diversify the unsystematic...

The convergence of estimators, e.g., maximum likelihood estimators, for increasing sample size is well understood in many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the fact, that the estimator cannot always be obtained at tenable...

The significant jump in world crude oil price over the past year has raised great concern over the economic impact that such a price shock may bring about on Taiwan’s economy, which has been characterized by extremely high import-oil dependence. Previous analyses have been tackling similar issue from...

In 1980s, many empirical researches’ findings (i.e., Shiller(1984), Thaler (1985) et al. ) did not support efficient market hypothesis (EMH). Previous studies (e.g., Bernartzi and Thaler, 1995) related to behavioral model suggest that certain market anomalies are consistent with the presence of irrational...

In this paper, we studied complexity and entropy density of stock market by modeling epsilon-machine of Korean Composition Stock Price Index (KOSPI) from year 1992 to 2003 using causal-state splitting reconstruction (CSSR) algorithm.

This paper proposes the pricing formula of sequential compound options (SCOs) with random interest rate and the applications call Milestone Project Valuation (MPV). Most compound options in literatures are 2-fold with constant parameters through time. The multi-fold compound options are just sequential...

The Black-Scholes options pricing model (BSM) is limited by the influences of many unexpected real world phenomena caused due to its six unreasonable assumptions, which often make the miss-pricing result because of the difference of market convention in practical. If we were to soundly take these phenomena...

M&A and green field investment (GFI) are very important methods of company growth. Each of the investment ways could bring different outstanding achievement and development of company, so it is very important to choose the way of investment. This paper discusses the boundary of M&A and green field investment...