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Consumer Network and Market Dynamics

Satoshi Itoh, Yasuyuki Murakami, Takashi Iba
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...

Development of a Patent Matching System Using a Hybrid Approach

Suhoun Liu, Hsiu-li Liao, Chou-chih Hsieh
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,...

Combing Extended Kalman Filters and Support Vector Machines for Online Option Price Forecasting

Shian-chang Huang
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...

A fuzzy logic method for solving three-tier FMCDM problems

Chien-chang Chou
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...

A Personal Ubiquitous Distributed Knowledge Pool System

Chen Tsung Hung, Liu Shyh-chang, Wang Peng-shiang, Wan Peng-shiang
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,...

Cost Saving Strategies for Bank Operations

Ann Shawing Yang
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....

A knowledge-based decision support system for government vendor selection and bidding

Wei-kang Wang, Wu Wen, Wen-bin Chang, Hao-chen Huang
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 Fuzzy Candlestick Patterns

Chiung-hon Lee, Alan Liu
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...

Multiple Regime Models and Exchange Rate Forecasting

Chunchih Chen
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...

An Empirical Investigation of Internet Banking Adoption from Bank Personnel Perspective

Wen-hsiung Wu, Yi-ming Tai, Mei-se Chien, Len-kuo Hu
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...

Law and University Efficiency: The Amendment of the University Law in Taiwan

Rong-ruey Duh, Jenn-shyong Kuo
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....

The Credit Risk Pricing with Particle Filter Approach

Her-jiun Sheu, Chih-liang Liu
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...

General Election Hatena: The First Political Prediction Market in Japan

Hiroshi Yamaguchi
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...

On Evolution of Bank Runs

Jie-shin Lin
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...

Application of fuzzy linear programming to transportation planning decision problems with multiple fuzzy goals

Tien-fu Liang
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...

Artificial Neural Networks in Insurance Loss Reserving

Peter Mulquiney
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...

An efficient real-time system for active video conferencing

Leila Sabeti, Q. M. Jonathan Wu, Jason Z. Zhang
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...

A Fuzzy Scheduling System for Dedicated Machine Constraint

Arthur M.d. Shr, Alan Liu, Yen-ru Cheng
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...

1/f Fractal Signals Denoising with Dual-Tree Complex Wavelet Transform

Xueyan Li, Shuxu Guo, Ye Li, Jingwei Fu, Shuai Jiang
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....

Volatility Dynamics of the Greater China Stock Markets: A Multivariate Asymmetric Approach

Kin Yip Ho
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...

Adaptive Fuzzy Modeling For A Large-Scale Nonlinear System

Jialin Liu
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...

A Near-optimal Slot Assignment Algorithm for RFID Reader Networks

Chun-fu Lin, Frank Yeong-sung Lin, Cheng-ta Lee
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.

A New Model of Isoseismal Area Assessment Based on Information Granule Diffusion

Ye Xue, Chongfu Huang
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...

Is Rate of Stock Returns a Leading Indicator of Output Growth? In the Case of Four East Asian Countries

Pei-fen Chen, Chien-chiang Lee, Swee Yoong Wong
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...

Dynamic Handoff Ordering Adjustment for Multimedia Cellular Network

Chow-sing Lin, Ping-jing Huang
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...

A New Method for Ranking Generalized Fuzzy Numbers for Handling Fuzzy Risk Analysis Problems

Shyi-ming Chen, Jim-ho Chen
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...

New Methods for Evaluating Students' Answerscripts Using Vague Values

Shyi-ming Chen, Hui-yu Wang
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...

Inversion detection in text document images

Hamid Pilevar, Ramakrishnan
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...

A new design of laser phase-shift range finder independent of environmental conditions and thermal drift

Shahram Mohammad Nejad, Kiazand Fasihi
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...

Accuracy Improvement in the Nano-Displacement Measurement Based on the Doppler-Interferometry Method by Cross-talk Reduction

Saeed Olyaee, Shahram Mohammad Nejad
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...

Nanometric Displacement Measurement System Using Three-Longitudinal-Mode He-Ne Laser

Shahram Mohammad Nejad, Saeed Olyaee
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...

Feasibility Assessment of Support Vector Regression Models with Immune Algorithms in Predicting Fatigue Life of Composites

Ping-feng Pai, Wei-chiang Hong, Feng-min Lai, Jia-hroung Wu, Shun-lin Yang
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...

A class of nonlinear stochastic volatility models

Jun Yu, Zhenlin Yang
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...

A QoS Improvement for Mobile Network in Large Vehicles

Chia-hui Wang, Te-chih Wang
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...

Scheduling Mechanism for WLAN Frame Aggregation with Priority Support

Yang-sheng Lin, Jun-yao Wang, Wen-shyang Hwang
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...

Hybrid wavelet -SVMs for modelling derivatives valuation

Hsing-wen Wang, Shian-chang Huang
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...

Understanding Social Complex Systems with PlatBox Simulator

Takashi Iba
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,...

Evaluating Uncertain Income Streams under a Regime-Switching Process

Yungchih George Wang
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...

Dynamic Asset Allocation under Stochastic Volatility - Theory and Practice

Chung-gee Lin
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...

Convergence of GARCH Estimators: Theory and Empirical Evidence

Dietmar Maringer, Peter Winker
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...

Assessing the Effect of Oil Price Shock Using an Energy-Economy Decision Model with Technology Characteristics

Shih-mo Lin, Chin-wen Yang, Chung-huang Huang
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...

The Influence of Investor Psychology on Disposition Effect

Shu Chun Hsiao, Sun Pi-chuan
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...

Complexity and entropy density analysis of the Korean stock market

Jeong Won Lee, Joongwoo Park, Hang-hyun Jo, Jae-suk Yang, Hie-tae Moon
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.

The Sequential Compound Option Pricing with Random Interest Rate and Application to Project Valuation

Meng-yu Lee, Fang-bo Yeh, An-pin Chen
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...

Warrants Price forecasting using kernel machine and EKF-ANN: a comparative study

Hsing-wen Wang, Jian-hong Wang, Tse-ping Dong, Sheng-hsun Hsu
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...

The Indicators of M&A or Green Field Investment Behavior: the Evidence from Power Industry

Qiusheng Zhang, Guanghui Ye, Yunhua Chen
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...