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Long-Term Asset Management Strategy under Loss Aversion: A Quasi-Ladder Payoff Distribution Approach

Huai-i Lee, Hsinan Hsu, Len-Kuo Hu
The prospect theory implies that the inclusion of a gain-lock-in device into the floor of portfolio insurance can benefit the long-term asset management under loss aversion. We find that the relaxation of the multiple of the CPPI from a constant to a dynamic can improve the performance in the short-term....

An Improvement on Secure E-mail Protocols Providing Perfect Forward Secrecy

Iuon-Chang Lin, Yang-Bin Lin, Chung-Ming Wang
In 2005, Sun, Hsieh, and Hwang proposed two secure e-mail protocols with perfect forward secrecy. In the first protocol, the authors apply smart card and Diffie-Hellman key agreement scheme to achieve the perfect forward secrecy. However, due to it requires a smart card to store some parameters, it is...

An Interactive Intelligent Search Engine Model Research Based on User Information Preference

Dan Meng, Xu Huang
Web service is very important for both e-commerce and e-government. However, web service process based on syntax level can’t deal with some user query very effectively. In order to make user get more information on the internet, semantic web is presented and a lot of related research results have been...

Mining Objects Correlations to Improve Interactive Virtual Reality Latency

Shao-Shin Hung, Hsing-Jen Chen, Damon Shing-Min Liu
Object correlations are common semantic patterns in virtual reality systems. They can be exploited for improving the effectiveness of storage caching, prefecthing, data layout, and minimization of query-response times. Unfortunately, this information about object correlations is unavailable at the storage...

Fuzzy Distance of Trapezoidal Fuzzy Numbers

Shan Huo Chen, Chien-Chung Wang
Fuzzy distance is applied on data analysis, classification, and production positioning analysis widely. In this paper, We introduction a fuzzy distance by using graded mean integration representation of generalized fuzzy number and the span of fuzzy number, We also discuss the distance of the linguistic...

Adaptive PI Control of Piezoelectric Systems Using Takagi-Sugeno Fuzzy Logic

Gwo-Ruey Yu
This paper presents the nano-positioning control of a piezoelectric platform. A Bouc-Wen model is established to describe the nonlinear hysteretic effect of piezoelectric systems. Three kinds of compensators, traditional PI controller, PI-like fuzzy logic controller (FLC) and adaptive PI-FLC controller,...

Enhancing Performance of Relational Fuzzy Neural Networks with Square BK-Products

Warren L. Davis IV, Ladislav Kohout
In this paper, we extend research done in max-min fuzzy neural networks in several important ways. We replace max and min operations use in the fuzzy operations by more general t-norms and co-norms, respectively. In addition, instead of the Łukasiewicz equivalence connective used in the network of Reyes-Garcia...

Investigate C+L Band EDFA/Raman Amplifiers by Using the Same Pump Lasers

Shien Kuei Liaw
A novel hybrid C+L band EDFA/RFA is designed to share the 1480 nm pump laser(s). The concepts are based on three-level amplification mechanism for the C band EDFA and Raman shift amplification mechanism for the L band RFA, respectively. It has the advantage to simplify the pump source design. The optimum...

High Performance Ring-Cavity Tunable Lasers

Shien Kuei Liaw
We report the investigation of ring cavity tunable laser, which is based on FBG technology. The laser linewidth, power variation and tuning range are 0.015 nm, 0.5 dB and 31.0 nm, respectively. The ring-cavity tunable laser also has 60 dB of SMSR to insure high-quality operation. With the features mentioned...

CPW Filters with Defected Ground Structures for RF and Microwave Applications

Yeong-Lin Lai, Pei-Yen Cheng
New coplanar waveguide (CPW) filters with a fork-shaped defected ground structure (DGS) are proposed for radio-frequency (RF) and microwave applications. The miniature CPW DGS filters developed are based on the silicon technology. The filters are able to provide the bandstop characteristics with high...

New All-optical Wavelength Auto-router Based on Multibranch Waveguides

Shih-Yuan Chen, Mao-Hsiung Chen, Yaw-Dong Wu, Chih-Fu Chang
A new optical device for wavelength auto-router was proposed. Such a structure is useful in the integrated-optic for optical operation and data communication. We use the finite-difference beam propagation method to investigate the phenomenon of the proposed numerical model.

Performance Assessment of MC Placement for Multicast Routing in WDM Networks with Spare Light Splitting

I-Shyan Hwang, Tsung-Ching Lin, Zen-Der Shyu
This investigation examines all-optical multicast routing in wavelength-routed optical networks with sparse Multicast Capable (MC) nodes that have three phases. The first phase is the MC node placement, and the maximum path count first (MPCF) algorithm is utilized to obtain candidates for MC nodes. The...

Variable Selection Method Affects SVM-based Models in Bankruptcy Prediction

Chih-Hung Wu, Wen-Chang Fang, Yeong-Jia Goo
This paper examined bankruptcy predictive accuracy of five statistics models--discriminant analysis logistic regression, probit regression, neural networks, support vector machine (SVM), and genetic-based SVM (GA-SVM) that influenced by variable selection. Empirical results indicate that the SVM-based...

The time-series relation between monthly sales and stock prices

Yann-ching Tsai, Hsueh-Fang Chien, Shu-Hua Lee
Security Exchange Commission in Taiwan requires all public companies to file and announce their monthly sales figure by the of the following month. This requirement has established another channel for market investors to obtain additional accounting information on a more timely basis than quarterly or...

A Framework for Knowledge-based Management Model on Decision-Making

Shao-Shin Hung, Damon Shing-Min Liu
Knowledge management (KM) is suggested as a method to manage and apply knowledge for business management. In this paper, we suggest a framework based on OPF (Open Process Framework) meta model for the knowledge-based decision-making. Based on the modeling method of OPF, we can translate partial and implicit...

A novel OoS-aware Routing for ad hoc networks

Tung-Shih Su, Chih-Hung Lin, Wen-Shyong Hsieh
Most routing protocols focus on obtaining a workable route without considering network traffic condition for a mobile ad hoc network (MANET). Therefore, the quality of service (QoS) is not easily achieved by the real time or multimedia applications. To support QoS, this work proposes a QoS-aware routing...

A User-centric Intrusion Detection System by Using Ontology Approach

Shao-Shin Hung, Damon Shing-Min Liu
In the security infrastructure, intrusion detection has become an indispensable defense line in face of increasing vulnerabilities exposed in today’s computing systems and Internet. In this paper, our approach uses ontologies as a way of grasping the knowledge of a domain, expressing the intrusion detection...

A Study on Imputing Censored Observations for Exponential Distribution Based on Random Censoring

Kuo-Ching Chiou
Censoring models are frequently employed in reliability analysis to reduce experimental time. There are three censoring model: type-I, type-II and random censoring. In this study, we focus on the right-random censoring model. In the previous literature, an imputation of the censored observation is considered...

String Filtering of a Large String Collection on Mobile Devices using a Neural Network

Heng Ma, Chia-Cheng Liu
String matching of a large string collection on mobile devices has been a difficult problem because of the memory space and computing speed constraints. We propose a method to efficiently determine whether a query string exists in the large string collection. The proposed method, based on a string encoder...

Novel BCD Circuits Design Using And-Or-Inverter Gate and Its Quantum-Dot Cellular Automata Implementation

JiaChun Lin, JenYin Yeh, WeiChih Tsai
Quantum-dot cellular automata (QCA) provide a novel electronics paradigm for information processing and communication. A basic quantum-dot cell consists of several quantum dots with two excess electrons. A binary coded decimal (BCD) and a decimal coded binary (DCB) circuit based on QCA logic gates: the...

Applying XCS Model to Spread Trading of Taiwan Stock Index Futures

Jung-Bin Li, Shih-Chuan Fu, An-Pin Chen
This study attempts to find the possibility of making relatively higher profit with lower risk when trading futures commodities. The system applies XCS classifiers to explore the rules of spread trading of these commodities. Our simulation holds a trading strategy that in every transaction, the proposed...

An Empirical Study for Dynamic TIPP Policy Using XCS with Knowledge Rules

Mei-Chih Chen, Ming-Chia Huang, An-Pin Chen
The purpose of this empirical study is intended to investigate XCS (Extended Classifier System) based model with knowledge rules for dynamic TIPP (Time Invariant Portfolio Protection) policy. There are two XCS-based agents in the proposed model (MA-TIPP).One agent dynamically optimizes Multiple and Tolerance...

New Approach to Financial Time Series Forecasting - Quantum Minimization Regularizing BWGC and NGARCH Composite Model

Bao Rong Chang, Hsiu Fen Tsai
A hybrid BPNN-weighted GREY-C3LSP prediction (BWGC) is used for resolving the overshooting phenomenon significantly; however, it may lose the localization once volatility clustering occurs. Thus, we propose a compensation to deal with the time-varying variance in the residual errors, that is, incorporating...

Learning Martingale Measures From High Frequency Financial Data to Help Option Pricing

Hung-Ching (Justin) Chen, Malik Magdon-Ismail
We provide a framework for learning risk-neutral measures (Martingale measures) for pricing options from high frequency financial data. In a simple geometric Brownian motion model, a price volatility, a fixed interest rate and a no-arbitrage condition suffice to determine a unique risk-neutral measure....

Analysis of factors which contribute to inter-enterprise competition

Takumi Shimizu, Yusuke Takada, Takashi Iba
In this paper, we replicate Nelson-Winter model in order to analyze the inter-enterprise competition from the perspective of economic change. For this purpose, we build the simulation model as Multi-Agent-Based Simulation in PlatBox Simulator. By replicating the Nelson-Winter model, which clarifies the...

Does Money Matter? An Artificial Intelligence Approach

Jane Binner, Barry Jones, Graham Kendall, Jonathan Tepper, Peter Tino
This paper provides the most complete evidence to date on the importance of monetary aggregates as a policy tool in an inflation forecasting experiment. Every possible definition of ‘money’ in the USA is being considered for the full data period (1960 – 2006), using the most sophisticated non-linear...

Stock Data Mining through Fuzzy Genetic Algorithms

Longbing Cao, Chao Luo, Jiarui Ni, Dan Luo, Chengqi Zhang
Stock data mining such as financial pairs mining is useful for trading supports and market surveillance. Financial pairs mining targets mining pair relationships between financial entities such as stocks and markets. This paper introduces a fuzzy genetic algorithm framework and strategies for discovering...

Dimensionality Reduction using GA-PSO

Cheng-Hong Yang, Chung-Jui Tu, Jun-Yang Chang, Hsiou-Hsiang Liu, Po-Chang Ko
The feature selection process can be considered a problem of global combinatorial optimization in machine learning, which reduces the number of features, removes irrelevant, noisy and redundant data, and results in acceptable classification accuracy. In this paper, we propose a combination of genetic...

Two Are Better than One?

Ming-Yuan Li
In this paper we adopt the Markov-switching specification to establish the hybrid model with time-varying loading on each of chartist and fundamentalist techniques. The US dollar exchange rates of four Asian tiger countries’ currencies serve as the representative examples in this paper. Our empirical...

An Evolutionary Weight Encoding Scheme and Crossover Methodology in Portfolio Assets Allocation

Ping-Chen Lin, Po-Chang Ko, Hsin-Chieh Wang
Most of GA-based portfolio assets allocation uses normalization method to allocate investment asset’s weight. However, the normalization process will cause unease converging and even diverging characteristics, because it changes the gene’s relativity of address in chromosome. In this paper, we propose...

Time series data analysis using probabilistic and neural network

Chiu-Che Tseng
Artificial intelligence decision support system is always a popular topic in providing the human user with an optimized decision recommendation when operating under uncertainty in complex environments. The particular focus of our discussion is to compare different methods of artificial intelligence decision...

Stock Trend Analysis and Trading Strategy

Hongxing He, Jie Chen, Jin Huidong, Chen Shu-Heng
This paper outlines a data mining approach to analysis and prediction of the trend of stock prices. The approach consists of three steps, namely partitioning, analysis and prediction. A modification of the commonly used k-means clustering algorithm is used to partition stock price time series data. After...

Oligopolistic Interdependency in a Mixed Market

Tay-Cheng Ma
This paper uses data from Taiwan’s banking sector to investigate if state-owned banks can serve as an internal regulation mechanism to sustain market competition. In contrast to the traditional second-best literature, the evidence shows that a certain degree of market coordination exists in the industry,...

Using Fuzzy Regression and Neural Network to Predict Organizational Performance

Liang-Hung Lin
As everyone knows, multiple regression analysis is an important approach to prediction studies. However, regression model has some limitations and constraints in the real world practices. This study applied fuzzy regression using neural network (FRNN) to predict organizational performance, and the findings...

The Development of Neural Network Models by Revised Particle Swarm Optimization

Peitsang Wu, Chin-Shiuh Shieh, Jar-Her Kao
A novel training paradigm for artificial neural networks had been developed and presented in this article. In the proposed approach, a revised version of particle swarm optimization (PSO) had been employed to find out the optimal connection weights of feed-forward artificial neural networks for given...

How does Sample Size Affect GARCH Models?

HS Raymond NG, KP LAM
GARCH model has a long history and permeates the modern financial theory. Most researchers use several thousands of financial data and maximum likelihood to estimate the coefficients of model. Statistically, more samples imply better estimation but are hard to obtain. How many samples are sufficient...

Decision Support for IC Molding Parameter Settings Using Grey Relational Analysis and Neural Network

Yu-Min Chiang, Chung-Hsien Chou, Yung-Yuan Chuang
In order to be competitive in the semiconductor manufacturing industry, quality improvement and yield enhancement have received increasing attention. The research focuses on the molding process of Integrated Circuit (IC) assembly. The defects often occurred in molding process include hole, vein, crack,...

Evolutionary Fuzzy Case-based Reasoning for Financial Performance Ranking

Sheng-Tun Li, Hei-Fong Ho, Yi-Chung Cheng
we propose a hybrid decision model for supporting the ranking financial status of corporations using case-based reasoning augmented with genetic algorithms and the fuzzy nearest neighbor method. An empirical experimentation on 746 cases was conducted that shows that the average accuracy of the ranking...

Building a Concept Hierarchy by Hierarchical Clustering with Join/Merge Decision

Huang-Cheng Kuo, Tsung-Han Tsai, Huang Jen-Peng
Concept hierarchies are important for generalization in many data mining applications. We propose a method to automatically build a concept hierarchy from a provided distance matrix. The method is a modification of traditional agglomerative hierarchical clustering algorithm. When two closest clusters...

Two-dimentional Encoding Schema and Genetic Operators

Tzung-Pei Hong, Ming-Wen Tsai, Tung-Kuan Liu
In this paper, we propose a new genetic algorithm based on the two-dimensional encoding method. Appropriate two-dimensional crossover and mutation operations are designed based on the two-dimensional representation to generate the next generations. A two-dimensional repairing mechanism is also proposed...

A quantum model of dynamic interdependent uncertainties for industrial organizations

William Lawless, Laurent Chaudron
A major failure of rational models (cognitive science, game theory) of organizations is the use of static concepts of interdependence to predict dynamic behavior. A quantum model of organizations transforms the traditional model with its dynamic interdependence of uncertainty. We consider field and laboratory...

Return Distribution under Behavioral Biases: A Numerical Simulation Study

Xiaoguang Yang, Fenghua Wen, Delong Huang, Qiujun Lan
Investors’ overconfidence and regret aversion lead to behavioral biases, such as over-reaction、under-reaction and disposition effect. By constructing a numerical simulation model, this paper shows that, return distributions under the behavioral biases have higher peaks and fatter tails, and they are...

A Knowledge Discovery Approach to Supporting Crime Prevention

Sheng-Tun Li, Fu-Ching Tsai, Shu-Ching Kuo, Yi-Chung Cheng
The main objective of this study is developing a linguistic cluster model in order to meet the public security index requirement and extract crime rule in time series. In contrast to the current studies in crime theory which mostly rely on traditional behavior science, we turned to a hybrid approach...

Does Information Technology Always Help? Theory and Evidence from Taiwan's Banking Industry

Hsieh Meng-Fen, Shirley J. Ho
Information technology (IT) has been extensively adopted in banking industries. The reasons for this massive adoption of IT are mainly twofold: for individual banks, IT can reduce banks’ operational costs (the cost advantage), and facilitate transactions among customers within the same network (the network...

Applying Grey Relation Analysis to Establish the Financial Distress Prediction Model for Electronic Companies in Taiwan

Meng-Fen Hsieh, Rong-Tsu Wang, I-Chuan Lu
Most researches have focused on the use of document feedback or factor analysis as metrics for financial distress prediction. The theoretical basis for the former is relatively weak, while the latter is severely limited by data requirements. As such, this paper will instead use grey relation analysis...

Super-fair Platforms Widely Hidden in Multinational Securities Business

Ruan Jishou, Jun He, Qi Dai
A general phenomenon puzzles all investors is that on one hand, most individual investors believe they need to construct the portfolio consisting of 15 or more stocks to prevent risk because that large investment companies frequently get high returns is due to they obey the existing investment theory...

An Application of Intellectual Capital on Financial Distress Models by Using Neural Network

Kuang-Hua Hsu, Jian-Fa Li, Hon-Jenq Fan
As the era of knowledge economy is prevalent in U.S. during 1992, knowledge economy plays an important role around the world. The value and competition of the traditional companies accounted on tangible assets. However, in the era of knowledge economy, the value and continuing operation of the companies...