WorldWideScience

Sample records for stress model financial

  1. Forecasting Financial Stress

    OpenAIRE

    Jan Willem Slingenberg; Jakob de Haan

    2011-01-01

    This paper uses a Financial Stress Index (FSI) for 13 OECD countries to examine which variables can help predicting financial stress. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. We employ three criteria for indicators to be used in constructing a multi-country FSI (the index covers the entire financial system, indicators used are available at a high frequency for many countries for a long period, and are comparable) to c...

  2. Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments

    Directory of Open Access Journals (Sweden)

    Alexander M. Karminsky

    2015-01-01

    Full Text Available Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress-testing of the portfolio of different financial instruments. These days the topic of the paper is highly acute due to the fact that now stress-testing is becoming an integral part of anticrisis risk-management amid macroeconomic instability and appearance of new risks together with close interest to the problem of risk-aggregation. The paper outlines the notion of stress-testing and gives coverage of goals, functions of stress-tests and main criteria for market risk stress-testing classification. The paper also stresses special aspects of scenario analysis. Novelty of the research is explained by elaborating the programme of aggregated complex multifactor stress-testing of the portfolio risk based on scenario analysis. The paper highlights modern Russian and foreign models of stress-testing both on solo-basis and complex. The paper lays emphasis on the results of stress-testing and revaluations of positions for all three complex models: methodology of the Central Bank of stress-testing portfolio risk, model relying on correlations analysis and copula model. The models of stress-testing on solo-basis are different for each financial instrument. Parametric StressVaR model is applicable to shares and options stress-testing;model based on "Grek" indicators is used for options; for euroobligation regional factor model is used. Finally some theoretical recommendations about managing market risk of the portfolio are given.

  3. Financial Stress Indices and Financial Crises

    NARCIS (Netherlands)

    Vermeulen, Robert; Hoeberichts, Marco; Vasicek, Borek; Zigraiova, Diana; Smidkova, Katerina; de Haan, Jakob

    This paper develops a Financial Stress Index (FSI) for 28 OECD countries and examines its relationship to crises using a novel database for financial crises. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. Our results suggest that

  4. THE METHOD OF CONSTRUCTING MODELS OF STRESS-TESTING OF THE TRADING PORTFOLIO OF FINANCIAL ORGANIZATIONS

    Directory of Open Access Journals (Sweden)

    Alimbaev Farkhad

    2009-11-01

    Full Text Available The financial crisis gave an impetus to finding “weaknesses” in financial institutions. One such tool is the stress-testing. This method is intended to identify through modeling “hypothetical” or “historical” scenarios, the most losses, in the execution of a script. In the simulation of hypothetical scenarios to find the impact factor, as shock events on the trade portfolio. When using historical scenarios, as the shocks applied developments in the past that have caused catastrophic losses, both in quantitative and qualitative size. For example, such scenarios can be: financial crises of the 90-ies and the current decline in international stock markets, a drop or increase in foreign exchange rates, etc.

  5. Financial Stress, Financial Literacy, Counselling and the Risk of Homelessness

    Directory of Open Access Journals (Sweden)

    Adam Steen

    2013-09-01

    Full Text Available Poor financial literacy may lead to poor life choices. These life choices can create or contribute to financial stress with adverse consequences - not the least of which may be homelessness. These issues are relatively well understood, but there is limited research on the link between financial stress, financial literacy and counselling, and homelessness. Specifically, there has been little research on how improved financial literacy and appropriate financial counselling might help to prevent homelessness. This paper synthesises existing literature on this topic and considers these issues using the ABCX family stress model of Hill (1958 using data from an Australian program aimed at alleviating family homelessness, the Home Advice Program. We provide evidence that suggests that case management and support which incorporates financial counselling and financial literacy can assist in moderating the impact of financial stress and help those at risk of homelessness. The findings have implications for public policy in the areas of financial education, consumer finance, and social services provision.

  6. Quality of Financial Policies and Financial System Stress

    OpenAIRE

    Udaibir S Das; Plamen Yossifov; Richard Podpiera; Dmitriy L Rozhkov

    2005-01-01

    In this paper, we develop multi-country indices of financial system stress and quality of financial policies and use them in regression analysis of the determinants of financial stress. We find that countries with higher quality of financial policies are better able to contain the effects of macroeconomic pressures on the overall level of stress in the financial system. They are also in a better position to ensure sustainable development of the financial system.

  7. Stress testing in financial institutions

    Directory of Open Access Journals (Sweden)

    Mirković Vladimir

    2014-01-01

    Full Text Available In 2000 the Basle Committee on the Global Financial System defined stress testing as 'a generic term describing various techniques used by financial firms to gauge their potential vulnerability to exceptional but plausible events'. Exceptional events refer to one-off or recurring events with far-reaching consequences for the concerned financial institution and the financial sector s stability overall. Such unexpected (exceptional events include, for instance: bankruptcy in Argentina in 2001, stock markets collapse ('Black Monday' on 19 October 1987, or the fall of the energy giant Enron in 2001. The adoption of the new Basle Accord (better known as Basle II in 2001 envisaged the implementation of stress tests for the identification of events and future changes in economic circumstances that could cause some unfavorable effects on banks' credit exposure, along with the assessment of banks' ability to survive in the new circumstances. Negative experiences from the past, having undermined the stability of financial systems worldwide, made a decisive impact on regulators at all levels to additionally consider the issue of increasing the financial system's resistance to the occurrence of unexpected - exceptional events. To this end, the introduction of stress tests was the turning point in the process of increased banking systems' resistance to shocks. This paper primarily deals with stress testing methodology and bank risk measurement techniques, along with the main results of conducted tests, directly impacting the entire financial system.

  8. Financial Stress and Financial Counseling: Helping College Students

    Science.gov (United States)

    Britt, Sonya L.; Canale, Anthony; Fernatt, Fred; Stutz, Kristen; Tibbetts, Racquel

    2015-01-01

    This study had two distinct purposes. First, to determine the predictors of financial stress among college students who sought free peer-based financial counseling from a large Midwestern university (N = 675). Secondly, to determine the effectiveness of the particular financial counseling center from a subsample of those who sought help (N = 97).…

  9. Financial stress spillovers in advanced economies

    NARCIS (Netherlands)

    Apostolakis, G.; Papadopoulos, A.

    2014-01-01

    Financial stress co-movements are positively associated with crisis periods. Dynamic conditional correlations increase during periods of high uncertainty. The US is the dominant transmitter of financial stress spillovers. The total stress spillover index explains 19.9% of the forecast error

  10. The European Financial Market Stress Index

    OpenAIRE

    Shaen Corbet

    2014-01-01

    This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility...

  11. Oil prices and financial stress: A volatility spillover analysis

    International Nuclear Information System (INIS)

    Nazlioglu, Saban; Soytas, Ugur; Gupta, Rangan

    2015-01-01

    This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the period 1991–2014 and divide the sample into pre-crisis, in-crisis, and post-crisis periods due to the downward trend in oil price in 2008. The volatility model estimations indicate that oil prices and financial stress index are dominated by long-run volatility. The volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis. The impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long-lived effects during the crisis. Our results have implications for both policy makers and investors, and for future work. -- Highlights: •Volatility spillover between oil prices and financial stress index is examined. •Analysis is conducted for sub-periods: pre-crisis, in-crisis, and post-crisis •Oil prices spill on financial stress before the crisis, but spillover reversed after the crisis. •Volatility transmission pattern has similar dynamics before and after the crisis. •Implications for investors and policy makers are discussed

  12. INSTABILITY MODELING OF FINANCIAL PYRAMIDS

    OpenAIRE

    Girdzijauskas, Stasys; Moskaliova, Vera

    2005-01-01

    The financial structures that make use of money flow for “easy money” or cheating purpose are called financial pyramids. Recently financial pyramids intensively penetrates IT area. It is rather suitable way of the fraud. Money flow modeling and activity analysis of such financial systems allows identifying financial pyramids and taking necessary means of precautions. In the other hand even investing companies that function normally when market conditions changes (e.g. interest rates) eventual...

  13. Financial Stress, Self-Efficacy, and Financial Help-Seeking Behavior of College Students

    Science.gov (United States)

    Lim, HanNa; Heckman, Stuart J.; Letkiewicz, Jodi C.; Montalto, Catherine P.

    2014-01-01

    Financial stress and self-efficacy are examined in relationship to college students' financial help-seeking behavior utilizing Grable and Joo's (1999) framework. A cognitive approach is taken by focusing on the moderating role of financial self-efficacy on the relationship between financial stress and financial help-seeking. Data from the 2010…

  14. Financial stress and outcomes after acute myocardial infarction.

    Directory of Open Access Journals (Sweden)

    Sachin J Shah

    Full Text Available Little is known about the association between financial stress and health care outcomes. Our objective was to examine the association between self-reported financial stress during initial hospitalization and long-term outcomes after acute myocardial infarction (AMI.We used prospective registry evaluating myocardial infarction: Event and Recovery (PREMIER data, an observational, multicenter US study of AMI patients discharged between January 2003 and June 2004. Primary outcomes were disease-specific and generic health status outcomes at 1 year (symptoms, function, and quality of life (QoL, assessed by the Seattle Angina Questionnaire [SAQ] and Short Form [SF]-12. Secondary outcomes included 1-year rehospitalization and 4-year mortality. Hierarchical regression models accounted for patient socio-demographic, clinical, and quality of care characteristics, and access and barriers to care.Among 2344 AMI patients, 1241 (52.9% reported no financial stress, 735 (31.4% reported low financial stress, and 368 (15.7% reported high financial stress. When comparing individuals reporting low financial stress to no financial stress, there were no significant differences in post-AMI outcomes. In contrast, individuals reporting high financial stress were more likely to have worse physical health (SF-12 PCS mean difference -3.24, 95% Confidence Interval [CI]: -4.82, -1.66, mental health (SF-12 MCS mean difference: -2.44, 95% CI: -3.83, -1.05, disease-specific QoL (SAQ QoL mean difference: -6.99, 95% CI: -9.59, -4.40, and be experiencing angina (SAQ Angina Relative Risk = 1.66, 95%CI: 1.19, 2.32 at 1 year post-AMI. While 1-year readmission rates were increased (Hazard Ratio = 1.50; 95%CI: 1.20, 1.86, 4-year mortality was no different.High financial stress is common and an important risk factor for worse long-term outcomes post-AMI, independent of access and barriers to care.

  15. Industry specific financial distress modeling

    Directory of Open Access Journals (Sweden)

    Naz Sayari

    2017-01-01

    Full Text Available This study investigates uncertainty levels of various industries and tries to determine financial ratios having the greatest information content in determining the set of industry characteristics. It then uses these ratios to develop industry specific financial distress models. First, we employ factor analysis to determine the set of ratios that are most informative in specified industries. Second, we use a method based on the concept of entropy to measure the level of uncertainty in industries and also to single out the ratios that best reflect the uncertainty levels in specific industries. Finally, we conduct a logistic regression analysis and derive industry specific financial distress models which can be used to judge the predictive ability of selected financial ratios for each industry. The results show that financial ratios do indeed echo industry characteristics and that information content of specific ratios varies among different industries. Our findings show diverging impact of industry characteristics on companies; and thus the necessity of constructing industry specific financial distress models.

  16. Essays on model uncertainty in financial models

    NARCIS (Netherlands)

    Li, Jing

    2018-01-01

    This dissertation studies model uncertainty, particularly in financial models. It consists of two empirical chapters and one theoretical chapter. The first empirical chapter (Chapter 2) classifies model uncertainty into parameter uncertainty and misspecification uncertainty. It investigates the

  17. Effect of Financial Stress and Positive Financial Behaviors on Cost-Related Nonadherence to Health Regimens Among Adults in a Community-Based Setting.

    Science.gov (United States)

    Patel, Minal R; Kruger, Daniel J; Cupal, Suzanne; Zimmerman, Marc A

    2016-04-07

    Little is known about the role of positive financial behaviors (behaviors that allow maintenance of financial stability with financial resources) in mitigating cost-related nonadherence (CRN) to health regimens. This study examined the relationships between positive financial behaviors, financial stress, and CRN. Data came from the 2011 Speak to Your Health! Community Survey (n = 1,234). Descriptive statistics were computed to examine financial stress and CRN, by chronic condition and health insurance status. We used multivariate logistic regression models to examine the relationship between positive financial behaviors and financial stress and their interaction on a composite score of CRN, controlling for health insurance status, educational level, age, marital status, number of chronic conditions, and employment status. Thirty percent of the sample engaged in CRN. Participants reported moderate financial stress (mean, 13.85; standard deviation [SD] = 6.97), and moderate positive financial behavior (mean, 8.84; SD = 3.24). Participants with employer-sponsored insurance, Medicaid, Medicare, the Genesee Health Plan, high blood pressure, asthma, and diabetes had the highest proportion of CRN. The relationship between financial stress and CRN was not significantly different between those who reported lower versus higher levels of positive financial behavior (P = .32). Greater financial stress was associated with a greater likelihood of CRN (odds ratio [OR] = 2.49; 95% confidence interval [CI], 2.08-2.99). Higher level of positive financial behavior was associated with a lower likelihood of CRN (OR = 0.80; 95% CI, 0.67-0.94). Financial literacy as a means of promoting positive financial behavior may help reduce CRN. An intervention strategy focused on improving financial literacy may be relevant for high-risk groups who report high levels of financial stress.

  18. Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy?

    Czech Academy of Sciences Publication Activity Database

    Baxa, Jaromír; Horváth, R.; Vašíček, B.

    2013-01-01

    Roč. 9, č. 1 (2013), s. 117-138 ISSN 1572-3089 Institutional support: RVO:67985556 Keywords : Financial stress * Time-varying parameter model * Endogenous regressors Subject RIV: AH - Economics Impact factor: 2.932, year: 2013 http://library.utia.cas.cz/separaty/2013/E/baxa-0395375.pdf

  19. Anticipated debt and financial stress in medical students.

    Science.gov (United States)

    Morra, Dante J; Regehr, Glenn; Ginsburg, Shiphra

    2008-01-01

    While medical student debt is increasing, the effect of debt on student well-being and performance remains unclear. As a part of a larger study examining medical student views of their future profession, data were collected to examine the role that current and anticipated debt has in predicting stress among medical students. A survey was administered to medical students in all four years at the University of Toronto. Of the 804 potential respondents across the four years of training, 549 surveys had sufficient data for inclusion in this analysis, for a response rate of 68%. Through multiple regression analysis, we evaluated the correlation between current and anticipated debt and financial stress. Although perceived financial stress correlates with both current and anticipated debt levels, anticipated debt was able to account for an additional 11.5% of variance in reported stress when compared to current debt levels alone. This study demonstrates a relationship between perceived financial stress and debt levels, and suggests that anticipated debt levels might be a more robust metric to capture financial burden, as it standardizes for year of training and captures future financial liabilities (future tuition and other future expenses).

  20. Market risk stress testing for internationally active financial institutions

    Directory of Open Access Journals (Sweden)

    Marković Petar

    2011-01-01

    Full Text Available The paper develops a comprehensive framework for market risk stress testing in internationally active financial institutions. We begin by defining the scope and type of the stress test and explaining how to select risk factors and the stress time horizon. We then address challenges related to data gathering, followed by in-depth discussion of techniques for developing realistic shock scenarios. Next the process of shock application to a particular portfolio is described, followed by determination of portfolio profit and loss. We conclude by briefly discussing the issue of assigning probability to stress scenarios. We illustrate the framework by considering the development of a ‘worst case’ scenario using global financial market data from Thomson Reuters Datastream.

  1. Financial Markets Analysis by Probabilistic Fuzzy Modelling

    NARCIS (Netherlands)

    J.H. van den Berg (Jan); W.-M. van den Bergh (Willem-Max); U. Kaymak (Uzay)

    2003-01-01

    textabstractFor successful trading in financial markets, it is important to develop financial models where one can identify different states of the market for modifying one???s actions. In this paper, we propose to use probabilistic fuzzy systems for this purpose. We concentrate on Takagi???Sugeno

  2. Financial markets analysis by probabilistic fuzzy modelling

    NARCIS (Netherlands)

    Berg, van den J.; Kaymak, U.; Bergh, van den W.M.

    2003-01-01

    For successful trading in financial markets, it is important to develop financial models where one can identify different states of the market for modifying one???s actions. In this paper, we propose to use probabilistic fuzzy systems for this purpose. We concentrate on Takagi???Sugeno (TS)

  3. Financial stress, parent functioning and adolescent problem behavior: an actor-partner interdependence approach to family stress processes in low-, middle-, and high-income families.

    Science.gov (United States)

    Ponnet, Koen

    2014-10-01

    The family stress model proposes that financial stress experienced by parents is associated with problem behavior in adolescents. The present study applied an actor-partner interdependence approach to the family stress model and focused on low-, middle-, and high-income families to broaden our understanding of the pathways by which the financial stress of mothers and fathers are related to adolescent outcomes. The study uses dyadic data (N = 798 heterosexual couples) from the Relationship between Mothers, Fathers and Children study in which two-parent families with an adolescent between 11 and 17 years of age participated. Path-analytic results indicated that in each of the families the association between parents' financial stress and problem behavior in adolescents is mediated through parents' depressive symptoms, interparental conflict, and positive parenting. Family stress processes also appear to operate in different ways for low-, middle-, and high-income families. In addition to a higher absolute level of financial stress in low-income families, financial stress experienced by mothers and fathers in these families had significant direct and indirect effects on problem behavior in adolescents, while in middle- and high-income families only significant indirect effects were found. The financial stress of a low-income mother also had a more detrimental impact on her level of depressive feelings than it had on mothers in middle-income families. Furthermore, the study revealed gender differences in the pathways of mothers and fathers. Implications for research, clinical practice, and policy are also discussed.

  4. The Development, Evaluation, and Validation of a Financial Stress Scale for Undergraduate Students

    Science.gov (United States)

    Northern, Jebediah J.; O'Brien, William H.; Goetz, Paul W.

    2010-01-01

    Financial stress is commonly experienced among college students and is associated with adverse academic, mental health, and physical health outcomes. Surprisingly, no validated measures of financial stress have been developed for undergraduate populations. The present study was conducted to generate and evaluate a measure of financial stress for…

  5. The art of company financial modelling

    Directory of Open Access Journals (Sweden)

    Zoran Lukić

    2017-01-01

    Full Text Available In corporate finance, the term financial modelling denotes a widely used technique of comprehensive customised quantification of a company’s entire operations. Even though not mathematically strict, such models exhibit descriptive, explanatory and predictive qualities. The paper elaborates on the main steps and principles for building financial models of companies. It also identifies required assumptions and certain statistical properties of well-constructed models. Furthermore, it describes the use of such models for decision support purposes, supplemented by an illustrative example. Finally, it discusses general characteristics and concerns associated with appropriate model construction and use.

  6. Stress and Subjective Age: Those With Greater Financial Stress Look Older.

    Science.gov (United States)

    Agrigoroaei, Stefan; Lee-Attardo, Angela; Lachman, Margie E

    2017-12-01

    Subjective indicators of age add to our understanding of the aging process beyond the role of chronological age. We examined whether financial stress contributes to subjective age as rated by others and the self. The participants ( N = 228), aged 26-75, were from a Boston area satellite of the Midlife in the United States (MIDUS) longitudinal study. Participants reported how old they felt and how old they thought they looked, and observers assessed the participants' age based on photographs (other-look age), at two occasions, an average of 10 years apart. Financial stress was measured at Time 1. Controlling for income, general stress, health, and attractiveness, participants who reported higher levels of financial stress were perceived as older than their actual age to a greater extent and showed larger increases in other-look age over time. We consider the results on accelerated aging of appearance with regard to their implications for interpersonal interactions and in relation to health.

  7. Quantum Bohmian model for financial market

    Science.gov (United States)

    Choustova, Olga Al.

    2007-01-01

    We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. The Hamiltonian formalism on the price/price-change phase space describes the classical-like evolution of prices. This classical dynamics of prices is determined by “hard” conditions (natural resources, industrial production, services and so on). These conditions are mathematically described by the classical financial potential V(q), where q=(q1,…,qn) is the vector of prices of various shares. But the information exchange and market psychology play important (and sometimes determining) role in price dynamics. We propose to describe such behavioral financial factors by using the pilot wave (Bohmian) model of quantum mechanics. The theory of financial behavioral waves takes into account the market psychology. The real trajectories of prices are determined (through the financial analogue of the second Newton law) by two financial potentials: classical-like V(q) (“hard” market conditions) and quantum-like U(q) (behavioral market conditions).

  8. Modeling Financial Innovation and Economic Growth: Why the Financial Sector Matters to the Real Economy

    Science.gov (United States)

    Chou, Yuan K.

    2007-01-01

    The author devises a simple way of incorporating the financial sector into a growth model that is pedagogically useful. Financial innovation raises the efficiency of financial intermediation by increasing the variety of financial products and services, resulting in improved matching of the needs of individual savers with those of firms raising…

  9. Solvable stochastic dealer models for financial markets

    Science.gov (United States)

    Yamada, Kenta; Takayasu, Hideki; Ito, Takatoshi; Takayasu, Misako

    2009-05-01

    We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects: the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which have recently been discovered in the study of market price modeling based on random walks.

  10. Agent-based models of financial markets

    Energy Technology Data Exchange (ETDEWEB)

    Samanidou, E [Department of Economics, University of Kiel, Olshausenstrasse 40, D-24118 Kiel (Germany); Zschischang, E [HSH Nord Bank, Portfolio Mngmt. and Inv., Martensdamm 6, D-24103 Kiel (Germany); Stauffer, D [Institute for Theoretical Physics, Cologne University, D-50923 Koeln (Germany); Lux, T [Department of Economics, University of Kiel, Olshausenstrasse 40, D-24118 Kiel (Germany)

    2007-03-15

    This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we

  11. Agent-based models of financial markets

    Science.gov (United States)

    Samanidou, E.; Zschischang, E.; Stauffer, D.; Lux, T.

    2007-03-01

    This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we discuss the Cont

  12. Agent-based models of financial markets

    International Nuclear Information System (INIS)

    Samanidou, E; Zschischang, E; Stauffer, D; Lux, T

    2007-01-01

    This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we discuss the Cont

  13. A Financial Market Model Incorporating Herd Behaviour.

    Science.gov (United States)

    Wray, Christopher M; Bishop, Steven R

    2016-01-01

    Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents' accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents' accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market

  14. A Financial Market Model Incorporating Herd Behaviour.

    Directory of Open Access Journals (Sweden)

    Christopher M Wray

    Full Text Available Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents' accumulating information over a bounded state-space, and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents' accumulating information over an unbounded state-space, numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock

  15. A Financial Market Model Incorporating Herd Behaviour

    Science.gov (United States)

    2016-01-01

    Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the

  16. Haskell financial data modeling and predictive analytics

    CERN Document Server

    Ryzhov, Pavel

    2013-01-01

    This book is a hands-on guide that teaches readers how to use Haskell's tools and libraries to analyze data from real-world sources in an easy-to-understand manner.This book is great for developers who are new to financial data modeling using Haskell. A basic knowledge of functional programming is not required but will be useful. An interest in high frequency finance is essential.

  17. Analysis of financial cost models of strategic planning

    Directory of Open Access Journals (Sweden)

    Vorobev Aleksei Viacheslavovich

    2013-11-01

    Full Text Available This article analyzes the cost of financial models for strategic planning. Shows the strengths and weaknesses of the model, economic value added EVA (Economic Value Added. Necessity of further development of methods for determining financial policy priorities.

  18. MODELING OF ACCOUNTING ASPECTS OF FINANCIAL RESULTS

    Directory of Open Access Journals (Sweden)

    Hrayr HANISYAN

    2014-06-01

    Full Text Available Modern trends in world economy require expanding functional informational capabilities of financial statements. Market-oriented users of financial statements are interested in information necessary when making decisions of financial character.

  19. First principles for financial modeling in medicine.

    Science.gov (United States)

    Lexa, Frank James; Berlin, Jonathan W

    2005-03-01

    This article provides an overview of some of the core issues in business for physicians and is intended as an introduction. No prior understanding of business processes, finance, or accounting will be assumed or expected. The impetus for this work is the changing nature of medical practice in the United States in the past 20 years. Organizational changes and financial pressures challenge those of us in medicine as never before. For the vast majority of physicians, these realms are outside the scope of our traditional training and expertise. This article will provide an introduction to understanding these issues, starting with misconceptions about the overlap between medicine and finance. We will then introduce core concepts of cash vs. revenue, risk and uncertainty, and basic financial modeling.

  20. Financial Stress, Parental Depressive Symptoms, Parenting Practices, and Children's Externalizing Problem Behaviors: Underlying Processes

    Science.gov (United States)

    Lee, Chih-Yuan Steven; Lee, Jaerim; August, Gerald J.

    2011-01-01

    This study examined the relationships among financial stress encountered by families, parents' social support, parental depressive symptoms, parenting practices, and children's externalizing problem behaviors to advance our understanding of the processes by which family financial stress is associated with children's problem behaviors. We also…

  1. Introduction to Financial Projection Models. Business Management Instructional Software.

    Science.gov (United States)

    Pomeroy, Robert W., III

    This guidebook and teacher's guide accompany a personal computer software program and introduce the key elements of financial projection modeling to project the financial statements of an industrial enterprise. The student will then build a model on an electronic spreadsheet. The guidebook teaches the purpose of a financial model and the steps…

  2. Financial model calibration using consistency hints.

    Science.gov (United States)

    Abu-Mostafa, Y S

    2001-01-01

    We introduce a technique for forcing the calibration of a financial model to produce valid parameters. The technique is based on learning from hints. It converts simple curve fitting into genuine calibration, where broad conclusions can be inferred from parameter values. The technique augments the error function of curve fitting with consistency hint error functions based on the Kullback-Leibler distance. We introduce an efficient EM-type optimization algorithm tailored to this technique. We also introduce other consistency hints, and balance their weights using canonical errors. We calibrate the correlated multifactor Vasicek model of interest rates, and apply it successfully to Japanese Yen swaps market and US dollar yield market.

  3. Can Management Practices Make a Difference? Nonprofit Organization Financial Performance during Times of Economic Stress

    Directory of Open Access Journals (Sweden)

    QIAN HU

    2017-12-01

    Full Text Available The economic crisis presented unprecedented challenges to nonprofit organizations to sustain their services. In this study, we examined both financial and management factors that influence the financial performance of nonprofit organizations during times of economic stress. In particular, we investigated whether strategic planning and plan implementation, revenue diversification, and board involvement help nonprofit organizations deal with financial uncertainty and strengthen financial performance. Despite the negative impacts that the economic downturn had on nonprofit organizations, we found that the implementation of strategic plans can help nonprofit organizations reduce financial vulnerability. Our findings call attention to key management factors that influence the financial performance of nonprofit organizations.

  4. Size and complexity in model financial systems

    Science.gov (United States)

    Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert M.

    2012-01-01

    The global financial crisis has precipitated an increasing appreciation of the need for a systemic perspective toward financial stability. For example: What role do large banks play in systemic risk? How should capital adequacy standards recognize this role? How is stability shaped by concentration and diversification in the financial system? We explore these questions using a deliberately simplified, dynamic model of a banking system that combines three different channels for direct transmission of contagion from one bank to another: liquidity hoarding, asset price contagion, and the propagation of defaults via counterparty credit risk. Importantly, we also introduce a mechanism for capturing how swings in “confidence” in the system may contribute to instability. Our results highlight that the importance of relatively large, well-connected banks in system stability scales more than proportionately with their size: the impact of their collapse arises not only from their connectivity, but also from their effect on confidence in the system. Imposing tougher capital requirements on larger banks than smaller ones can thus enhance the resilience of the system. Moreover, these effects are more pronounced in more concentrated systems, and continue to apply, even when allowing for potential diversification benefits that may be realized by larger banks. We discuss some tentative implications for policy, as well as conceptual analogies in ecosystem stability and in the control of infectious diseases. PMID:23091020

  5. Conceptual Models and Guidelines for Clinical Assessment of Financial Capacity.

    Science.gov (United States)

    Marson, Daniel

    2016-09-01

    The ability to manage financial affairs is a life skill of critical importance, and neuropsychologists are increasingly asked to assess financial capacity across a variety of settings. Sound clinical assessment of financial capacity requires knowledge and appreciation of applicable clinical conceptual models and principles. However, the literature has presented relatively little conceptual guidance for clinicians concerning financial capacity and its assessment. This article seeks to address this gap. The article presents six clinical models of financial capacity : (1) the early gerontological IADL model of Lawton, (2) the clinical skills model and (3) related cognitive psychological model developed by Marson and colleagues, (4) a financial decision-making model adapting earlier decisional capacity work of Appelbaum and Grisso, (5) a person-centered model of financial decision-making developed by Lichtenberg and colleagues, and (6) a recent model of financial capacity in the real world developed through the Institute of Medicine. Accompanying presentation of the models is discussion of conceptual and practical perspectives they represent for clinician assessment. Based on the models, the article concludes by presenting a series of conceptually oriented guidelines for clinical assessment of financial capacity. In summary, sound assessment of financial capacity requires knowledge and appreciation of clinical conceptual models and principles. Awareness of such models, principles and guidelines will strengthen and advance clinical assessment of financial capacity. © The Author 2016. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

  6. Pre-diagnosis employment status and financial circumstances predict cancer-related financial stress and strain among breast and prostate cancer survivors.

    Science.gov (United States)

    Sharp, Linda; Timmons, Aileen

    2016-02-01

    Cancer may have a significant financial impact on patients, but the characteristics that predispose patients to cancer-related financial hardship are poorly understood. We investigated factors associated with cancer-related financial stress and strain in breast and prostate cancer survivors in Ireland, which has a complex mixed public-private healthcare system. Postal questionnaires were distributed to 1373 people diagnosed with cancer 3-24 months previously identified from the National Cancer Registry Ireland. Outcomes were cancer-related financial stress (impact of cancer diagnosis on household ability to make ends meet) and financial strain (concerns about household financial situation since cancer diagnosis). Modified Poisson regression was used to estimate relative risks (RR) for factors associated with cancer-related financial stress and strain. Seven hundred forty survivors participated (response rate = 54 %). Of the respondents, 48 % reported cancer-related financial stress and 32 % cancer-related financial strain. Compared to those employed at diagnosis, risk of cancer-related financial stress was significantly lower in those not working (RR = 0.71, 95 % CI 0.58-0.86) or retired (RR = 0.48, 95 % CI 0.34-0.68). It was significantly higher in those who had dependents; experienced financial stress pre-diagnosis; had a mortgage/personal loans; had higher direct medical out-of-pocket costs; and had increased household bills post-diagnosis. For cancer-related financial strain, significant associations were found with dependents, pre-diagnosis employment status and pre-diagnosis financial stress; risk was lower in those with higher direct medical out-of-pocket costs. Cancer-related financial stress and strain are common. Pre-diagnosis employment status and financial circumstances are important predictors of post-diagnosis financial wellbeing. These findings could inform development of tools to identify patients/survivors most in need of financial

  7. Money Matters: Recommendations for Financial Stress Research in Occupational Health Psychology.

    Science.gov (United States)

    Sinclair, Robert R; Cheung, Janelle H

    2016-08-01

    Money is arguably the most important resource derived from work and the most important source of stress for contemporary employees. A substantial body of research supports the relationship between access to financial resources and health and well-being, both at individual and aggregated (e.g. national) levels of analysis. Yet, surprisingly little occupational health psychology research has paid attention to financial issues experienced specifically by those in the labour force. With these issues in mind, the overarching goal of the present paper was to address conceptual and measurement issues in the study of objective and subjective aspects of financial stress and review several assessment options available to occupational health psychology researchers for both aspects of financial stress. Where appropriate, we offer guidance to researchers about choices among various financial stress measures and identify issues that require further research attention. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

  8. Fractional virus epidemic model on financial networks

    Directory of Open Access Journals (Sweden)

    Balci Mehmet Ali

    2016-01-01

    Full Text Available In this study, we present an epidemic model that characterizes the behavior of a financial network of globally operating stock markets. Since the long time series have a global memory effect, we represent our model by using the fractional calculus. This model operates on a network, where vertices are the stock markets and edges are constructed by the correlation distances. Thereafter, we find an analytical solution to commensurate system and use the well-known differential transform method to obtain the solution of incommensurate system of fractional differential equations. Our findings are confirmed and complemented by the data set of the relevant stock markets between 2006 and 2016. Rather than the hypothetical values, we use the Hurst Exponent of each time series to approximate the fraction size and graph theoretical concepts to obtain the variables.

  9. Electricity spot price dynamics: Beyond financial models

    International Nuclear Information System (INIS)

    Guthrie, Graeme; Videbeck, Steen

    2007-01-01

    We reveal properties of electricity spot prices that cannot be captured by the statistical models, commonly used to model financial asset prices, that are increasingly used to model electricity prices. Using more than eight years of half-hourly spot price data from the New Zealand Electricity Market, we find that the half-hourly trading periods fall naturally into five groups corresponding to the overnight off-peak, the morning peak, daytime off-peak, evening peak, and evening off-peak. The prices in different trading periods within each group are highly correlated with each other, yet the correlations between prices in different groups are lower. Models, adopted from the modeling of security prices, that are currently applied to electricity spot prices are incapable of capturing this behavior. We use a periodic autoregression to model prices instead, showing that shocks in the peak periods are larger and less persistent than those in off-peak periods, and that they often reappear in the following peak period. In contrast, shocks in the off-peak periods are smaller, more persistent, and die out (perhaps temporarily) during the peak periods. Current approaches to modeling spot prices cannot capture this behavior either. (author)

  10. Financial strain is associated with increased oxidative stress levels: the Women's Health and Aging Studies.

    Science.gov (United States)

    Palta, Priya; Szanton, Sarah L; Semba, Richard D; Thorpe, Roland J; Varadhan, Ravi; Fried, Linda P

    2015-01-01

    Elevated oxidative stress levels may be one mechanism contributing to poor health outcomes. Financial strain and oxidative stress are each predictors of morbidity and mortality, but little research has investigated their relationship. Community-dwelling older adults (n = 728) from the Women's Health and Aging Studies I and II were included in this cross-sectional analysis. Financial strain was ascertained as an ordinal response to: "At the end of the month, do you have more than enough money left over, just enough, or not enough?" Oxidative stress was measured using serum protein carbonyl concentrations. Linear regression was used to quantify the relationship between financial strain and oxidative stress. Participants who reported high financial strain exhibited 13.4% higher protein carbonyl concentrations compared to individuals who reported low financial strain (p = 0.002). High financial strain may be associated with increased oxidative stress, suggesting that oxidative stress could mediate associations between financial strain and poor health. Copyright © 2015 Elsevier Inc. All rights reserved.

  11. Family Financial Stress and Adolescent Sexual Risk-Taking: The Role of Self-Regulation.

    Science.gov (United States)

    Crandall, AliceAnn; Magnusson, Brianna M; Novilla, M Lelinneth B; Novilla, Lynneth Kirsten B; Dyer, W Justin

    2017-01-01

    The ability to control one's emotions, thoughts, and behaviors is known as self-regulation. Family stress and low adolescent self-regulation have been linked with increased engagement in risky sexual behaviors, which peak in late adolescence and early adulthood. The purpose of this study was to assess whether adolescent self-regulation, measured by parent and adolescent self-report and respiratory sinus arrhythmia, mediates or moderates the relationship between family financial stress and risky sexual behaviors. We assessed these relationships in a 4-year longitudinal sample of 450 adolescents (52 % female; 70 % white) and their parents using structural equation modeling. Results indicated that high family financial stress predicts engagement in risky sexual behaviors as mediated, but not moderated, by adolescent self-regulation. The results suggest that adolescent self-regulatory capacities are a mechanism through which proximal external forces influence adolescent risk-taking. Promoting adolescent self-regulation, especially in the face of external stressors, may be an important method to reduce risk-taking behaviors as adolescents transition to adulthood.

  12. Financial Impact of Colorectal Cancer and Its Consequences: Associations Between Cancer-Related Financial Stress and Strain and Health-Related Quality of Life.

    Science.gov (United States)

    Sharp, Linda; O'Leary, Eamonn; O'Ceilleachair, Alan; Skally, Mairead; Hanly, Paul

    2018-01-01

    The financial impact and consequences of cancer on the lives of survivors remain poorly understood. This is especially true for colorectal cancer. We investigated objective cancer-related financial stress, subjective cancer-related financial strain, and their association with health-related quality of life in colorectal cancer survivors. This was a cross-sectional postal survey. The study was conducted in Ireland, which has a mixed public-private healthcare system. Colorectal cancer survivors, diagnosed 6 to 37 months prior, were identified from the population-based National Cancer Registry. Cancer-related financial stress was assessed as impact of cancer on household ability to make ends meet and cancer-related financial strain by feelings about household financial situation since cancer diagnosis. Health-related quality of life was based on European Organisation for Research and Treatment of Cancer QLQ-C30 global health status. Logistic regression was used to identify associations between financial stress and strain and low health-related quality of life (lowest quartile, score ≤50). A total of 493 survivors participated. Overall, 41% reported cancer-related financial stress and 39% cancer-related financial strain; 32% reported both financial stress and financial strain. After adjustment for sociodemographic and clinical variables, the odds of low health-related quality of life were significantly higher in those who reported cancer-related financial stress postdiagnosis compared with those who reported no change in financial stress postcancer (OR = 2.54 (95% CI, 1.62-3.99)). The odds of low health-related quality of life were also significantly higher in those with worse financial strain postdiagnosis (OR =1.73 (95% CI, 1.09-2.72)). The OR for those with both cancer-related financial stress and financial strain was 2.59 (95% CI, 1.59-4.22). Survey responders were younger, on average, than nonresponders. Responders and nonresponders may have differed in cancer

  13. Stochastic modeling of financial electricity contracts

    International Nuclear Information System (INIS)

    Benth, Fred Espen; Koekebakker, Steen

    2008-01-01

    We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (author)

  14. Foreign Models of Financial Equalization, Prospects for Implementation in Ukraine

    Directory of Open Access Journals (Sweden)

    Piontko Nataliia B.

    2015-09-01

    Full Text Available The article is aimed to identify the models of financial equalization applied in foreign countries, and to substantiate the possibilities for use of foreign experience in terms of financial equalization or individual elements of such models on the territory of Ukraine, for taking into consideration the foreign tools of financial equalization in the context of the State regional policy reforms is a priority and urgent task of the present day. During the generalization and systematization of scientific works by numerous domestic and foreign scientists, models of financial equalization, depending on the form of state structure in the country, have been identified. Determinants of the necessity of financial equalization were analyzed, such as: the imbalance between the own financial security and the level of assigned tasks; the level of fiscal decentralization. Methods of income and expenditures equalization, applied in vertical or horizontal levels for balancing regional development, have been substantiated. Features of expansion of financial security of budgets by using innovative tools for equalization have been determined. A comparison of the models of financial equalization in foreign countries was made and the major tasks for improving the mechanism and organization of financial equalization of budgets in Ukraine were defined. Prospects for further research in this area are diversification of tools for financial equalization, defining the investment component in the structure of budgets' incomes and studying the activities of sub-central authorities in the financial market

  15. Determinants of Patient-Centered Financial Stress in Patients With Locally Advanced Head and Neck Cancer.

    Science.gov (United States)

    de Souza, Jonas A; Kung, Sunny; O'Connor, Jeremy; Yap, Bonnie J

    2017-04-01

    To prospectively estimate patient-centered financial stress and its relationship with health care utilization in patients with head and neck cancer. This was a survey-based, longitudinal, prospective study of treatment-naïve patients with stage III, IVa, or IVb locally advanced head and neck cancer at a single-institution tertiary care hospital from May 2013 to November 2014. With 121 patients approached, 73 (60%) agreed to participate. Self-reported data were collected on demographics, income, wealth, cost-coping strategies, out-of-pocket costs, supportive medication compliance, and perceived social isolation. Health care utilization was measured by hospital admissions and outpatient appointments on a 6-month timeline. Logistic regression models were constructed to identify factors associated with use of cost-coping strategies. Covariates included all demographics, measures of income, wealth, out-of-pocket costs, indirect costs, and perceived social isolation. Fifty-one patients (69%) relied on at least one coping strategy. On multivariable analysis, Medicaid patients were more likely than privately insured patients to use cost-coping strategies (odds ratio, 42.3; P = .0042). Decreased wealth ( P = .002) and higher total out-of-pocket costs ( P = .003) were independently associated with using cost-coping strategies. Patients with high perceived social isolation were also more likely to use cost-coping strategies (odds ratio, 11.5; P = .01). Patients with high perceived social isolation were more likely to report nonadherence to supportive medications (21.4 v 5.45 days over 6 months; P = .0278) and missed appointments (seven v three; P = .0077). A majority of patients used at least one cost-coping strategy during their treatment, highlighting the financial stress that patients experience. Perceived social isolation is an important social determinant of increased medication nonadherence, missed appointments, and use of cost-coping strategies. Interventions should

  16. Nigeria; Publication of Financial Sector Assessment Program Documentation––Technical Note on Stress Testing

    OpenAIRE

    International Monetary Fund

    2013-01-01

    To assess the financial stability in Nigeria, various stress tests and analytic processes were undertaken jointly by the Nigerian authorities and the Financial Sector Assessment Program (FSAP) team. The exercise included macroeconomic scenario analysis and its transmission into a range of single- and multifactor shocks. The tests covered the entire Nigerian banking system and looked at the short-term horizon, in part because of data constraints. Sensitivity stress tests estimated the impact o...

  17. Underground water stress release models

    Science.gov (United States)

    Li, Yong; Dang, Shenjun; Lü, Shaochuan

    2011-08-01

    The accumulation of tectonic stress may cause earthquakes at some epochs. However, in most cases, it leads to crustal deformations. Underground water level is a sensitive indication of the crustal deformations. We incorporate the information of the underground water level into the stress release models (SRM), and obtain the underground water stress release model (USRM). We apply USRM to the earthquakes occurred at Tangshan region. The analysis shows that the underground water stress release model outperforms both Poisson model and stress release model. Monte Carlo simulation shows that the simulated seismicity by USRM is very close to the real seismicity.

  18. Foreign Models of Financial Equalization, Prospects for Implementation in Ukraine

    OpenAIRE

    Piontko Nataliia B.

    2015-01-01

    The article is aimed to identify the models of financial equalization applied in foreign countries, and to substantiate the possibilities for use of foreign experience in terms of financial equalization or individual elements of such models on the territory of Ukraine, for taking into consideration the foreign tools of financial equalization in the context of the State regional policy reforms is a priority and urgent task of the present day. During the generalization and sys...

  19. Modeling Financial Liquidity Of Construction Companies Using Error Correction Mechanism

    Directory of Open Access Journals (Sweden)

    Tomasz Stryjewski

    2017-03-01

    Full Text Available Financial liquidity is one of the most important economic categories in the functioning of the company. There are many methods of assessment of the company in this field, ranging from ratio analysis, to advanced models of financial flows. In this paper was presented econometric model of financial income, which was used to analyze the liquidity of the three construction companies. This analysis was made on the background of methods indicator.

  20. Contextual Influences on Financial Behavior: A Proposed Model for Adult Financial Literacy Education

    Science.gov (United States)

    Way, Wendy L.

    2014-01-01

    This chapter presents an ecological model that highlights the importance of considering multiple contextual influences on behavior as well as other factors that may impact learning when designing research and practice aimed at enhancing financial capability.

  1. Comparison of the models of financial distress prediction

    Directory of Open Access Journals (Sweden)

    Jiří Omelka

    2013-01-01

    Full Text Available Prediction of the financial distress is generally supposed as approximation if a business entity is closed on bankruptcy or at least on serious financial problems. Financial distress is defined as such a situation when a company is not able to satisfy its liabilities in any forms, or when its liabilities are higher than its assets. Classification of financial situation of business entities represents a multidisciplinary scientific issue that uses not only the economic theoretical bases but interacts to the statistical, respectively to econometric approaches as well.The first models of financial distress prediction have originated in the sixties of the 20th century. One of the most known is the Altman’s model followed by a range of others which are constructed on more or less conformable bases. In many existing models it is possible to find common elements which could be marked as elementary indicators of potential financial distress of a company. The objective of this article is, based on the comparison of existing models of prediction of financial distress, to define the set of basic indicators of company’s financial distress at conjoined identification of their critical aspects. The sample defined this way will be a background for future research focused on determination of one-dimensional model of financial distress prediction which would subsequently become a basis for construction of multi-dimensional prediction model.

  2. GASB's New Financial Reporting Model: Implementation Project for School Districts.

    Science.gov (United States)

    Bean, David; Glick, Paul

    1999-01-01

    In June 1999, the Governmental Accounting Standards Board (GASB) issued its statement on the structure of the basic financial reporting model for state and local governments. Explains the new financial reporting model and reviews the implementation issues that school districts will need to address. (MLF)

  3. Estimating Dynamic Equilibrium Models using Macro and Financial Data

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Posch, Olaf; van der Wel, Michel

    We show that including financial market data at daily frequency, along with macro series at standard lower frequency, facilitates statistical inference on structural parameters in dynamic equilibrium models. Our continuous-time formulation conveniently accounts for the difference in observation...... of the estimators and estimate the model using 20 years of U.S. macro and financial data....

  4. Ordered LOGIT Model approach for the determination of financial distress.

    Science.gov (United States)

    Kinay, B

    2010-01-01

    Nowadays, as a result of the global competition encountered, numerous companies come up against financial distresses. To predict and take proactive approaches for those problems is quite important. Thus, the prediction of crisis and financial distress is essential in terms of revealing the financial condition of companies. In this study, financial ratios relating to 156 industrial firms that are quoted in the Istanbul Stock Exchange are used and probabilities of financial distress are predicted by means of an ordered logit regression model. By means of Altman's Z Score, the dependent variable is composed by scaling the level of risk. Thus, a model that can compose an early warning system and predict financial distress is proposed.

  5. Multiple Time Series Ising Model for Financial Market Simulations

    International Nuclear Information System (INIS)

    Takaishi, Tetsuya

    2015-01-01

    In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility clustering that is often observed in the real financial markets. Furthermore we also find non-zero cross correlations between the volatilities from our model. Thus our model can simulate stock markets where volatilities of stocks are mutually correlated

  6. Fiscal developments and financial stress: a threshold VAR analysis

    Czech Academy of Sciences Publication Activity Database

    Afonso, A.; Baxa, Jaromír; Slavík, M.

    2011-01-01

    Roč. 2011, č. 1319 (2011), s. 1-60 ISSN 1725-2806 Institutional research plan: CEZ:AV0Z10750506 Keywords : fiscal policy * financial markets * threshold VAR Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2011/E/baxa-0364091.pdf

  7. Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

    OpenAIRE

    Nasir, M; Du, M

    2017-01-01

    This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC).Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association...

  8. Fiscal developments and financial stress: a threshold VAR analysis

    Czech Academy of Sciences Publication Activity Database

    Afonso, A.; Baxa, Jaromír; Slavík, M.

    2018-01-01

    Roč. 54, č. 2 (2018), s. 395-423 ISSN 0377-7332 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : Fiscal policy * Financial markets * Threshold VAR Subject RIV: AH - Economic s OBOR OECD: Applied Economic s, Econometrics Impact factor: 0.645, year: 2016 http://library.utia.cas.cz/separaty/2018/E/baxa-0488303.pdf

  9. Stress Erythropoiesis Model Systems.

    Science.gov (United States)

    Bennett, Laura F; Liao, Chang; Paulson, Robert F

    2018-01-01

    Bone marrow steady-state erythropoiesis maintains erythroid homeostasis throughout life. This process constantly generates new erythrocytes to replace the senescent erythrocytes that are removed by macrophages in the spleen. In contrast, anemic or hypoxic stress induces a physiological response designed to increase oxygen delivery to the tissues. Stress erythropoiesis is a key component of this response. It is best understood in mice where it is extramedullary occurring in the adult spleen and liver and in the fetal liver during development. Stress erythropoiesis utilizes progenitor cells and signals that are distinct from bone marrow steady-state erythropoiesis. Because of that observation many genes may play a role in stress erythropoiesis despite having no effect on steady-state erythropoiesis. In this chapter, we will discuss in vivo and in vitro techniques to study stress erythropoiesis in mice and how the in vitro culture system can be extended to study human stress erythropoiesis.

  10. COMPARING FINANCIAL DISTRESS PREDICTION MODELS BEFORE AND DURING RECESSION

    Directory of Open Access Journals (Sweden)

    Nataša Šarlija

    2011-02-01

    Full Text Available The purpose of this paper is to design three separate financial distress prediction models that will track the changes in a relative importance of financial ratios throughout three consecutive years. The models were based on the financial data from 2000 privately-owned small and medium-sized enterprises in Croatia from 2006 to 2009, and developed by means of logistic regression. Macroeconomic conditions as well as market dynamic have been changed over the mentioned period. Financial ratios that were less important in one period become more important in the next period. Composition of model starting in 2006 has been changed in the next years. It tells us what financial ratios are more important during the time of economic downturn. Besides, it helps us to understand behavior of small and medium-sized enterprises in the period of prerecession and in the period of recession.

  11. Models for the financial-performance effects of Marketing

    NARCIS (Netherlands)

    Hanssens, D.M.; Dekimpe, Marnik; Wierenga, B.; van der Lans, R.

    We consider marketing-mix models that explicitly include financial performance criteria. These financial metrics are not only comparable across the marketing mix, they also relate well to investors’ evaluation of the firm. To that extent, we treat marketing as an investment in customer value

  12. Financial stress in emerging markets: Patterns, real effects, and cross-country spillovers

    OpenAIRE

    Mikhail Stolbov; Maria Shchepeleva

    2016-01-01

    We extend the conventional approach to the construction of financial stress indices (FSI) for emerging economies proposed by Balakrishnan et al. (2011). Based on the principal component analysis, our index accounts for developments in the residential real estate market, adopts distinctive indicators for the banking sector and sovereign debt risks, covering the period from February 2008 to September 2015 for 14 emerging economies. The FSIs accurately capture the periods of impaired financial i...

  13. Financier-led asset lease model

    NARCIS (Netherlands)

    Zhao, X.; Angelov, S.A.; Grefen, P.W.P.J.; Meersman, R.A.; Dillon, T.S.

    2010-01-01

    Nowadays, the business globalisation trend drives organisations to spread their business worldwide, which in turn generates vast asset demands. In this context, broader asset channels and higher financial capacities are required to boost the asset lease sector to meet the increasing asset demands

  14. Econometric Model – A Tool in Financial Management

    Directory of Open Access Journals (Sweden)

    Riana Iren RADU

    2011-06-01

    Full Text Available The economic situation in Romania requires from the trader a rigorous analysis of vulnerabilities and opportunities offered by the external environment and a careful analysis of internal environmental conditions in which the entity operates. In this context particular attention is paid to indicators presented in the financial statements. Many times they are a model for economic forecasts, future plans, basic business and businesses that use them with a good forecasting activity. In this paper we propose to analyze the comparative evolution of the main financial indicators highlighted in financial statements (profit and loss through a multi-equation econometric model, namely dynamic Keynesian model.

  15. Financial Transaction Tax: Determination of Economic Impact Under DSGE Model

    Directory of Open Access Journals (Sweden)

    Veronika Solilová

    2015-01-01

    Full Text Available The discussion about the possible taxation of the financial sector has started in the European Union as a result of the financial crisis which has spread to the Europe from the United States in 2008 and consequently of the massive financial interventions by governments made in favour of the financial sector. On 14 February 2013, after rejection of the draft of the directive introducing a common system of financial transaction tax in 2011, the European Commission introduced the financial transaction tax through enhanced cooperation. The aim of the paper is to research economic impact of financial transaction tax on EU (EU27 or EU11 with respect to the DSGE model which was used for the determination of impacts. Based on our analysis the DSGE model can be considered as underestimated in case of the impact on economic growth and an overestimated in case of the revenue collection. Particularly, the overall impact of the financial transaction tax considering cascade effects of securities (tax rate 2.2% and derivatives (tax rate 0.2% is ranged between −4.752 and 1.472 percent points of GDP. And further, is assumed that the relocation effects of business/trade can be in average 40% causes a decline of expected tax revenues in the amount of 13bn EUR. Thus, at a time of fragile economic growth across the EU and the increased risk of recession in Europe, the introduction of the FTT should be undesirable.

  16. Financial distress in Brazilian banks: an early warning model,

    Directory of Open Access Journals (Sweden)

    Paulo Sérgio Rosa

    2017-12-01

    Full Text Available ABSTRACT This study aims to propose an early warning model for predicting financial distress events in Brazilian banking institutions. Initially, a set of economic-financial indicators is evaluated, suggested by the risk management literature for identifying situations of bank insolvency and exclusively taking public information into account. For this, multivariate logistic regressions are performed, using as independent variables financial indicators involving capital adequacy, asset quality, management quality, earnings, and liquidity. The empirical analysis was based on a sample of 142 financial institutions, including privately and publicly held and state-owned companies, using monthly data from 2006 to 2014, which resulted in panel data with 12,136 observations. In the sample window there were nine cases of Brazilian Central Bank intervention or mergers and acquisitions motivated by financial distress. The results were evaluated based on the estimation of the in-sample parameters, out-of-sample tests, and the early warning model signs for a 12-month forecast horizon. These obtained true positive rates of 81%, 94%, and 89%, respectively. We conclude that typical balance-sheet indicators are relevant for the early warning signs of financial distress in Brazilian banks, which contributes to the literature on financial intermediary credit risk, especially from the perspective of bank supervisory agencies acting towards financial stability.

  17. Latent class models in financial data analysis

    Directory of Open Access Journals (Sweden)

    Attilio Gardini

    2007-10-01

    Full Text Available This paper deals with optimal international portfolio choice by developing a latent class approach based on the distinction between international and non-international investors. On the basis of micro data, we analyze the effects of many social, demographic, economic and financial characteristics on the probability to be an international investor. Traditional measures of equity home bias do not allow for the existence of international investment rationing operators. On the contrary, by resorting to latent class analysis it is possible to detect the unobservable distinction between international investors and investors who are precluded from operating into international financial markets and, therefore, to evaluate the role of these unobservable constraints on equity home bias.

  18. Cigarette tax and public health: what are the implications of financially stressed smokers for the effects of price increases on smoking prevalence?

    Science.gov (United States)

    Martire, Kristy A; Mattick, Richard P; Doran, Christopher M; Hall, Wayne D

    2011-03-01

    This paper models the predicted impact of tobacco price increases proposed in the United States and Australia during 2009 on smoking prevalence in 2010 while taking account of the effects of financial stress among smokers on cessation rates. Two models of smoking prevalence were developed for each country. In model 1, prevalence rates were determined by price elasticity estimates. In model 2 price elasticity was moderated by financial stress. Each model was used to estimate smoking prevalence in 2010 in Australia and the United States. Proposed price increases resulted in a 1.89% and 7.84% decrease in smoking participation among low socio-economic status (SES) groups in the United States and Australia, respectively. Model 1 overestimated the number of individuals expected to quit in both the United States (0.13% of smokers) and Australia (0.36% of smokers) by failing to take account of the differential effects of the tax on financially stressed smokers. The proportion of low-income smokers under financial stress increased in both countries in 2010 (by 1.06% in the United States and 3.75% in Australia). The inclusion of financial stress when modelling the impact of price on smoking prevalence suggests that the population health returns of increased cigarette price will diminish over time. As it is likely that the proportion of low-income smokers under financial stress will also increase in 2010, future population-based approaches to reducing smoking will need to address this factor. © 2010 The Authors, Addiction © 2010 Society for the Study of Addiction.

  19. A Model of Teacher Stress

    Science.gov (United States)

    Kyriacou, Chris; Sutcliffe, John

    1978-01-01

    A definition and model of teacher stress is presented which conceptualizes teacher stress as a response syndrome (anger or depression) mediated by (1) an appraisal of threat to the teacher's self-esteem or well-being and (2) coping mechanisms activated to reduce the perceived threat. (Author)

  20. Latino Immigrant Parents' Financial Stress, Depression, and Academic Involvement Predicting Child Academic Success

    Science.gov (United States)

    Gilbert, Lauren R.; Spears Brown, Christia; Mistry, Rashmita S.

    2017-01-01

    The current study examines Mexican-heritage immigrant parents' financial stress, English language fluency, and depressive symptoms as risk factors for parental academic involvement and child academic outcomes. Participants were 68 Latino immigrant (from Mexico) third and fourth graders and their parents. Results from a structural equation model…

  1. The Relationship between Financial Strain, Perceived Stress, Psychological Symptoms, and Academic and Social Integration in Undergraduate Students

    Science.gov (United States)

    Adams, Danielle R.; Meyers, Steven A.; Beidas, Rinad S.

    2016-01-01

    Objective: Financial strain may directly or indirectly (i.e., through perceived stress) impact students' psychological symptoms and academic and social integration, yet few studies have tested these relationships. The authors explored the mediating effect of perceived stress on the relationship between financial strain and 2 important outcomes:…

  2. Predicting Financial Statements Corporate Fraud: Beneish M-score Model

    OpenAIRE

    Hariri, Hariri; Pradana, Ayub Wijayati Sapta; Widjajanti, Sri Luki

    2017-01-01

    This research aims to detect fraudulent financial statements the financial statements of XYZ, PT in the period 2010-2013. This research is a qualitative descriptive research. Data collection techniques used are observation and documentation. Data analysis techniques used are data reduction, data presentation and conclusion with Beniesh M-Score Model. The results showed that the financial statements in the period 2010-2013 as a whole that Beniesh M-Score XYZ, PT reached -3.94 in 2010, 0.70 in ...

  3. Water Stress Projection Modeling

    Science.gov (United States)

    2016-09-01

    water consumption stress in coming decades is electricity generation in two surrounding counties, El Paso and Doña Ana, which are expected to...better able to predict and prepare for a changing climate. Army installations will be affected by climate change. It behooves the Army to understand...stationing analysis, the resources ex- amined were: a. Training land b. Energy ( electricity and natural gas) c. Water and wastewater treatment and solid

  4. Analysis of Spin Financial Market by GARCH Model

    International Nuclear Information System (INIS)

    Takaishi, Tetsuya

    2013-01-01

    A spin model is used for simulations of financial markets. To determine return volatility in the spin financial market we use the GARCH model often used for volatility estimation in empirical finance. We apply the Bayesian inference performed by the Markov Chain Monte Carlo method to the parameter estimation of the GARCH model. It is found that volatility determined by the GARCH model exhibits ''volatility clustering'' also observed in the real financial markets. Using volatility determined by the GARCH model we examine the mixture-of-distribution hypothesis (MDH) suggested for the asset return dynamics. We find that the returns standardized by volatility are approximately standard normal random variables. Moreover we find that the absolute standardized returns show no significant autocorrelation. These findings are consistent with the view of the MDH for the return dynamics

  5. A Financial Data Mining Model for Extracting Customer Behavior

    Directory of Open Access Journals (Sweden)

    Mark K.Y. Mak

    2011-08-01

    Full Text Available Facing the problem of variation and chaotic behavior of customers, the lack of sufficient information is a challenge to many business organizations. Human analysts lacking an understanding of the hidden patterns in business data, thus, can miss corporate business opportunities. In order to embrace all business opportunities, enhance the competitiveness, discovery of hidden knowledge, unexpected patterns and useful rules from large databases have provided a feasible solution for several decades. While there is a wide range of financial analysis products existing in the financial market, how to customize the investment portfolio for the customer is still a challenge to many financial institutions. This paper aims at developing an intelligent Financial Data Mining Model (FDMM for extracting customer behavior in the financial industry, so as to increase the availability of decision support data and hence increase customer satisfaction. The proposed financial model first clusters the customers into several sectors, and then finds the correlation among these sectors. It is noted that better customer segmentation can increase the ability to identify targeted customers, therefore extracting useful rules for specific clusters can provide an insight into customers' buying behavior and marketing implications. To validate the feasibility of the proposed model, a simple dataset is collected from a financial company in Hong Kong. The simulation experiments show that the proposed method not only can improve the workflow of a financial company, but also deepen understanding of investment behavior. Thus, a corporation is able to customize the most suitable products and services for customers on the basis of the rules extracted.

  6. Integrated Inflammatory Stress (ITIS) Model

    DEFF Research Database (Denmark)

    Bangsgaard, Elisabeth O.; Hjorth, Poul G.; Olufsen, Mette S.

    2017-01-01

    maintains a long-term level of the stress hormone cortisol which is also anti-inflammatory. A new integrated model of the interaction between these two subsystems of the inflammatory system is proposed and coined the integrated inflammatory stress (ITIS) model. The coupling mechanisms describing....... A constant activation results in elevated levels of the variables in the model while a prolonged change of the oscillations in ACTH and cortisol concentrations is the most pronounced result of different LPS doses predicted by the model....

  7. A Strategy Modelling Technique for Financial Services

    OpenAIRE

    Heinrich, Bernd; Winter, Robert

    2004-01-01

    Strategy planning processes often suffer from a lack of conceptual models that can be used to represent business strategies in a structured and standardized form. If natural language is replaced by an at least semi-formal model, the completeness, consistency, and clarity of strategy descriptions can be drastically improved. A strategy modelling technique is proposed that is based on an analysis of modelling requirements, a discussion of related work and a critical analysis of generic approach...

  8. Toward quantum-like modeling of financial processes

    International Nuclear Information System (INIS)

    Choustova, Olga

    2007-01-01

    We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Trajectories of prices are determined by two financial potentials: classical-like V(q) ('hard' market conditions, e.g., natural resources) and quantum-like U(q) (behavioral market conditions). On the one hand, our Bohmian model is a quantum-like model for the financial market, cf. with works of W. Segal, I. E. Segal, E. Haven, E. W. Piotrowski, J. Sladkowski. On the other hand (since Bohmian mechanics provides the possibility to describe individual price trajectories) it belongs to the domain of extended research on deterministic dynamics for financial assets (C.W.J. Granger, W.A. Barnett, A. J. Benhabib, W.A. Brock, C. Sayers, J. Y. Campbell, A. W. Lo, A. C. MacKinlay, A. Serletis, S. Kuchta, M. Frank, R. Gencay, T. Stengos, M. J. Hinich, D. Patterson, D. A. Hsieh, D. T. Caplan, J.A. Scheinkman, B. LeBaron and many others)

  9. Toward quantum-like modeling of financial processes

    Energy Technology Data Exchange (ETDEWEB)

    Choustova, Olga [International Center for Mathematical Modeling in Physics and Cognitive Sciences, University of Vaexjoe, S-35195 (Sweden)

    2007-05-15

    We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Trajectories of prices are determined by two financial potentials: classical-like V(q) ('hard' market conditions, e.g., natural resources) and quantum-like U(q) (behavioral market conditions). On the one hand, our Bohmian model is a quantum-like model for the financial market, cf. with works of W. Segal, I. E. Segal, E. Haven, E. W. Piotrowski, J. Sladkowski. On the other hand (since Bohmian mechanics provides the possibility to describe individual price trajectories) it belongs to the domain of extended research on deterministic dynamics for financial assets (C.W.J. Granger, W.A. Barnett, A. J. Benhabib, W.A. Brock, C. Sayers, J. Y. Campbell, A. W. Lo, A. C. MacKinlay, A. Serletis, S. Kuchta, M. Frank, R. Gencay, T. Stengos, M. J. Hinich, D. Patterson, D. A. Hsieh, D. T. Caplan, J.A. Scheinkman, B. LeBaron and many others)

  10. The financial accounting model from a system dynamics' perspective

    NARCIS (Netherlands)

    Melse, E.

    2006-01-01

    This paper explores the foundation of the financial accounting model. We examine the properties of the accounting equation as the principal algorithm for the design and the development of a System Dynamics model. Key to the perspective is the foundational requirement that resolves the temporal

  11. Parameterizing unconditional skewness in models for financial time series

    DEFF Research Database (Denmark)

    He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo

    In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...

  12. Relationship between job stress and subjective oral health symptoms in male financial workers in Japan.

    Science.gov (United States)

    Yoshino, Koichi; Suzuki, Seitaro; Ishizuka, Yoichi; Takayanagi, Atsushi; Sugihara, Naoki; Kamijyo, Hideyuki

    2017-04-07

    The aim was to assess subjective oral health symptoms and job stress, as measured by self-assessment of how demanding the job is, in male financial workers. The participants were recruited by applying screening procedures to a pool of Japanese registrants in an online database. For the stress check, 7 items about how demanding the job is were selected from The Brief Job Stress Questionnaire (BJSQ). Participants comprised a total of 950 financial male workers, ages 25 to 64. Participants who answered "I can't complete my work in the required time" had more decayed teeth (p=0.010). Participants who felt that their job is highly demanding (answered affirmatively to 6 or all 7 items) were more likely to report "often get food stuck between teeth" (p=0.030), "there are some foods I can't eat" (p=0.005), "bad breath" (p=0.032), and "jaw makes clicking sound" (p=0.032). The independent variable of total stress score of 24-28 was found to be correlated to at least three oral health symptoms (OR: 3.25; 95%CI: 1.66-6.35). These results indicate that certain job stress factors are associated with certain oral health symptoms, and that oral health symptoms are likely predictors of job stress.

  13. Financial Stylized Facts in the Word of Mouth Model

    Science.gov (United States)

    Misawa, Tadanobu; Watanabe, Kyoko; Shimokawa, Tetsuya

    Recently, we proposed an agent-based model called the word of mouth model to analyze the influence of an information transmission process to price formation in financial markets. Especially, the short-term predictability of asset return was focused on and an explanation in the view of information transmission was provided to the question why the predictability was much clearly observed in the small-sized stocks. This paper, to extend the previous study, demonstrates that the word of mouth model also has a consistency with other important financial stylized facts. This strengthens the possibility that the information transmission among investors plays a crucial role in price formation. Concretely, this paper addresses two famous statistical features of returns; the leptokurtic distribution of return and the autocorrelation of return volatility. The reasons why these statistical facts receive especial attentions of researchers among financial stylized facts are their statistical robustness and practical importance, such as the applications to the derivative pricing problems.

  14. The Financial Accounting Model from a System Dynamics' Perspective

    OpenAIRE

    Melse, Eric

    2006-01-01

    This paper explores the foundation of the financial accounting model. We examine the properties of the accounting equation as the principal algorithm for the design and the development of a System Dynamics model. Key to the perspective is the foundational requirement that resolves the temporal conflict that resides in a stock and flow model. Through formal analysis the accounting equation is redefined as a cybernetic model by expressing the temporal and dynamic properties of its terms. Articu...

  15. An adaptive stochastic model for financial markets

    International Nuclear Information System (INIS)

    Hernández, Juan Antonio; Benito, Rosa Marı´a; Losada, Juan Carlos

    2012-01-01

    An adaptive stochastic model is introduced to simulate the behavior of real asset markets. The model adapts itself by changing its parameters automatically on the basis of the recent historical data. The basic idea underlying the model is that a random variable uniformly distributed within an interval with variable extremes can replicate the histograms of asset returns. These extremes are calculated according to the arrival of new market information. This adaptive model is applied to the daily returns of three well-known indices: Ibex35, Dow Jones and Nikkei, for three complete years. The model reproduces the histograms of the studied indices as well as their autocorrelation structures. It produces the same fat tails and the same power laws, with exactly the same exponents, as in the real indices. In addition, the model shows a great adaptation capability, anticipating the volatility evolution and showing the same volatility clusters observed in the assets. This approach provides a novel way to model asset markets with internal dynamics which changes quickly with time, making it impossible to define a fixed model to fit the empirical observations.

  16. Understanding financial crisis through accounting models

    NARCIS (Netherlands)

    Bezemer, D.J.

    2010-01-01

    This paper presents evidence that accounting (or flow-of-funds) macroeconomic models helped anticipate the credit crisis and economic recession Equilibrium models ubiquitous in mainstream policy and research did not This study traces the Intellectual pedigrees of the accounting approach as an

  17. Ising model of financial markets with many assets

    Science.gov (United States)

    Eckrot, A.; Jurczyk, J.; Morgenstern, I.

    2016-11-01

    Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets.

  18. Economic abuse between intimate partners in Australia: prevalence, health status, disability and financial stress.

    Science.gov (United States)

    Kutin, Jozica; Russell, Roslyn; Reid, Mike

    2017-06-01

    Economic abuse is a form of domestic violence that has a significant impact on the health and financial wellbeing of victims, but is understudied. This study determined the lifetime prevalence of economic abuse in Australia by age and gender, and the associated risk factors. The 2012 ABS Personal Safety Survey was used, involving a cross-sectional population survey of 17,050 randomly selected adults using face-to-face interviews. The survey-weighted prevalence of economic abuse was calculated and analysed by age and gender. Logistic regression was used to adjust odds ratios for possible confounding between variables. The lifetime prevalence of economic abuse in the whole sample was 11.5%. Women in all age groups were more likely to experience economic abuse (15.7%) compared to men (7.1%). Disability, health and financial stress status were significant markers of economic abuse. For women, financial stress and disability were important markers of economic abuse. However, prevalence rates were influenced by the measures used and victims' awareness of the abuse, which presents a challenge for screening and monitoring. Implications for public health: Social, health and financial services need to be aware of and screen for the warning signs of this largely hidden form of domestic violence. © 2017 The Authors.

  19. THE BUSINESS MODEL AND FINANCIAL ASSETS MEASUREMENT

    OpenAIRE

    NICULA Ileana

    2012-01-01

    The paper work analyses some aspects regarding the implementation of IFRS 9, the relationship between the business model approach and the assets classification and measurement. It does not discuss the cash flows characteristics, another important aspect of assets classification, or the reclassifications. The business model is related to some characteristics of the banks (opaqueness, leverage ratio, compliance to capital, sound liquidity requirements and risk management) and to Special Purpose...

  20. Structural model for fluctuations in financial markets

    Science.gov (United States)

    Anand, Kartik; Khedair, Jonathan; Kühn, Reimer

    2018-05-01

    In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market which takes the form of an interacting generalization of the geometric Brownian motion model. It is formally equivalent to a model describing the stochastic dynamics of a system of analog neurons, which is expected to exhibit glassy properties and thus many metastable states in a large portion of its parameter space. We perform a generating functional analysis, introducing a slow driving of the dynamics to mimic the effect of slowly varying macroeconomic conditions. Distributions of asset returns over various time separations are evaluated analytically and are found to be fat-tailed in a manner broadly in line with empirical observations. Our model also allows us to identify collective, interaction-mediated properties of pricing distributions and it predicts pricing distributions which are significantly broader than their noninteracting counterparts, if interactions between prices in the model contain a ferromagnetic bias. Using simulations, we are able to substantiate one of the main hypotheses underlying the original modeling, viz., that the phenomenon of volatility clustering can be rationalized in terms of an interplay between the dynamics within metastable states and the dynamics of occasional transitions between them.

  1. Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy

    Czech Academy of Sciences Publication Activity Database

    Horváth, Roman; Malega, J.

    2017-01-01

    Roč. 2017, č. 3 (2017), s. 257-268 ISSN 1210-0455 R&D Projects: GA ČR GA15-10331S Institutional support: RVO:67985556 Keywords : financial stress indicator * vector autoregression * Czech Republic Subject RIV: AH - Economics OBOR OECD: Finance Impact factor: 0.710, year: 2016 http://library.utia.cas.cz/separaty/2017/E/horvath-0466511.pdf

  2. Revenue Potential for Inpatient IR Consultation Services: A Financial Model.

    Science.gov (United States)

    Misono, Alexander S; Mueller, Peter R; Hirsch, Joshua A; Sheridan, Robert M; Siddiqi, Assad U; Liu, Raymond W

    2016-05-01

    Interventional radiology (IR) has historically failed to fully capture the value of evaluation and management services in the inpatient setting. Understanding financial benefits of a formally incorporated billing discipline may yield meaningful insights for interventional practices. A revenue modeling tool was created deploying standard financial modeling techniques, including sensitivity and scenario analyses. Sensitivity analysis calculates revenue fluctuation related to dynamic adjustment of discrete variables. In scenario analysis, possible future scenarios as well as revenue potential of different-size clinical practices are modeled. Assuming a hypothetical inpatient IR consultation service with a daily patient census of 35 patients and two new consults per day, the model estimates annual charges of $2.3 million and collected revenue of $390,000. Revenues are most sensitive to provider billing documentation rates and patient volume. A range of realistic scenarios-from cautious to optimistic-results in a range of annual charges of $1.8 million to $2.7 million and a collected revenue range of $241,000 to $601,000. Even a small practice with a daily patient census of 5 and 0.20 new consults per day may expect annual charges of $320,000 and collected revenue of $55,000. A financial revenue modeling tool is a powerful adjunct in understanding economics of an inpatient IR consultation service. Sensitivity and scenario analyses demonstrate a wide range of revenue potential and uncover levers for financial optimization. Copyright © 2016 SIR. Published by Elsevier Inc. All rights reserved.

  3. Tests of Financial Models in the Presence of Overlapping Observations.

    OpenAIRE

    Richardson, Matthew; Smith, Tom

    1991-01-01

    A general approach to testing serial dependence restrictions implied from financial models is developed. In particular, we discuss joint serial dependence restrictions imposed by random walk, market microstructure, and rational expectations models recently examined in the literature. This approach incorporates more information from the data by explicitly modeling dependencies induced by the use of overlapping observations. Because the estimation problem is sufficiently simple in this framewor...

  4. ICU early physical rehabilitation programs: financial modeling of cost savings.

    Science.gov (United States)

    Lord, Robert K; Mayhew, Christopher R; Korupolu, Radha; Mantheiy, Earl C; Friedman, Michael A; Palmer, Jeffrey B; Needham, Dale M

    2013-03-01

    To evaluate the potential annual net cost savings of implementing an ICU early rehabilitation program. Using data from existing publications and actual experience with an early rehabilitation program in the Johns Hopkins Hospital Medical ICU, we developed a model of net financial savings/costs and presented results for ICUs with 200, 600, 900, and 2,000 annual admissions, accounting for both conservative- and best-case scenarios. Our example scenario provided a projected financial analysis of the Johns Hopkins Medical ICU early rehabilitation program, with 900 admissions per year, using actual reductions in length of stay achieved by this program. U.S.-based adult ICUs. Financial modeling of the introduction of an ICU early rehabilitation program. Net cost savings generated in our example scenario, with 900 annual admissions and actual length of stay reductions of 22% and 19% for the ICU and floor, respectively, were $817,836. Sensitivity analyses, which used conservative- and best-case scenarios for length of stay reductions and varied the per-day ICU and floor costs, across ICUs with 200-2,000 annual admissions, yielded financial projections ranging from -$87,611 (net cost) to $3,763,149 (net savings). Of the 24 scenarios included in these sensitivity analyses, 20 (83%) demonstrated net savings, with a relatively small net cost occurring in the remaining four scenarios, mostly when simultaneously combining the most conservative assumptions. A financial model, based on actual experience and published data, projects that investment in an ICU early rehabilitation program can generate net financial savings for U.S. hospitals. Even under the most conservative assumptions, the projected net cost of implementing such a program is modest relative to the substantial improvements in patient outcomes demonstrated by ICU early rehabilitation programs.

  5. Modeling and Forecasting Persistent Financial Durations

    Czech Academy of Sciences Publication Activity Database

    Žikeš, F.; Baruník, Jozef; Shenai, N.

    2017-01-01

    Roč. 36, č. 10 (2017), s. 1081-1110 ISSN 0747-4938 R&D Projects: GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : price durations * long memory * multifractal models * realized volatility * Whittle estimation Subject RIV: AH - Economics OBOR OECD: Applied Economics , Econometrics Impact factor: 1.333, year: 2016 http://library.utia.cas.cz/separaty/2014/E/barunik-0434201.pdf

  6. A stochastic model for the financial market with discontinuous prices

    Directory of Open Access Journals (Sweden)

    Leda D. Minkova

    1996-01-01

    Full Text Available This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

  7. INFORMATION SYSTEM FOR MODELING ECONOMIC AND FINANCIAL PERFORMANCES

    Directory of Open Access Journals (Sweden)

    Boldeanu Dana Maria

    2009-05-01

    Full Text Available The analysis of the most important financial and economic indicators at the level of some organizations from the same sector of activity, the selection of performance ratios and generating a particular analysis model help companies to move from the desire

  8. Relative deprivation in the Nordic countries-child mental health problems in relation to parental financial stress

    DEFF Research Database (Denmark)

    Gunnarsdóttir, Hrafnhildur; Hensing, Gunnel; Povlsen, Lene

    2016-01-01

    BACKGROUND: The Nordic welfare system has been acknowledged as favourable for children, successfully contributing to low child mortality and poverty rates. Nevertheless, mental health problems among children and adolescents are common and the economic situation of the family has been highlighted...... as an important determinant. In spite of similar social, political and cultural structures, the Nordic countries differ; Iceland was most affected by the global financial crisis in 2008. The aim of this study was to examine potential differences in parental financial stress and the associations to child mental...... to measure mental health problems.  RESULTS:  In Iceland, 47.7% of the parents reported financial stress while ≤20% did so in the other countries except for Finland (33.5%). However, in case of parental financial stress the OR of mental health problems comparing children to parents with and without financial...

  9. Jump diffusion models and the evolution of financial prices

    International Nuclear Information System (INIS)

    Figueiredo, Annibal; Castro, Marcio T. de; Silva, Sergio da; Gleria, Iram

    2011-01-01

    We analyze a stochastic model to describe the evolution of financial prices. We consider the stochastic term as a sum of the Wiener noise and a jump process. We point to the effects of the jumps on the return time evolution, a central concern of the econophysics literature. The presence of jumps suggests that the process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. We then extend the De Finetti functions to a generalized nonlinear model and show the model to be capable of explaining return behavior. -- Highlights: → We analyze a stochastic model to describe the evolution of financial prices. → The stochastic term is considered as a sum of the Wiener noise and a jump process. → The process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. → We extend the De Finetti functions to a generalized nonlinear model.

  10. Bayesian log-periodic model for financial crashes

    DEFF Research Database (Denmark)

    Rodríguez-Caballero, Carlos Vladimir; Knapik, Oskar

    2014-01-01

    This paper introduces a Bayesian approach in econophysics literature about financial bubbles in order to estimate the most probable time for a financial crash to occur. To this end, we propose using noninformative prior distributions to obtain posterior distributions. Since these distributions...... cannot be performed analytically, we develop a Markov Chain Monte Carlo algorithm to draw from posterior distributions. We consider three Bayesian models that involve normal and Student’s t-distributions in the disturbances and an AR(1)-GARCH(1,1) structure only within the first case. In the empirical...... part of the study, we analyze a well-known example of financial bubble – the S&P 500 1987 crash – to show the usefulness of the three methods under consideration and crashes of Merval-94, Bovespa-97, IPCMX-94, Hang Seng-97 using the simplest method. The novelty of this research is that the Bayesian...

  11. Using a Financial Health Model to Provide Context for Financial Literacy Education Research: A Commentary

    Science.gov (United States)

    Huston, Sandra J.

    2015-01-01

    In the article, "Enhancing links between research and practice to improve consumer financial education and well-being" Billy J. Hensley, Director of Education at National Endowment for Financial Education® (NEFE®), outlines his perspective on the current relation between financial education and financial outcome (downstream financial…

  12. From discrete-time models to continuous-time, asynchronous modeling of financial markets

    NARCIS (Netherlands)

    Boer, Katalin; Kaymak, Uzay; Spiering, Jaap

    2007-01-01

    Most agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modeling of financial markets. We study the behavior of a learning market maker in a market with information

  13. From Discrete-Time Models to Continuous-Time, Asynchronous Models of Financial Markets

    NARCIS (Netherlands)

    K. Boer-Sorban (Katalin); U. Kaymak (Uzay); J. Spiering (Jaap)

    2006-01-01

    textabstractMost agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modelling of financial markets. We study the behaviour of a learning market maker in a market with

  14. Adolescent ADHD and adult physical and mental health, work performance, and financial stress.

    Science.gov (United States)

    Brook, Judith S; Brook, David W; Zhang, Chenshu; Seltzer, Nathan; Finch, Stephen J

    2013-01-01

    There is a scarcity of longitudinal studies of adolescents with attention-deficit/hyperactivity disorder (ADHD) followed until adulthood. We studied the relationship between ADHD in adolescence and impaired general physical health, impaired general mental health, antisocial personality disorder, impaired work performance, and high financial stress in adulthood. A prospective design incorporated 6 assessments of participants spanning mean ages from 14 to 37 years. Two baseline assessments were taken between ages 14 and 16 years, and 5 outcome assessments were taken at mean age 37 years. Participants were assessed with structured interviews and questionnaires. The participants were from a community sample of individuals initially drawn in 1975 and followed to a mean age of 37 years in 2009. The adjusted odds ratios and 95% confidence intervals (CIs) for ADHD in adolescence as related to internal stress in adulthood were 1.82 (95% CI = 1.01-3.25; P health, 2.36 (95% CI = 1.23-4.51; P mental health, and 3.28 (95% CI = 1.51-7.13; P stress were 2.46 (95% CI = 1.37-4.43; P work performance and 3.33 (95% CI = 1.70-6.55; P stress. Clinicians should focus on early diagnosis and treatment of adolescent ADHD because it is a major predictor of an array of physical, mental, work, and financial problems in adulthood.

  15. Is the Ownership Structure Model a Decisive Determinant of Co-Operatives' Financial Success? A Financial Assessment

    NARCIS (Netherlands)

    Kalogeras, N.; Pennings, J.M.E.; Kuikman, J.; Doumpos, M.

    2011-01-01

    Abstract. In this paper, the financial/ownership structures of agribusiness co-operatives (co-ops) are analyzed in order to examine whether new co-op models perform better than the more traditional ones. The assessment procedure introduces a new financial decision-aid approach, which is based on

  16. Delayed feedback on the dynamical model of a financial system

    International Nuclear Information System (INIS)

    Son, Woo-Sik; Park, Young-Jai

    2011-01-01

    Research highlights: → Effect of delayed feedbacks on the financial model. → Proof on the occurrence of Hopf bifurcation by local stability analysis. → Numerical bifurcation analysis on delay differential equations. → Observation of supercritical and subcritical Hopf, fold limit cycle, Neimark-Sacker, double Hopf and generalized Hopf bifurcations. - Abstract: We investigate the effect of delayed feedbacks on the financial model, which describes the time variation of the interest rate, the investment demand, and the price index, for establishing the fiscal policy. By local stability analysis, we theoretically prove the occurrences of Hopf bifurcation. Through numerical bifurcation analysis, we obtain the supercritical and subcritical Hopf bifurcation curves which support the theoretical predictions. Moreover, the fold limit cycle and Neimark-Sacker bifurcation curves are detected. We also confirm that the double Hopf and generalized Hopf codimension-2 bifurcation points exist.

  17. Modelling Time-Varying Volatility in Financial Returns

    DEFF Research Database (Denmark)

    Amado, Cristina; Laakkonen, Helinä

    2014-01-01

    The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and their implications for the capital markets. We contribute to this literature by using a modified...... version of the time-varying GARCH model of Amado and Teräsvirta (2013) to analyze whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into two time-varying conditional components: the first...... being captured by a stable GARCH(1,1) process and the second driven by the level of uncertainty in the financial market....

  18. The model of fraud detection in financial statements by means of financial ratios

    OpenAIRE

    Kanapickienė, Rasa; Grundienė, Živilė

    2015-01-01

    Analysis of financial ratios is one of those simple methods to identify frauds. Theoretical survey revealed that, in scientific literature, financial ratios are analysed in order to designate which ratios of the financial statements are the most sensitive in relation with the motifs of executive managers and employees of companies to commit frauds. Empirical study included the analysis of the following: 1) 40 sets of fraudulent financial statements and 2) 125 sets of non-fraudulent financ...

  19. Parameter Estimation for Dynamic Model of the Financial System

    Directory of Open Access Journals (Sweden)

    Veronika Novotná

    2015-01-01

    Full Text Available Economy can be considered a large, open system which is influenced by fluctuations, both internal and external. Based on non-linear dynamics theory, the dynamic models of a financial system try to provide a new perspective by explaining the complicated behaviour of the system not as a result of external influences or random behaviour, but as a result of the behaviour and trends of the system’s internal structures. The present article analyses a chaotic financial system from the point of view of determining the time delay of the model variables – the interest rate, investment demand, and price index. The theory is briefly explained in the first chapters of the paper and serves as a basis for formulating the relations. This article aims to determine the appropriate length of time delay variables in a dynamic model of the financial system in order to express the real economic situation and respect the effect of the history of factors under consideration. The determination of the delay length is carried out for the time series representing Euro area. The methodology for the determination of the time delay is illustrated by a concrete example.

  20. Nonlinear economic dynamics and financial modelling: essays in honour of Carl Chiarella

    NARCIS (Netherlands)

    Dieci, R.; He, X.Z.; Hommes, C.

    2014-01-01

    This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly

  1. An Effective Financial Statements Fraud Detection Model for the Sustainable Development of Financial Markets: Evidence from Taiwan

    Directory of Open Access Journals (Sweden)

    Chyan-long Jan

    2018-02-01

    Full Text Available This study aims to establish a rigorous and effective model to detect enterprises’ financial statements fraud for the sustainable development of enterprises and financial markets. The research period is 2004–2014 and the sample is companies listed on either the Taiwan Stock Exchange or the Taipei Exchange, with a total of 160 companies (including 40 companies reporting financial statements fraud. This study adopts multiple data mining techniques. In the first stage, an artificial neural network (ANN and a support vector machine (SVM are deployed to screen out important variables. In the second stage, four types of decision trees (classification and regression tree (CART, chi-square automatic interaction detector (CHAID, C5.0, and quick unbiased efficient statistical tree (QUEST are constructed for classification. Both financial and non-financial variables are selected, in order to build a highly accurate model to detect fraudulent financial reporting. The empirical findings show that the variables screened with ANN and processed by CART (the ANN + CART model yields the best classification results, with an accuracy of 90.83% in the detection of financial statements fraud.

  2. Stress field models from Maxwell stress functions: southern California

    Science.gov (United States)

    Bird, Peter

    2017-08-01

    The lithospheric stress field is formally divided into three components: a standard pressure which is a function of elevation (only), a topographic stress anomaly (3-D tensor field) and a tectonic stress anomaly (3-D tensor field). The boundary between topographic and tectonic stress anomalies is somewhat arbitrary, and here is based on the modeling tools available. The topographic stress anomaly is computed by numerical convolution of density anomalies with three tensor Green's functions provided by Boussinesq, Cerruti and Mindlin. By assuming either a seismically estimated or isostatic Moho depth, and by using Poisson ratio of either 0.25 or 0.5, I obtain four alternative topographic stress models. The tectonic stress field, which satisfies the homogeneous quasi-static momentum equation, is obtained from particular second derivatives of Maxwell vector potential fields which are weighted sums of basis functions representing constant tectonic stress components, linearly varying tectonic stress components and tectonic stress components that vary harmonically in one, two and three dimensions. Boundary conditions include zero traction due to tectonic stress anomaly at sea level, and zero traction due to the total stress anomaly on model boundaries at depths within the asthenosphere. The total stress anomaly is fit by least squares to both World Stress Map data and to a previous faulted-lithosphere, realistic-rheology dynamic model of the region computed with finite-element program Shells. No conflict is seen between the two target data sets, and the best-fitting model (using an isostatic Moho and Poisson ratio 0.5) gives minimum directional misfits relative to both targets. Constraints of computer memory, execution time and ill-conditioning of the linear system (which requires damping) limit harmonically varying tectonic stress to no more than six cycles along each axis of the model. The primary limitation on close fitting is that the Shells model predicts very sharp

  3. Modeling financial disaster risk management in developing countries

    Science.gov (United States)

    Mechler, R.; Hochrainer, S.; Pflug, G.; Linnerooth-Bayer, J.

    2005-12-01

    The public sector plays a major role in reducing the long-term economic repercussions of disasters by repairing damaged infrastructure and providing financial assistance to households and businesses. If critical infrastructure is not repaired in a timely manner, there can be serious effects on the economy and the livelihoods of the population. The repair of public infrastructure, however, can be a significant drain on public budgets especially in developing and transition countries. Developing country governments frequently lack the liquidity, even including international aid and loans, to fully repair damaged critical public infrastructure or provide sufficient support to households and businesses for their recovery. The earthquake in Gujarat, and other recent cases of government post-disaster liquidity crises, have sounded an alarm, prompting financial development organizations, such as the World Bank, among others, to call for greater attention to reducing financial vulnerability and increasing the resilience of the public sector. This talk reports on a model designed to illustrate the tradeoffs and choices a developing country must make in financially managing the economic risks due to natural disasters. Budgetary resources allocated to pre-disaster risk management strategies, such as loss mitigation measures, a catastrophe reserve fund, insurance and contingent credit arrangements for public assets, reduce the probability of financing gaps - the inability of governments to meet their full obligations in providing relief to private victims and restoring public infrastructure - or prevent the deterioration of the ability to undertake additional borrowing without incurring a debt crisis. The model -which is equipped with a graphical interface - can be a helpful tool for building capacity of policy makers for developing and assessing public financing strategies for disaster risk by indicating the respective costs and consequences of financing alternatives.

  4. Financial Viability of Emergency Department Observation Unit Billing Models.

    Science.gov (United States)

    Baugh, Christopher W; Suri, Pawan; Caspers, Christopher G; Granovsky, Michael A; Neal, Keith; Ross, Michael A

    2018-05-16

    Outpatients receive observation services to determine the need for inpatient admission. These services are usually provided without the use of condition-specific protocols and in an unstructured manner, scattered throughout a hospital in areas typically designated for inpatient care. Emergency department observation units (EDOUs) use protocolized care to offer an efficient alternative with shorter lengths of stay, lower costs and higher patient satisfaction. EDOU growth is limited by existing policy barriers that prevent a "two-service" model of separate professional billing for both emergency and observation services. The majority of EDOUs use the "one-service" model, where a single composite professional fee is billed for both emergency and observation services. The financial implications of these models are not well understood. We created a Monte Carlo simulation by building a model that reflects current clinical practice in the United States and uses inputs gathered from the most recently available peer-reviewed literature, national survey and payer data. Using this simulation, we modeled annual staffing costs and payments for professional services under two common models of care in an EDOU. We also modeled cash flows over a continuous range of daily EDOU patient encounters to illustrate the dynamic relationship between costs and revenue over various staffing levels. We estimate the mean (±SD) annual net cash flow to be a net loss of $315,382 ±$89,635 in the one-service model and a net profit of $37,569 ±$359,583 in the two-service model. The two-service model is financially sustainable at daily billable encounters above 20 while in the one-service model, costs exceed revenue regardless of encounter count. Physician cost per hour and daily patient encounters had the most significant impact on model estimates. In the one-service model, EDOU staffing costs exceed payments at all levels of patient encounters, making a hospital subsidy necessary to create a

  5. A financial planning model for estimating hospital debt capacity.

    Science.gov (United States)

    Hopkins, D S; Heath, D; Levin, P J

    1982-01-01

    A computer-based financial planning model was formulated to measure the impact of a major capital improvement project on the fiscal health of Stanford University Hospital. The model had to be responsive to many variables and easy to use, so as to allow for the testing of numerous alternatives. Special efforts were made to identify the key variables that needed to be presented in the model and to include all known links between capital investment, debt, and hospital operating expenses. Growth in the number of patient days of care was singled out as a major source of uncertainty that would have profound effects on the hospital's finances. Therefore this variable was subjected to special scrutiny in terms of efforts to gauge expected demographic trends and market forces. In addition, alternative base runs of the model were made under three distinct patient-demand assumptions. Use of the model enabled planners at the Stanford University Hospital (a) to determine that a proposed modernization plan was financially feasible under a reasonable (that is, not unduly optimistic) set of assumptions and (b) to examine the major sources of risk. Other than patient demand, these sources were found to be gross revenues per patient, operating costs, and future limitations on government reimbursement programs. When the likely financial consequences of these risks were estimated, both separately and in combination, it was determined that even if two or more assumptions took a somewhat more negative turn than was expected, the hospital would be able to offset adverse consequences by a relatively minor reduction in operating costs. PMID:7111658

  6. Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

    OpenAIRE

    Yanhui Xi; Hui Peng; Yemei Qin

    2016-01-01

    The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel market microstructure model with leverage effects is proposed. The model specification assumed a negative correlation in the errors between the price/return innovation and the volatility innovation....

  7. Modeling financial time series with S-plus

    CERN Document Server

    Zivot, Eric

    2003-01-01

    The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics This is the first book to show the power of S-PLUS for the analysis of time series data It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department at the University of Washington, and is co-director of the nascent Professional Master's Program in Computational Finance He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the He...

  8. Kinetics model of bainitic transformation with stress

    Science.gov (United States)

    Zhou, Mingxing; Xu, Guang; Hu, Haijiang; Yuan, Qing; Tian, Junyu

    2018-01-01

    Thermal simulations were conducted on a Gleeble 3800 simulator. The main purpose is to investigate the effects of stress on the kinetics of bainitic transformation in a Fe-C-Mn-Si advanced high strength bainitic steel. Previous studies on modeling the kinetics of stress affected bainitic transformation only considered the stress below the yield strength of prior austenite. In the present study, the stress above the yield strength of prior austenite is taken into account. A new kinetics model of bainitic transformation dependent on the stress (including the stresses below and above the yield strength of prior austenite) and the transformation temperature is proposed. The new model presents a good agreement with experimental results. In addition, it is found that the acceleration degree of stress on bainitic transformation increases with the stress whether its magnitude is below or above the yield strength of austenite, but the increasing rate gradually slows down when the stress is above the yield strength of austenite.

  9. The highly intelligent virtual agents for modeling financial markets

    Science.gov (United States)

    Yang, G.; Chen, Y.; Huang, J. P.

    2016-02-01

    Researchers have borrowed many theories from statistical physics, like ensemble, Ising model, etc., to study complex adaptive systems through agent-based modeling. However, one fundamental difference between entities (such as spins) in physics and micro-units in complex adaptive systems is that the latter are usually with high intelligence, such as investors in financial markets. Although highly intelligent virtual agents are essential for agent-based modeling to play a full role in the study of complex adaptive systems, how to create such agents is still an open question. Hence, we propose three principles for designing high artificial intelligence in financial markets and then build a specific class of agents called iAgents based on these three principles. Finally, we evaluate the intelligence of iAgents through virtual index trading in two different stock markets. For comparison, we also include three other types of agents in this contest, namely, random traders, agents from the wealth game (modified on the famous minority game), and agents from an upgraded wealth game. As a result, iAgents perform the best, which gives a well support for the three principles. This work offers a general framework for the further development of agent-based modeling for various kinds of complex adaptive systems.

  10. Financial and organizational models of NPP construction projects

    International Nuclear Information System (INIS)

    Ivanov, Timur

    2010-01-01

    The recent evolution of financial and organizational models of NPP projects can be truly reputed to open a new page of the world market of NPP construction. The definition of the concrete model is based mostly on specific cooperation backgrounds and current terms and conditions under which the particular NPP project is being evolved. In this article the most commonly known strategies and schemes of financing structuring for export NPP construction projects are scrutinized. Special attention is paid to the analysis of BOO/BOT models which are based on the public-private partnership. Most BOO/BOT projects in the power sector has Power Purchase Agreements (PPA) as an integral part of them. The PPA key principles are studied here as well. The flexibility and adaptability of the public-private partnership models for financing and organization of the NPP projects contributes substantially to the competitiveness of the NPP projects especially under current economic conditions. (orig.)

  11. Financial Modelling: Where to go? with an illustration for portfolio management

    NARCIS (Netherlands)

    W.G.P.M. Hallerbach (Winfried); J. Spronk (Jaap)

    1997-01-01

    textabstractThe definition of Financial Modelling chosen by the EURO working group on financial modelling is ‘the development and implementation of tools supporting firms, investors, intermediaries, governments and others in their financial-economic decision making, including the validation of the

  12. STRESS RESPONSE STUDIES USING ANIMAL MODELS

    Science.gov (United States)

    This presentation will provide the evidence that ozone exposure in animal models induce neuroendocrine stress response and this stress response modulates lung injury and inflammation through adrenergic and glucocorticoid receptors.

  13. Impulsive control of a financial model [rapid communication

    Science.gov (United States)

    Sun, Jitao; Qiao, Fei; Wu, Qidi

    2005-02-01

    In this Letter, several new theorems on the stability of impulsive control systems are presented. These theorem are then used to find the conditions under which an advertising strategy can be asymptotically control to the equilibrium point by using impulsive control. Given the parameters of the financial model and the impulsive control law, an estimation of the upper bound of the impulse interval is given, i.e., number of advert can been decreased (i.e., can decrease cost) for to obtain the equivalent advertising effect.The result is illustrated to be efficient through a numerical example.

  14. Research Challenges in Financial Data Modeling and Analysis.

    Science.gov (United States)

    Alexander, Lewis; Das, Sanjiv R; Ives, Zachary; Jagadish, H V; Monteleoni, Claire

    2017-09-01

    Significant research challenges must be addressed in the cleaning, transformation, integration, modeling, and analytics of Big Data sources for finance. This article surveys the progress made so far in this direction and obstacles yet to be overcome. These are issues that are of interest to data-driven financial institutions in both corporate finance and consumer finance. These challenges are also of interest to the legal profession as well as to regulators. The discussion is relevant to technology firms that support the growing field of FinTech.

  15. Model of the extensive form game with the financial rewards

    OpenAIRE

    Erbsová, Markéta

    2009-01-01

    The aim of this Bachelor thesis is the analysis and presentation of the original extensive form game with the financial rewards, which is called Výměna (Exchange). In the theoretical part we will describe the basic concepts of Game Theory, especially the game in an explicit form. In the practical part we will deal with the game Výměna (Exchange) in itself. Determine the rules of the game, the graphic form of the game and formulate a mathematical model of the game. Individual parts of the game...

  16. STRESS INDUCED OBESITY: LESSONS FROM RODENT MODELS OF STRESS

    Directory of Open Access Journals (Sweden)

    Zachary Robert Patterson

    2013-07-01

    Full Text Available Stress is defined as the behavioral and physiological responses generated in the face of, or in anticipation of, a perceived threat. The stress response involves activation of the sympathetic nervous system and recruitment of the hypothalamic-pituitary-adrenal (HPA axis. When an organism encounters a stressor (social, physical, etc., these endogenous stress systems are stimulated in order to generate a fight-or-flight response, and manage the stressful situation. As such, an organism is forced to liberate energy resources in attempt to meet the energetic demands posed by the stressor. A change in the energy homeostatic balance is thus required to exploit an appropriate resource and deliver useable energy to the target muscles and tissues involved in the stress response. Acutely, this change in energy homeostasis and the liberation of energy is considered advantageous, as it is required for the survival of the organism. However, when an organism is subjected to a prolonged stressor, as is the case during chronic stress, a continuous irregularity in energy homeostasis is considered detrimental and may lead to the development of metabolic disturbances such as cardiovascular disease, type II diabetes mellitus and obesity. This concept has been studied extensively using animal models, and the neurobiological underpinnings of stress induced metabolic disorders are beginning to surface. However, different animal models of stress continue to produce divergent metabolic phenotypes wherein some animals become anorexic and loose body mass while others increase food intake and body mass and become vulnerable to the development of metabolic disturbances. It remains unclear exactly what factors associated with stress models can be used to predict the metabolic outcome of the organism. This review will explore a variety of rodent stress models and discuss the elements that influence the metabolic outcome in order to further our understanding of stress

  17. Regime switching model for financial data: Empirical risk analysis

    Science.gov (United States)

    Salhi, Khaled; Deaconu, Madalina; Lejay, Antoine; Champagnat, Nicolas; Navet, Nicolas

    2016-11-01

    This paper constructs a regime switching model for the univariate Value-at-Risk estimation. Extreme value theory (EVT) and hidden Markov models (HMM) are combined to estimate a hybrid model that takes volatility clustering into account. In the first stage, HMM is used to classify data in crisis and steady periods, while in the second stage, EVT is applied to the previously classified data to rub out the delay between regime switching and their detection. This new model is applied to prices of numerous stocks exchanged on NYSE Euronext Paris over the period 2001-2011. We focus on daily returns for which calibration has to be done on a small dataset. The relative performance of the regime switching model is benchmarked against other well-known modeling techniques, such as stable, power laws and GARCH models. The empirical results show that the regime switching model increases predictive performance of financial forecasting according to the number of violations and tail-loss tests. This suggests that the regime switching model is a robust forecasting variant of power laws model while remaining practical to implement the VaR measurement.

  18. The Role of Cash Flow in Financial Early Warning of Agricultural Enterprises Based on Logistic Model

    Science.gov (United States)

    Sun, Fengru

    2018-01-01

    This paper chooses the agricultural listed companies as the research object, compares the financial situation of the enterprise and the theory of financial early warning, combines the financial status of the agricultural listed companies, selects the relevant cash flow indicators, discusses the application of the Logistic financial early warning model in the agricultural listed companies, Agricultural enterprises get better development. Research on financial early warning of agricultural listed companies will help the agricultural listed companies to predict the financial crisis. Financial early warning model is simple to establish, operational and strong, the use of financial early warning model, to help enterprises in the financial crisis before taking rapid and effective measures, which can avoid losses. Help enterprises to discover signs of deterioration of the financial situation in time to maintain the sustainable development of agricultural enterprises. In addition, through the financial early warning model, investors can correctly identify the financial situation of agricultural enterprises, and can evaluate the financial situation of agricultural enterprises and to help investors to invest in scientific and rational, beneficial to investors to analyze the safety of investment. But also help the relevant regulatory agencies to effectively monitor the market and promote the healthy and stable development of the market.

  19. To stress or not to stress: a question of models.

    Science.gov (United States)

    Gray, J Megan; Chaouloff, Francis; Hill, Matthew N

    2015-01-05

    Stress research is a rapidly evolving field that encompasses numerous disciplines ranging from neuroscience to metabolism. With many new researchers migrating into the field, navigating the hows and whys of specific research questions can sometimes be enigmatic given the availability of so many models in the stress field. Additionally, as with every field, there are many seemingly minor experimental details that can have dramatic influences on data interpretation, although many of these are unknown to those not familiar with the field. The aim of this overview is to provide some suggestions and points to guide researchers moving into the stress field and highlight relevant methodological points that they should consider when choosing a model for stress and deciding how to structure a study. We briefly provide a primer on the basics of endpoint measurements in the stress field, factors to consider when choosing a model for acute stress, the difference between repeated and chronic stress, and importantly, influencing variables that modulate endpoints of analysis in stress work. Copyright © 2015 John Wiley & Sons, Inc.

  20. Financial Preparation for Retirement in Brazil: a Cross-Cultural Test of the Interdisciplinary Financial Planning Model.

    Science.gov (United States)

    França, Lucia H F; Hershey, Douglas A

    2018-03-01

    In this investigation, we attempt to replicate the Interdisciplinary Financial Planning Model advanced by Hershey et al. (International Journal of Aging and Human Development, 70, 1-38, 2010) using a sample of Brazilian adults. This model, which was originally tested on individuals from The Netherlands and the United States, posits that psychological, social, and economic forces are key determinants of retirement planning practices and perceptions of saving adequacy. Taken together, fifteen hypotheses were subject to evaluation. Participants were 167 Brazilian working adults, 21-69 years of age, who were married or cohabitating at the time of testing. A path analysis model showed substantial support for the theoretical framework, with all variables found to contribute directly or indirectly to the prediction of financial planning and saving adequacy. Furthermore, two new paths were found to emerge in the Brazilian model that were not observed in the original investigation. This cross-national replication of the Interdisciplinary Financial Planning Model extends research on the topic to a developing country in which relatively few empirical studies of retirement planning have been carried out. Other analyses in the article focus on direct comparisons between the Brazilian model and the models developed based on American and Dutch respondents, with an eye toward better understanding how cultural forces shape the retirement planning process. The discussion focuses on how models of financial planning, such as the Hershey et al. (2010) model, can inform the development of savings-oriented education and intervention programs.

  1. Real and financial interacting markets: A behavioral macro-model

    International Nuclear Information System (INIS)

    Naimzada, Ahmad; Pireddu, Marina

    2015-01-01

    Highlights: •We propose a model in which the real sector and the stock market interact. •In the stock market there are optimistic and pessimistic fundamentalists. •We detect the mechanisms through which instabilities get transmitted between markets. •In order to perform such analysis, we introduce the “interaction degree approach”. •We show the effects of increasing the interaction degree between the two markets. -- Abstract: In the present paper we propose a model in which the real side of the economy, described via a Keynesian good market approach, interacts with the stock market with heterogeneous speculators, i.e., optimistic and pessimistic fundamentalists, that respectively overestimate and underestimate the reference value due to a belief bias. Agents may switch between optimism and pessimism according to which behavior is more profitable. To the best of our knowledge, this is the first contribution considering both real and financial interacting markets and an evolutionary selection process for which an analytical study is performed. Indeed, employing analytical and numerical tools, we detect the mechanisms and the channels through which the stability of the isolated real and financial sectors leads to instability for the two interacting markets. In order to perform such analysis, we introduce the “interaction degree approach”, which allows us to study the complete three-dimensional system by decomposing it into two subsystems, i.e., the isolated financial and real markets, easier to analyze, that are then linked through a parameter describing the interaction degree between the two markets. We derive the stability conditions both for the isolated markets and for the whole system with interacting markets. Next, we show how to apply the interaction degree approach to our model. Among the various scenarios we are led to analyze, the most interesting one is that in which the isolated markets are stable, but their interaction is destabilizing

  2. Macroprudential Policy in a Fisherian Model of Financial Innovation

    OpenAIRE

    Javier Bianchi; Emine Boz; Enrique Gabriel Mendoza

    2012-01-01

    The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macroprudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned o...

  3. Modeling financial markets by self-organized criticality

    Science.gov (United States)

    Biondo, Alessio Emanuele; Pluchino, Alessandro; Rapisarda, Andrea

    2015-10-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally, we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  4. The Financial Coaching Advice Model: An Exploration into how it Satisfies Expectations of Quality Advice

    Directory of Open Access Journals (Sweden)

    Julie Knutsen

    2012-11-01

    Full Text Available For 20 years, the financial planning sector in Australia has been transitioning from a sales-orientated force to aprofession of qualified and skilled practitioners. Today, the potential for professional financial planning adviceto benefit Australians financially, economically and psychologically is recognised by government. Financially,these benefits include increased savings, less interest expense through faster debt reduction, higher investmentreturns and appropriate levels of insurance. Economically, a more financially literate society has the potentialfor less reliance on an already burdened social security system. Psychologically, the benefits include the peaceof mind that comes from an individual being confident in financial matters. However, despite this level ofrecognition and development, national surveys have reported that only a small percentage of the populationactually seek professional financial advice. The factors attributing to these low percentages included the gapsin financial literacy limiting an individual’s engagement in financial matters and consumer’s current mistrust ofthe financial advice business models that remain dominated by commission-driven product sales. Thesedeficiencies have led some financial planning firms to break from financial product sales as the primary advicemodel and focus on financial coaching. Exploratory interviews with the practitioners and clients of a selectedfinancial planning firm have generated insightful discussion into how a financial coaching advice model isachieving the financial, economic and psychological benefits recognised by government as the potentialoutcomes of professional financial advice. The aim of this paper is to present the findings from that discussionand demonstrate the opportunities embedded within a financial coaching advice model. It is argued that thisdiscussion offers a foundation for future research direction in an area currently under researched in

  5. Weighted-indexed semi-Markov models for modeling financial returns

    International Nuclear Information System (INIS)

    D’Amico, Guglielmo; Petroni, Filippo

    2012-01-01

    In this paper we propose a new stochastic model based on a generalization of semi-Markov chains for studying the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted-indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series such as the first-passage-time distributions and the persistence of volatility. The model is applied to data from the Italian and German stock markets from 1 January 2007 until the end of December 2010. (paper)

  6. The models for financial crisis detection in Indonesia based on import, export, and foreign exchange reserves

    Science.gov (United States)

    Sugiyanto; Wibowo, Supriyadi; Rizky Aristina Suwardi, Vivi

    2017-12-01

    The severity of the financial crisis that occurred in Indonesia required an early warning system of financial crisis. The financial crisis in Indonesia can be detected based on imports, exports, and foreign exchange reserves. The purpose of the research is to determine an appropriate model to detect the financial crisis in Indonesia based on imports, exports, and foreign exchange reserves. Markov switching is an alternative framework for the approach often used in financial crisis detection. Combined volatility and Markov switching model with three states assumptions can be established if an AR and volatility models have been obtained. Imports, exports, and foreign exchange reserves data from January 1990 to December 2016 have the heteroscedasticity effect so that an ARCH model is used as a volatility model. Research shows that SWARCH(3.1) model is an appropriate model for detecting financial crisis in Indonesia based on imports, exports, and foreign exchange reserves.

  7. Financial Stress, Parenting Quality, and the Moderating Effect of Co-Parenting Alliance within the Marital Dissolution Population

    Science.gov (United States)

    Mao, Dung Minh

    2017-01-01

    In this study, the relationship between the perception of financial stress (measured by income inadequacy), parenting quality (measured by positive parenting, consistent discipline, and good supervision), and the moderating effect that cooperative co-parenting (measured by co-parenting alliance) were investigated within a sample of parents who…

  8. Social Support: Main and Moderating Effects on the Relation between Financial Stress and Adjustment among College Students with Disabilities

    Science.gov (United States)

    Murray, Christopher; Lombardi, Allison; Bender, Franklin; Gerdes, Hillary

    2013-01-01

    Students with disabilities are underrepresented in 4-year colleges and universities in the United States and those that do attend are at an increased risk of performing poorly in these settings. These difficulties for college students with disabilities may be compounded by additional stress related to financial concerns. The current study was…

  9. Modeling Business Cycle with Financial Shocks Basing on Kaldor-Kalecki Model

    Directory of Open Access Journals (Sweden)

    Zhenghui Li

    2017-04-01

    Full Text Available The effects of financial factors on real business cycle is rising to one of the most popular discussions in the field of macro business cycle theory. The objective of this paper is to discuss the features of business cycle under financial shocks by quantitative technology. More precisely, we introduce financial shocks into the classical Kaldor-Kalecki business cycle model and study dynamics of the model. The shocks include external shock and internal shock, both of which are expressed as noises. The dynamics of the model can help us understand the effects of financial shocks on business cycle and improve our knowledge about financial business cycle. In the case of external shock, if the intensity of shock is less than some threshold value, the economic system behaves randomly periodically. If the intensity of shock is beyond the threshold value, the economic system will converge to a normalcy. In the case of internal shock, if the intensity of shock is less than some threshold value, the economic system behaves periodically as the case without shock. If the intensity of shock exceeds the threshold value, the economic system either behaves periodically or converges to a normalcy. It is uncertain. The case with both two kinds of shocks is more complicated. We find conditions of the intensities of shocks under which the economic system behaves randomly periodically or disorderly, or converges to normalcy. Discussions about the effects of financial shocks on the business cycle are presented.

  10. Financial Investment Management: Testing the Market Model on the Romanian Capital Market during the Post Financial Crisis

    Directory of Open Access Journals (Sweden)

    Radu CIOBANU

    2011-06-01

    Full Text Available This article presents an analysis of the decision of investing in the capital market in Romania during 2009-2010, in the context of overcoming the global financial crisis. In the first part of the paper, we have made a brief presentation of the simplified model of market analysis introduced in the specialized literature by William Sharpe, the respective model representing the starting point in our study. The purpose of the present study is to emphasize how the evolutions of the financial securities rates listed on the Bucharest Stock Exchange could be explained based on the evolution of BET Romanian capital market index. Although the study over this phenomenon has begun in the middle of the last century, every day new studies appear that are either coming in addition to the already existing ones or are bringing a new approach regarding the financial theory. The novelty of the present study conducted by us resides in the highlighting of the evolutions of the financial securities rates during July 2009 – December 2010 periods. The second part of the paper presents the results of a study conducted on the Romanian capital market, emphasizing the correlations between the most important securities on the Romanian capital market, as parts of BET index and market index. The aim is to check whether during this period the evolution of the financial securities’ return can be explained more or less by the return of the capital market.

  11. Fitting non-gaussian Models to Financial data: An Empirical Study

    Directory of Open Access Journals (Sweden)

    Pablo Olivares

    2011-04-01

    Full Text Available In this paper are presented some experiences about the modeling of financial data by three classes of models as alternative to Gaussian Linear models. Dynamic Volatility, Stable L'evy and Diffusion with Jumps models are considered. The techniques are illustrated with some examples of financial series on currency, futures and indexes.

  12. A Seasonal Time-Series Model Based on Gene Expression Programming for Predicting Financial Distress

    Directory of Open Access Journals (Sweden)

    Ching-Hsue Cheng

    2018-01-01

    Full Text Available The issue of financial distress prediction plays an important and challenging research topic in the financial field. Currently, there have been many methods for predicting firm bankruptcy and financial crisis, including the artificial intelligence and the traditional statistical methods, and the past studies have shown that the prediction result of the artificial intelligence method is better than the traditional statistical method. Financial statements are quarterly reports; hence, the financial crisis of companies is seasonal time-series data, and the attribute data affecting the financial distress of companies is nonlinear and nonstationary time-series data with fluctuations. Therefore, this study employed the nonlinear attribute selection method to build a nonlinear financial distress prediction model: that is, this paper proposed a novel seasonal time-series gene expression programming model for predicting the financial distress of companies. The proposed model has several advantages including the following: (i the proposed model is different from the previous models lacking the concept of time series; (ii the proposed integrated attribute selection method can find the core attributes and reduce high dimensional data; and (iii the proposed model can generate the rules and mathematical formulas of financial distress for providing references to the investors and decision makers. The result shows that the proposed method is better than the listing classifiers under three criteria; hence, the proposed model has competitive advantages in predicting the financial distress of companies.

  13. A Seasonal Time-Series Model Based on Gene Expression Programming for Predicting Financial Distress

    Science.gov (United States)

    2018-01-01

    The issue of financial distress prediction plays an important and challenging research topic in the financial field. Currently, there have been many methods for predicting firm bankruptcy and financial crisis, including the artificial intelligence and the traditional statistical methods, and the past studies have shown that the prediction result of the artificial intelligence method is better than the traditional statistical method. Financial statements are quarterly reports; hence, the financial crisis of companies is seasonal time-series data, and the attribute data affecting the financial distress of companies is nonlinear and nonstationary time-series data with fluctuations. Therefore, this study employed the nonlinear attribute selection method to build a nonlinear financial distress prediction model: that is, this paper proposed a novel seasonal time-series gene expression programming model for predicting the financial distress of companies. The proposed model has several advantages including the following: (i) the proposed model is different from the previous models lacking the concept of time series; (ii) the proposed integrated attribute selection method can find the core attributes and reduce high dimensional data; and (iii) the proposed model can generate the rules and mathematical formulas of financial distress for providing references to the investors and decision makers. The result shows that the proposed method is better than the listing classifiers under three criteria; hence, the proposed model has competitive advantages in predicting the financial distress of companies. PMID:29765399

  14. A Seasonal Time-Series Model Based on Gene Expression Programming for Predicting Financial Distress.

    Science.gov (United States)

    Cheng, Ching-Hsue; Chan, Chia-Pang; Yang, Jun-He

    2018-01-01

    The issue of financial distress prediction plays an important and challenging research topic in the financial field. Currently, there have been many methods for predicting firm bankruptcy and financial crisis, including the artificial intelligence and the traditional statistical methods, and the past studies have shown that the prediction result of the artificial intelligence method is better than the traditional statistical method. Financial statements are quarterly reports; hence, the financial crisis of companies is seasonal time-series data, and the attribute data affecting the financial distress of companies is nonlinear and nonstationary time-series data with fluctuations. Therefore, this study employed the nonlinear attribute selection method to build a nonlinear financial distress prediction model: that is, this paper proposed a novel seasonal time-series gene expression programming model for predicting the financial distress of companies. The proposed model has several advantages including the following: (i) the proposed model is different from the previous models lacking the concept of time series; (ii) the proposed integrated attribute selection method can find the core attributes and reduce high dimensional data; and (iii) the proposed model can generate the rules and mathematical formulas of financial distress for providing references to the investors and decision makers. The result shows that the proposed method is better than the listing classifiers under three criteria; hence, the proposed model has competitive advantages in predicting the financial distress of companies.

  15. Understanding Chinese American Adolescents' Developmental Outcomes: Insights from the Family Stress Model

    Science.gov (United States)

    Benner, Aprile D.; Kim, Su Yeong

    2010-01-01

    In this brief report, we investigated whether the Family Stress Model could be replicated with a sample of Chinese American families. Path analyses with 444 adolescents and their parents provided support for the model's generalizability. Specifically, mothers' and fathers' reports of economic status (i.e., income, financial, and job instability)…

  16. Electrodynamical Model of Quasi-Efficient Financial Markets

    Science.gov (United States)

    Ilinski, Kirill N.; Stepanenko, Alexander S.

    The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications [1], whilst the practical side of the problem has clear relevance to portfolio management [2] and derivative pricing [3]. Up till now all market models contain "smart money" traders and "noise" traders whose joint activity constitutes the market [4, 5]. On a short time scale this traditional separation does not seem to be realistic, and is hardly acceptable since all high-frequency market participants are professional traders and cannot be separated into "smart" and "noisy." In this paper we present a "microscopic" model with homogenuous quasi-rational behaviour of traders, aiming to describe short time market behaviour. To construct the model we use an analogy between "screening" in quantum electrodynamics and an equilibration process in a market with temporal mispricing [6, 7]. As a result, we obtain the time-dependent distribution function of the returns which is in quantitative agreement with real market data and obeys the anomalous scaling relations recently reported for both high-frequency exchange rates [8], S&P500 [9] and other stock market indices [10, 11].

  17. A Model of System and Strategic Financial Analysis of the Crimean Health Resorts

    Directory of Open Access Journals (Sweden)

    Vadim Anatolyevich Malyshenko

    2016-06-01

    Full Text Available The subject matter of the research is the system of strategically focused financial analysis regarding an assessment of the financial condition of the enterprise. The hypothesis of the study is to assume the possibility of developing the financial and strategic model of the comprehensive assessment of the financial condition taking into account the integrated impact of environmental factors (general for the most Crimean health resorts. The methodology of the work is based on the most general principles of system analysis. The basic method of the research is the matrix method as the most common one for the system analysis. The graphical and statistical methods are also used. The result of the work is the comprehensive method of financial analysis developed as a model based on the matrix relation between the original visual profile of the internal environment and the dynamic type of external environment. The difference of the visual model of financial state from the existing graphic methods consists in fixing of the new strategic types of financial state on the basis of financial stability in visually grouped areas of financial coefficients in theme groups (configurationsprofiles with certain combinations of the forms and sizes. The new analytical instrument of «frigate model» can be applied in all analytical activities of the health resorts departments related to the analytical assessment of financial state. The advantage of «frigate model» in comparison with a classical method of the forming of the types of financial condition is that the proposed model allows to allocate more differentiated types and in addition, to identify the stages of enterprise life cycle based on the relative indicators of the analysis of financial state (objects-coefficients, and not just on the financial management. Through this, the consistency of interaction between the financial analysis and management is achieved.

  18. Modeling of the financial market using the two-dimensional anisotropic Ising model

    Science.gov (United States)

    Lima, L. S.

    2017-09-01

    We have used the two-dimensional classical anisotropic Ising model in an external field and with an ion single anisotropy term as a mathematical model for the price dynamics of the financial market. The model presented allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents with respect to the facts of financial markets. We have obtained the mean price in terms of the strong of the site anisotropy term Δ which reinforces the sensitivity of the agent's sentiment to external news.

  19. A Growth Model of Inflation, Tax Evasion and Financial Repression

    OpenAIRE

    Roubini, Nouriel; Sala-i-Martin, Xavier

    1992-01-01

    In this paper we study the effects of policies of financial repression on long term growth and try to explain why optimizing governments might want to repress the financial sector. We also explain why inflation may be negatively related to growth, even though it does not affect growth directly. We argue that the main reason why governments repress the financial sector is that this sector is the source of "easy" resources for the public budget The source of revenue stemming from this intervent...

  20. Agent-based financial dynamics model from stochastic interacting epidemic system and complexity analysis

    International Nuclear Information System (INIS)

    Lu, Yunfan; Wang, Jun; Niu, Hongli

    2015-01-01

    An agent-based financial stock price model is developed and investigated by a stochastic interacting epidemic system, which is one of the statistical physics systems and has been used to model the spread of an epidemic or a forest fire. Numerical and statistical analysis are performed on the simulated returns of the proposed financial model. Complexity properties of the financial time series are explored by calculating the correlation dimension and using the modified multiscale entropy method. In order to verify the rationality of the financial model, the real stock market indexes, Shanghai Composite Index and Shenzhen Component Index, are studied in comparison with the simulation data of the proposed model for the different infectiousness parameters. The empirical research reveals that this financial model can reproduce some important features of the real stock markets. - Highlights: • A new agent-based financial price model is developed by stochastic interacting epidemic system. • The structure of the proposed model allows to simulate the financial dynamics. • Correlation dimension and MMSE are applied to complexity analysis of financial time series. • Empirical results show the rationality of the proposed financial model

  1. Agent-based financial dynamics model from stochastic interacting epidemic system and complexity analysis

    Energy Technology Data Exchange (ETDEWEB)

    Lu, Yunfan, E-mail: yunfanlu@yeah.net; Wang, Jun; Niu, Hongli

    2015-06-12

    An agent-based financial stock price model is developed and investigated by a stochastic interacting epidemic system, which is one of the statistical physics systems and has been used to model the spread of an epidemic or a forest fire. Numerical and statistical analysis are performed on the simulated returns of the proposed financial model. Complexity properties of the financial time series are explored by calculating the correlation dimension and using the modified multiscale entropy method. In order to verify the rationality of the financial model, the real stock market indexes, Shanghai Composite Index and Shenzhen Component Index, are studied in comparison with the simulation data of the proposed model for the different infectiousness parameters. The empirical research reveals that this financial model can reproduce some important features of the real stock markets. - Highlights: • A new agent-based financial price model is developed by stochastic interacting epidemic system. • The structure of the proposed model allows to simulate the financial dynamics. • Correlation dimension and MMSE are applied to complexity analysis of financial time series. • Empirical results show the rationality of the proposed financial model.

  2. A case study on business model innovations using Blockchain: focusing on financial institutions

    Directory of Open Access Journals (Sweden)

    JaeShup Oh

    2017-12-01

    Full Text Available Purpose - Blockchain is a distributed ledger, in which the blocks containing transaction details are connected chronologically to form a series of chains, thus raising the possibility of improving the process and innovating business model for the financial institutions. The purpose of this paper is to study the actual cases of Blockchain applied in Korea in 2017, so that a vision of business model innovation of financial institutions can be drawn. Design/methodology/approach - The financial institutions in Korea are in the technology verification stage to introduce Blockchain technology. Since there is an insufficient amount of actual measurement data, case study method was adopted. The authors interviewed ICT officers of major banks in Korea. The purpose of the interview was to understand the relationship between Blockchain and business models of financial institutions, and the effects and challenges that Blockchain has on the business model of financial institutions. Findings - From the perspective of financial institutions, the emergence of Blockchain does not just have technical significance – emergence of highly efficient database system – but has the possibility that if the business model of existing financial intermediaries disappears or get reduced, the financial services relying on them can disappear altogether, or some of them can be replaced, and financial transaction patterns of consumers can be changed. As a case studies researched for this paper, it was discovered that the distributed characteristic of Blockchain cannot be applied when actually developing financial services.

  3. An Analysis of the Impact of Financial Factors on the Well-Being of Military Officers

    Science.gov (United States)

    2015-12-01

    Figure 1. A Multilevel Model of Economic Stress ...................................................18 Figure 2. Financial Stress and Absenteeism ...increasingly important in a world where consumers must choose from an array of complicated financial products and services and employees must take on...managing financial products , and financial knowledge (“FINRA Investor Education Foundation,” 2013). While the FINRA survey indicated some areas of

  4. Relative deprivation in the Nordic countries-child mental health problems in relation to parental financial stress.

    Science.gov (United States)

    Gunnarsdóttir, Hrafnhildur; Hensing, Gunnel; Povlsen, Lene; Petzold, Max

    2016-04-01

    The Nordic welfare system has been acknowledged as favourable for children, successfully contributing to low child mortality and poverty rates. Nevertheless, mental health problems among children and adolescents are common and the economic situation of the family has been highlighted as an important determinant. In spite of similar social, political and cultural structures, the Nordic countries differ; Iceland was most affected by the global financial crisis in 2008. The aim of this study was to examine potential differences in parental financial stress and the associations to child mental health between the Nordic countries as well as age and gender differences.  The study sample consisted of 6330 children aged 4-16 years old included in the 2011 version of the Nordic Study of Children's Health, Wellbeing and Quality of life. The Strengths and Difficulties Questionnaire was used to measure mental health problems.  In Iceland, 47.7% of the parents reported financial stress while ≤20% did so in the other countries except for Finland (33.5%). However, in case of parental financial stress the OR of mental health problems comparing children to parents with and without financial stress was significantly lower among the Icelandic children (OR 1.60, 95% CI 1.15-2.24) than among the others: Denmark OR 3.07 (95% CI 2.15-4.39), Finland OR 2.28 (95% CI 1.60-3.25), Norway OR 2.77 (95% CI 1.86-4.12), Sweden OR 3.31(95% CI 2.26-4.86). No significant age or gender differences in the ORs were observed.  Besides socioeconomic situation, relative deprivation should be considered an important determinant of child mental health. © The Author 2015. Published by Oxford University Press on behalf of the European Public Health Association. All rights reserved.

  5. Financial risk and the transition to a low-carbon economy. Towards a carbon stress testing framework - Working Paper

    International Nuclear Information System (INIS)

    Chenet, Hugues; Thomae, Jakob; Janci, Didier; Dupre, Stan; Hubert, Romain; Robins, Nick; Cruickshank, Peter

    2015-07-01

    On July 27 at Moody's in New York, 2 deg. Investing Initiative launched the report 'Financial risk and the transition to a low-carbon economy' in partnership with UNEP Inquiry and I4CE. The report reviews the main approaches to assessing carbon risk along the investment chain and discusses barriers to its integration in decision making. The report identifies two categories of climate-related financial risks to financial institutions: risks arising from physical climate change and 'carbon risk' which arise from the transition to a low-carbon economy following one of the possible decarbonization pathways. The authors show that to date, risk factors resulting from climate change and the transition to a low-carbon economy are generally not taken into consideration by mainstream risk assessment and management frameworks; there are multiple reasons for this. The report reviews a number of 'climate and carbon stress test' initiatives that suggest the materiality of these risks along the investment chain. The materiality of these risks for financial institutions and the financial system remains unclear. Financial regulators and policy makers, notably in France, the United Kingdom, and at the G20 level have nevertheless started responding to the issue

  6. Financial architecture and industrial technology: A co-evolutionary model

    NARCIS (Netherlands)

    Negriu, A.

    2013-01-01

    Empirical evidence points to a relation between the financial architecture of an economy and industrial technology: market-based financial systems support the development of industries where innovation is typically radical whereas incremental innovation thrives in association with bank-based

  7. Modelling financial high frequency data using point processes

    DEFF Research Database (Denmark)

    Hautsch, Nikolaus; Bauwens, Luc

    In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997...

  8. Exploratory Modelling of Financial Reporting and Analysis Practices in Small Growth Enterprises

    OpenAIRE

    Richard G. P. McMahon; Leslie G. Davies; Nicholas M. Bluhm

    1994-01-01

    This paper reports an exploratory study of statistical modelling of historical financial reporting and analysis in a sample of small growth enterprises. The study sought to identify those factors that determine whether particular financial reporting and analysis practices are undertaken, and to represent these explanatory factors in expressions that reflect their relative and combined influence. Dichotomous logistic regression is employed to model financial analysis and polytomous logistic re...

  9. Banks, Development Financial Institutions and Credit Markets in India: A Simple Model of Financial Intermediation

    OpenAIRE

    Ghosh, Saibal

    2003-01-01

    The paper examines the interaction between a bank and a development financial institution (DFIs) in a macroeconomic set-up, both of whom can lend for working capital and investment finance purposes. Our analysis reveals that the reduction in the interest rate premium on bonds over the deposit rate is an important pre-requisite for the DFI to raise its market share in both investment finance and working capital lending. Also, greater corporate access to bond financing raises investment, output...

  10. The impact of stress on financial decision-making varies as a function of depression and anxiety symptoms

    Directory of Open Access Journals (Sweden)

    Oliver J. Robinson

    2015-02-01

    Full Text Available Stress can precipitate the onset of mood and anxiety disorders. This may occur, at least in part, via a modulatory effect of stress on decision-making. Some individuals are, however, more resilient to the effects of stress than others. The mechanisms underlying such vulnerability differences are nevertheless unknown. In this study we attempted to begin quantifying individual differences in vulnerability by exploring the effect of experimentally induced stress on decision-making. The threat of unpredictable shock was used to induce stress in healthy volunteers (N = 47 using a within-subjects, within-session design, and its impact on a financial decision-making task (the Iowa Gambling Task was assessed alongside anxious and depressive symptomatology. As expected, participants learned to select advantageous decks and avoid disadvantageous decks. Importantly, we found that stress provoked a pattern of harm-avoidant behaviour (decreased selection of disadvantageous decks in individuals with low levels of trait anxiety. By contrast, individuals with high trait anxiety demonstrated the opposite pattern: stress-induced risk-seeking (increased selection of disadvantageous decks. These contrasting influences of stress depending on mood and anxiety symptoms might provide insight into vulnerability to common mental illness. In particular, we speculate that those who adopt a more harm-avoidant strategy may be better able to regulate their exposure to further environmental stress, reducing their susceptibility to mood and anxiety disorders.

  11. The impact of stress on financial decision-making varies as a function of depression and anxiety symptoms.

    Science.gov (United States)

    Robinson, Oliver J; Bond, Rebecca L; Roiser, Jonathan P

    2015-01-01

    Stress can precipitate the onset of mood and anxiety disorders. This may occur, at least in part, via a modulatory effect of stress on decision-making. Some individuals are, however, more resilient to the effects of stress than others. The mechanisms underlying such vulnerability differences are nevertheless unknown. In this study we attempted to begin quantifying individual differences in vulnerability by exploring the effect of experimentally induced stress on decision-making. The threat of unpredictable shock was used to induce stress in healthy volunteers (N = 47) using a within-subjects, within-session design, and its impact on a financial decision-making task (the Iowa Gambling Task) was assessed alongside anxious and depressive symptomatology. As expected, participants learned to select advantageous decks and avoid disadvantageous decks. Importantly, we found that stress provoked a pattern of harm-avoidant behaviour (decreased selection of disadvantageous decks) in individuals with low levels of trait anxiety. By contrast, individuals with high trait anxiety demonstrated the opposite pattern: stress-induced risk-seeking (increased selection of disadvantageous decks). These contrasting influences of stress depending on mood and anxiety symptoms might provide insight into vulnerability to common mental illness. In particular, we speculate that those who adopt a more harm-avoidant strategy may be better able to regulate their exposure to further environmental stress, reducing their susceptibility to mood and anxiety disorders.

  12. Modeling the Financial Distress of Microenterprise StartUps Using Support Vector Machines: A Case Study

    Directory of Open Access Journals (Sweden)

    Antonio Blanco-Oliver

    2014-10-01

    Full Text Available Despite the leading role that micro-entrepreneurship plays in economic development, and the high failure rate of microenterprise start-ups in their early years, very few studies have designed financial distress models to detect the financial problems of micro-entrepreneurs. Moreover, due to a lack of research, nothing is known about whether non-financial information and nonparametric statistical techniques improve the predictive capacity of these models. Therefore, this paper provides an innovative financial distress model specifically designed for microenterprise startups via support vector machines (SVMs that employs financial, non-financial, and macroeconomic variables. Based on a sample of almost 5,500 micro- entrepreneurs from a Peruvian Microfinance Institution (MFI, our findings show that the introduction of non-financial information related to the zone in which the entrepreneurs live and situate their business, the duration of the MFI-entrepreneur relationship, the number of loans granted by the MFI in the last year, the loan destination, and the opinion of experts on the probability that microenterprise start-ups may experience financial problems, significantly increases the accuracy performance of our financial distress model. Furthermore, the results reveal that the models that use SVMs outperform those which employ traditional logistic regression (LR analysis.

  13. The state of the art of innovation-driven business models in the financial services industry

    NARCIS (Netherlands)

    Lüftenegger, E.R.; Angelov, S.A.; Linden, van der E.; Grefen, P.W.P.J.

    2010-01-01

    Emerging innovation-driven business models are changing the financial services landscape. Most companies are using innovation to sustain their business models. However, new entrants into the financial services market innovate in a way that disrupts the industry. Typically, directions for innovation

  14. Financial power laws: Empirical evidence, models, and mechanisms

    International Nuclear Information System (INIS)

    Lux, Thomas; Alfarano, Simone

    2016-01-01

    Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust feature is long-range dependence in volatility (i.e., hyperbolic decline of its autocorrelation function). The recent literature adds temporal scaling of trading volume and multi-scaling of higher moments of returns. Increasing awareness of these properties has recently spurred attempts at theoretical explanations of the emergence of these key characteristics form the market process. In principle, different types of dynamic processes could be responsible for these power-laws. Examples to be found in the economics literature include multiplicative stochastic processes as well as dynamic processes with multiple equilibria. Though both types of dynamics are characterized by intermittent behavior which occasionally generates large bursts of activity, they can be based on fundamentally different perceptions of the trading process. The present paper reviews both the analytical background of the power laws emerging from the above data generating mechanisms as well as pertinent models proposed in the economics literature.

  15. Credit Spread Modeling: Macro-financial versus HOC Approach

    Directory of Open Access Journals (Sweden)

    Sanja Dudaković

    2014-12-01

    Full Text Available The aim of this paper is to throw light on the relationship between credit spread changes and past changes of U.S. macro-financial variables when invariants do not have Gaussian distribution. The first part presents the empirical analysis which is based on 10-year AAA corporate bond yields and 10-year Treasury bond yields. Explanatory variables include lagged U.S. leading index, Russell 2000 returns, BBB bond price changes interest rate swaps, exchange rates EUR/ USD, Repo rates, S& P 500 returns and S&P 500 volatility, Treasury bill changes, liquidity index-TRSW, LIBOR rates, Moody’s default rates; credit spread volatility and Treasury bills volatility. The proposed dynamical model explains 73% of the U.S. credit spread variance for the period 1999:07-2013:07. The second part of the article introduces the parameter estimation method based on higher order cumulants. It is demonstrated empirically that much of the information about variability of Credit Spread can be extracted from higher order cumulant function (85%.

  16. Analysis of the costs of veterinary education and factors associated with financial stress among veterinary students in Australia.

    Science.gov (United States)

    Gregory, K P; Matthew, S M; Baguley, J A

    2018-01-01

    To investigate the course-related and other costs involved in obtaining a veterinary education in Australia and how these costs are met. The study also aimed to identify sociodemographic and course-related factors associated with increased financial stress. Students from seven Australian veterinary schools were surveyed using an online questionnaire. A total of 443 students participated (response rate 17%). Responses to survey items relating to finances, employment and course-related costs were compared with sociodemographic factors and prior research in the area of student financial stress. Respondents reported spending a median of A$300 per week on living costs and a median of A$2,000 per year on course-related expenses. Over half of respondents received the majority of their income from their parents or Youth Allowance (56%). A similar proportion (55%) reported that they needed to work to meet basic living expenses. Circumstances and sociodemographic factors linked to perceived financial stress included requiring additional finances to meet unexpected costs during the course; sourcing additional finances from external loans; an expected tuition debt at graduation over A$40,000; being 22 years or older; working more than 12 hours per week; living costs above A$300 per week; and being female. The costs involved in obtaining a veterinary education in Australia are high and over half of respondents are reliant on parental or Government income support. Respondents with certain sociodemographic profiles are more prone to financial stress. These findings may have implications for the psychological health, diversity and career plans of veterinary students in Australia. © 2017 Australian Veterinary Association.

  17. Does the Model of Evaluation Based on Fair Value Answer the Requests of Financial Information Users?

    OpenAIRE

    Mitea Neluta; Sarac Aldea Laura

    2010-01-01

    Does the model of evaluation based on the fair value answers the requests of the financial information users? The financial situations have as purposes the presentation of the information concerning the enterprise financial position, the performances and modifications of this position which, according to IASB and FASB, must be credible and useful. Both referential maintain the existence of several conventions regarding assessment, like historical cost, actual cost, the realizable value or act...

  18. A Business Intelligence Model to Predict Bankruptcy using Financial Domain Ontology with Association Rule Mining Algorithm

    OpenAIRE

    Martin, A.; Manjula, M.; Venkatesan, Dr. V. Prasanna

    2011-01-01

    Today in every organization financial analysis provides the basis for understanding and evaluating the results of business operations and delivering how well a business is doing. This means that the organizations can control the operational activities primarily related to corporate finance. One way that doing this is by analysis of bankruptcy prediction. This paper develops an ontological model from financial information of an organization by analyzing the Semantics of the financial statement...

  19. Interactions between financial stress and economic activity for the U.S.: A time- and frequency-varying analysis using wavelets

    Science.gov (United States)

    Ferrer, Román; Jammazi, Rania; Bolós, Vicente J.; Benítez, Rafael

    2018-02-01

    This paper examines the interactions between the main U.S. financial stress indices and several measures of economic activity in the time-frequency domain using a number of continuous cross-wavelet tools, including the usual wavelet squared coherence and phase difference as well as two new summary wavelet-based measures. The empirical results show that the relationship between financial stress and the U.S. real economy varies considerably over time and depending on the time horizon considered. A significant adverse effect of financial stress on U.S. economic activity is observed since the onset of the subprime mortgage crisis in the summer of 2007, indicating that the impact of financial market stress on the real economy is particularly severe during periods of major financial turmoil. Furthermore, the significant linkage between financial stress and the economic environment is mostly concentrated at time horizons from one to four years, demonstrating that the effect of financial stress on economic activity is especially visible in the long-run.

  20. Investigation on the Efficiency of Financial Companies in Malaysia with Data Envelopment Analysis Model

    Science.gov (United States)

    Weng Siew, Lam; Kah Fai, Liew; Weng Hoe, Lam

    2018-04-01

    Financial ratio and risk are important financial indicators to evaluate the financial performance or efficiency of the companies. Therefore, financial ratio and risk factor are needed to be taken into consideration to evaluate the efficiency of the companies with Data Envelopment Analysis (DEA) model. In DEA model, the efficiency of the company is measured as the ratio of sum-weighted outputs to sum-weighted inputs. The objective of this paper is to propose a DEA model by incorporating the financial ratio and risk factor in evaluating and comparing the efficiency of the financial companies in Malaysia. In this study, the listed financial companies in Malaysia from year 2004 until 2015 are investigated. The results of this study show that AFFIN, ALLIANZ, APEX, BURSA, HLCAP, HLFG, INSAS, LPI, MNRB, OSK, PBBANK, RCECAP and TA are ranked as efficient companies. This implies that these efficient companies have utilized their resources or inputs optimally to generate the maximum outputs. This study is significant because it helps to identify the efficient financial companies as well as determine the optimal input and output weights in maximizing the efficiency of financial companies in Malaysia.

  1. Adlerian Marital Therapy Strategies with Middle Income Couples Facing Financial Stress.

    Science.gov (United States)

    Freeman, Criswell; And Others

    1993-01-01

    Describes the impact of economic stressors on marriage. Discusses how Adlerian marital therapy strategies can be tailored to help middle-income couples deal with such stressors. Identifies problems facing middle income families experiencing financial hardship, describes Adlerian counseling for financial conflict in marriage, and delineates…

  2. The Wellbeing of Financial Counselors: A Study of Work Stress and Job Satisfaction

    Science.gov (United States)

    Griffiths, Margaret F.; Baxter, Stacey M.; Townley-Jones, Maureen E.

    2011-01-01

    The valuable social and economic contribution of financial counselors receives little public attention, as discourse related to consumer credit and debt invariably focuses on the impacts of consumer defaults for consumers and the broader community. Policy makers and organizations sustaining the work of financial counselors must ensure they care…

  3. An Integrated Model to Explain How Corporate Social Responsibility Affects Corporate Financial Performance

    Directory of Open Access Journals (Sweden)

    Chin-Shien Lin

    2015-06-01

    Full Text Available The effect of corporate social responsibility (CSR on financial performance has important implications for enterprises, communities, and countries, and the significance of this issue cannot be ignored. Therefore, this paper proposes an integrated model to explain the influence of CSR on financial performance with intellectual capital as a mediator and industry type as a moderator. Empirical results indicate that intellectual capital mediates the relationship between CSR and financial performance, and industry type moderates the direct influence of CSR on financial performance. Such results have critical implications for both academia and practice.

  4. Modelling of domestic and foreign visitors’ behaviour at commercial bank website during the recent financial crisis

    Directory of Open Access Journals (Sweden)

    Martin Drlík

    2013-01-01

    Full Text Available The paper focuses on modelling of commercial bank website visitors’ behaviour. The authors analyse domestic and foreign market participants’ interests in mandatory financial information disclosure of a commercial bank during the recent financial crisis and try to answer the question whether the purposes of Basel 2 regulations under the Pillar 3 – Market discipline, publishing financial information, have been fulfilled. The authors analyse bank website logs files using web log mining methods to better understand the rate of using of web pages, where mandatory financial information about Basel 2 is published. After data pre-processing the authors use association rule analysis to identify the association among content categories of the website. The results show that there is small interest in mandatory financial information disclosure by the commercial bank in general. The foreign website visitors take more concern in mandatory financial information disclosure, and they take less interest in general information about bank than domestic ones.

  5. Which Cooperative Ownership Model Performs Better? A Financial-Decision Aid Approach

    NARCIS (Netherlands)

    Kalogeras, N.; Pennings, J.M.E.; Benos, T.; Doumpos, M.

    2013-01-01

    In this article the financial/ownership structures of agribusiness cooperatives are analyzed to examine whether new cooperative models perform better than the more traditional ones. The assessment procedure introduces a new financial decision-aid approach, which is based on data-analysis techniques

  6. ANSYS Modeling of Hydrostatic Stress Effects

    Science.gov (United States)

    Allen, Phillip A.

    1999-01-01

    Classical metal plasticity theory assumes that hydrostatic pressure has no effect on the yield and postyield behavior of metals. Plasticity textbooks, from the earliest to the most modem, infer that there is no hydrostatic effect on the yielding of metals, and even modem finite element programs direct the user to assume the same. The object of this study is to use the von Mises and Drucker-Prager failure theory constitutive models in the finite element program ANSYS to see how well they model conditions of varying hydrostatic pressure. Data is presented for notched round bar (NRB) and "L" shaped tensile specimens. Similar results from finite element models in ABAQUS are shown for comparison. It is shown that when dealing with geometries having a high hydrostatic stress influence, constitutive models that have a functional dependence on hydrostatic stress are more accurate in predicting material behavior than those that are independent of hydrostatic stress.

  7. SCHEV Review of the Funding Model for Student Financial Assistance

    Science.gov (United States)

    State Council of Higher Education for Virginia, 2010

    2010-01-01

    The 2010 Acts of the Assembly, Chapter 874, directs the State Council of Higher Education for Virginia (SCHEV) to conduct a study on state financial aid. In support of this directive, SCHEV conducted a series of meetings with representatives from each public four-year college or university, Richard Bland College, and representatives from the…

  8. Binomial model for measuring expected credit losses from trade receivables in non-financial sector entities

    Directory of Open Access Journals (Sweden)

    Branka Remenarić

    2018-01-01

    Full Text Available In July 2014, the International Accounting Standards Board (IASB published International Financial Reporting Standard 9 Financial Instruments (IFRS 9. This standard introduces an expected credit loss (ECL impairment model that applies to financial instruments, including trade and lease receivables. IFRS 9 applies to annual periods beginning on or after 1 January 2018 in the European Union member states. While the main reason for amending the current model was to require major banks to recognize losses in advance of a credit event occurring, this new model also applies to all receivables, including trade receivables, lease receivables, related party loan receivables in non-financial sector entities. The new impairment model is intended to result in earlier recognition of credit losses. The previous model described in International Accounting Standard 39 Financial instruments (IAS 39 was based on incurred losses. One of the major questions now is what models to use to predict expected credit losses in non-financial sector entities. The purpose of this paper is to research the application of the current impairment model, the extent to which the current impairment model can be modified to satisfy new impairment model requirements and the applicability of the binomial model for measuring expected credit losses from accounts receivable.

  9. Physics and financial economics (1776-2014): puzzles, Ising and agent-based models

    Science.gov (United States)

    Sornette, Didier

    2014-06-01

    This short review presents a selected history of the mutual fertilization between physics and economics—from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial economics compared with physics are dissected with the examples of the volatility smile and of the excess volatility puzzle. The role of the Ising model of phase transitions to model social and financial systems is reviewed, with the concepts of random utilities and the logit model as the analog of the Boltzmann factor in statistical physics. Recent extensions in terms of quantum decision theory are also covered. A wealth of models are discussed briefly that build on the Ising model and generalize it to account for the many stylized facts of financial markets. A summary of the relevance of the Ising model and its extensions is provided to account for financial bubbles and crashes. The review would be incomplete if it did not cover the dynamical field of agent-based models (ABMs), also known as computational economic models, of which the Ising-type models are just special ABM implementations. We formulate the ‘Emerging Intelligence Market Hypothesis’ to reconcile the pervasive presence of ‘noise traders’ with the near efficiency of financial markets. Finally, we note that evolutionary biology, more than physics, is now playing a growing role to inspire models of financial markets.

  10. Physics and financial economics (1776–2014): puzzles, Ising and agent-based models

    International Nuclear Information System (INIS)

    Sornette, Didier

    2014-01-01

    This short review presents a selected history of the mutual fertilization between physics and economics—from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial economics compared with physics are dissected with the examples of the volatility smile and of the excess volatility puzzle. The role of the Ising model of phase transitions to model social and financial systems is reviewed, with the concepts of random utilities and the logit model as the analog of the Boltzmann factor in statistical physics. Recent extensions in terms of quantum decision theory are also covered. A wealth of models are discussed briefly that build on the Ising model and generalize it to account for the many stylized facts of financial markets. A summary of the relevance of the Ising model and its extensions is provided to account for financial bubbles and crashes. The review would be incomplete if it did not cover the dynamical field of agent-based models (ABMs), also known as computational economic models, of which the Ising-type models are just special ABM implementations. We formulate the ‘Emerging Intelligence Market Hypothesis’ to reconcile the pervasive presence of ‘noise traders’ with the near efficiency of financial markets. Finally, we note that evolutionary biology, more than physics, is now playing a growing role to inspire models of financial markets. (key issues reviews)

  11. Physics and financial economics (1776-2014): puzzles, Ising and agent-based models.

    Science.gov (United States)

    Sornette, Didier

    2014-06-01

    This short review presents a selected history of the mutual fertilization between physics and economics--from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial economics compared with physics are dissected with the examples of the volatility smile and of the excess volatility puzzle. The role of the Ising model of phase transitions to model social and financial systems is reviewed, with the concepts of random utilities and the logit model as the analog of the Boltzmann factor in statistical physics. Recent extensions in terms of quantum decision theory are also covered. A wealth of models are discussed briefly that build on the Ising model and generalize it to account for the many stylized facts of financial markets. A summary of the relevance of the Ising model and its extensions is provided to account for financial bubbles and crashes. The review would be incomplete if it did not cover the dynamical field of agent-based models (ABMs), also known as computational economic models, of which the Ising-type models are just special ABM implementations. We formulate the 'Emerging Intelligence Market Hypothesis' to reconcile the pervasive presence of 'noise traders' with the near efficiency of financial markets. Finally, we note that evolutionary biology, more than physics, is now playing a growing role to inspire models of financial markets.

  12. The Simulation of Financial Markets by Agent-Based Mix-Game Models

    OpenAIRE

    Chengling Gou

    2006-01-01

    This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an ac...

  13. The Simulation of Financial Markets by an Agent-Based Mix-Game Model

    OpenAIRE

    Chengling Gou

    2006-01-01

    This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an ac...

  14. Revised Reynolds Stress and Triple Product Models

    Science.gov (United States)

    Olsen, Michael E.; Lillard, Randolph P.

    2017-01-01

    Revised versions of Lag methodology Reynolds-stress and triple product models are applied to accepted test cases to assess the improvement, or lack thereof, in the prediction capability of the models. The Bachalo-Johnson bump flow is shown as an example for this abstract submission.

  15. The equity price channel in a New-Keynesian DSGE model with financial frictions and banking

    OpenAIRE

    Hylton Hollander; Guangling Liu

    2013-01-01

    This paper studies the role of the equity price channel in business cycle fluctuations, and highlights the equity price channel as a different aspect to general equilibrium models with financial frictions and, as a result, emphasizes the systemic influence of financial markets on the real economy. We develop a canonical New-Keynesian DSGE model with a tractable role for the equity market in banking, entrepreneur and household economic activities. The model is estimated with Bayesian technique...

  16. Decision-making, financial risk aversion, and behavioral biases: The role of testosterone and stress.

    Science.gov (United States)

    Nofsinger, John R; Patterson, Fernando M; Shank, Corey A

    2018-05-01

    We examine the relation between testosterone, cortisol, and financial decisions in a sample of naïve investors. We find that testosterone level is positively related to excess risk-taking, whereas cortisol level is negatively related to excess risk-taking (correlation coefficient [r]: 0.75 and -0.21, respectively). Additionally, we find support for the dual-hormone hypothesis in a financial context. Specifically, the testosterone-to-cortisol ratio is significantly related to loss aversion. Individuals with a higher ratio are 3.4 times more likely to sell losing stocks (standard error [SE]: 1.63). Furthermore, we find a positive feedback loop between financial success, testosterone, and cortisol. Specifically, financial success is significantly related to higher post-trial testosterone and cortisol by a factor of 0.53 (SE: 0.14). Finally, we find that in a competitive environment, testosterone level increases significantly, leading to greater risk-taking than in noncompetitive environment. Overall, this study underscores the importance of the endocrine system on financial decision-making. The results of this study are relevant to a broad audience, including investors looking to optimize financial performance, industry human resources, market regulators, and researchers. Copyright © 2018 Elsevier B.V. All rights reserved.

  17. Public attitudes to financial incentive models for organs

    DEFF Research Database (Denmark)

    Hoeyer, Klaus; Schicktanz, Silke; Deleuran, Ida

    2013-01-01

    Waiting lists for organs have stimulated interest in the use of financial incentives for organ donation (FIs), but the literature does not contain an adequate overview of studies of public attitudes toward this mode of procurement. We conducted a literature review of international peer......-reviewed research published between 2002 and 2012 on how members of the public position themselves toward FIs. We identified and analyzed 23 studies using MEDLINE, PsycINFO, Sociological Abstracts and cross-reference search. The search included whole organs, donation, quantitative and empirical qualitative social...... scientific studies on, public attitudes (excluding professionals and medical students). The review reveals a broad divergence of public opinions on financial incentives. However, quantitative studies showed a low overall level of acceptance of payment for organs in living donation (LD); only a slightly...

  18. Num\\'{e}raire-invariant preferences in financial modeling

    OpenAIRE

    Kardaras, Constantinos

    2009-01-01

    We provide an axiomatic foundation for the representation of num\\'{e}raire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice rule: the agent prefers one outcome over another if and only if the expected (under the agent's subjective probability) relative rate of return of the latter outcome with respect to the former is nonpositive. With the addition of a transitivity requirement, ...

  19. Modeling the Value of Micro Solutions in Air Force Financial Management

    National Research Council Canada - National Science Library

    O'Hare, Scott M; Krott, James E

    2005-01-01

    The purpose of this MBA Project was to develop a model that would estimate the value of applying available spreadsheet programming tools to automation opportunities in Air Force Financial Management (FM...

  20. A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market

    Directory of Open Access Journals (Sweden)

    Lina Song

    2018-01-01

    Full Text Available Fractional differential equation has been introduced to the financial theory, which presents new ideas and tools for the theoretical researches and the practical applications. In the work, an approximate semianalytical solution of the time-fractional European option pricing model is derived using the method of combining the enhanced technique of Adomian decomposition method with the finite difference method. And then the result is introduced in China’s financial market. The work makes every effort to test the feasibility of the fractional derivative model in the actual financial market.

  1. PERBANDINGAN PREDIKSI FINANCIAL DISTRESS DENGAN MENGGUNAKAN MODEL ALTMAN, SPRINGATE DAN OHLSON

    Directory of Open Access Journals (Sweden)

    Fairuz Zabady Zainal Abidin Putera

    2016-12-01

    Full Text Available The lowering of coal price and the uncertainty of world oil prices affect the high operational costs of coal enterprises. The Continuous lowering of coal prices causes financial distress. Financial distress is defined as financial condition before the bankcruptcy.The purpose of this research are to predict and compare the financial distress among the models of Altman, Springate and Ohlson at coal mining company listed on the Indonesia Stock Exchange in the period of 2008 - 2014. This type of research is included in a comparative. The population are the coal companies financial statements listed on the Indonesian Stock Exchange (BEI in the period 2008-2014. The sampling with used purposive sampling which acquired 7 companies. Data analysis used Altman, Springate and Ohlson’s  models. The hypothesis is tested Kruskal-Wallis test. The results of research showed  that Springate’s model has better accuracy than Altman model and Ohlson model. Results hypothesis testing with the Kruskal-Wallis test concluded there were no differences among the financial distress the model Altman, Springate and Ohlson models at coal mining companies in the Indonesia Stock Exchange in the period 2008-2014.

  2. A Linkage Model of Supply Chain Operation and Financial Performance for Economic Sustainability of Firm

    Directory of Open Access Journals (Sweden)

    Suk Ho Jin

    2017-01-01

    Full Text Available Although several studies have explored the relationship between the operation and performance of a supply chain (SC, a general SC model cannot deliver the expected financial results at a company-wide level. In this paper, we argue that this cannot guarantee the maximization of a firm’s overall value because short-term financial performance metrics do not reflect the risk to businesses and the invested capital. Owing to the varying natures of risk and the capital invested, firms with multiple divisions should assess each division separately, and the results can be compared for decisions concerning the allocation of the firm’s capital and resources to maximize the overall value of its businesses. We propose a linkage model to consider operational activities and financial performance simultaneously in a firm’s supply chain model. To exhibit the superiority of the proposed model that connects SC operation and financial indicators, we first compare the differences between models for maximizing profit and enterprise-wise economic value added (EVA as objective functions. To examine uncertainty in the operational and financial parameters of the SC, the results of sensitivity analyses are then reported. Experimental results showed that our model, using the EVA approach, is more effective and superior in terms of maximizing the firm’s overall value from the long-term perspective while satisfying the target values for financial ratios set by the firm’s executives and shareholders for all periods, unlike the results of the general model.

  3. ADAPTATION MODEL FOR REDUCING THE MANAGERIAL STRESS

    Directory of Open Access Journals (Sweden)

    VIOLETA GLIGOROVSKI

    2017-12-01

    Full Text Available Changes are an inseparable component of the company's life cycle and they can contribute to its essential growth in the future. The purpose of this paper is to explain managerial stress caused by implementation of changes and creating an adaptation model to decrease managerial stress. How much the manager will successfully lead the project for implementation of a change and how much they will manage to amortize stress among employees, mostly depends on their expertise, knowledge and skills to accurately and comprehensively inform and integrate the employees in the overall process. The adaptation model is actually a new approach and recommendation for managers for dealing with stress when the changes are implemented. Methodology. For this purpose, the data presented, in fact, were collected through a questionnaire that was submitted to 61 respondents/ managers. The data were measured using the Likert scale from 1 to 7. Namely, with the help of the Likert scale, quantification of stress was made in relation to the various variables that were identified as the most important for the researched issues. An adaption model (new approach for amortizing changes was created using the DIA Diagram application, to show the relations between manager and the relevant amortization approaches.

  4. Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

    Directory of Open Access Journals (Sweden)

    Yanhui Xi

    2016-01-01

    Full Text Available The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel market microstructure model with leverage effects is proposed. The model specification assumed a negative correlation in the errors between the price/return innovation and the volatility innovation. With the new representations, a theoretical explanation of leverage effect is provided. Simulated data and daily stock market indices (Shanghai composite index, Shenzhen component index, and Standard and Poor’s 500 Composite index via Bayesian Markov Chain Monte Carlo (MCMC method are used to estimate the leverage market microstructure model. The results verify the effectiveness of the model and its estimation approach proposed in the paper and also indicate that the stock markets have strong leverage effects. Compared with the classical leverage stochastic volatility (SV model in terms of DIC (Deviance Information Criterion, the leverage market microstructure model fits the data better.

  5. Asset Depletion, Chronic Financial Stress, and Mortgage Trouble Among Older Female Homeowners.

    Science.gov (United States)

    Castro Baker, Amy; West, Stacia; Wood, Anna

    2017-09-08

    The Great Recession disproportionately impacted older adults and women of color, suggesting that women may be entering retirement without adequate assets. However, the current literature lacks a detailed account of women's experiences of mortgage trouble and foreclosure, as well as a longitudinal view of how these experiences impacted their overall financial assets. Grounded in cumulative inequality theory, this mixed methods study employed a QUAL→quan approach to gather qualitative data from a sample of 21 older adult women regarding their experiences of mortgage trouble. Quantitative longitudinal data was gathered for a subsample of the Early Baby Boomer Cohort using the Health and Retirement Study. Qualitative findings indicated women approaching retirement experienced chronic underemployment, wage stagnation, and financial volatility as contributors to asset depletion and eventual mortgage default or foreclosure. Quantitative results indicated asset depletion both during and post-Recession was considerably more pronounced among older adult women of color compared to older adult White men. These findings suggest that a lifetime of financial disadvantage coupled with macroeconomic instability situates older adult women, particularly women of color, in a financially vulnerable position for retirement. The ways in which 2017 attacks on the Consumer Financial Protection Bureau, Dodd-Frank, and the Fiduciary rule carry potential to further destabilize this population are also discussed. © The Author 2017. Published by Oxford University Press on behalf of The Gerontological Society of America. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

  6. Fiscal and monetary policy interactions in an endogenous growth model with financial intermediaries

    OpenAIRE

    Espinosa, Marco A.; Yip, Chong K.

    1995-01-01

    We review some inflationary and growth claims surrounding fiscal and monetary policy interactions. While financial intermediation has long been acknowledged as a key mechanism in the transmission of these interactions, only recently have economists incorporated the explicit modeling of such intermediaries in their analyses. Here we model financial intermediaries explicitly. We find that the relation between growth and inflation depends crucially on the agents' degree of relative risk aversion...

  7. Liquidity, Financial Intermediation, and Monetary Policy in a New Monetarist Model

    OpenAIRE

    Williamson, Stephen

    2009-01-01

    A model of monetary exchange with private financial intermediation is constructed. Claims on financial intermedaries of two types are traded in transactions: circulating notes and deposits. There can be a role for the government in supplying liqudity, and level changes in the money supply accomplished through open market operations can be nonneutral. A Friedman rule is suboptimal, due to costs of maintaining the stock of currency. The model is used to address some issues related to current mo...

  8. Financial stress is associated with reduced treatment adherence in HIV-infected adults in a resource-rich setting.

    Science.gov (United States)

    McAllister, J; Beardsworth, G; Lavie, E; MacRae, K; Carr, A

    2013-02-01

    Financial stress has been identified as a barrier to antiretroviral adherence, but only in resource- limited settings. Almost half of HIV-infected Australian adults earn no regular income and, despite highly subsidised antiretroviral therapy and universal health care, 3% of HIV-infected Australians cease antiretroviral therapy each year. We studied the relationship between financial stress and treatment adherence in a resource-rich setting. Out-patients attending the HIV clinic at St Vincent's Hospital between November 2010 and May 2011 were invited to complete an anonymous survey including questions relating to costs and adherence. Of 335 HIV-infected patients (95.8% male; mean age 52 years; hepatitis coinfection 9.2%), 65 patients (19.6%) stated that it was difficult or very difficult to meet pharmacy dispensing costs, 49 (14.6%) reported that they had delayed purchasing medication because of pharmacy costs, and 30 (9.0%) reported that they had ceased medication because of pharmacy costs. Of the 65 patients with difficulties meeting pharmacy costs, 19 (29.2%) had ceased medication vs. 11 (4.1%) of the remaining 270 patients (P travel costs to the clinic. Treatment cessation and interruption were both independently associated with difficulty meeting both pharmacy and clinic travel costs. Only 4.9% had been asked if they were having difficulty paying for medication. These are the first data to show that pharmacy dispensing and clinic travel costs may affect treatment adherence in a resource-rich setting. Patients should be asked if financial stress is limiting their treatment adherence. © 2012 British HIV Association.

  9. REGRESSION MODEL FOR RISK REPORTING IN FINANCIAL STATEMENTS OF ACCOUNTING SERVICES ENTITIES

    Directory of Open Access Journals (Sweden)

    Mirela NICHITA

    2015-06-01

    Full Text Available The purpose of financial reports is to provide useful information to users; the utility of information is defined through the qualitative characteristics (fundamental and enhancing. The financial crisis emphasized the limits of financial reporting which has been unable to prevent investors about the risks they were facing. Due to the current changes in business environment, managers have been highly motivated to rethink and improve the risk governance philosophy, processes and methodologies. The lack of quality, timely data and adequate systems to capture, report and measure the right information across the organization is a fundamental challenge for implementing and sustaining all aspects of effective risk management. Starting with the 80s, the investors are more interested in narratives (Notes to financial statements, than in primary reports (financial position and performance. The research will apply a regression model for assessment of risk reporting by the professional (accounting and taxation services for major companies from Romania during the period 2009 – 2013.

  10. Financial Stress and Behavioral Health in Military Servicemembers: Risk, Resilience, Mechanisms and Targets for Intervention Stress, Resilience, and Well Being

    Science.gov (United States)

    2016-02-29

    associated with self - esteem / well-being; and others. • Research studies and reviews need to examine the multiple adverse outcomes associated with various...wealth relative to others often has an accompanying lack of self -efficacy and decreased self - esteem that may result. The possible value of financial...stressors and adversities (e.g. change in station, loss of job of a spouse, deployment, school needs for children , and illness of a relative) that vary

  11. Linking agent-based models and stochastic models of financial markets.

    Science.gov (United States)

    Feng, Ling; Li, Baowen; Podobnik, Boris; Preis, Tobias; Stanley, H Eugene

    2012-05-29

    It is well-known that financial asset returns exhibit fat-tailed distributions and long-term memory. These empirical features are the main objectives of modeling efforts using (i) stochastic processes to quantitatively reproduce these features and (ii) agent-based simulations to understand the underlying microscopic interactions. After reviewing selected empirical and theoretical evidence documenting the behavior of traders, we construct an agent-based model to quantitatively demonstrate that "fat" tails in return distributions arise when traders share similar technical trading strategies and decisions. Extending our behavioral model to a stochastic model, we derive and explain a set of quantitative scaling relations of long-term memory from the empirical behavior of individual market participants. Our analysis provides a behavioral interpretation of the long-term memory of absolute and squared price returns: They are directly linked to the way investors evaluate their investments by applying technical strategies at different investment horizons, and this quantitative relationship is in agreement with empirical findings. Our approach provides a possible behavioral explanation for stochastic models for financial systems in general and provides a method to parameterize such models from market data rather than from statistical fitting.

  12. Financial modelling and corporate governance: A feminist perspective using an optimization approach

    Directory of Open Access Journals (Sweden)

    Desi Adhariani

    2015-12-01

    Full Text Available This study is aimed at projecting the financial condition of the company using the feminist ethics of care integrated in corporate governance principles. The research question to be answered is: How the financial condition of the company in the future is affected if the feminist ethics of care is applied in its corporate governance practices? The research question is answered using the quantitative optimisation method to develop the financial planning model for the period 2012-2016. BHP Billiton which is one of the world’s largest resources company is selected to be the sample of this case study. The projection of the financial condition for the five-year period 2012-2016 showed that BHP Billiton, Ltd. can achieve an overall positive economic value retained in the projected period even though negative results exist for 2015 and 2016. Sensitivity analysis was performed by providing two examples of alternatives or scenarios to show the impact on the projected financial condition. It can be concluded that the Company’s financial condition will be stable in the future. The use of the ethics of care simultaneously as a lens to support corporate governance practices and as guidance in financial projection has not been conducted in previous studies. This study therefore, offers an original contribution to the literature of corporate governance, business ethics and financial planning.

  13. Modeling of the influence of transparency of the derivatives market on financial depth

    Directory of Open Access Journals (Sweden)

    Irina Burdenko

    2016-07-01

    Full Text Available The market of derivative tools becomes an integral part of the financial market, the functions which are carrying out in it peculiar only to it: hedging, distribution of risks, ensuring liquidity of basic assets, information support of future movement of the prices, decrease in asymmetry of information in the financial markets. However, the insufficiency or lack of transparent information can lead to emergence of the crisis phenomena, shocks in the financial market and growth of system risk. Emergence of need for strengthening of information function of the market of derivatives changes of requirements to transparency of information had been caused by financial crisis of 2008-2009. In this article the attempt of an assessment of influence was made by means of autoregressive models the change of requirements to standard transparency, such as qualitative characteristic of the derivatives market, on quantitative indices of the financial market, in particular financial depth. The results of research demonstrate that reforming of the legislation concerning strengthening of transparency in the derivatives market positively influences the growth of financial depth. The research of this question will promote the best understanding of importance of reforming of regulation of the derivatives market, in particular strengthening of requirements to transparency. Recommendations of the further researches concern the needs of input of reforms of financial regulation in the derivatives market in Ukraine, and, thus, to provide the corresponding conditions for his development

  14. Algorithm for Financial Derivatives Evaluation in a Generalized Multi-Heston Model

    Directory of Open Access Journals (Sweden)

    Dan Negura

    2013-02-01

    Full Text Available In this paper we show how could a financial derivative be estimated based on an assumed Multi-Heston model support.Keywords: Euler Maruyama discretization method, Monte Carlo simulation, Heston model, Double-Heston model, Multi-Heston model

  15. Financial Disaster as a Risk Factor for Posttraumatic Stress Disorder: Internet Survey of Trauma in Victims of the Madoff Ponzi Scheme

    Science.gov (United States)

    Freshman, Audrey

    2012-01-01

    There are no known studies to date examining the risk of posttraumatic stress disorder (PTSD) associated with sudden and dramatic personal financial loss. A Web-based, online, nonprobability convenience survey of 172 Madoff victims (56 percent female; mean age, 60.9 years) using the Posttraumatic Stress List Checklist, civilian version was…

  16. New approaches in agent-based modeling of complex financial systems

    Science.gov (United States)

    Chen, Ting-Ting; Zheng, Bo; Li, Yan; Jiang, Xiong-Fei

    2017-12-01

    Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of agent-based models from empirical data instead of setting them artificially was suggested. We first review several agent-based models and the new approaches to determine the key model parameters from historical market data. Based on the agents' behaviors with heterogeneous personal preferences and interactions, these models are successful in explaining the microscopic origination of the temporal and spatial correlations of financial markets. We then present a novel paradigm combining big-data analysis with agent-based modeling. Specifically, from internet query and stock market data, we extract the information driving forces and develop an agent-based model to simulate the dynamic behaviors of complex financial systems.

  17. A comprehensive model of stress - The roles of experienced stress and neuroticism in explaining the stress-distress relationship

    NARCIS (Netherlands)

    De Jong, GM; van Sonderen, E; Emmelkamp, PMG

    1999-01-01

    Background: In this study, a complex theoretical model regarding the stress-distress relationship was evaluated. The various components in the model included experienced stress (daily hassles), psychological distress, neuroticism, problem-focused coping, avoidant coping, satisfaction with received

  18. Discerning Novel Value Chains in Financial Malware : On the Economic Incentives and Criminal Business Models in Financial Malware Schemes

    NARCIS (Netherlands)

    Wegberg, R.S. van; Klievink, A.J.; Eeten, M.J.G. van

    2017-01-01

    Fraud with online payment services is an ongoing problem, with significant financial-economic and societal impact. One of the main modus operandi is financial malware that compromises consumer and corporate devices, thereby potentially undermining the security of critical financial systems. Recent

  19. Discerning Novel Value Chains in Financial Malware : On the Economic Incentives and Criminal Business Models in Financial Malware Schemes

    NARCIS (Netherlands)

    van Wegberg, R.S.; Klievink, A.J.; van Eeten, M.J.G.

    Fraud with online payment services is an ongoing problem, with significant financial-economic and societal impact. One of the main modus operandi is financial malware that compromises consumer and corporate devices, thereby potentially undermining the security of critical financial systems.

  20. Student Racial Differences in Credit Card Debt and Financial Behaviors and Stress

    Science.gov (United States)

    Grable, John E.; Joo, So-Hyun

    2006-01-01

    This study expands upon the work of Henry, Weber, and Yarbrough (2001) in examining the money management behaviors and financial outcomes of college students. The analysis was conducted using data from a sample that included an equal mix of African-American and non-Hispanic White students. It was found that African-American students held more…

  1. Evolvement of Uniformity and Volatility in the Stressed Global Financial Village

    Science.gov (United States)

    Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; Ben-Jacob, Eshel

    2012-01-01

    Background In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep throughout the entire village. Methodology/Principal Findings We present a new methodology to assess and quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the market Index Cohesive Force and the meta-correlations (correlations between the intra-correlations.) We investigated the relations between six important world markets—U.S., U.K., Germany, Japan, China and India—from January 2000 until December 2010. We found that while the developed “western” markets (U.S., U.K., Germany) are highly correlated, the interdependencies between these markets and the developing “eastern” markets (India and China) are volatile and with noticeable maxima at times of global world events. The Japanese market switches “identity”—it switches between periods of high meta-correlations with the “western” markets and periods when it behaves more similarly to the “eastern” markets. Conclusions/Significance The methodological framework presented here provides a way to quantify the evolvement of interdependencies in the global market, evaluate a world financial network and quantify changes in the world inter market relations. Such changes can be used as precursors to the agitation of the global financial village. Hence, the new approach can help to develop a sensitive “financial seismograph” to detect early signs of global financial crises so they can be treated before they develop into worldwide events. PMID:22347444

  2. A discrete trinomial model for the birth and death of stock financial bubbles

    Science.gov (United States)

    Di Persio, Luca; Guida, Francesco

    2017-11-01

    The present work proposes a novel way to model the dynamic of financial bubbles. In particular we exploit the so called trinomial tree technique, which is mainly inspired by the typical market order book (MOB) structure. According to the typical MOB rules, we exploit a bottom-up approach to derive the relevant generator process for the financial quantities characterizing the market we are considering. Our proposal pays attention in considering the real world changes in probability levels characterizing the bid-ask preferences, focusing the attention on the market movements. In particular, we show that financial bubbles are originated by these movements which also act amplify their growth.

  3. Analyzing Financial Performance of Commercial Banks in India: Application of CAMEL Model

    Directory of Open Access Journals (Sweden)

    Prof. Dr. Mohi-ud-Din Sangmi

    Full Text Available Sound financial health of a bank is the guarantee not only to its depositors but is equally significant for the shareholders, employees and whole economy as well. As a sequel to this maxim, efforts have been made from time to time, to measure the financial position of each bank and manage it efficiently and effectively. In this paper, an effort has been made to evaluate the financial performance of the two major banks operating in northern India .This evaluation has been done by using CAMEL Parameters, the latest model of financial analysis. Through this model, it is highlighted that the position of the banks under study is sound and satisfactory so far as their capital adequacy, asset quality, Management capability and liquidity is concerned.

  4. Linking market interaction intensity of 3D Ising type financial model with market volatility

    Science.gov (United States)

    Fang, Wen; Ke, Jinchuan; Wang, Jun; Feng, Ling

    2016-11-01

    Microscopic interaction models in physics have been used to investigate the complex phenomena of economic systems. The simple interactions involved can lead to complex behaviors and help the understanding of mechanisms in the financial market at a systemic level. This article aims to develop a financial time series model through 3D (three-dimensional) Ising dynamic system which is widely used as an interacting spins model to explain the ferromagnetism in physics. Through Monte Carlo simulations of the financial model and numerical analysis for both the simulation return time series and historical return data of Hushen 300 (HS300) index in Chinese stock market, we show that despite its simplicity, this model displays stylized facts similar to that seen in real financial market. We demonstrate a possible underlying link between volatility fluctuations of real stock market and the change in interaction strengths of market participants in the financial model. In particular, our stochastic interaction strength in our model demonstrates that the real market may be consistently operating near the critical point of the system.

  5. A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market

    OpenAIRE

    Song, Lina

    2018-01-01

    Fractional differential equation has been introduced to the financial theory, which presents new ideas and tools for the theoretical researches and the practical applications. In the work, an approximate semianalytical solution of the time-fractional European option pricing model is derived using the method of combining the enhanced technique of Adomian decomposition method with the finite difference method. And then the result is introduced in China’s financial market. The work makes every e...

  6. Model of formation of low-risk stock portfolio in modern financial markets

    Directory of Open Access Journals (Sweden)

    Дмитро Сергійович Богач

    2016-03-01

    Full Text Available The basic principles of formation of an investment portfolio in modern financial markets are determined. A method of forming stock portfolio due to the statistical properties of stationary process and relations between the behavior of stocks and economic sector, characterizing these actions, is proposed. Optimal points of recalculation of model depends on changes in current trends in the financial market is described

  7. Smokers with financial stress are more likely to want to quit but less likely to try or succeed: findings from the International Tobacco Control (ITC) Four Country Survey.

    Science.gov (United States)

    Siahpush, Mohammad; Yong, Hua-Hie; Borland, Ron; Reid, Jessica L; Hammond, David

    2009-08-01

    To examine the association of financial stress with interest in quitting smoking, making a quit attempt and quit success. The analysis used data from 4984 smokers who participated in waves 4 and 5 (2005-07) of the International Tobacco Control (ITC) Four Country Survey, a prospective study of a cohort of smokers in the United States, Canada, the United Kingdom and Australia. The outcomes were interest in quitting at wave 4, making a quit attempt and quit success at wave 5. The main predictor was financial stress at wave 4: '. . . because of a shortage of money, were you unable to pay any important bills on time, such as electricity, telephone or rent bills?'. Additional socio-demographic and smoking-related covariates were also examined. Smokers with financial stress were more likely than others to have an interest in quitting at baseline [odds ratio (OR): 1.63; 95% confidence interval (CI): 1.22-2.19], but were less likely to have made a quit attempt at follow-up (OR: 0.74; 95% CI: 0.57-0.96). Among those who made a quit attempt, financial stress was associated with a lower probability of abstinence at follow-up (OR: 0.53; 95% CI: 0.33-0.87). Cessation treatment efforts should consider assessing routinely the financial stress of their clients and providing additional counseling and resources for smokers who experience financial stress. Social policies that provide a safety net for people who might otherwise face severe financial problems, such as not being able to pay for rent or food, may have a favorable impact on cessation rates.

  8. Modelling Financial-Accounting Decisions by Means of OLAP Tools

    Directory of Open Access Journals (Sweden)

    Diana Elena CODREAN

    2011-03-01

    Full Text Available At present, one can say that a company’s good running largely depends on the information quantity and quality it relies on when making decisions. The information needed to underlie decisions and be obtained due to the existence of a high-performing information system which makes it possible for the data to be shown quickly, synthetically and truly, also providing the opportunity for complex analyses and predictions. In such circumstances, computerized accounting systems, too, have grown their complexity by means of data analyzing information solutions such as OLAP and Data Mining which help perform a multidimensional analysis of financial-accounting data, potential frauds can be detected and data hidden information can be revealed, trends for certain indicators can be set up, therefore ensuring useful information to a company’s decision making.

  9. Survey of credit risk models in relation to capital adequacy framework for financial institutions

    Directory of Open Access Journals (Sweden)

    Poomjai Nacaskul

    2016-12-01

    Full Text Available This article (i iterates what is meant by credit risks and the mathematical-statistical modelling thereof, (ii elaborates the conceptual and technical links between credit risk modelling and capital adequacy framework for financial institutions, particularly as per the New Capital Accord (Basel II’s Internal Ratings-Based (IRB approach, (iii proffer a simple and intuitive taxonomy on contemporary credit risk modelling methodologies, and (iv discuses in some details a number of key models pertinent, in various stages of development, to various application areas in the banking and financial sector.

  10. Neighbourhood exposure to point-of-sale price promotions for cigarettes is associated with financial stress among smokers: results from a population-based study.

    Science.gov (United States)

    Siahpush, Mohammad; Tibbits, Melissa; Soliman, Ghada A; Grimm, Brandon; Shaikh, Raees A; McCarthy, Molly; Wan, Neng; Ramos, Athena K; Correa, Antonia

    2017-11-01

    To examine the association between neighbourhood exposure to point-of-sale (POS) cigarette price promotions and financial stress among smokers in a Midwestern metropolitan area in the USA. Survey data from 888 smokers provided information on sociodemographic and smoking related variables. Financial stress was measured with the question: 'In the last six months, because of lack of money, was there a time when you were unable to buy food or pay any important bills on time, such as electricity, telephone, credit card, rent or your mortgage? (Yes/No).' Using audit data from 504 tobacco retailers, we estimated a score of POS price promotions for each respondent by summing the different types of promotion in each store in their neighbourhood, as defined by a 1-km roadway buffer. Adjusted results provided strong support for an association between higher scores of neighbourhood POS cigarette price promotions and a higher probability of financial stress (p=0.007). Exposure to POS cigarette price promotions is associated with financial stress. This finding, coupled with previous reports that smokers with financial stress are less likely to attempt to quit or succeed in quitting smoking, suggests that POS cigarette price promotions may act as an impediment to smoking cessation. © Article author(s) (or their employer(s) unless otherwise stated in the text of the article) 2017. All rights reserved. No commercial use is permitted unless otherwise expressly granted.

  11. How the ownership structures cause epidemics in financial markets: A network-based simulation model

    Science.gov (United States)

    Dastkhan, Hossein; Gharneh, Naser Shams

    2018-02-01

    Analysis of systemic risks and contagions is one of the main challenges of policy makers and researchers in the recent years. Network theory is introduced as a main approach in the modeling and simulation of financial and economic systems. In this paper, a simulation model is introduced based on the ownership network to analyze the contagion and systemic risk events. For this purpose, different network structures with different values for parameters are considered to investigate the stability of the financial system in the presence of different kinds of idiosyncratic and aggregate shocks. The considered network structures include Erdos-Renyi, core-periphery, segregated and power-law networks. Moreover, the results of the proposed model are also calculated for a real ownership network. The results show that the network structure has a significant effect on the probability and the extent of contagion in the financial systems. For each network structure, various values for the parameters results in remarkable differences in the systemic risk measures. The results of real case show that the proposed model is appropriate in the analysis of systemic risk and contagion in financial markets, identification of systemically important firms and estimation of market loss when the initial failures occur. This paper suggests a new direction in the modeling of contagion in the financial markets, in particular that the effects of new kinds of financial exposure are clarified. This paper's idea and analytical results may also be useful for the financial policy makers, portfolio managers and the firms to conduct their investment in the right direction.

  12. Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation

    Science.gov (United States)

    Zhang, Wei; Wang, Jun

    2017-09-01

    In attempt to reproduce price dynamics of financial markets, a stochastic agent-based financial price model is proposed and investigated by stochastic exclusion process. The exclusion process, one of interacting particle systems, is usually thought of as modeling particle motion (with the conserved number of particles) in a continuous time Markov process. In this work, the process is utilized to imitate the trading interactions among the investing agents, in order to explain some stylized facts found in financial time series dynamics. To better understand the correlation behaviors of the proposed model, a new time-dependent intrinsic detrended cross-correlation (TDI-DCC) is introduced and performed, also, the autocorrelation analyses are applied in the empirical research. Furthermore, to verify the rationality of the financial price model, the actual return series are also considered to be comparatively studied with the simulation ones. The comparison results of return behaviors reveal that this financial price dynamics model can reproduce some correlation features of actual stock markets.

  13. “Lamfalussy Architecture” – A Model for Consolidating the Financial Markets’ Supervision

    Directory of Open Access Journals (Sweden)

    Nicolae Dardac

    2008-08-01

    Full Text Available The enhancement of convergence in the supervisory practices, both by increasing the quality of the legal framework and of the regulations in the field of financial services and by improving the consultation process, represents a prerequisite for setting up the Single Market for financial services at EU level. In order to reach this goal a new approach, known as “Lamfalussy Architecture”, has been developed. The implementation of this model will increase the efficiency of the regulatory and supervisory framework within the financial markets, by removing the obstacles in the way of their integration into the Single Market. At the same time, setting up an EU Single Market implies a thorough monitoring of the financial stability through a constant review of the regulatory and supervisory framework.

  14. A Pseudo-Bayesian Model for Stock Returns In Financial Crises

    Directory of Open Access Journals (Sweden)

    Eric S. Fung

    2011-12-01

    Full Text Available Recently, there has been a considerable interest in the Bayesian approach for explaining investors' behaviorial biases by incorporating conservative and representative heuristics when making financial decisions, (see, for example, Barberis, Shleifer and Vishny (1998. To establish a quantitative link between some important market anomalies and investors' behaviorial biases, Lam, Liu, and Wong (2010 introduced a pseudo-Bayesian approach for developing properties of stock returns, where weights induced by investors' conservative and representative heuristics are assigned to observations of the earning shocks and stock prices. In response to the recent global financial crisis, we introduce a new pseudo-Bayesian model to incorporate the impact of a financial crisis. Properties of stock returns during the financial crisis and recovery from the crisis are established. The proposed model can be applied to investigate some important market anomalies including short-term underreaction, long-term overreaction, and excess volatility during financial crisis. We also explain in some detail the linkage between these market anomalies and investors' behavioral biases during financial crisis.

  15. Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks

    Science.gov (United States)

    Squartini, Tiziano; Almog, Assaf; Caldarelli, Guido; van Lelyveld, Iman; Garlaschelli, Diego; Cimini, Giulio

    2017-09-01

    Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification of financial distress in capital markets are strongly affected by the interconnections among financial institutions. Yet, while the aggregate balance sheets of institutions are publicly disclosed, information on single positions is mostly confidential and, as such, unavailable. Standard approaches to reconstruct the network of financial interconnection produce unrealistically dense topologies, leading to a biased estimation of systemic risk. Moreover, reconstruction techniques are generally designed for monopartite networks of bilateral exposures between financial institutions, thus failing in reproducing bipartite networks of security holdings (e.g., investment portfolios). Here we propose a reconstruction method based on constrained entropy maximization, tailored for bipartite financial networks. Such a procedure enhances the traditional capital-asset pricing model (CAPM) and allows us to reproduce the correct topology of the network. We test this enhanced CAPM (ECAPM) method on a dataset, collected by the European Central Bank, of detailed security holdings of European institutional sectors over a period of six years (2009-2015). Our approach outperforms the traditional CAPM and the recently proposed maximum-entropy CAPM both in reproducing the network topology and in estimating systemic risk due to fire sales spillovers. In general, ECAPM can be applied to the whole class of weighted bipartite networks described by the fitness model.

  16. Discerning Novel Value Chains in Financial Malware: On the Economic Incentives and Criminal Business Models in Financial Malware Schemes

    OpenAIRE

    van Wegberg, R.S.; Klievink, A.J.; van Eeten, M.J.G.

    2017-01-01

    Fraud with online payment services is an ongoing problem, with significant financial-economic and societal impact. One of the main modus operandi is financial malware that compromises consumer and corporate devices, thereby potentially undermining the security of critical financial systems. Recent research into the underground economy has shown that cybercriminals are organised around highly specialised tasks, such as pay-per-install markets for infected machines, malware-as-a-service and mon...

  17. SELECTION OF EFFECTIVE MODELS OF PROJECT IMPLEMENTATION IN A CHANGING FINANCIAL SITUATION

    Directory of Open Access Journals (Sweden)

    Александр Иванович МЕНЕЙЛЮК

    2015-06-01

    Full Text Available The article describes the methods of selecting effective models of construction projects of residential buildings and recommendations for its use. The technique is based on the construction of the models in the program Microsoft Project and analysis using the program COMPEX. Methods can be used not only for building projects. It is especially effective in a variable financial situation.

  18. Essays on financial econometrics : modeling the term structure of interest rates

    NARCIS (Netherlands)

    Bouwman, Kees Evert

    2008-01-01

    This dissertation bundles five studies in financial econometrics that are related to the theme of modeling the term structure of interest rates. The main contribution of this dissertation is a new arbitrage-free term structure model that is applied in an empirical analysis of the US term structure.

  19. Modeling Exposure to Heat Stress with a Simple Urban Model

    Directory of Open Access Journals (Sweden)

    Peter Hoffmann

    2018-01-01

    Full Text Available As a first step in modeling health-related urban well-being (UrbWellth, a mathematical model is constructed that dynamically simulates heat stress exposure of commuters in an idealized city. This is done by coupling the Simple Urban Radiation Model (SURM, which computes the mean radiant temperature ( T m r t , with a newly developed multi-class multi-mode traffic model. Simulation results with parameters chosen for the city of Hamburg for a hot summer day show that commuters are potentially most exposed to heat stress in the early afternoon when T m r t has its maximum. Varying the morphology with respect to street width and building height shows that a more compact city configuration reduces T m r t and therefore the exposure to heat stress. The impact resulting from changes in the city structure on traffic is simulated to determine the time spent outside during the commute. While the time in traffic jams increases for compact cities, the total commuting time decreases due to shorter distances between home and work place. Concerning adaptation measures, it is shown that increases in the albedo of the urban surfaces lead to an increase in daytime heat stress. Dramatic increases in heat stress exposure are found when both, wall and street albedo, are increased.

  20. Using the BSC Model to Evaluate the Financial Performance of the Urban Water and Wastewater Industry

    Directory of Open Access Journals (Sweden)

    Mahdi Goli Aysek

    2017-03-01

    Full Text Available Among the different models so far proposed for the guiding and evaluation of organizational performance, the balanced scorecard (BSC model is the only one that has been found capable of guiding an organization towards its goals from the lowest to the topmost levels in an integrated, sustained, efficient, and effective manner. The model in question is based on the goals and strategies adopted by an organization and it is, thus, a holistic approach that envisions the organization in all its aspects, leading to sysnergy among all the organization’s divisions. Moreover, the model has been found capable of lifting the inadequacies in performance evaluation systems in firms which strive to comply with financial milestones that draw heavily on reducing the unit price through practicing scales of economy and mass production. The present study initially investigates the effects of employing the criteria inherent to the BSC model on the financial performance evaluation of the urban water and wastewater industry. The required data are collected from 35 companies forming the statistical population over a four-year period from 2007 to 2010. The (four independent variables belong to the SCR model and performance evaluation (i.e., sales efficiency rate accounts for the independent one. Due to the insignificance of the coefficients of independent variables and the lack of correlation among the dependent ones, the step-by-step method is employed to enter the values for the variables into the model when testing the research hypotheses. The new model is found to confirm all the hypotheses. Moreover, a direct relationship is established between the SCR criteria, on the one hand, and the firm’s performance, on the other, such that any improvements in SCR evaluation criteria directly lead to improvements in performance. Finally, a value equal to unity obtained for hypothesis selection indicates the strong linear relationship holding between the financial SCR

  1. Stress modeling of microdiaphragm pressure sensors

    Science.gov (United States)

    Tack, P. C.; Busta, H. H.

    1986-01-01

    A finite element program analysis was used to model the stress distribution of two monocrystalline silicon diaphragm pressure sensors. One configuration consists of an anisotropically backside etched diaphragm into a 250 micron thick, (100) oriented, silicon wafer. The diaphragm and total chip dimensions are given. The device is rigidly clamped on the back to a support substrate. Another configuration consists of a monocrystalline, (100), microdiaphragm which is formed on top of the wafer and whose area is reduced by a factor of 25 over the first configuration. The diaphragm is rigidly clamped to the silicon wafer. The stresses were calculated at a gauge pressure of 300 mm Hg and used to estimate the piezoresistive responses of resistor elements which were placed parallel and perpendicular near the diaphragm edges.

  2. Tobacco expenditure, smoking-induced deprivation and financial stress: results from the International Tobacco Control (ITC) Four-Country Survey.

    Science.gov (United States)

    Siahpush, Mohammad; Borland, Ron; Yong, Hua-Hie; Cummings, K Michael; Fong, Geoffrey T

    2012-07-01

    While higher tobacco prices lead to a reduction in smoking prevalence, there is a concern that paying more for cigarettes can lead to excess financial burden. Our primary aim was to examine the association of daily cigarette expenditure with smoking-induced deprivation (SID) and financial stress (FS). We used data from wave 7 (2008-2009) of the International Tobacco Control (ITC) Four-Country Survey which is a survey of smokers in Canada, the USA, the UK and Australia (n = 5887). Logistic regressions were used to assess the association of daily cigarette expenditure with SID and FS. In multivariate analyses, a one standard deviation increase in daily cigarette expenditure was associated with an increase of 24% (P = 0.004) in the probability of experiencing SID. While we found no association between daily cigarette expenditure and FS, we found that SID is a strong predictor of FS (odds ratio 6.25; P < 0.001). This suggests that cigarette expenditure indirectly affects FS through SID. Results showed no evidence of an interaction between cigarette expenditure and income or education in their effect on SID or FS. Our results imply that spending more on tobacco may result in SID but surprisingly has no direct effect on FS. While most smokers may be adjusting their incomes and consumption to minimise FS, some fail to do so occasionally as indexed by the SID measure. Future studies need to prospectively examine the effect of increased tobacco expenditure on financial burden of smokers. © 2012 Australasian Professional Society on Alcohol and other Drugs.

  3. Financial services employees' experience of peer-led and clinician-led critical incident stress debriefing following armed robberies.

    Science.gov (United States)

    Simms-Ellis, R; Madill, A

    2001-01-01

    This study investigates financial services employees' experience of critical incident stress debriefing (CISD) and their views about peers and clinicians as facilitators. Semi-structured interview accounts of four participants who had experienced both peer-led and clinician-led CISD were analyzed using grounded theory. A core category, ambivalence, permeated each interview and divided into two poles: pathologizing and normalizing. The most frequently occurring sub-category was a dislike of professionalism. Participants preferred the peer debriefer who was perceived to have more personal involvement and with whom they felt more empowered and understood. The findings suggest that the status of the debriefer as 'peer' or 'clinician' may be a crucial variable in the effectiveness of CISD and should be considered when reviewing the outcome literature.

  4. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

    DEFF Research Database (Denmark)

    Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier

    We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from high-frequency intraday data. Our new approach explicitly incorporates the effect of measurement errors and time-varying attenuation biases into the c......We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from high-frequency intraday data. Our new approach explicitly incorporates the effect of measurement errors and time-varying attenuation biases...

  5. Assessing Financial System Vulnerabilities: An Early Warning Approach

    OpenAIRE

    Gurnain Pasricha; Tom Roberts; Ian Christensen; Brad Howell

    2013-01-01

    This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use...

  6. A Feature Fusion Based Forecasting Model for Financial Time Series

    Science.gov (United States)

    Guo, Zhiqiang; Wang, Huaiqing; Liu, Quan; Yang, Jie

    2014-01-01

    Predicting the stock market has become an increasingly interesting research area for both researchers and investors, and many prediction models have been proposed. In these models, feature selection techniques are used to pre-process the raw data and remove noise. In this paper, a prediction model is constructed to forecast stock market behavior with the aid of independent component analysis, canonical correlation analysis, and a support vector machine. First, two types of features are extracted from the historical closing prices and 39 technical variables obtained by independent component analysis. Second, a canonical correlation analysis method is utilized to combine the two types of features and extract intrinsic features to improve the performance of the prediction model. Finally, a support vector machine is applied to forecast the next day's closing price. The proposed model is applied to the Shanghai stock market index and the Dow Jones index, and experimental results show that the proposed model performs better in the area of prediction than other two similar models. PMID:24971455

  7. FINANCIAL FUTURE PROSPECT INVESTIGATION USING BANKRUPTCY FORECASTING MODELS IN HUNGARIAN MEAT PROCESSING INDUSTRY

    Directory of Open Access Journals (Sweden)

    Dalma Peto

    2015-07-01

    Full Text Available Our main research topic is the analysis of leading companies in the Hungarian meat processing industry in terms of liquidity criteria. We examine this scientific subject by application of financial indicators and several important bankruptcy forecasting models. In our thesis the emphasis is placed on the presentation and evaluation of business failure models. The topicality of the research subject is rooted in the economic crisis and recession, which made solvency a key issue. Maintaining the competitive position in the market and the ability to stay in competition depend on the capability to generate an appropriate level of net operative cash flow. The most important research questions are the following. Which financial methods can be used to predict and estimate the situation when a company is facing bankruptcy? Do bankruptcy forecasting models provide accurate forecasts and what conclusions can be drawn based on these results? In our study we present the actual economic situation and the main problems of the sector, select the sample companies, calculate and compare the applied financial ratios and the most relevant bankruptcy forecasting models. On the basis of annual reports concerning 2010-2013 interval we investigate the financial position of leading pork processing companies. We make a comprehensive and comparative analysis concerning capital structure, liquidity, and profitability; consequently identify risky processes and companies having high probability of insolvency. Finally, we demonstrate and evaluate the results of three traditional bankruptcy forecasting models (Altman, Springate, and Fulmer and four modern models (DA, LR, industrial DA and industrial LR.

  8. Practical Volatility Modeling for Financial Market Risk Management

    OpenAIRE

    Shamiri, Ahmed; Shaari, Abu Hassan; Isa, Zaidi

    2007-01-01

    Being able to choose most suitable volatility model and distribution specification is a more demanding task. This paper introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of this statistical tool is that we use the censored likelihood functions to compute the tail minimum of the KLIC, to compare the performance of a de...

  9. RECENT DEVELOPMENTS OF THE FINANCIAL REPORTING MODEL: THEORETICAL STUDIES IN REVIEW

    Directory of Open Access Journals (Sweden)

    Bonaci Carmen Giorgiana

    2011-07-01

    Full Text Available Our paper analyzes the manner in which the financial reporting model evolved towards fair value accounting. After a brief introduction into the context of financial reporting at international level, the analysis focuses on the accounting model of fair value. This is done by synthesizing main studies in accounting research literature that analyze fair value accounting through a theoretical approach. The analysis being developed relies on literature review methodology. The main purpose of the developed analysis is to synthesize main pros and cons as being documented through accounting research literature. Our findings underline both the advantages and shortcomings of fair value accounting and of the recent mixed attribute in nowadays financial reporting practices. The concluding remarks synthesize the obtained results and possible future developments of our analysis.

  10. Scaling and criticality in a stochastic multi-agent model of a financial market

    Science.gov (United States)

    Lux, Thomas; Marchesi, Michele

    1999-02-01

    Financial prices have been found to exhibit some universal characteristics that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises the question of whether scaling in finance emerges in a similar way - from the interactions of a large ensemble of market participants. However, such an explanation is in contradiction to the prevalent `efficient market hypothesis' in economics, which assumes that the movements of financial prices are an immediate and unbiased reflection of incoming news about future earning prospects. Within this hypothesis, scaling in price changes would simply reflect similar scaling in the `input' signals that influence them. Here we describe a multi-agent model of financial markets which supports the idea that scaling arises from mutual interactions of participants. Although the `news arrival process' in our model lacks both power-law scaling and any temporal dependence in volatility, we find that it generates such behaviour as a result of interactions between agents.

  11. Model of organizational stress for use within an occupational health education/promotion or well-being of members of the organization

    Directory of Open Access Journals (Sweden)

    Subhash S Sharma

    2009-01-01

    Full Text Available This paper introduces a simple model of organizational stress which can be used to educate or inform employees, personnel and health professionals about the relationship between potential work-related stress hazards, individual and organizational symptoms of stress, negative outcomes and financial costs. The components of the model relate directly to a recent Health and Safety Executive publication (Cox, 1993 which focuses on improving and maintaining employee health and well-being.

  12. Monte Carlo Euler approximations of HJM term structure financial models

    KAUST Repository

    Björk, Tomas

    2012-11-22

    We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on Itô stochastic differential equations in infinite dimensional spaces, and prove strong and weak error convergence estimates. The weak error estimates are based on stochastic flows and discrete dual backward problems, and they can be used to identify different error contributions arising from time and maturity discretization as well as the classical statistical error due to finite sampling. Explicit formulas for efficient computation of sharp error approximation are included. Due to the structure of the HJM models considered here, the computational effort devoted to the error estimates is low compared to the work to compute Monte Carlo solutions to the HJM model. Numerical examples with known exact solution are included in order to show the behavior of the estimates. © 2012 Springer Science+Business Media Dordrecht.

  13. Monte Carlo Euler approximations of HJM term structure financial models

    KAUST Repository

    Bjö rk, Tomas; Szepessy, Anders; Tempone, Raul; Zouraris, Georgios E.

    2012-01-01

    We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on Itô stochastic differential equations in infinite dimensional spaces, and prove strong and weak error convergence estimates. The weak error estimates are based on stochastic flows and discrete dual backward problems, and they can be used to identify different error contributions arising from time and maturity discretization as well as the classical statistical error due to finite sampling. Explicit formulas for efficient computation of sharp error approximation are included. Due to the structure of the HJM models considered here, the computational effort devoted to the error estimates is low compared to the work to compute Monte Carlo solutions to the HJM model. Numerical examples with known exact solution are included in order to show the behavior of the estimates. © 2012 Springer Science+Business Media Dordrecht.

  14. An International Trade Model with Entrepreneurs and Financial Markets

    DEFF Research Database (Denmark)

    Olai Hansen, Bodil; Keiding, Hans

    2016-01-01

    We consider a two-period model of a three-country world with free trade in finished products and some factor mobility, where production is subject to uncertainty. Enterpreneurs may establish production in other countries but can obtain financing only in the country of origin. In this model, integ......, integrating production across countries, in particular integrating economically strong and weak partners, may give rise to a welfare loss, showing that traditional views on efficiency of international trade must be reconsidered when risk and uncertainty are taken into account....

  15. MODELLING OF SCENARIOS OF THE CRISIS PHENOMENA TRANSFER AMONG FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    Inna Strelchenko

    2017-11-01

    Full Text Available The phenomenon of crisis transference among financial markets in different countries is especially evident during the global financial crisis of 2007-2009. Abnormal imbalances emerged in the market of secondary financial instruments in the United States in the second half of 2006 and quickly spread to the financial markets of most countries of the world. However, the rate of fall of the main macroeconomic indicators, the duration of the latent period (the time between the date of the beginning of the financial crisis in the source country and date of the recorded fall in GDP of the country that is subjected to “contagion” (Strelchenko, 2016, and recovery period are substantially different. To generate an effective economic policy actually, there is a task of determining the possible scenarios of transferring crisis. The research subject is a process of transfer of the crisis phenomena among the financial markets of countries with different levels of economic development. Methodology. The paper presents the results of a study on the differentiation of the financial markets reactions to the crisis transfer. To build the corresponding classification model, self-organization Kohonen neural networks are used. The purpose of this work is to build a neural network model for clustering economies according to the response to external financial shocks. This model allows predicting the scenarios of transferring crisis among financial markets. Conclusion. As a result of the study, there is built a neural network with the architecture of the Kohonen map. The neural network has one hidden layer consisting of six neurons and has a hexagonal structure. Six clusters describe six possible scenarios of the economy dynamics under the impact of the transfer of crises. Cluster number one and two unite countries characterized by a short period of economic recovery and return of the main macroeconomic indicators to the precrisis levels. A longer recovery period and

  16. Development of a system dynamics model for financially sustainable management of municipal watermain networks.

    Science.gov (United States)

    Rehan, R; Knight, M A; Unger, A J A; Haas, C T

    2013-12-15

    This paper develops causal loop diagrams and a system dynamics model for financially sustainable management of urban water distribution networks. The developed causal loop diagrams are a novel contribution in that it illustrates the unique characteristics and feedback loops for financially self-sustaining water distribution networks. The system dynamics model is a mathematical realization of the developed interactions among system variables over time and is comprised of three sectors namely watermains network, consumer, and finance. This is the first known development of a water distribution network system dynamics model. The watermains network sector accounts for the unique characteristics of watermain pipes such as service life, deterioration progression, pipe breaks, and water leakage. The finance sector allows for cash reserving by the utility in addition to the pay-as-you-go and borrowing strategies. The consumer sector includes controls to model water fee growth as a function of service performance and a household's financial burden due to water fees. A series of policy levers are provided that allow the impact of various financing strategies to be evaluated in terms of financial sustainability and household affordability. The model also allows for examination of the impact of different management strategies on the water fee in terms of consistency and stability over time. The paper concludes with a discussion on how the developed system dynamics water model can be used by water utilities to achieve a variety of utility short and long-term objectives and to establish realistic and defensible water utility policies. It also discusses how the model can be used by regulatory bodies, government agencies, the financial industry, and researchers. Crown Copyright © 2013. Published by Elsevier Ltd. All rights reserved.

  17. Democracy versus dictatorship in self-organized models of financial markets

    Science.gov (United States)

    D'Hulst, R.; Rodgers, G. J.

    2000-06-01

    Models to mimic the transmission of information in financial markets are introduced. As an attempt to generate the demand process, we distinguish between dictatorship associations, where groups of agents rely on one of them to make decision, and democratic associations, where each agent takes part in the group decision. In the dictatorship model, agents segregate into two distinct populations, while the democratic model is driven towards a critical state where groups of agents of all sizes exist. Hence, both models display a level of organization, but only the democratic model is self-organized. We show that the dictatorship model generates less-volatile markets than the democratic model.

  18. STRUCTURE OF MODELS FOR AGGREGATE ASSESSMENT OF FINANCIAL RISK COMMERCIAL BANKS

    OpenAIRE

    G. Kryshtal

    2016-01-01

    Conceptual approaches use a structural model for assessment of financial risk commercial banks, namely the risk measurement in combination: a comparison of its capital, calculated based on the standard approach of Basel II advanced approaches of Basel II and the structural model. Analysis of the application of the model in a economics crisis situation, such as the capital adequacy of the commercial banks. Deals with a unified approach to the choice of measure and its risk parameters to measur...

  19. Personalized medicine: the absence of 'model-changing' financial incentives.

    Science.gov (United States)

    Keeling, Peter

    2007-02-01

    This perspective biases on the side that personalized medicine can contribute to a more efficient collective model; however, the hard economics need and deserve significantly more critical analysis and new data input than they are currently being given, to determine their role, or not, in driving change. Put simply, as with the birth of all new and promising developments in healthcare, myth, hope and trend-spotting are driving this market forward, rather than any hard evidence of a sustainable commercial business model for all stakeholders. While there are clear economic benefits to aspects of delivery along the way to personalized care, there may in fact be no compelling economic drivers for radical change for payers and the pharmaceutical industry. The best they can hope to achieve is that the balance sheet is, just that, in balance.

  20. Symmetry breaking in a bull and bear financial market model

    International Nuclear Information System (INIS)

    Sushko, Iryna; Tramontana, Fabio; Westerhoff, Frank; Avrutin, Viktor

    2015-01-01

    We investigate bifurcation structures in the parameter space of a one-dimensional piecewise linear map with two discontinuity points. This map describes endogenous bull and bear market dynamics arising from a simple asset-pricing model. An important feature of our model is that some speculators only enter the market if the price is sufficiently distant to its fundamental value. Our analysis starts with the investigation of a particular case in which the map is symmetric with respect to the origin, associated with equal market entry thresholds in the bull and bear market. We then generalize our analysis by exploring how novel bifurcation structures may emerge when the map’s symmetry is broken.

  1. Financial Regulation in an Agent Based Macroeconomic Model

    OpenAIRE

    Riccetti, Luca; Russo, Alberto; Mauro, Gallegati

    2013-01-01

    Starting from the agent-based decentralized matching macroeconomic model proposed in Riccetti et al. (2012), we explore the effects of banking regulation on macroeconomic dynamics. In particular, we study the overall credit exposure and the lending concentration towards a single counterparty, finding that the portfolio composition seems to be more relevant than the overall exposure for banking stability, even if both features are very important. We show that a too tight regulation is dangerou...

  2. Levy Random Bridges and the Modelling of Financial Information

    OpenAIRE

    Hoyle, Edward; Hughston, Lane P.; Macrina, Andrea

    2009-01-01

    The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows. The price of the asset is the sum of the discounted conditional expectations of the cash flows. The conditional expectations are taken with respect to a filtration generated by a set of "information processes". The information processes carry imperfect inf...

  3. Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models

    NARCIS (Netherlands)

    J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)

    2016-01-01

    textabstractThe paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993),

  4. Pathways to Life Success: A Conceptual Model of Financial Well-Being for Young Adults

    Science.gov (United States)

    Shim, Soyeon; Xiao, Jing J.; Barber, Bonnie L.; Lyons, Angela C.

    2009-01-01

    The purpose of this study is to describe and test a conceptual model of the potential antecedents and consequences of financial well-being in young adulthood. Data (N = 781) were collected via an online survey conducted at a large state university in the southwestern United States. Our results suggest that self-actualizing personal values,…

  5. Sustainable model for financial viability of decentralized biomass gasifier based power projects

    NARCIS (Netherlands)

    Palit, D.; Malhotra, R.; Kumar, Atul

    2011-01-01

    This paper made a modest attempt for designing a sustainable model for financial viability of biomass gasifier power projects for enhancing electricity access in India and other developing countries. For long term sustainability of distributed generation projects in remote rural areas, viability

  6. A Model for Considering the Financial Sustainability of Learning and Teaching Programs: Concepts and Challenges

    Science.gov (United States)

    De Bellis, David

    2012-01-01

    The expansion of tertiary education, an intensity of focus on accountability and performance, and the emergence of new governance and management structures drives an economic fiscal perspective of the value of learning and teaching. Accurate and meaningful models defining financial sustainability are therefore proposed as an imperative for…

  7. Discrepancy between the default and financial distress measured by bankruptcy models

    Directory of Open Access Journals (Sweden)

    Tatiana Skerlikova

    2014-03-01

    Full Text Available Normal 0 false false false EN-US X-NONE X-NONE This paper analyzes the discrepancy between the year when a company’s financial problems begin to be measured by bankruptcy models and the year of its default, regardless of the solution (bankruptcy or reorganization. The sample of 50 companies (not traded on financial markets, chosen by turnover, with data available has been chosen from the list of companies which underwent bankruptcy proceedings in the period 1st January 2008 – 31st August 2013. The timing of the default has been compared to the beginning of financial distress according to the chosen models and the ability of the models to predict the default has been examined. The main objective of this study is to determine how long these not traded companies postpone filling. Our objective is to find out if the companies commence insolvency proceedings in accordance with their impaired financial situation measured by the standard formulas for predicting bankruptcy or if there is any delay. We have found out that companies defer commencement of insolvency proceedings measured by bankruptcy models at least for 2 years. Moreover we conclude that even debtors are not successful with their insolvency petition at their first attempt.  Normal 0 false false false EN-US X-NONE X-NONE

  8. Internal Stress in a Model Elasto-Plastic Fluid

    OpenAIRE

    Ooshida, Takeshi; Sekimoto, Ken

    2004-01-01

    Plastic materials can carry memory of past mechanical treatment in the form of internal stress. We introduce a natural definition of the vorticity of internal stress in a simple two-dimensional model of elasto-plastic fluids, which generates the internal stress. We demonstrate how the internal stress is induced under external loading, and how the presence of the internal stress modifies the plastic behavior.

  9. Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton

    International Nuclear Information System (INIS)

    Dhesi, Gurjeet; Ausloos, Marcel

    2016-01-01

    Following a Geometrical Brownian Motion extension into an Irrational fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We specifically discuss the role of financial news or economic information positive or negative feedback of such irrational (or contrarian) agents upon the price evolution. We observe a kink-like effect reminiscent of soliton behaviour, suggesting how analysts' forecasts errors induce stock prices to adjust accordingly, thereby proposing a measure of the irrational force in a market.

  10. Regional Balance Model of Financial Flows through Sectoral Approaches System of National Accounts

    Directory of Open Access Journals (Sweden)

    Ekaterina Aleksandrovna Zaharchuk

    2017-03-01

    Full Text Available The main purpose of the study, the results of which are reflected in this article, is the theoretical and methodological substantiation of possibilities to build a regional balance model of financial flows consistent with the principles of the construction of the System of National Accounts (SNA. The paper summarizes the international experience of building regional accounts in the SNA as well as reflects the advantages and disadvantages of the existing techniques for constructing Social Accounting Matrix. The authors have proposed an approach to build the regional balance model of financial flows, which is based on the disaggregated tables of the formation, distribution and use of the added value of territory in the framework of institutional sectors of SNA (corporations, public administration, households. Within the problem resolution of the transition of value added from industries to sectors, the authors have offered an approach to the accounting of development, distribution and use of value added within the institutional sectors of the territories. The methods of calculation are based on the publicly available information base of statistics agencies and federal services. The authors provide the scheme of the interrelations of the indicators of the regional balance model of financial flows. It allows to coordinate mutually the movement of regional resources by the sectors of «corporation», «public administration» and «households» among themselves, and cash flows of the region — by the sectors and directions of use. As a result, they form a single account of the formation and distribution of territorial financial resources, which is a regional balance model of financial flows. This matrix shows the distribution of financial resources by income sources and sectors, where the components of the formation (compensation, taxes and gross profit, distribution (transfers and payments and use (final consumption, accumulation of value added are

  11. A Multifractal Detrended Fluctuation Analysis of the Ising Financial Markets Model with Small World Topology

    International Nuclear Information System (INIS)

    Zhang Ang-Hui; Li Xiao-Wen; Su Gui-Feng; Zhang Yi

    2015-01-01

    We present a multifractal detrended fluctuation analysis (MFDFA) of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors: broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series. (paper)

  12. PREDICTIVE ANALYSIS SOFTWARE FOR MODELING THE ALTMAN Z-SCORE FINANCIAL DISTRESS STATUS OF COMPANIES

    Directory of Open Access Journals (Sweden)

    ILIE RĂSCOLEAN

    2012-10-01

    Full Text Available Literature shows some bankruptcy methods for determining the financial distress status of companies and based on this information we chosen Altman statistical model because it has been used a lot in the past and like that it has become a benchmark for other methods. Based on this financial analysis flowchart, programming software was developed that allows the calculation and determination of the bankruptcy probability for a certain rate of failure Z-score, corresponding to a given interval that is equal to the ratio of the number of bankrupt companies and the total number of companies (bankrupt and healthy interval.

  13. Optimal statistical decisions about some alternative financial models

    Czech Academy of Sciences Publication Activity Database

    Vajda, Igor; Stummer, W.

    2007-01-01

    Roč. 137, č. 2 (2007), s. 441-471 ISSN 0304-4076 R&D Projects: GA MŠk(CZ) 1M0572; GA ČR GA201/02/1391; GA AV ČR IAA1075403 Institutional research plan: CEZ:AV0Z10750506 Keywords : Black-Scholes-Merton models * Relative entropies * Power divergences * Hellinger intergrals * Total variation distance * Bayesian decisions * Neyman-Pearson testing Subject RIV: BD - Theory of Information Impact factor: 1.990, year: 2007

  14. Leverage effect in financial markets: the retarded volatility model.

    Science.gov (United States)

    Bouchaud, J P; Matacz, A; Potters, M

    2001-11-26

    We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster. For individual stocks the magnitude of this correlation has a universal value that can be rationalized in terms of a new "retarded" model which interpolates between a purely additive and a purely multiplicative stochastic process. For stock indices a specific amplification phenomenon seems to be necessary to account for the observed amplitude of the effect.

  15. Financial Distress Prediction Using Discrete-time Hazard Model and Rating Transition Matrix Approach

    Science.gov (United States)

    Tsai, Bi-Huei; Chang, Chih-Huei

    2009-08-01

    Previous studies used constant cut-off indicator to distinguish distressed firms from non-distressed ones in the one-stage prediction models. However, distressed cut-off indicator must shift according to economic prosperity, rather than remains fixed all the time. This study focuses on Taiwanese listed firms and develops financial distress prediction models based upon the two-stage method. First, this study employs the firm-specific financial ratio and market factors to measure the probability of financial distress based on the discrete-time hazard models. Second, this paper further focuses on macroeconomic factors and applies rating transition matrix approach to determine the distressed cut-off indicator. The prediction models are developed by using the training sample from 1987 to 2004, and their levels of accuracy are compared with the test sample from 2005 to 2007. As for the one-stage prediction model, the model in incorporation with macroeconomic factors does not perform better than that without macroeconomic factors. This suggests that the accuracy is not improved for one-stage models which pool the firm-specific and macroeconomic factors together. In regards to the two stage models, the negative credit cycle index implies the worse economic status during the test period, so the distressed cut-off point is adjusted to increase based on such negative credit cycle index. After the two-stage models employ such adjusted cut-off point to discriminate the distressed firms from non-distressed ones, their error of misclassification becomes lower than that of one-stage ones. The two-stage models presented in this paper have incremental usefulness in predicting financial distress.

  16. Development of the financial model for analyses on economic performances of nuclear facilities and examples of its applications

    International Nuclear Information System (INIS)

    Mankin, Shuichi; Ueno, Seiichi; Kimura, Shigeru; Yuasa, Tadao.

    1988-10-01

    On the assumption of the commercialization stage of technologies, the analysis on performances in financial operation based on simulation studies is one of important study subjects in the field of the system analysis and economic assessments of nuclear technologies. However, economic assessments on financial performances of such complex industries as nuclear power based on nuclear fuel cycle industries, or as electric utilities composed of hydro, fossil, nuclear power stations are complicated, and the adoption of conventional financial model is insufficient in the case of nuclear technologies which have such special financial process as decommissioning. We, therefore, develop the computer simulation model that can analyze financial performances of nuclear facilities. In this report, the derivation of equations and outlines of the model are explained. Additionally, examples of hypothetical financial simulation studies on a coal-gasoline plant, nuclear waste industries, and analysis on economic perspectives of small size nuclear reactors for electric utilities are indicated. (author)

  17. Consentaneous agent-based and stochastic model of the financial markets.

    Science.gov (United States)

    Gontis, Vygintas; Kononovicius, Aleksejus

    2014-01-01

    We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined analytically tractable agent systems. Herding as one of the behavior peculiarities considered in the behavioral finance is the main property of the agent interactions we deal with in this contribution. Looking for the consentaneous agent-based and macroscopic approach we combine two origins of the noise: exogenous one, related to the information flow, and endogenous one, arising form the complex stochastic dynamics of agents. As a result we propose a three state agent-based herding model of the financial markets. From this agent-based model we derive a set of stochastic differential equations, which describes underlying macroscopic dynamics of agent population and log price in the financial markets. The obtained solution is then subjected to the exogenous noise, which shapes instantaneous return fluctuations. We test both Gaussian and q-Gaussian noise as a source of the short term fluctuations. The resulting model of the return in the financial markets with the same set of parameters reproduces empirical probability and spectral densities of absolute return observed in New York, Warsaw and NASDAQ OMX Vilnius Stock Exchanges. Our result confirms the prevalent idea in behavioral finance that herding interactions may be dominant over agent rationality and contribute towards bubble formation.

  18. Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System

    Directory of Open Access Journals (Sweden)

    Wuyang Cheng

    2014-01-01

    Full Text Available We develop a random financial time series model of stock market by one of statistical physics systems, the stochastic contact interacting system. Contact process is a continuous time Markov process; one interpretation of this model is as a model for the spread of an infection, where the epidemic spreading mimics the interplay of local infections and recovery of individuals. From this financial model, we study the statistical behaviors of return time series, and the corresponding behaviors of returns for Shanghai Stock Exchange Composite Index (SSECI and Hang Seng Index (HSI are also comparatively studied. Further, we investigate the Zipf distribution and multifractal phenomenon of returns and price changes. Zipf analysis and MF-DFA analysis are applied to investigate the natures of fluctuations for the stock market.

  19. Multiband Prediction Model for Financial Time Series with Multivariate Empirical Mode Decomposition

    Directory of Open Access Journals (Sweden)

    Md. Rabiul Islam

    2012-01-01

    Full Text Available This paper presents a subband approach to financial time series prediction. Multivariate empirical mode decomposition (MEMD is employed here for multiband representation of multichannel financial time series together. Autoregressive moving average (ARMA model is used in prediction of individual subband of any time series data. Then all the predicted subband signals are summed up to obtain the overall prediction. The ARMA model works better for stationary signal. With multiband representation, each subband becomes a band-limited (narrow band signal and hence better prediction is achieved. The performance of the proposed MEMD-ARMA model is compared with classical EMD, discrete wavelet transform (DWT, and with full band ARMA model in terms of signal-to-noise ratio (SNR and mean square error (MSE between the original and predicted time series. The simulation results show that the MEMD-ARMA-based method performs better than the other methods.

  20. Modelling financial risk in open pit mine projects: Implications for strategic decision-making

    OpenAIRE

    Abdel Sabour, S.A.; Wood, G.

    2009-01-01

    Strategic decisions in the mining industry are made under multiple technical and market uncertainties. Therefore, to reach the best possible decision, based on information available, it is necessary to integrate uncertainty about the input variables and model financial risk of the project's merit measures. However, this rovides few useful insights to decision-makers unless accompanied by modeling management responses to uncertainty resolutions. It is widely acknowledged that conventional deci...

  1. Early warning systems of financial crises: implementation of a currency crisis model for Uganda

    OpenAIRE

    Heun, Michael; Schlink, Torsten

    2004-01-01

    The objective of this paper is to implement a prototype of a currency crisis model as part of an early warning system framework for Uganda. The financial systems of developing countries like Uganda are especially vulnerable and therefore robust instruments to predict crises are needed. Our model is based on the signals approach developed by Kaminsky, Lizondo and Reinhart (1998) and Kaminsky and Reinhart (1999). The basic idea of the signals approach is to monitor several indicators that tend ...

  2. Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors

    OpenAIRE

    Francois-Éric Racicot; Raymond Théoret; Alain Coen

    2006-01-01

    In this paper, we propose a new empirical version of the Fama and French Model based on the Hausman (1978) specification test and aimed at discarding measurement errors in the variables. The proposed empirical framework is general enough to be used for correcting other financial and accounting models of measurement errors. Removing measurement errors is important at many levels as information disclosure, corporate governance and protection of investors.

  3. Upgrading of the model to determine the economic and financial feasibility of a hotel

    OpenAIRE

    Neves, Beatriz

    2017-01-01

    This work project encompasses the upgrading of an already existing model to determine a hotel´s economic and financial feasibility, by adding some figures that give more information to the hotel managers and, therefore, can guide them in their strategic decisions. This upgrading was conducted to adapt the model to the changes that are going on in the hospitality industry such as, the growing importance of digital technology, that is changing the balance of power towards the consumer side and ...

  4. Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models

    Directory of Open Access Journals (Sweden)

    Fernando Nascimento de Oliveira

    Full Text Available We examine the usefulness of various financial and real sector variables to forecast recessions in Brazil between one and eight quarters ahead. We estimate probabilistic models of recession and select models based on their outof-sample forecasts, using the Receiver Operating Characteristic (ROC function. We find that the predictive out-of-sample ability of several models vary depending on the numbers of quarters ahead to forecast and on the number of regressors used in the model specification. The models selected seem to be relevant to give early warnings of recessions in Brazil.

  5. Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

    DEFF Research Database (Denmark)

    Nystrup, Peter; Madsen, Henrik; Lindström, Erik

    2016-01-01

    Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior have not been thoroughly examined. This paper presents an adaptive...... to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations....

  6. An ARIMA-Intervention Analysis Model for the Financial Crisis in China's Manufacturing Industry

    Directory of Open Access Journals (Sweden)

    W.H. Ip

    2009-10-01

    Full Text Available Triggered by the subprime mortgage crisis in the United States (U.S., a financial tsunami has spread rapidly around the globe, from the U.S. to Europe and the rest of the world, causing the world economy to enter a recession. China is no exception, and has suffered a sharp reduction in the growth of its export and manufacturing sectors. In this paper, we attempt to model and analyze the impact of financial crisis on the manufacturing industry in China using data collected from March 2005 to November 2008 by the China Statistical Databases of the National Bureau of Statistics of China. The results indicate that China's manufacturing industry may have to tolerate a significant negative effect caused by the global financial crisis over a period of time, with its gross industrial output value declining continually throughout 2008 and 2009 before reaching a state of equilibrium. The intervention effect is described in this study as temporary but immediate and abrupt. It is found that the ARIMA-Intervention model is more precise at explaining and analyzing the intervention effects of the financial tsunami.

  7. IMPROVING THE EFFICIENCY OF THE FINANCIAL CONTROL SYSTEM IN TERMS OF THE RISK-ORIENTED MODEL

    Directory of Open Access Journals (Sweden)

    M. N. Ponkratova

    2015-01-01

    Full Text Available The imperfection of the legislative and methodological basis of fi nancial control in the Russian Federation shall determine the list of issues on illicit and misuse of budget funds, including with the use of schemes for the withdrawal of capital abroad through fi nancial instruments (cash, Bank transfers and deposits, securities and bills of exchange operations which are common practice in our country. In this regard, of particular importance is the use of a risk-oriented model of financial control, adapted to the conditions of the Russian Federation.The article discusses the risk-based model as part of a system of financial control. The concept model aimed at check point, implying the identification of reference points in the organization's and customers' risk event.

  8. Application service provider (ASP) financial models for off-site PACS archiving

    Science.gov (United States)

    Ratib, Osman M.; Liu, Brent J.; McCoy, J. Michael; Enzmann, Dieter R.

    2003-05-01

    For the replacement of its legacy Picture Archiving and Communication Systems (approx. annual workload of 300,000 procedures), UCLA Medical Center has evaluated and adopted an off-site data-warehousing solution based on an ASP financial with a one-time single payment per study archived. Different financial models for long-term data archive services were compared to the traditional capital/operational costs of on-site digital archives. Total cost of ownership (TCO), including direct and indirect expenses and savings, were compared for each model. Financial parameters were considered: logistic/operational advantages and disadvantages of ASP models versus traditional archiving systems. Our initial analysis demonstrated that the traditional linear ASP business model for data storage was unsuitable for large institutions. The overall cost markedly exceeds the TCO of an in-house archive infrastructure (when support and maintenance costs are included.) We demonstrated, however, that non-linear ASP pricing models can be cost-effective alternatives for large-scale data storage, particularly if they are based on a scalable off-site data-warehousing service and the prices are adapted to the specific size of a given institution. The added value of ASP is that it does not require iterative data migrations from legacy media to new storage media at regular intervals.

  9. Stressful working conditions and poor self-rated health among financial services employees

    Directory of Open Access Journals (Sweden)

    Luiz Sérgio Silva

    2012-06-01

    Full Text Available OBJECTIVE: To assess the association between exposure to adverse psychosocial working conditions and poor self-rated health among bank employees. METHODS: A cross-sectional study including a sample of 2,054 employees of a government bank was conducted in 2008. Self-rated health was assessed by a single question: "In general, would you say your health is (...." Exposure to adverse psychosocial working conditions was evaluated by the effort-reward imbalance model and the demand-control model. Information on other independent variables was obtained through a self-administered semi-structured questionnaire. A multiple logistic regression analysis was performed and odds ratio calculated to assess independent associations between adverse psychosocial working conditions and poor self-rated health. RESULTS: The overall prevalence of poor self-rated health was 9%, with no significant gender difference. Exposure to high demand and low control environment at work was associated with poor self-rated health. Employees with high effort-reward imbalance and overcommitment also reported poor self-rated health, with a dose-response relationship. Social support at work was inversely related to poor self-rated health, with a dose-response relationship. CONCLUSIONS: Exposure to adverse psychosocial work factors assessed based on the effort-reward imbalance model and the demand-control model is independently associated with poor self-rated health among the workers studied.

  10. Targeting the robo-advice customer: the development of a psychographic segmentation model for financial advice robots

    NARCIS (Netherlands)

    van Thiel, D.; van Raaij, W.F.

    2017-01-01

    The purpose of this study is to develop the world’s first psychographic market segmentation model that supports personalization, customer education, customer activation, and customer engagement strategies with financial advice robots. As traditional segmentation models in consumer finance primarily

  11. The Culture-Work-Health Model and Work Stress.

    Science.gov (United States)

    Peterson, Michael; Wilson, John F.

    2002-01-01

    Examines the role of organizational culture in the etiology of workplace stress through the framework of the Culture-Work- Health model. A review of relevant business and health literature indicates that culture is an important component of work stress and may be a key to creating effective organizational stress interventions. (SM)

  12. The model of the protection of rights concerning financial institutions and their clients in the field of the EU financial supervision

    Directory of Open Access Journals (Sweden)

    Patrycja Zawadzka

    2017-09-01

    Full Text Available The purpose of this article is to consider the EU system of protection of rights of a broadly understood financial institutions and users of financial services. A comprehensive description of client protection would considerably exceed the framework of this paper. Nevertheless, the author addresses two issues: firstly, a model of verification concerning financial market decisions, which was adopted by the EU and, secondly, a normative position of the Court of Justice of the European Union (CJEU in the EU legal system. It essential to show a relationship between the European Supervisory Authorities and the CJEU, as well as the practice heretofore regarding an application of the law within the scope of this article.

  13. Financial analysis and forecasting of the results of small businesses performance based on regression model

    Directory of Open Access Journals (Sweden)

    Svetlana O. Musienko

    2017-03-01

    Full Text Available Objective to develop the economicmathematical model of the dependence of revenue on other balance sheet items taking into account the sectoral affiliation of the companies. Methods using comparative analysis the article studies the existing approaches to the construction of the company management models. Applying the regression analysis and the least squares method which is widely used for financial management of enterprises in Russia and abroad the author builds a model of the dependence of revenue on other balance sheet items taking into account the sectoral affiliation of the companies which can be used in the financial analysis and prediction of small enterprisesrsquo performance. Results the article states the need to identify factors affecting the financial management efficiency. The author analyzed scientific research and revealed the lack of comprehensive studies on the methodology for assessing the small enterprisesrsquo management while the methods used for large companies are not always suitable for the task. The systematized approaches of various authors to the formation of regression models describe the influence of certain factors on the company activity. It is revealed that the resulting indicators in the studies were revenue profit or the company relative profitability. The main drawback of most models is the mathematical not economic approach to the definition of the dependent and independent variables. Basing on the analysis it was determined that the most correct is the model of dependence between revenues and total assets of the company using the decimal logarithm. The model was built using data on the activities of the 507 small businesses operating in three spheres of economic activity. Using the presented model it was proved that there is direct dependence between the sales proceeds and the main items of the asset balance as well as differences in the degree of this effect depending on the economic activity of small

  14. Financial Effect of a Drug Distribution Model Change on a Health System.

    Science.gov (United States)

    Turingan, Erin M; Mekoba, Bijan C; Eberwein, Samuel M; Roberts, Patricia A; Pappas, Ashley L; Cruz, Jennifer L; Amerine, Lindsey B

    2017-06-01

    Background: Drug manufacturers change distribution models based on patient safety and product integrity needs. These model changes can limit health-system access to medications, and the financial impact on health systems can be significant. Objective: The primary aim of this study was to determine the health-system financial impact of a manufacturer's change from open to limited distribution for bevacizumab (Avastin), rituximab (Rituxan), and trastuzumab (Herceptin). The secondary aim was to identify opportunities to shift administration to outpatient settings to support formulary change. Methods: To assess the financial impact on the health system, the cost minus discount was applied to total drug expenditure during a 1-year period after the distribution model change. The opportunity analysis was conducted for three institutions within the health system through chart review of each inpatient administration. Opportunity cost was the sum of the inpatient administration cost and outpatient administration margin. Results: The total drug expenditure for the study period was $26 427 263. By applying the cost minus discount, the financial effect of the distribution model change was $1 393 606. A total of 387 administrations were determined to be opportunities to be shifted to the outpatient setting. During the study period, the total opportunity cost was $1 766 049. Conclusion: Drug expenditure increased for the health system due to the drug distribution model change and loss of cost minus discount. The opportunity cost of shifting inpatient administrations could offset the increase in expenditure. It is recommended to restrict bevacizumab, rituximab, and trastuzumab through Pharmacy & Therapeutics Committees to outpatient use where clinically appropriate.

  15. Soil Compressibility Models for a Wide Stress Range

    KAUST Repository

    Chong, Song-Hun

    2016-03-03

    Soil compressibility models with physically correct asymptotic void ratios are required to analyze situations that involve a wide stress range. Previously suggested models and other functions are adapted to satisfy asymptotic void ratios at low and high stress levels; all updated models involve four parameters. Compiled consolidation data for remolded and natural clays are used to test the models and to develop correlations between model parameters and index properties. Models can adequately fit soil compression data for a wide range of stresses and soil types; in particular, models that involve the power of the stress σ\\'β display higher flexibility to capture the brittle response of some natural soils. The use of a single continuous function avoids numerical discontinuities or the need for ad hoc procedures to determine the yield stress. The tangent stiffness-readily computed for all models-should not be mistaken for the small-strain constant-fabric stiffness. © 2016 American Society of Civil Engineers.

  16. A SEQUENTIAL MODEL OF INNOVATION STRATEGY—COMPANY NON-FINANCIAL PERFORMANCE LINKS

    Directory of Open Access Journals (Sweden)

    Wakhid Slamet Ciptono

    2006-05-01

    Full Text Available This study extends the prior research (Zahra and Das 1993 by examining the association between a company’s innovation strategy and its non-financial performance in the upstream and downstream strategic business units (SBUs of oil and gas companies. The sequential model suggests a causal sequence among six dimensions of innovation strategy (leadership orientation, process innovation, product/service innovation, external innovation source, internal innovation source, and investment that may lead to higher company non-financial performance (productivity and operational reliability. The study distributed a questionnaire (by mail, e-mailed web system, and focus group discussion to three levels of managers (top, middle, and first-line of 49 oil and gas companies with 140 SBUs in Indonesia. These qualified samples fell into 47 upstream (supply-chain companies with 132 SBUs, and 2 downstream (demand-chain companies with 8 SBUs. A total of 1,332 individual usable questionnaires were returned thus qualified for analysis, representing an effective response rate of 50.19 percent. The researcher conducts structural equation modeling (SEM and hierarchical multiple regression analysis to assess the goodness-of-fit between the research models and the sample data and to test whether innovation strategy mediates the impact of leadership orientation on company non-financial performance. SEM reveals that the models have met goodness-of-fit criteria, thus the interpretation of the sequential models fits with the data. The results of SEM and hierarchical multiple regression: (1 support the importance of innovation strategy as a determinant of company non-financial performance, (2 suggest that the sequential model is appropriate for examining the relationships between six dimensions of innovation strategy and company non-financial performance, and (3 show that the sequential model provides additional insights into the indirect contribution of the individual

  17. S/sup 3/ Financial Projection Model: preliminary user's manual and system overview

    Energy Technology Data Exchange (ETDEWEB)

    Masso, J. F.

    1976-11-30

    The S/sup 3/ Financial Projection Model is an effort undertaken to construct a pipeline economic model in order to satisfy the requirements of the US ERDA program: Energy Study of Pipeline Transportation System. A brief outline of this process is described in Appendix A, Background on the S/sup 3/ Development of a Pipeline Economic Model. A general overview of the model is presented first to indicate the rationale underlying the model and to show the linkages between the various submodels. An understanding of the basic accounting definitions and self-evident relationships between line items in the general financial accounting reports is a prerequisite for the effective application of the model. Particular attention has been paid in this system description to defining the methods of calculations utilized by the model and to describing the optional capital investment planning techniques that may be exercised with the model. The mathematical relationships underlying various planning techniques are defined and the methods for applying these techniques are discussed with illustrations and sample input data specifications. Decision tables are used to show complex decision rules applied within the model to determine the logical flow of a particular computational routine. The complete set of source data and model options are described along with the procedures for input data preparation and actual program operation.

  18. Financial Forecasting and Stochastic Modeling: Predicting the Impact of Business Decisions.

    Science.gov (United States)

    Rubin, Geoffrey D; Patel, Bhavik N

    2017-05-01

    In health care organizations, effective investment of precious resources is critical to assure that the organization delivers high-quality and sustainable patient care within a supportive environment for patients, their families, and the health care providers. This holds true for organizations independent of size, from small practices to large health systems. For radiologists whose role is to oversee the delivery of imaging services and the interpretation, communication, and curation of imaging-informed information, business decisions influence where and how they practice, the tools available for image acquisition and interpretation, and ultimately their professional satisfaction. With so much at stake, physicians must understand and embrace the methods necessary to develop and interpret robust financial analyses so they effectively participate in and better understand decision making. This review discusses the financial drivers upon which health care organizations base investment decisions and the central role that stochastic financial modeling should play in support of strategically aligned capital investments. Given a health care industry that has been slow to embrace advanced financial analytics, a fundamental message of this review is that the skills and analytical tools are readily attainable and well worth the effort to implement in the interest of informed decision making. © RSNA, 2017 Online supplemental material is available for this article.

  19. Stress-reducing preventive maintenance model for a unit under stressful environment

    International Nuclear Information System (INIS)

    Park, J.H.; Chang, Woojin; Lie, C.H.

    2012-01-01

    We develop a preventive maintenance (PM) model for a unit operated under stressful environment. The PM model in this paper consists of a failure rate model and two cost models to determine the optimal PM scheduling which minimizes a cost rate. The assumption for the proposed model is that stressful environment accelerates the failure of the unit and periodic maintenances reduce stress from outside. The failure rate model handles the maintenance effect of PM using improvement and stress factors. The cost models are categorized into two failure recognition cases: immediate failure recognition and periodic failure detection. The optimal PM scheduling is obtained by considering the trade-off between the related cost and the lifetime of a unit in our model setting. The practical usage of our proposed model is tested through a numerical example.

  20. Modeling heat stress under different environmental conditions.

    Science.gov (United States)

    Carabaño, M J; Logar, B; Bormann, J; Minet, J; Vanrobays, M-L; Díaz, C; Tychon, B; Gengler, N; Hammami, H

    2016-05-01

    Renewed interest in heat stress effects on livestock productivity derives from climate change, which is expected to increase temperatures and the frequency of extreme weather events. This study aimed at evaluating the effect of temperature and humidity on milk production in highly selected dairy cattle populations across 3 European regions differing in climate and production systems to detect differences and similarities that can be used to optimize heat stress (HS) effect modeling. Milk, fat, and protein test day data from official milk recording for 1999 to 2010 in 4 Holstein populations located in the Walloon Region of Belgium (BEL), Luxembourg (LUX), Slovenia (SLO), and southern Spain (SPA) were merged with temperature and humidity data provided by the state meteorological agencies. After merging, the number of test day records/cows per trait ranged from 686,726/49,655 in SLO to 1,982,047/136,746 in BEL. Values for the daily average and maximum temperature-humidity index (THIavg and THImax) ranges for THIavg/THImax were largest in SLO (22-74/28-84) and shortest in SPA (39-76/46-83). Change point techniques were used to determine comfort thresholds, which differed across traits and climatic regions. Milk yield showed an inverted U-shaped pattern of response across the THI scale with a HS threshold around 73 THImax units. For fat and protein, thresholds were lower than for milk yield and were shifted around 6 THI units toward larger values in SPA compared with the other countries. Fat showed lower HS thresholds than protein traits in all countries. The traditional broken line model was compared with quadratic and cubic fits of the pattern of response in production to increasing heat loads. A cubic polynomial model allowing for individual variation in patterns of response and THIavg as heat load measure showed the best statistical features. Higher/lower producing animals showed less/more persistent production (quantity and quality) across the THI scale. The

  1. New aspects of the adaptive synchronization and hyperchaos suppression of a financial model

    International Nuclear Information System (INIS)

    Jajarmi, Amin; Hajipour, Mojtaba; Baleanu, Dumitru

    2017-01-01

    This paper mainly focuses on the analysis of a hyperchaotic financial system as well as its chaos control and synchronization. The phase diagrams of the above system are plotted and its dynamical behaviours like equilibrium points, stability, hyperchaotic attractors and Lyapunov exponents are investigated. In order to control the hyperchaos, an efficient optimal controller based on the Pontryagin’s maximum principle is designed and an adaptive controller established by the Lyapunov stability theory is also implemented. Furthermore, two identical financial models are globally synchronized by using an interesting adaptive control scheme. Finally, a fractional economic model is introduced which can also generate hyperchaotic attractors. In this case, a linear state feedback controller together with an active control technique are used in order to control the hyperchaos and realize the synchronization, respectively. Numerical simulations verifying the theoretical analysis are included.

  2. THE EFFECTIVENESS OF FRAUD TRIANGLE ON DETECTING FRAUDULENT FINANCIAL STATEMENT: USING BENEISH MODEL AND THE CASE OF SPECIAL COMPANIES

    Directory of Open Access Journals (Sweden)

    Aprillia Aprillia

    2015-12-01

    Full Text Available Fraudulent financial statement is a serious problem and to be a threat to stakeholders, especially for investor. The thing is happened because there is illegal action done intentionally, such as disclosing financial information that doesn’t match with the real condition. The purpose of this research is to acquire a effectiveness of empirical proof of fraud triangle consisting of Pressure, Opportunity, and Rationalization in detecting financial statement fraud that are indicated by using Beneish Model. The sample of this research consists of 39 companies are indicated doing fraud and 57 companies aren’t indicated doing fraud listing at BEI (Bursa Efek Indonesia in 2012 – 2014. Test of this research uses logistic regression method. Based on the result and conclusion, this research shows that opportunity (independent commissioner ownership has significant effect to fraudulent financial statement while pressure (AGROW, financial target (ROA, and rationalization (Total accrual don’t have significant effect to fraudulent financial statement.

  3. Effective Stress Management: A Model of Emotional Intelligence, Self-Leadership, and Student Stress Coping

    Science.gov (United States)

    Houghton, Jeffery D.; Wu, Jinpei; Godwin, Jeffrey L.; Neck, Christopher P.; Manz, Charles C.

    2012-01-01

    This article develops and presents a model of the relationships among emotional intelligence, self-leadership, and stress coping among management students. In short, the authors' model suggests that effective emotion regulation and self-leadership, as mediated through positive affect and self-efficacy, has the potential to facilitate stress coping…

  4. Modeling the Effects of Stress: An Approach to Training

    Science.gov (United States)

    Cuper, Taryn

    2010-01-01

    Stress is an integral element of the operational conditions experienced by combat medics. The effects of stress can compromise the performance of combat medics who must reach and treat their comrades under often threatening circumstances. Examples of these effects include tunnel vision, loss of motor control, and diminished hearing, which can result in an inability to perceive further danger, satisfactorily treat the casualty, and communicate with others. While many training programs strive to recreate this stress to aid in the experiential learning process, stress inducement may not always be feasible or desired. In addition, live simulations are not always a practical, convenient, and repeatable method of training. Instead, presenting situational training on a personal computer is proposed as an effective training platform in which the effects of stress can be addressed in a different way. We explore the cognitive and motor effects of stress, as well as the benefits of training for mitigating these effects in real life. While many training applications focus on inducing stress in order to "condition" the stress response, the author explores the possibilities of modeling stress to produce a similar effect. Can presenting modeled effects of stress help prepare or inoculate soldiers for stressful situations in which they must perform at a high level? This paper investigates feasibility of modeling stress and describes the preliminary design considerations of a combat medic training system that utilizes this method of battlefield preparation.

  5. A SEQUENTIAL MODEL OF INNOVATION STRATEGY—COMPANY NON-FINANCIAL PERFORMANCE LINKS

    OpenAIRE

    Ciptono, Wakhid Slamet

    2006-01-01

    This study extends the prior research (Zahra and Das 1993) by examining the association between a company’s innovation strategy and its non-financial performance in the upstream and downstream strategic business units (SBUs) of oil and gas companies. The sequential model suggests a causal sequence among six dimensions of innovation strategy (leadership orientation, process innovation, product/service innovation, external innovation source, internal innovation source, and investment) that may ...

  6. Improvement and Validation of Weld Residual Stress Modelling Procedure

    International Nuclear Information System (INIS)

    Zang, Weilin; Gunnars, Jens; Dong, Pingsha; Hong, Jeong K.

    2009-06-01

    The objective of this work is to identify and evaluate improvements for the residual stress modelling procedure currently used in Sweden. There is a growing demand to eliminate any unnecessary conservatism involved in residual stress assumptions. The study was focused on the development and validation of an improved weld residual stress modelling procedure, by taking advantage of the recent advances in residual stress modelling and stress measurement techniques. The major changes applied in the new weld residual stress modelling procedure are: - Improved procedure for heat source calibration based on use of analytical solutions. - Use of an isotropic hardening model where mixed hardening data is not available. - Use of an annealing model for improved simulation of strain relaxation in re-heated material. The new modelling procedure is demonstrated to capture the main characteristics of the through thickness stress distributions by validation to experimental measurements. Three austenitic stainless steel butt-welds cases are analysed, covering a large range of pipe geometries. From the cases it is evident that there can be large differences between the residual stresses predicted using the new procedure, and the earlier procedure or handbook recommendations. Previously recommended profiles could give misleading fracture assessment results. The stress profiles according to the new procedure agree well with the measured data. If data is available then a mixed hardening model should be used

  7. Improvement and Validation of Weld Residual Stress Modelling Procedure

    Energy Technology Data Exchange (ETDEWEB)

    Zang, Weilin; Gunnars, Jens (Inspecta Technology AB, Stockholm (Sweden)); Dong, Pingsha; Hong, Jeong K. (Center for Welded Structures Research, Battelle, Columbus, OH (United States))

    2009-06-15

    The objective of this work is to identify and evaluate improvements for the residual stress modelling procedure currently used in Sweden. There is a growing demand to eliminate any unnecessary conservatism involved in residual stress assumptions. The study was focused on the development and validation of an improved weld residual stress modelling procedure, by taking advantage of the recent advances in residual stress modelling and stress measurement techniques. The major changes applied in the new weld residual stress modelling procedure are: - Improved procedure for heat source calibration based on use of analytical solutions. - Use of an isotropic hardening model where mixed hardening data is not available. - Use of an annealing model for improved simulation of strain relaxation in re-heated material. The new modelling procedure is demonstrated to capture the main characteristics of the through thickness stress distributions by validation to experimental measurements. Three austenitic stainless steel butt-welds cases are analysed, covering a large range of pipe geometries. From the cases it is evident that there can be large differences between the residual stresses predicted using the new procedure, and the earlier procedure or handbook recommendations. Previously recommended profiles could give misleading fracture assessment results. The stress profiles according to the new procedure agree well with the measured data. If data is available then a mixed hardening model should be used

  8. Modeling of stresses at grain boundaries with respect to occurrence of stress corrosion cracking

    Energy Technology Data Exchange (ETDEWEB)

    Kozaczek, K.J. [Oak Ridge National Lab., TN (United States); Sinharoy, A.; Ruud, C.O. [Pennsylvania State Univ., University Park, PA (United States); McIlree, A.R. [Electric Power Research Institute, Palo Alto, CA (United States)

    1995-12-31

    The distributions of elastic stresses/strains in the grain boundary regions were studied by the analytical and the finite element models. The grain boundaries represent the sites where stress concentration occurs as a result of discontinuity of elastic properties across the grain boundary and the presence of second phase particles elastically different from the surrounding matrix grains. A quantitative analysis of those stresses for steels and nickel based alloys showed that the stress concentrations in the grain boundary regions are high enough to cause a local microplastic deformation even when the material is in the macroscopic elastic regime. The stress redistribution as a result of such a plastic deformation was discussed.

  9. Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

    NARCIS (Netherlands)

    Galati, E.B.G.; Hindrayanto, A.I.W.; Koopman, S.J.; Vlekke, M.

    2016-01-01

    We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970-2014. We find that financial cycles can parsimoniously be estimated by house prices and total credit or the credit-to-GDP ratio. We show

  10. A complex systems approach to constructing better models for managing financial markets and the economy

    Science.gov (United States)

    Farmer, J. Doyne; Gallegati, M.; Hommes, C.; Kirman, A.; Ormerod, P.; Cincotti, S.; Sanchez, A.; Helbing, D.

    2012-11-01

    We outline a vision for an ambitious program to understand the economy and financial markets as a complex evolving system of coupled networks of interacting agents. This is a completely different vision from that currently used in most economic models. This view implies new challenges and opportunities for policy and managing economic crises. The dynamics of such models inherently involve sudden and sometimes dramatic changes of state. Further, the tools and approaches we use emphasize the analysis of crises rather than of calm periods. In this they respond directly to the calls of Governors Bernanke and Trichet for new approaches to macroeconomic modelling.

  11. Make-up wells drilling cost in financial model for a geothermal project

    Science.gov (United States)

    Oktaviani Purwaningsih, Fitri; Husnie, Ruly; Afuar, Waldy; Abdurrahman, Gugun

    2017-12-01

    After commissioning of a power plant, geothermal reservoir will encounter pressure decline, which will affect wells productivity. Therefore, further drilling is carried out to enhance steam production. Make-up wells are production wells drilled inside an already confirmed reservoir to maintain steam production in a certain level. Based on Sanyal (2004), geothermal power cost consists of three components, those are capital cost, O&M cost and make-up drilling cost. The make-up drilling cost component is a major part of power cost which will give big influence in a whole economical value of the project. The objective of this paper it to analyse the make-up wells drilling cost component in financial model of a geothermal power project. The research will calculate make-up wells requirements, drilling costs as a function of time and how they influence the financial model and affect the power cost. The best scenario in determining make-up wells strategy in relation with the project financial model would be the result of this research.

  12. STUDY REGARDING THE ASSETS EVALUATION ON THE FINANCIAL MARKET THROUGH THE C.A.P.M. MODEL

    Directory of Open Access Journals (Sweden)

    Nicolae Baltes

    2014-11-01

    Full Text Available Capital Asset Pricing Model (CAPM was introduced through the works of William Sharpe (1964, John Lintner (1965 and Jan Mossin (1966 based on the research of Henry Markovitz. Due to the independent formulation of the model by these three american researchers, there are in the literature references to the Security Market Line (SML model of financial assets evaluation. CAPM model, revolutionized the financial theory, highlighting the link between the rentability of the individual securities and the rentability of the financial market. The first fundamental hypothesis of the model is that investors are concerned about the expected rentability closely related to the risk associated with it. Consequently, under equilibrium conditions of the financial market, the CAPM model highlights a linear relationship between the expected rentability of the portfolio and the amount of risk assumed by investors.

  13. Correlation Model between Economic Development and Environmental Performance on the Basis of Non-Financial Reporting

    Directory of Open Access Journals (Sweden)

    Vladimir Dmitrievich Bogdanov

    2016-03-01

    Full Text Available The most common international standards for the non-financial reporting are reviewed. The Global Reporting Initiative (GRI is determined as an optimal standard of sustainability reporting for the use in the Russian conditions. The environmental component of guidance on the compilation of G4 non-financial reporting of GRI standard is analyzed, the contribution of each aspect in terms of the overall picture of sustainability is determined. The progress of economic science has outlined the importance of incorporating natural components. Moreover, the value of biological resources would be increased through time, and therefore, the economic development of the company cannot be in isolation. To determine the degree of harmony between the economic development and ecological condition of the territory where the company carries out the economic activities, the application of new approaches and methods is necessary. Based on the statistical methods, a correlation model between economic development and environmental performance is developed to identify their relationship on the basis of non-financial reporting. The developed model of correlation can be used by a wide range of oil and gas companies and its general principles by the companies of different industries. The results may be of interest to stakeholders, also, it can be used for administrative purposes, to serve as a platform for forecasting and adoption of administrative decisions to achieve harmony between economic development and environmental performance. The model of correlation has been tested for the data of non-financial reporting of the Russian largest oil and gas company JSC “Surgutneftegas”. The testing has shown a positive relationship between the two systems of the company’s sustainable development: economy and ecology. This obtained result demonstrates a high level of social responsibility of the company in terms of environmental protection. A further study in this field can

  14. Teacher stress and health; examination of a model.

    Science.gov (United States)

    DeFrank, R S; Stroup, C A

    1989-01-01

    Stress in teaching derives from a variety of sources, and evidence exists linking such stress to physical and mental health concerns. Detailed examination of the linkages among personal factors, job stress, job satisfaction and symptomatology have not been done in this occupation, however, and the present study examines a model interrelating these variables. A survey of 245 predominantly female elementary school teachers in southeast Texas suggested that demographic factors and teaching background do not influence stress, satisfaction or health concerns. However, while job stress was the strongest predictor of job satisfaction, this stress had no direct relationship with health problems, an unexpected finding. Write-in responses by teachers indicated additional sources of stress, many of which were environmental or policy-based in nature. The implications of these findings for future research and stress management interventions for teachers are discussed.

  15. Modelling of loading, stress relaxation and stress recovery in a shape memory polymer.

    Science.gov (United States)

    Sweeney, J; Bonner, M; Ward, I M

    2014-09-01

    A multi-element constitutive model for a lactide-based shape memory polymer has been developed that represents loading to large tensile deformations, stress relaxation and stress recovery at 60, 65 and 70°C. The model consists of parallel Maxwell arms each comprising neo-Hookean and Eyring elements. Guiu-Pratt analysis of the stress relaxation curves yields Eyring parameters. When these parameters are used to define the Eyring process in a single Maxwell arm, the resulting model yields at too low a stress, but gives good predictions for longer times. Stress dip tests show a very stiff response on unloading by a small strain decrement. This would create an unrealistically high stress on loading to large strain if it were modelled by an elastic element. Instead it is modelled by an Eyring process operating via a flow rule that introduces strain hardening after yield. When this process is incorporated into a second parallel Maxwell arm, there results a model that fully represents both stress relaxation and stress dip tests at 60°C. At higher temperatures a third arm is required for valid predictions. Crown Copyright © 2014. Published by Elsevier Ltd. All rights reserved.

  16. IT Management Model for Financial Report Issuance and Regulatory and Legal Compliance

    Directory of Open Access Journals (Sweden)

    José Rogério Poggio Moreira

    2013-10-01

    Full Text Available The development of information systems for financial report issuance must be adherent to the demands of the law and regulations that regulate the financial market. In order to perform this task, organizations need to implement control in the Information Technology (IT area to maintain their systems´ conformity to laws and regulations. In the development of this work, it was found, through a state-of-art study, that there are no proposals contemplating the solution of this problem in its totality. In order to achieve this goal, in this paper it is presented a model for Information Technology management constituted by COBIT, ITIL and BPM management good practices, together with SOA and XBRL Technologies. This model is composed by 03 layers that aim at structuring the organization IT and business processes, besides defining a process for implementing SOA and integrating its Web services with XBRL language. One can expect this work to contribute to companies to decrease the negative impact coming from the lack of conformity with laws and regulations, through the creation of a corporative and IT environment that is flexible and more adaptable to changes, which may occur in legal demands, as well as improving the quality and reliability of financial report issuance.

  17. A budget model to determine the financial health of nursing education programs in academic institutions.

    Science.gov (United States)

    Donnelly, Gloria

    2005-01-01

    In the allocation of resources in academic settings, hierarchies of tradition and status often supersede documented need. Nursing programs sometimes have difficulty in getting what they need to maintain quality programs and to grow. The budget is the crucial tool in documenting nursing program needs and its contributions to the entire academic enterprise. Most nursing programs administrators see only an operating expense budget that may grow or shrink by a rubric that may not fit the reality of the situation. A budget is a quantitative expression of how well a unit is managed. Educational administrators should be paying as much attention to analyzing financial outcomes as they do curricular outcomes. This article describes the development of a model for tracking revenue and expense and a simple rubric for analyzing the relationship between the two. It also discusses how to use financial data to improve the fiscal performance of nursing units and to leverage support during times of growth.

  18. Financialization and financial profit

    Directory of Open Access Journals (Sweden)

    Arturo Guillén

    2014-09-01

    Full Text Available This article starts from the critical review of the concept of financial capital. I consider it is necessary not to confuse this category with of financialization, which has acquired a certificate of naturalization from the rise of neoliberalism. Although financial monopoly-financial capital is the hegemonic segment of the bourgeoisie in the major capitalist countries, their dominance does not imply, a fortiori, financialization of economic activity, since it depends of the conditions of the process reproduction of capital. The emergence of joint stock companies modified the formation of the average rate of profit. The "promoter profit" becomes one of the main forms of income of monopoly-financial capital. It is postulated that financial profit is a kind of "extraordinary surplus-value" which is appropriated by monopoly-financial capital by means of the monopolistic control it exerts on the issue and circulation of fictitious capital.

  19. STRESS MODELING IN COMPOSITE PRODUCTS USING STANDARD OPTICALLY SENSITIVE MATERIAL

    Directory of Open Access Journals (Sweden)

    Elifkhan K. Agakhanov

    2017-01-01

    Full Text Available Abstract. Objectives The problem of physically modelling stresses in a compound solid body of revolution having a complex shape and with a complex load distribution is considered. According to the similarity criteria of stress, deformations and displacements from the volume forces decrease proportionally to the scale of similarity of geometric dimensions, which complicates their direct modelling by the photoelasticity method typically using models made from epoxy materials. Methods Based on the principle of the independent action of the forces, the initial problem is represented as the sum of two problems. In the first uniform problem, the stresses in the body of revolution from the centrifugal forces are simulated by the conventional “freezing” method. In order to solve the second nonuniform problem, the stresses in the region of the model, corresponding to the acting centrifugal forces, are “frozen”. The models are glued in a natural state at room temperature, and the compound model is annealed. Results The band patterns in sections as well as components of radial, tangential and axial stresses on contours and in sections of models are obtained by the methods of normal transmission and numerical integration of the equilibrium equation. According to the modelling criteria, the formula for the transition from stresses in models to stresses in the natural structure is established. The results of the analysis of the effect of a body's material density ratio on the stress state of the entire structure are obtained. Conclusion  Axial stresses have insignificant value as compared to radial and tangential stresses; in addition, the ratio of the densities of the compound body has both a quantitative and qualitative influence on the stress state of the structure.

  20. Soil Compressibility Models for a Wide Stress Range

    KAUST Repository

    Chong, Song-Hun; Santamarina, Carlos

    2016-01-01

    Soil compressibility models with physically correct asymptotic void ratios are required to analyze situations that involve a wide stress range. Previously suggested models and other functions are adapted to satisfy asymptotic void ratios at low

  1. Design based Investigation on Construction of Mathematical Modelling Problems: Example of Financial Content

    Directory of Open Access Journals (Sweden)

    Melike TURAL SÖNMEZ

    2017-12-01

    Full Text Available The purpose of this study is to examine the construction of mathematical modelling problems process in the content of financial literacy. It is also aimed to create design proposals for construction of mathematical modelling problems. A design based research method was used in this study. The participants were three seventh grade students, six finance experts and nine mathematics education experts. Data collection tools were transcription of video and tapes group discussions, presentations and worksheets during mathematical modelling activities, and participant experts’ feedback form about mathematical modelling problems. There were three stages in this study. First stage was application of preliminary study. This stage gave information about convenience of problems to grade level, students’ timing for solution of problems, clarity of problems and students’ background about content. In second stage, finance experts commented on convenience of mathematical modelling problems to financial literacy standards. In third stage, mathematics education experts commented on convenience of problems to students’ grade level, mathematical modelling principles and seventh grade mathematics lesson objectives. They also gave suggestion on progress. The frequency value of theme in feedback forms was calculated and experts’ expressions were given as citation. It was given suggestion about stages and application of the design guide

  2. Microcomputer model for an analysis of the financial feasibility of a mining project

    International Nuclear Information System (INIS)

    Ciruelos, J.; Duchene, M.

    1983-01-01

    The model presented permits a simulation of the predicted profitability of a mining project at the stage of feasibility studies by making use of a simple individual computer, the Apple II. The model presented can be used to treat the following three areas: definition of the mode of financing the project and calculation of the financial flows which make it possible to evaluate the profitability of this project; analysis of sensitivity, which makes it possible to determine the most critical variables for the future of the project; analysis of the risk [fr

  3. Models of Financing and Available Financial Resources for Transport Infrastructure Projects

    Directory of Open Access Journals (Sweden)

    O. Pokorná

    2001-01-01

    Full Text Available A typical feature of transport infrastructure projects is that they are expensive and take a long time to construct. Transport infrastructure financing has traditionally lain in the public domain. A tightening of many countries' budgets in recent times has led to an exploration of alternative resources for financing transport infrastructures. A variety of models and methods can be used in transport infrastructure project financing. The selection of the appropriate model should be done taking into account not only financial resources but also the distribution of construction and operating risks and the contractual relations between the stakeholders.

  4. Post-traumatic stress disorder and beyond: an overview of rodent stress models.

    Science.gov (United States)

    Schöner, Johanna; Heinz, Andreas; Endres, Matthias; Gertz, Karen; Kronenberg, Golo

    2017-10-01

    Post-traumatic stress disorder (PTSD) is a psychiatric disorder of high prevalence and major socioeconomic impact. Patients suffering from PTSD typically present intrusion and avoidance symptoms and alterations in arousal, mood and cognition that last for more than 1 month. Animal models are an indispensable tool to investigate underlying pathophysiological pathways and, in particular, the complex interplay of neuroendocrine, genetic and environmental factors that may be responsible for PTSD induction. Since the 1960s, numerous stress paradigms in rodents have been developed, based largely on Seligman's seminal formulation of 'learned helplessness' in canines. Rodent stress models make use of physiological or psychological stressors such as foot shock, underwater trauma, social defeat, early life stress or predator-based stress. Apart from the brief exposure to an acute stressor, chronic stress models combining a succession of different stressors for a period of several weeks have also been developed. Chronic stress models in rats and mice may elicit characteristic PTSD-like symptoms alongside, more broadly, depressive-like behaviours. In this review, the major existing rodent models of PTSD are reviewed in terms of validity, advantages and limitations; moreover, significant results and implications for future research-such as the role of FKBP5, a mediator of the glucocorticoid stress response and promising target for therapeutic interventions-are discussed. © 2017 The Authors. Journal of Cellular and Molecular Medicine published by John Wiley & Sons Ltd and Foundation for Cellular and Molecular Medicine.

  5. Stress and sleep reactivity: a prospective investigation of the stress-diathesis model of insomnia.

    Science.gov (United States)

    Drake, Christopher L; Pillai, Vivek; Roth, Thomas

    2014-08-01

    To prospectively assess sleep reactivity as a diathesis of insomnia, and to delineate the interaction between this diathesis and naturalistic stress in the development of insomnia among normal sleepers. Longitudinal. Community-based. 2,316 adults from the Evolution of Pathways to Insomnia Cohort (EPIC) with no history of insomnia or depression (46.8 ± 13.2 y; 60% female). None. Participants reported the number of stressful events they encountered at baseline (Time 1), as well as the level of cognitive intrusion they experienced in response to each stressor. Stressful events (OR = 1.13; P stress-induced cognitive intrusion (OR = 1.61; P stressful events on risk for insomnia (P sleep reactivity significantly increased risk for insomnia (OR = 1.78; P sleep reactivity moderated the effects of stress-induced intrusion (P sleep reactivity. Trait sleep reactivity also constituted a significant risk for depression (OR = 1.67; P sleep reactivity is a significant risk factor for incident insomnia, and that it triggers insomnia by exacerbating the effects of stress-induced intrusion. Sleep reactivity is also a precipitant of depression, as mediated by insomnia. These findings support the stress-diathesis model of insomnia, while highlighting sleep reactivity as an important diathesis. Drake CL, Pillai V, Roth T. Stress and sleep reactivity: a prospective investigation of the stress-diathesis model of insomnia.

  6. Concrete creep and thermal stresses:new creep models and their effects on stress development

    OpenAIRE

    Westman, Gustaf

    1999-01-01

    This thesis deals with the problem of creep in concrete and its influence on thermal stress development. New test frames were developed for creep of high performance concrete and for measurements of thermal stress development. Tests were performed on both normal strength and high performance concretes. Two new models for concrete creep are proposed. Firstly, a viscoelastic model, the triple power law, is supplemented with two additional functions for an improved modelling of the early age cre...

  7. Towards and Effective Financial Management: Relevance of Dividend Discount Model in Stock Price Valuation

    Directory of Open Access Journals (Sweden)

    Ana Mugoša

    2015-06-01

    Full Text Available The aim of this paper is to analyze the relevance of dividend discount model, i.e. its specific form in stock price estimation known as Gordon growth model. The expected dividends can be a measure of cash flows returned to the stockholder. In this context, the model is useful for assessment of how risk factors, such as interest rates and changing inflation rates, affect stock returns. This is especially important in case when investors are value oriented, i.e. when expected dividends are theirmain investing drivers. We compared the estimated with the actual stock price values and tested the statistical significance of price differences in 199 publicly traded European companies for the period2010-2013. Statistical difference between pairs of price series (actual and estimated was tested using Wilcoxon and Kruskal-Wallis tests of median and distribution equality. The hypothesis that Gordon growth model cannot be reliable measure of stock price valuation on European equity market over period of 2010-2013 due to influence of the global financial crisis was rejected with 95% confidence. Gordon growth model has proven to be reliable measure of stock price valuation even over period of strong global financial crisis influence.

  8. Predicting Corporate Financial Distress in Sri Lanka: An Extension to Z-Score Model

    Directory of Open Access Journals (Sweden)

    K.G.M. Nanayakkara

    2015-03-01

    Full Text Available The main purpose of this study is to develop a better financial distress prediction model for the Sri Lankan companies using the Z-score model. Fourteen variables have been selected consisting of accounting, cash flow and market based variables. Multivariate Discriminate Analysis (MDA was used as the analytical technique and stepwise method was used to select the variables with the best discriminating power to a dataset of sixty-seven matched pairs of failed and non-failed quoted public companies over the period 2002 to 2011. The final models are validated using the cross validation method. The results indicate that a model with four predictors of earnings before interest and taxes, cash flow from operations to total debts, retained earnings to total assets, and firm size have achieved the classification accuracy of 85.8% in one year prior to the distress with a very low type I error. Moreover, the model has correctly classified the cases by 79.9% and 69.4% in two year and three year prior to distress respectively. The study has further revealed that the companies with negative cutoff value fall into distress zone while the companies with positive cutoff values fall into safety area. Hence, the study concluded that the companies with cutoff values approximately zero should be considered on mitigating actions for financial distress not only on the accounting information but also on the cash flow and market data.

  9. The usefulness of the business model disclosure for investors’ judgements in financial entities. A European study

    Directory of Open Access Journals (Sweden)

    Alessandro Mechelli

    2017-01-01

    Full Text Available The business model concept is a common topic investigated in different fields of research. To participate to the debate around such concept in the accounting field, the objective of this paper is showing whether and how the voluntary disclosure of the non-mandatory IASB (2010 macro-components, that we consider the key elements of a business model of financial entities, increases the value relevance of accounting amounts. Analyzing a sample of 124 European financial entities over the period 2010–2013, the paper shows that the value relevance of accounting amounts of entities that provide a wide disclosure of their business model is higher than the one of entities that provide a limited disclosure of their business model. These findings not only shed lights about the importance of disclosing information relating to the business model to improve the usefulness of accounting amounts for investors’ strategies, but also have implication for regulators and standard setters that from results could learn the opportunity to make the disclosure of IASB (2010 compulsory for all the IAS/IFRS compliant entities.

  10. Financial impact of errors in business forecasting: a comparative study of linear models and neural networks

    Directory of Open Access Journals (Sweden)

    Claudimar Pereira da Veiga

    2012-08-01

    Full Text Available The importance of demand forecasting as a management tool is a well documented issue. However, it is difficult to measure costs generated by forecasting errors and to find a model that assimilate the detailed operation of each company adequately. In general, when linear models fail in the forecasting process, more complex nonlinear models are considered. Although some studies comparing traditional models and neural networks have been conducted in the literature, the conclusions are usually contradictory. In this sense, the objective was to compare the accuracy of linear methods and neural networks with the current method used by the company. The results of this analysis also served as input to evaluate influence of errors in demand forecasting on the financial performance of the company. The study was based on historical data from five groups of food products, from 2004 to 2008. In general, one can affirm that all models tested presented good results (much better than the current forecasting method used, with mean absolute percent error (MAPE around 10%. The total financial impact for the company was 6,05% on annual sales.

  11. Economic dynamics with financial fragility and mean-field interaction: A model

    Science.gov (United States)

    Di Guilmi, C.; Gallegati, M.; Landini, S.

    2008-06-01

    Following Aoki’s statistical mechanics methodology [Masanao Aoki, New Approaches to Macroeconomic Modeling, Cambridge University Press, 1996; Masanao Aoki, Modeling Aggregate Behaviour and Fluctuations in Economics, Cambridge University Press, 2002; Masanao Aoki, and Hiroshi Yoshikawa, Reconstructing Macroeconomics, Cambridge University Press, 2006], we provide some insights into the well-known works of [Bruce Greenwald, Joseph Stiglitz, Macroeconomic models with equity and credit rationing, in: R. Hubbard (Ed.), Information, Capital Markets and Investment, Chicago University Press, Chicago, 1990; Bruce Greenwald, Joseph Stiglitz, Financial markets imperfections and business cycles, Quarterly journal of Economics (1993)]. Specifically, we reach analytically a closed form solution of their models overcoming the aggregation problem. The key idea is to represent the economy as an evolving complex system, composed by heterogeneous interacting agents, that can be partitioned into a space of macroscopic states. This meso level of aggregation permits to adopt mean-field interaction modeling and master equation techniques.

  12. Long memory of financial time series and hidden Markov models with time-varying parameters

    DEFF Research Database (Denmark)

    Nystrup, Peter; Madsen, Henrik; Lindström, Erik

    Hidden Markov models are often used to capture stylized facts of daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior for the ability to reproduce the stylized...... facts have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time-varying. It is shown that a two-state Gaussian hidden Markov model with time-varying parameters is able to reproduce the long memory of squared...... daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step predictions....

  13. The Criticality of Connecting People to Financial Results ‒ an ROI Calculation Model for Romanian FSOs

    Directory of Open Access Journals (Sweden)

    Daniela Niculescu

    2016-02-01

    Full Text Available Organisational culture and employee engagement have been the focus of recent broad-based research efforts. Adding this concern to the revealed importance of performance indicators on human capital, and that their use is getting momentum, in order to attach financial values to knowledge management assets, it becomes more and more critical to measure human capital value. Key for Romanian FSO’s managers becomes to consider that both human and financial values have a focus on adding value in every process and function in the organisation, and to perpetuate organisational profitability by the corporate culture, on the one hand, where culture is a powerful factor that helps a company to engage, on the other hand, talented people. There is a substantial concern on using ROI on Learning and Development programmes, but whilst this is still declared, Romanian FSOs do not yet have a consistent method to measure it. This study is showing the criticality of connecting people to financial results and data analysis suggests that ROI calculation has a positive impact on creating and fostering a powerful organisational culture and that employees’ awareness of ROI values within their organisation has a powerful effect on their sense of engagement. Our findings have a more practical implication for the analysed industry by shaping a formal ROI measurement mechanisms blueprint, an ROI calculation model for the Romanian FSOs, in the form of a mechanism that could be employed when considering the design of an ROI Methodology for Romanian FSOs.

  14. A proposed residual stress model for oblique turning

    International Nuclear Information System (INIS)

    Elkhabeery, M. M.

    2001-01-01

    A proposed mathematical model is presented for predicting the residual stresses caused by turning. Effects of change in tool free length, cutting speed, feed rate, and the tensile strength of work piece material on the maximum residual stress are investigated. The residual stress distribution in the surface region due to turning under unlubricated condition is determined using a deflection etching technique. To reduce the number of experiments required and build the mathematical model for these variables, Response Surface Methodology (RSM) is used. In addition, variance analysis and an experimental check are conducted to determine the prominent parameters and the adequacy of the model. The results show that the tensile stress of the work piece material, cutting speed, and feed rate have significant effects on the maximum residual stresses. The proposed model, that offering good correlation between the experimental and predicted results, is useful in selecting suitable cutting parameters for the machining of different materials. (author)

  15. A plastic damage model with stress triaxiality-dependent hardening

    International Nuclear Information System (INIS)

    Shen Xinpu; Shen Guoxiao; Zhou Lin

    2005-01-01

    Emphases of this study were placed on the modelling of plastic damage behaviour of prestressed structural concrete, with special attention being paid to the stress-triaxiality dependent plastic hardening law and the corresponding damage evolution law. A definition of stress triaxiality was proposed and introduced in the model presented here. Drucker-Prager -type plasticity was adopted in the formulation of the plastic damage constitutive equations. Numerical validations were performed for the proposed plasticity-based damage model with a driver subroutine developed in this study. The predicted stress-strain behaviour seems reasonably accurate for the uniaxial tension and uniaxial compression compared with the experimental data reported in references. Numerical calculations of compressions under various hydrostatic stress confinements were carried out in order to validate the stress triaxiality dependent properties of the model. (authors)

  16. Effects of induced stress on seismic forward modelling and inversion

    Science.gov (United States)

    Tromp, Jeroen; Trampert, Jeannot

    2018-05-01

    We demonstrate how effects of induced stress may be incorporated in seismic modelling and inversion. Our approach is motivated by the accommodation of pre-stress in global seismology. Induced stress modifies both the equation of motion and the constitutive relationship. The theory predicts that induced pressure linearly affects the unstressed isotropic moduli with a slope determined by their adiabatic pressure derivatives. The induced deviatoric stress produces anisotropic compressional and shear wave speeds; the latter result in shear wave splitting. For forward modelling purposes, we determine the weak form of the equation of motion under induced stress. In the context of the inverse problem, we determine induced stress sensitivity kernels, which may be used for adjoint tomography. The theory is illustrated by considering 2-D propagation of SH waves and related Fréchet derivatives based on a spectral-element method.

  17. Modeling of CMUTs with Multiple Anisotropic Layers and Residual Stress

    DEFF Research Database (Denmark)

    Engholm, Mathias; Thomsen, Erik Vilain

    2014-01-01

    Usually the analytical approach for modeling CMUTs uses the single layer plate equation to obtain the deflection and does not take anisotropy and residual stress into account. A highly accurate model is developed for analytical characterization of CMUTs taking an arbitrary number of layers...... and residual stress into account. Based on the stress-strain relation of each layer and balancing stress resultants and bending moments, a general multilayered anisotropic plate equation is developed for plates with an arbitrary number of layers. The exact deflection profile is calculated for a circular...... clamped plate of anisotropic materials with residual bi-axial stress. From the deflection shape the critical stress for buckling is calculated and by using the Rayleigh-Ritz method the natural frequency is estimated....

  18. The Zodiak workshop: an innovative model for teaching financial management through partnership with industry.

    Science.gov (United States)

    Lloyd, James W; Frawley, Suzanne L; Neer, Charles A; Merle, Christine; Goebel, Richard

    2004-01-01

    The National Commission on Veterinary Economic Issues (NCVEI) is working to enhance the non-technical skills, knowledge, aptitudes, and attitudes (SKAs) of veterinarians. This report describes the development of an innovative model for teaching the principles of financial management as they apply to the veterinary practice. Zodiak: The Game of Business Finance and Strategy is a "business literacy" game in which players work together in small teams (generally four people) to run a fictional multi-million-dollar company called Zodiak Industries for three "years" in order to learn principles of business finance and strategy. After finishing the 4.5-hour game, participants spend the rest of the workshop making the right "Connections"-exercises designed to connect what they have learned to business strategies, financial statements, and operational tactics drawn from veterinary practice. Issues addressed for the veterinary practice, with parallels drawn to Zodiak, included return on owner investment in a veterinary practice (vs. salary drawn by owner veterinarians); pricing (setting prices, price elasticity of demand, and relationships between volume, quality, and price); human resources and operations management as they relate to profitability and efficiency; cash flow and management of accounts receivable; and commonly used financial benchmarks. Workshop venues have included Michigan State University, The Ohio State University, the University of Illinois, and Purdue University. Financial and in-kind support were provided through partnership with Pharmacia Animal Health (now Pfizer Animal Health) and Hill's Pet Nutrition, Inc. Through course evaluations, participants generally rated the workshop high as an educational experience and indicated that the most important things learned were related to financial management (principles, terminology, and methods). The most enjoyable aspects of the workshop tended to be group discussions, teamwork, the dynamic

  19. Neural Networks Method in modeling of the financial company’s performance

    Directory of Open Access Journals (Sweden)

    I. P. Kurochkina

    2017-01-01

    Full Text Available The content of modern management accounting is formed in conjunction with the rapid development of information technology, using complex algorithms of economic analysis. It makes possible the practical realization of the effective management idea - management of key performance indicators, which certainly includes the indicators of financial performance of economic entities.An important place in this process is given to the construction and calculation of factorial systems of economic indicators. A substantial theoretical and empirical experience has been accumulated to solve the problems that arise. The aim of this study is to develop a universal modern model for factor analysis of finance results, allowing multivariate solutions both current and promising character with monitoring in real time.The realization of this goal is achievable by using artificial neural networks (ANN in an appropriate simulation, which are increasingly used in the economy as a tool for supporting management decisionmaking. In comparison with classical deterministic and stochastic models, ANN brings the intellectual component to the modeling process. They are able to learn to function based on the gained experience, the result of allowing less and less mistakes.The article reveals the advantages of such an alternative approach. An alternative approach to factor analysis, based on the method of neural networks, is proposed. Advantages of this approach are marked. The paper presents a phased algorithm of modeling complex cause-and-effect nature relationships, including factors’ selection for the studied result, the creation of the neural network architecture and its training. The universality of such modeling lies in the fact that it can be used for any resulting indicator.The authors have proposed and described a mathematical model of the factor analysis for financial indicators. It is important that the model included the factors of both direct and indirect actions

  20. New model for surface fracture induced by dynamical stress

    OpenAIRE

    Andersen, J. V.; Lewis, L. J.

    1997-01-01

    We introduce a model where an isotropic, dynamically-imposed stress induces fracture in a thin film. Using molecular dynamics simulations, we study how the integrated fragment distribution function depends on the rate of change and magnitude of the imposed stress, as well as on temperature. A mean-field argument shows that the system becomes unstable for a critical value of the stress. We find a striking invariance of the distribution of fragments for fixed ratio of temperature and rate of ch...

  1. MODELLING OF FINANCIAL EFFECTIVENESS AND COMPARATIVE ANALYSIS OF PUBLIC-PRIVATE PARTNERSHIP PROJECTS AND PUBLIC PROCUREMENT

    Directory of Open Access Journals (Sweden)

    Kuznetsov Aleksey Alekseevich

    2017-10-01

    Full Text Available The article substantiates the necessity of extension and development of tools for methodological evaluation of effectiveness of public-private partnership (PPP projects both individually and in comparison of effectiveness of various mechanisms of projects realization on the example of traditional public procurement. The author proposed an original technique of modelling cash flows of private and public partners when realizing the projects based on PPP and on public procurement. The model enables us promptly and with sufficient accuracy to reveal comparative advantages of project forms of PPP and public procurement, and also assess financial effectiveness of the PPP projects for each partner. The modelling is relatively straightforward and reliable. The model also enables us to evaluate public partner's expenses for availability, find the terms and thresholds for interest rates of financing attracted by the partners and for risk probabilities to ensure comparative advantage of PPP project. Proposed criteria of effectiveness are compared with methodological recommendations provided by the Ministry of Economic Development of the Russian Federation. Subject: public and private organizations, financial institutions, development institutions and their theoretical and practical techniques for effectiveness evaluation of public-private partnership (PPP projects. Complexity of effectiveness evaluation and the lack of unified and accepted methodology are among the factors that limit the development of PPP in the Russian Federation nowadays. Research objectives: development of methodological methods for assessing financial efficiency of PPP projects by creating and justifying application of new principles and methods of modelling, and also criteria for effectiveness of PPP projects both individually and in comparison with the public procurement. Materials and methods: open database of ongoing PPP projects in the Russian Federation and abroad was used. The

  2. A hierarchical stress release model for synthetic seismicity

    Science.gov (United States)

    Bebbington, Mark

    1997-06-01

    We construct a stochastic dynamic model for synthetic seismicity involving stochastic stress input, release, and transfer in an environment of heterogeneous strength and interacting segments. The model is not fault-specific, having a number of adjustable parameters with physical interpretation, namely, stress relaxation, stress transfer, stress dissipation, segment structure, strength, and strength heterogeneity, which affect the seismicity in various ways. Local parameters are chosen to be consistent with large historical events, other parameters to reproduce bulk seismicity statistics for the fault as a whole. The one-dimensional fault is divided into a number of segments, each comprising a varying number of nodes. Stress input occurs at each node in a simple random process, representing the slow buildup due to tectonic plate movements. Events are initiated, subject to a stochastic hazard function, when the stress on a node exceeds the local strength. An event begins with the transfer of excess stress to neighboring nodes, which may in turn transfer their excess stress to the next neighbor. If the event grows to include the entire segment, then most of the stress on the segment is transferred to neighboring segments (or dissipated) in a characteristic event. These large events may themselves spread to other segments. We use the Middle America Trench to demonstrate that this model, using simple stochastic stress input and triggering mechanisms, can produce behavior consistent with the historical record over five units of magnitude. We also investigate the effects of perturbing various parameters in order to show how the model might be tailored to a specific fault structure. The strength of the model lies in this ability to reproduce the behavior of a general linear fault system through the choice of a relatively small number of parameters. It remains to develop a procedure for estimating the internal state of the model from the historical observations in order to

  3. From Financialization to Low and Non-Profit: Emerging Media Models for Freedom

    Directory of Open Access Journals (Sweden)

    Nuria Almiron-Roig

    2011-01-01

    Full Text Available In the midst of what is probably the worst economic and financial crisis the capitalist world has ever experienced, professional journalistic structures and news organizations are disintegrating. While mainstream current economic and media gurus –and the whole media executive class around the globe– are claiming for a business model change that allows them to go on making lots of money, many voices have been raised in unison to ask for a true radical change: money cannot be the first goal, but rather public interest. This paper presents the outcome of a research on the non-profit alternatives currently under debate destined to help journalism survive.

  4. Modelling asset correlations during the recent financial crisis: A semiparametric approach

    DEFF Research Database (Denmark)

    Aslanidis, Nektarios; Casas, Isabel

    This article proposes alternatives to the Dynamic Conditional Correlation (DCC) model to study assets' correlations during the recent financial crisis. In particular, we adopt a semiparametric and nonparametric approach to estimate the conditional correlations for two interesting portfolios....... The first portfolio consists of equity sectors SPDRs and the S&P 500 composite, while the second one contains major currencies that are actively traded in the foreign exchange market. Methodologically, our contribution is two fold. First, we propose the Local Linear (LL) estimator for the correlations...

  5. Differential Dynamic Evolutionary Model of Emergency Financial Service Supply Chain in Natural Disaster Risk Management

    Directory of Open Access Journals (Sweden)

    Shujian Ma

    2016-01-01

    Full Text Available A government-market-public partnership (GMPP could be a feasible arrangement for providing insurance coverage for natural disaster. Firstly, we put forward GMPP management mode. Secondly, the emergency financial service supply chain for natural disaster risk is built from the view of supply chain. Finally, the objective of this paper is to obtain insights into the cooperative and competitive relationship in GMPP system. We establish the cooperative and competitive differential dynamic evolutionary models and prove the existence of equilibrium solutions in order to solve the coordination problems. In conclusion, the equilibrium solutions can be achieved among the insurers, the operating governments, and the public.

  6. Modeling of plates with multiple anisotropic layers and residual stress

    DEFF Research Database (Denmark)

    Engholm, Mathias; Pedersen, Thomas; Thomsen, Erik Vilain

    2016-01-01

    Usually the analytical approach for modeling of plates uses the single layer plate equation to obtain the deflection and does not take anisotropy and residual stress into account. Based on the stress–strain relation of each layer and balancing stress resultants and bending moments, a general...... multilayered anisotropic plate equation is developed for plates with an arbitrary number of layers. The exact deflection profile is calculated for a circular clamped plate of anisotropic materials with residual bi-axial stress.From the deflection shape the critical stress for buckling is calculated......, and an excellent agreement between the two models is seen with a relative difference of less than 2% for all calculations. The model was also used to extract the cell capacitance, the parasitic capacitance and the residual stress of a pressure sensor composed of a multilayered plate of silicon and silicon oxide...

  7. Agent-based model with multi-level herding for complex financial systems

    Science.gov (United States)

    Chen, Jun-Jie; Tan, Lei; Zheng, Bo

    2015-02-01

    In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet understood. Especially, how to produce these two features in one model remains challenging. We introduce a novel interaction mechanism, i.e., the multi-level herding, in constructing an agent-based model to investigate the sector structure combined with volatility clustering. According to the previous market performance, agents trade in groups, and their herding behavior comprises the herding at stock, sector and market levels. Further, we propose methods to determine the key model parameters from historical market data, rather than from statistical fitting of the results. From the simulation, we obtain the sector structure and volatility clustering, as well as the eigenvalue distribution of the cross-correlation matrix, for the New York and Hong Kong stock exchanges. These properties are in agreement with the empirical ones. Our results quantitatively reveal that the multi-level herding is the microscopic generation mechanism of the sector structure, and provide new insight into the spatio-temporal interactions in financial systems at the microscopic level.

  8. Improving financial performance by modeling and analysis of radiology procedure scheduling at a large community hospital.

    Science.gov (United States)

    Lu, Lingbo; Li, Jingshan; Gisler, Paula

    2011-06-01

    Radiology tests, such as MRI, CT-scan, X-ray and ultrasound, are cost intensive and insurance pre-approvals are necessary to get reimbursement. In some cases, tests may be denied for payments by insurance companies due to lack of pre-approvals, inaccurate or missing necessary information. This can lead to substantial revenue losses for the hospital. In this paper, we present a simulation study of a centralized scheduling process for outpatient radiology tests at a large community hospital (Central Baptist Hospital in Lexington, Kentucky). Based on analysis of the central scheduling process, a simulation model of information flow in the process has been developed. Using such a model, the root causes of financial losses associated with errors and omissions in this process were identified and analyzed, and their impacts were quantified. In addition, "what-if" analysis was conducted to identify potential process improvement strategies in the form of recommendations to the hospital leadership. Such a model provides a quantitative tool for continuous improvement and process control in radiology outpatient test scheduling process to reduce financial losses associated with process error. This method of analysis is also applicable to other departments in the hospital.

  9. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals

    Science.gov (United States)

    Gontis, V.; Havlin, S.; Kononovicius, A.; Podobnik, B.; Stanley, H. E.

    2016-11-01

    We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive macroscopic equations based on the microscopic herding interactions of agents and find that they are able to reproduce various stylized facts of different markets and different assets with the same set of model parameters. We show that the power-law properties and the scaling of return intervals and other financial variables have a similar origin and could be a result of a general class of non-linear stochastic differential equations derived from a master equation of an agent system that is coupled by herding interactions. Specifically, we find that this approach enables us to recover the volatility return interval statistics as well as volatility probability and spectral densities for the NYSE and FOREX markets, for different assets, and for different time-scales. We find also that the historical S&P500 monthly series exhibits the same volatility return interval properties recovered by our proposed model. Our statistical results suggest that human herding is so strong that it persists even when other evolving fluctuations perturbate the financial system.

  10. finite element model for predicting residual stresses in shielded

    African Journals Online (AJOL)

    eobe

    This paper investigates the prediction of residual stresses developed ... steel plates through Finite Element Model simulation and experiments. ... The experimental values as measured by the X-Ray diffractometer were of ... Based on this, it can be concluded that Finite Element .... Comparison of Residual Stresses from X.

  11. A Specific Model for Assessing the Financial Performance:Case study on Building Sector Enterprises of Galati County - Romania

    Directory of Open Access Journals (Sweden)

    Nicoleta BARBUTA-MISU

    2011-11-01

    Full Text Available In this paper is designed a specific model for assessing the financial performance, based on models of bankruptcy risk, for enterprises acting in the building sector from Galati County - Romania. The main purpose of the paper is designing and development a model for evaluation financial performance that important for ranking enterprises. To choose model variables was used discriminate analysis on 22 variables proposed that separate objectively performant by non-performant enterprises. The proposed model with five variables was tested using the initial sample of enterprises obtaining an average success ratio of 81.82%.

  12. LIMIT STRESS SPLINE MODELS FOR GRP COMPOSITES

    African Journals Online (AJOL)

    ES OBE

    INTRODUCTION. The strength of any material used in any design is very important in order to evaluate the performance index of a particular project. Plastics are polymers that are viscoelastic in nature, show time dependence response to applied stress (Creep), [1]. GRP mechanical properties are therefore affected by creep.

  13. Agent-based model with asymmetric trading and herding for complex financial systems.

    Science.gov (United States)

    Chen, Jun-Jie; Zheng, Bo; Tan, Lei

    2013-01-01

    For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results. To study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors' asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data. With the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities. We reveal that for the leverage and anti-leverage effects, both the investors' asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors' trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the determination of the key parameters can be applied to other complex

  14. Agent-based model with asymmetric trading and herding for complex financial systems.

    Directory of Open Access Journals (Sweden)

    Jun-Jie Chen

    Full Text Available BACKGROUND: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results. METHODS: To study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors' asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data. RESULTS: With the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities. CONCLUSIONS: We reveal that for the leverage and anti-leverage effects, both the investors' asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors' trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the

  15. Modelling of thermal stress in vapor generator supports

    International Nuclear Information System (INIS)

    Halpert, S.; Vazquez, L.

    1997-01-01

    To assure safety and availability of a nuclear power plant components or equipment stress analysis are done. When thermal loads are involved it's necessary to know the temperature field of the component or equipment. This paper describes the structural analysis of a steam generator lug with thermal load including the model used for computer simulation and presents the evolution of the temperature profile, the stress intensity and principal stress during start up and shut down of a nuclear power reactor. Temperature field obtained from code calculation show good agreement with the experimental data while stress analysis results are in agreement with a preview estimation. (author) [es

  16. Emotional Stress and Cardiovascular Complications in Animal Models: A Review of the Influence of Stress Type.

    Science.gov (United States)

    Crestani, Carlos C

    2016-01-01

    Emotional stress has been recognized as a modifiable risk factor for cardiovascular diseases. The impact of stress on physiological and psychological processes is determined by characteristics of the stress stimulus. For example, distinct responses are induced by acute vs. chronic aversive stimuli. Additionally, the magnitude of stress responses has been reported to be inversely related to the degree of predictability of the aversive stimulus. Therefore, the purpose of the present review was to discuss experimental research in animal models describing the influence of stressor stimulus characteristics, such as chronicity and predictability, in cardiovascular dysfunctions induced by emotional stress. Regarding chronicity, the importance of cardiovascular and autonomic adjustments during acute stress sessions and cardiovascular consequences of frequent stress response activation during repeated exposure to aversive threats (i.e., chronic stress) is discussed. Evidence of the cardiovascular and autonomic changes induced by chronic stressors involving daily exposure to the same stressor (predictable) vs. different stressors (unpredictable) is reviewed and discussed in terms of the impact of predictability in cardiovascular dysfunctions induced by stress.

  17. Stress and Sleep Reactivity: A Prospective Investigation of the Stress-Diathesis Model of Insomnia

    Science.gov (United States)

    Drake, Christopher L.; Pillai, Vivek; Roth, Thomas

    2014-01-01

    Study Objectives: To prospectively assess sleep reactivity as a diathesis of insomnia, and to delineate the interaction between this diathesis and naturalistic stress in the development of insomnia among normal sleepers. Design: Longitudinal. Setting: Community-based. Participants: 2,316 adults from the Evolution of Pathways to Insomnia Cohort (EPIC) with no history of insomnia or depression (46.8 ± 13.2 y; 60% female). Interventions: None. Measurements and Results: Participants reported the number of stressful events they encountered at baseline (Time 1), as well as the level of cognitive intrusion they experienced in response to each stressor. Stressful events (OR = 1.13; P insomnia one year hence (Time 2). Intrusion mediated the effects of stressful events on risk for insomnia (P insomnia (OR = 1.78; P insomnia as a function of intrusion was significantly higher in individuals with high sleep reactivity. Trait sleep reactivity also constituted a significant risk for depression (OR = 1.67; P Insomnia at Time 2 significantly mediated this effect (P insomnia, and that it triggers insomnia by exacerbating the effects of stress-induced intrusion. Sleep reactivity is also a precipitant of depression, as mediated by insomnia. These findings support the stress-diathesis model of insomnia, while highlighting sleep reactivity as an important diathesis. Citation: Drake CL, Pillai V, Roth T. Stress and sleep reactivity: a prospective investigation of the stress-diathesis model of insomnia. SLEEP 2014;37(8):1295-1304. PMID:25083009

  18. Financial performance as a decision criterion of credit scoring models selection [doi: 10.21529/RECADM.2017004

    Directory of Open Access Journals (Sweden)

    Rodrigo Alves Silva

    2017-09-01

    Full Text Available This paper aims to show the importance of the use of financial metrics in decision-making of credit scoring models selection. In order to achieve such, we considered an automatic approval system approach and we carried out a performance analysis of the financial metrics on the theoretical portfolios generated by seven credit scoring models based on main statistical learning techniques. The models were estimated on German Credit dataset and the results were analyzed based on four metrics: total accuracy, error cost, risk adjusted return on capital and Sharpe index. The results show that total accuracy, widely used as a criterion for selecting credit scoring models, is unable to select the most profitable model for the company, indicating the need to incorporate financial metrics into the credit scoring model selection process. Keywords Credit risk; Model’s selection; Statistical learning.

  19. Tocopherol And Tocotrienol: Therapeutic Potential In Animal Models of Stress.

    Science.gov (United States)

    Azlina, Mohd Fahami Nur; Kamisah, Yusof; Qodriyah, Mohd Saad

    2017-11-22

    Scientific reports had shown that stress is related to numerous pathological changes in the body. These pathological changes can bring about numerous diseases and can significantly cause negative effects in an individual. These include gastric ulcer, liver pathology and neurobehavioral changes. A common pathogenesis in many diseases related to stress involves oxidative damage. Therefore, the administration of antioxidants such as vitamin E is a reasonable therapeutic approach. However, there is conflicting evidence about antioxidant supplementation. The aim of this work was to summarize documented reports on the effects of tocopherol and tocotrienol on various pathological changes induced by stress. This review will reveal the scientific evidence of enteral supplementation of vitamin E in the forms of tocotrienol and tocopherol in animal models of stress. These models mimic the stress endured by critically ill patients in a clinical setting and psychological stress in individuals. Positive outcomes from enteral feeding of vitamin E in reducing the occurrence of stress-induced pathological changes are discussed in this review. These positive findings include their ability to reduced stress-induced gastric ulcers, elevated liver enzymes and improved locomotors activity. Evidences showing tocotrienol and tocopherol effects are not just related to its ability to reduce oxidative stress but also acting on other mechanism are discussed. Copyright© Bentham Science Publishers; For any queries, please email at epub@benthamscience.org.

  20. Stress field modelling from digital geological map data

    Science.gov (United States)

    Albert, Gáspár; Barancsuk, Ádám; Szentpéteri, Krisztián

    2016-04-01

    To create a model for the lithospheric stress a functional geodatabase is required which contains spatial and geodynamic parameters. A digital structural-geological map is a geodatabase, which usually contains enough attributes to create a stress field model. Such a model is not accurate enough for engineering-geological purposes because simplifications are always present in a map, but in many cases maps are the only sources for a tectonic analysis. The here presented method is designed for field geologist, who are interested to see the possible realization of the stress field over the area, on which they are working. This study presents an application which can produce a map of 3D stress vectors from a kml-file. The core application logic is implemented on top of a spatially aware relational database management system. This allows rapid and geographically accurate analysis of the imported geological features, taking advantage of standardized spatial algorithms and indexing. After pre-processing the map features in a GIS, according to the Type-Property-Orientation naming system, which was described in a previous study (Albert et al. 2014), the first stage of the algorithm generates an irregularly spaced point cloud by emitting a pattern of points within a user-defined buffer zone around each feature. For each point generated, a component-wise approximation of the tensor field at the point's position is computed, derived from the original feature's geodynamic properties. In a second stage a weighted moving average method calculates the stress vectors in a regular grid. Results can be exported as geospatial data for further analysis or cartographic visualization. Computation of the tensor field's components is based on the implementation of the Mohr diagram of a compressional model, which uses a Coulomb fracture criterion. Using a general assumption that the main principal stress must be greater than the stress from the overburden, the differential stress is

  1. Canada; Financial Sector Stability Assessment

    OpenAIRE

    International Monetary Fund

    2014-01-01

    This report discusses key findings of the Financial Sector Stability Assessment on Canada. Canada’s financial system successfully navigated the global financial crisis, and stress tests suggest that major financial institutions would continue to be resilient to credit, liquidity, and contagion risks arising from a severe stress scenario. Elevated housing prices and high household debt remain an area of concern, though targeted prudential and macroprudential measures are proving to be effectiv...

  2. Modelling and analysis of radial thermal stresses and temperature ...

    African Journals Online (AJOL)

    user

    The temperature field, heat transfer rate and thermal stresses were investigated with numerical simulation models using FORTRAN FE (finite element) software. ...... specific heats, International Communications in Heat and Mass Transfer, Vol.

  3. Group-Wise Herding Behavior in Financial Markets: An Agent-Based Modeling Approach

    Science.gov (United States)

    Kim, Minsung; Kim, Minki

    2014-01-01

    In this paper, we shed light on the dynamic characteristics of rational group behaviors and the relationship between monetary policy and economic units in the financial market by using an agent-based model (ABM), the Hurst exponent, and the Shannon entropy. First, an agent-based model is used to analyze the characteristics of the group behaviors at different levels of irrationality. Second, the Hurst exponent is applied to analyze the characteristics of the trend-following irrationality group. Third, the Shannon entropy is used to analyze the randomness and unpredictability of group behavior. We show that in a system that focuses on macro-monetary policy, steep fluctuations occur, meaning that the medium-level irrationality group has the highest Hurst exponent and Shannon entropy among all of the groups. However, in a system that focuses on micro-monetary policy, all group behaviors follow a stable trend, and the medium irrationality group thus remains stable, too. Likewise, in a system that focuses on both micro- and macro-monetary policies, all groups tend to be stable. Consequently, we find that group behavior varies across economic units at each irrationality level for micro- and macro-monetary policy in the financial market. Together, these findings offer key insights into monetary policy. PMID:24714635

  4. Sustainable model for financial viability of decentralized biomass gasifier based power projects

    International Nuclear Information System (INIS)

    Palit, Debajit; Malhotra, Ramit; Kumar, Atul

    2011-01-01

    This paper made a modest attempt for designing a sustainable model for financial viability of biomass gasifier power projects for enhancing electricity access in India and other developing countries. For long term sustainability of distributed generation projects in remote rural areas, viability from both project implementing agency (PIA) and the end-users need to be ensured. The minimum required prices of electricity from both PIA and end-user perspective have been estimated. While for PIA the cost recovery is the key for viability, the affordability to pay the electricity cost is crucial for the end users. Analysis carried out in this paper on the basis of data obtained from operational projects implemented in India reveal that it is essential to operate the system at a higher capacity utilization factor. While this can be achieved though creating convergence with locally relevant economic activity, it is also observed that micro-enterprises cannot pay beyond a certain price of electricity to keep it sustainable. This paper sets forth a case for developing a regulatory mechanism to extend the tariff fixation for the projects and providing cross-subsidies to ensure long term sustainability of off-grid project. - Highlights: → We design sustainable financial model for viability of biomass gasifier projects. → Analysis based on field data obtained from operational projects in India. Estimated electricity pricing from both implementing agency and end-users perspective. → A regulatory mechanism for tariff fixation and cross subsidization is recommended.

  5. Micromagnetic modeling of the effects of stress on magnetic properties

    International Nuclear Information System (INIS)

    Zhu, B.; Lo, C. C. H.; Lee, S. J.; Jiles, D. C.

    2001-01-01

    A micromagnetic model has been developed for investigating the effect of stress on the magnetic properties of thin films. This effect has been implemented by including the magnetoelastic energy term into the Landau - Lifshitz - Gilbert equation. Magnetization curves of a nickel film were calculated under both tensile and compressive stresses of various magnitudes applied along the field direction. The modeling results show that coercivity increased with increasing compressive stress while remanence decreased with increasing tensile stress. The results are in agreement with the experimental data in the literature and can be interpreted in terms of the effects of the applied stress on the irreversible rotation of magnetic moments during magnetization reversal under an applied field. [copyright] 2001 American Institute of Physics

  6. Decision Making Models in the Financial Market: A Study in the Light of Prospect Theory and Limited Rationality

    OpenAIRE

    Alex Diego Souza Queiroz; Marilia Oliveira dos Reis; Joseilton Silveira da Rocha

    2016-01-01

    The objective of this study was to determine whether the decision-making models present in Prospect Theory and the theory of limited rationality could help managers of financial institutions identify and control the emotions and rational limitations involved in the credit granting process in the financial market. To this end, a study was carried out with 17 bank managers as experimental group and 31 other managers from different areas as control group. Adopting a quantitative approach to rese...

  7. ASSESSING GOING CONCERN ASSUMPTION BY USING RATING VALUATION MODELS BASED UPON ANALYTICAL PROCEDURES IN CASE OF FINANCIAL INVESTMENT COMPANIES

    OpenAIRE

    Tatiana Danescu; Ovidiu Spatacean; Paula Nistor; Andrea Cristina Danescu

    2010-01-01

    Designing and performing analytical procedures aimed to assess the rating of theFinancial Investment Companies are essential activities both in the phase of planning a financialaudit mission and in the phase of issuing conclusions regarding the suitability of using by themanagement and other persons responsible for governance of going concern, as the basis forpreparation and disclosure of financial statements. The paper aims to examine the usefulness ofrecognized models used in the practice o...

  8. Financial Liberalization and Economic Growth in the North Africa Region: Cointegration Panel Analysis by DOLS and FMOLS Models

    OpenAIRE

    KHATTAB, Ahmed; IHADIYAN, Abid

    2015-01-01

    Abstract. This article aims at examining the impact of financial liberalization on the economic growth in the North African countries. The econometric study, which covers the period between 1995 and 2013, relies on a sample composed of four Northern African countries and referring to the database of the World Bank data (2013), Heritage Foundation (2013) and Financial Openness of (the Institute for international and development Economics, 2009). The estimate model of cointegration panel reveal...

  9. Mathematical model of polyethylene pipe bending stress state

    Science.gov (United States)

    Serebrennikov, Anatoly; Serebrennikov, Daniil

    2018-03-01

    Introduction of new machines and new technologies of polyethylene pipeline installation is usually based on the polyethylene pipe flexibility. It is necessary that existing bending stresses do not lead to an irreversible polyethylene pipe deformation and to violation of its strength characteristics. Derivation of the mathematical model which allows calculating analytically the bending stress level of polyethylene pipes with consideration of nonlinear characteristics is presented below. All analytical calculations made with the mathematical model are experimentally proved and confirmed.

  10. A Test of the Family Stress Model on Toddler-Aged Children's Adjustment among Hurricane Katrina Impacted and Nonimpacted Low-Income Families

    Science.gov (United States)

    Scaramella, Laura V.; Sohr-Preston, Sara L.; Callahan, Kristin L.; Mirabile, Scott P.

    2008-01-01

    Hurricane Katrina dramatically altered the level of social and environmental stressors for the residents of the New Orleans area. The Family Stress Model describes a process whereby felt financial strain undermines parents' mental health, the quality of family relationships, and child adjustment. Our study considered the extent to which the Family…

  11. Toward Universal Financial Inclusion in China : Models, Challenges, and Global Lessons

    OpenAIRE

    World Bank Group; People's Bank of China

    2018-01-01

    China has achieved remarkable success in financial inclusion. China’s rate of account ownership – a basic metric of financial inclusion – has increased significantly in the past two decades and is now on par with that of other G-20 countries. Traditional financial service providers have dramatically increased the reach of the formal financial sector, including through the world’s largest agent banking network. China has also been an established leader in the fintech revolution, with new techn...

  12. Financial Inclusion of the Poor and Marginalised in Jharkhand : Analysis of the Existing Model

    OpenAIRE

    Sabyasachi Chakraborty; Arup Mukherjee

    2012-01-01

    Promotion of financial inclusion has been an important social and financial need across countries. In India, the primary responsibility of ensuring financial inclusion lies with the commercial banks subject to guidelines of the central bank (RBI). However, due to the huge size and diversity of population the commercial banks have been taking the assistance of various social and financial entities like co-operative banks, regional rural banks (RRBs), self-help groups (SHGs ), joint liability ...

  13. Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

    OpenAIRE

    Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong

    2016-01-01

    textabstractThe primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major r...

  14. Macro-Prudential Policy in a Fisherian model of Financial Innovation

    OpenAIRE

    Javier Bianchi; Emine Boz; Enrique G. Mendoza

    2012-01-01

    The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned ...

  15. COMPUTER MODELING OF FINANCIAL INFORMATION FOR BUSINESS PLANS (XBRL - EXTENSIBLE BUSINESS REPORTING LANGUAGE

    Directory of Open Access Journals (Sweden)

    Valeriu LUPU

    2017-06-01

    Full Text Available The quality of a manager's decision improves based on high quality financial statements, hence the need to find means to increase the quality of financial reporting, specifically to increase the quality of the assurance process. The ultimate aim is to reduce the skepticism of users of financial data and to use XBRL as Internet-based technology to enable electronic preparation and exchange of worldwide financial statements.

  16. Influence of Hardening Model on Weld Residual Stress Distribution

    Energy Technology Data Exchange (ETDEWEB)

    Mullins, Jonathan; Gunnars, Jens (Inspecta Technology AB, Stockholm (Sweden))

    2009-06-15

    This study is the third stage of a project sponsored by the Swedish Radiation Safety Authority (SSM) to improve the weld residual stress modelling procedures currently used in Sweden. The aim of this study was to determine which material hardening model gave the best agreement with experimentally measured weld residual stress distributions. Two girth weld geometries were considered: 19mm and 65mm thick girth welds with Rin/t ratios of 10.5 and 2.8, respectively. The FE solver ABAQUS Standard v6.5 was used for analysis. As a preliminary step some improvements were made to the welding simulation procedure used in part one of the project. First, monotonic stress strain curves and a mixed isotropic/kinematic hardening model were sourced from the literature for 316 stainless steel. Second, more detailed information was obtained regarding the geometry and welding sequence for the Case 1 weld (compared with phase 1 of this project). Following the preliminary step, welding simulations were conducted using isotropic, kinematic and mixed hardening models. The isotropic hardening model gave the best overall agreement with experimental measurements; it is therefore recommended for future use in welding simulations. The mixed hardening model gave good agreement for predictions of the hoop stress but tended to under estimate the magnitude of the axial stress. It must be noted that two different sources of data were used for the isotropic and mixed models in this study and this may have contributed to the discrepancy in predictions. When defining a mixed hardening model it is difficult to delineate the relative contributions of isotropic and kinematic hardening and for the model used it may be that a greater isotropic hardening component should have been specified. The kinematic hardening model consistently underestimated the magnitude of both the axial and hoop stress and is not recommended for use. Two sensitivity studies were also conducted. In the first the effect of using a

  17. Influence of Hardening Model on Weld Residual Stress Distribution

    International Nuclear Information System (INIS)

    Mullins, Jonathan; Gunnars, Jens

    2009-06-01

    This study is the third stage of a project sponsored by the Swedish Radiation Safety Authority (SSM) to improve the weld residual stress modelling procedures currently used in Sweden. The aim of this study was to determine which material hardening model gave the best agreement with experimentally measured weld residual stress distributions. Two girth weld geometries were considered: 19mm and 65mm thick girth welds with Rin/t ratios of 10.5 and 2.8, respectively. The FE solver ABAQUS Standard v6.5 was used for analysis. As a preliminary step some improvements were made to the welding simulation procedure used in part one of the project. First, monotonic stress strain curves and a mixed isotropic/kinematic hardening model were sourced from the literature for 316 stainless steel. Second, more detailed information was obtained regarding the geometry and welding sequence for the Case 1 weld (compared with phase 1 of this project). Following the preliminary step, welding simulations were conducted using isotropic, kinematic and mixed hardening models. The isotropic hardening model gave the best overall agreement with experimental measurements; it is therefore recommended for future use in welding simulations. The mixed hardening model gave good agreement for predictions of the hoop stress but tended to under estimate the magnitude of the axial stress. It must be noted that two different sources of data were used for the isotropic and mixed models in this study and this may have contributed to the discrepancy in predictions. When defining a mixed hardening model it is difficult to delineate the relative contributions of isotropic and kinematic hardening and for the model used it may be that a greater isotropic hardening component should have been specified. The kinematic hardening model consistently underestimated the magnitude of both the axial and hoop stress and is not recommended for use. Two sensitivity studies were also conducted. In the first the effect of using a

  18. Stress associated with caregiving: an examination of the stress process model among Kenyan Luo elders.

    Science.gov (United States)

    Ice, Gillian H; Sadruddin, Aalyia F A; Vagedes, Amy; Yogo, Jaja; Juma, Elizabeth

    2012-06-01

    Globally, a growing number of grandparents are caring for their grandchildren. The impact and burden associated with increases in custodial grandparenting, however, may differ by culture. In the United States, the caregiving role has been shown to be a significant source of stress for older adults. In cultures in which grandparents are more commonly involved in the care of young children, however, increasing caregiving roles may not be viewed as stressful. This study examines the impact of caregiving on perceived and physiological measures of stress among 640 Luo elders (60+) in western Kenya, where high HIV prevalence among younger-to-middle aged adults has led to a heavy burden of orphan care. Perceived stress levels were measured using the Luo Perceived Stress Scale (LPSS). Salivary cortisol and casual blood pressure were used as biomarkers of stress. Results were analyzed using random mixed effects models. Overall this study showed that caregivers have higher levels of perceived stress than non-caregivers. For women, household composition, including the number of orphans and adults in the homestead impacted perceived stress. Among men, those who perceived caregiving as burdensome had higher perceived stress. Despite the association between caregiving and perceived stress, there was a minimal relationship between caregiving and the two biomarkers of stress. This may be because caregiving is superimposed onto other stressors and therefore has a minimal physiological impact. These results highlight the importance of local context in determining the impact of the caregiving role on older adult well-being. Copyright © 2012 Elsevier Ltd. All rights reserved.

  19. Stress transfer modeling in CNT reinforced composites using continuum mechanics

    International Nuclear Information System (INIS)

    Chaboki Khiabani, A.; Sadrnejad, S. A.; Yahyaeii, M.

    2008-01-01

    Because of the substantial difference in stiffness between matrix and nano tube in CNT composite, the stress transfer between them controls their mechanical properties. This paper investigates the said issue, analytically and numerically, in axial load using representative volume element. The analytical model was established based on the modified Cox's shear lag model with the use of some simplified assumptions. Some, in the developed shear lag model, the CNT assumes hollow fiber. Solving the governing differential equation. led the high shear stress, in interface especially in the CNT cap. In addition, some finite element models were performed with different aspect ratios and the shear stress pattern especially in interface was calculated numerically. Despite some simplified assumptions that were performed with these two models such as elastic behavior and full connectivity, and the comparison of their results with other numerical models show adequate agreement

  20. Adaptive rival penalized competitive learning and combined linear predictor model for financial forecast and investment.

    Science.gov (United States)

    Cheung, Y M; Leung, W M; Xu, L

    1997-01-01

    We propose a prediction model called Rival Penalized Competitive Learning (RPCL) and Combined Linear Predictor method (CLP), which involves a set of local linear predictors such that a prediction is made by the combination of some activated predictors through a gating network (Xu et al., 1994). Furthermore, we present its improved variant named Adaptive RPCL-CLP that includes an adaptive learning mechanism as well as a data pre-and-post processing scheme. We compare them with some existing models by demonstrating their performance on two real-world financial time series--a China stock price and an exchange-rate series of US Dollar (USD) versus Deutschmark (DEM). Experiments have shown that Adaptive RPCL-CLP not only outperforms the other approaches with the smallest prediction error and training costs, but also brings in considerable high profits in the trading simulation of foreign exchange market.

  1. Stress potentiates decision biases: A stress induced deliberation-to-intuition (SIDI model

    Directory of Open Access Journals (Sweden)

    Rongjun Yu

    2016-06-01

    Full Text Available Humans often make decisions in stressful situations, for example when the stakes are high and the potential consequences severe, or when the clock is ticking and the task demand is overwhelming. In response, a whole train of biological responses to stress has evolved to allow organisms to make a fight-or-flight response. When under stress, fast and effortless heuristics may dominate over slow and demanding deliberation in making decisions under uncertainty. Here, I review evidence from behavioral studies and neuroimaging research on decision making under stress and propose that stress elicits a switch from an analytic reasoning system to intuitive processes, and predict that this switch is associated with diminished activity in the prefrontal executive control regions and exaggerated activity in subcortical reactive emotion brain areas. Previous studies have shown that when stressed, individuals tend to make more habitual responses than goal-directed choices, be less likely to adjust their initial judgment, and rely more on gut feelings in social situations. It is possible that stress influences the arbitration between the emotion responses in subcortical regions and deliberative processes in the prefrontal cortex, so that final decisions are based on unexamined innate responses. Future research may further test this ‘stress induced deliberation-to-intuition’ (SIDI model and examine its underlying neural mechanisms.

  2. Modeling of grain boundary stresses in Alloy 600

    Energy Technology Data Exchange (ETDEWEB)

    Kozaczek, K.J. [Oak Ridge National Lab., TN (United States); Sinharoy, A.; Ruud, C.O. [Pennsylvania State Univ., University Park, PA (United States); Mcllree, A.R. [Electric Power Research Inst., Palo Alto, CA (United States)

    1995-04-01

    Corrosive environments combined with high stress levels and susceptible microstructures can cause intergranular stress corrosion cracking (IGSCC) of Alloy 600 components on both primary and secondary sides of pressurized water reactors. One factor affecting the IGSCC is intergranular carbide precipitation controlled by heat treatment of Alloy 600. This study is concerned with analysis of elastic stress fields in vicinity of M{sub 7}C{sub 3} and M{sub 23}C{sub 6} carbides precipitated in the matrix and at a grain boundary triple point. The local stress concentration which can lead to IGSCC initiation was studied using a two-dimensional finite element model. The intergranular precipitates are more effective stress raisers than the intragranular precipitates. The combination of the elastic property mismatch and the precipitate shape can result in a local stress field substantially different than the macroscopic stress. The maximum local stresses in the vicinity of the intergranular precipitate were almost twice as high as the applied stress.

  3. Approaches to modeling the development of physiological stress responsivity.

    Science.gov (United States)

    Hinnant, J Benjamin; Philbrook, Lauren E; Erath, Stephen A; El-Sheikh, Mona

    2018-05-01

    Influential biopsychosocial theories have proposed that some developmental periods in the lifespan are potential pivot points or opportunities for recalibration of stress response systems. To date, however, there have been few longitudinal studies of physiological stress responsivity and no studies comparing change in physiological stress responsivity across developmental periods. Our goals were to (a) address conceptual and methodological issues in studying the development of physiological stress responsivity within and between individuals, and (b) provide an exemplar for evaluating development of responsivity to stress in the parasympathetic nervous system, comparing respiratory sinus arrhythmia (RSA) responsivity from middle to late childhood with middle to late adolescence. We propose the use of latent growth modeling of stress responsivity that includes time-varying covariates to account for conceptual and methodological issues in the measurement of physiological stress responsivity. Such models allow researchers to address key aspects of developmental sensitivity including within-individual variability, mean level change over time, and between-individual variability over time. In an empirical example, we found significant between-individual variability over time in RSA responsivity to stress during middle to late childhood but not during middle to late adolescence, suggesting that childhood may be a period of greater developmental sensitivity at the between-individual level. © 2017 Society for Psychophysiological Research.

  4. Initiation model for intergranular stress corrosion cracking in BWR pipes

    International Nuclear Information System (INIS)

    Hishida, Mamoru; Kawakubo, Takashi; Nakagawa, Yuji; Arii, Mitsuru.

    1981-01-01

    Discussions were made on the keys of intergranular stress corrosion cracking of austenitic stainless steel in high-temperature water in laboratories and stress corrosion cracking incidents in operating plants. Based on these discussions, a model was set up of intergranular stress corrosion cracking initiation in BWR pipes. Regarding the model, it was presumed that the intergranular stress corrosion cracking initiates during start up periods whenever heat-affected zones in welded pipes are highly sensitized and suffer dynamic strain in transient water containing dissolved oxygen. A series of BWR start up simulation tests were made by using a flowing autoclave system with slow strain rate test equipment. Validity of the model was confirmed through the test results. (author)

  5. New plastic plane stress model for concrete

    International Nuclear Information System (INIS)

    Winnicki, A.; Cichon, Cz.

    1993-01-01

    In the paper a description of concrete behaviour in the plane stress case is given on the basis of the modified bounding surface plasticity theory. Three independent plastic mechanisms have been introduced describing axiatoric and deviatoric plastic strains and their coupling. All the new analytical formulae for material functions being in agreement with experiments and loading/unloading criteria have been proposed. In addition, for the proper description of concrete behaviour in tension a new, separate function of bounding surface shrinkage has been introduced. (author)

  6. Modelling of the Residual Stress State in a new Type of Residual Stress Specimen

    DEFF Research Database (Denmark)

    Jakobsen, Johnny; Andreasen, Jens Henrik

    2014-01-01

    forms the experimental case which is analysed. A FE model of the specimen is used for analysing the curing history and the residual stress build up. The model is validated against experimental strain data which are recorded by a Fibre Brag Grating sensor and good agreement has been achieved.......The paper presents a study on a new type residual stress specimen which is proposed as a simple way to conduct experimental validation for model predictions. A specimen comprising of a steel plate with circular hole embedded into a stack of CSM glass fibre and further infused with an epoxy resin...

  7. Why Financial Advice Cannot Substitute for Financial Literacy?

    OpenAIRE

    M. Debbich

    2015-01-01

    This paper examines the ability of financial advice provided by sellers of financial services to substitute for financial literacy of customers. I set up a simple theoretical model in which an informed financial advisor communicates with a less informed customer of financial services. Given the existence of a conflict of interest from the advisor's perspective, the model predicts that only well financially sophisticated customers receive relevant information from the advisor. This fact tends ...

  8. Financial stability, monetary policy and budgetary coordination in EMU

    Directory of Open Access Journals (Sweden)

    Claudiu Tiberiu ALBULESCU

    2012-08-01

    Full Text Available A series of recent studies analyze the impact of financial crisis on the fiscal soundness in the Euro area countries. Even if their documented results present the transmission mechanisms of the financial instability toward the fiscal sector, a more realistic problem is related to the contribution of the fiscal and budgetary disequilibrium to the financial instability propagation. In this line, we show, based on a simple econometric model, that, beside the expansionary monetary policy, the budgetary deficit conducts to the financial stability deterioration. The financial stability of the Euro area is measured based on an aggregate financial stability index, constructed by employing the IMF methodology used for the financial stress index.

  9. The calm mouse: an animal model of stress reduction.

    Science.gov (United States)

    Gurfein, Blake T; Stamm, Andrew W; Bacchetti, Peter; Dallman, Mary F; Nadkarni, Nachiket A; Milush, Jeffrey M; Touma, Chadi; Palme, Rupert; Di Borgo, Charles Pozzo; Fromentin, Gilles; Lown-Hecht, Rachel; Konsman, Jan Pieter; Acree, Michael; Premenko-Lanier, Mary; Darcel, Nicolas; Hecht, Frederick M; Nixon, Douglas F

    2012-05-09

    Chronic stress is associated with negative health outcomes and is linked with neuroendocrine changes, deleterious effects on innate and adaptive immunity, and central nervous system neuropathology. Although stress management is commonly advocated clinically, there is insufficient mechanistic understanding of how decreasing stress affects disease pathogenesis. Therefore, we have developed a "calm mouse model" with caging enhancements designed to reduce murine stress. Male BALB/c mice were divided into four groups: control (Cntl), standard caging; calm (Calm), large caging to reduce animal density, a cardboard nest box for shelter, paper nesting material to promote innate nesting behavior, and a polycarbonate tube to mimic tunneling; control exercise (Cntl Ex), standard caging with a running wheel, known to reduce stress; and calm exercise (Calm Ex), calm caging with a running wheel. Calm, Cntl Ex and Calm Ex animals exhibited significantly less corticosterone production than Cntl animals. We also observed changes in spleen mass, and in vitro splenocyte studies demonstrated that Calm Ex animals had innate and adaptive immune responses that were more sensitive to acute handling stress than those in Cntl. Calm animals gained greater body mass than Cntl, although they had similar food intake, and we also observed changes in body composition, using magnetic resonance imaging. Together, our results suggest that the Calm mouse model represents a promising approach to studying the biological effects of stress reduction in the context of health and in conjunction with existing disease models.

  10. Financial development, income inequality, and CO2 emissions in Asian countries using STIRPAT model.

    Science.gov (United States)

    Khan, Abdul Qayyum; Saleem, Naima; Fatima, Syeda Tamkeen

    2018-03-01

    The main purpose of this paper is to find the effects of financial development, income inequality, energy usage, and per capita GDP on carbon dioxide (CO 2 ) emissions as well the environmental Kuznets curve (EKC) for the three developing Asian countries-Bangladesh, India, and Pakistan. Panel data during the period 1980-2014 and the Stochastic Impacts by Regression on Population, Affluence, and Technology model with fully modified ordinary least squares (FMOLS) are employed for empirical investigation. The results show that financial development has a significant negative relationship with CO 2 emission in the three selected Asian countries with the exception of India. The results further reveal that income inequality in Pakistan and India reduce CO 2 emission, while the result for Bangladesh is opposite. Likewise, energy usage has a significant positive effect on CO 2 emission in Bangladesh, Pakistan, and India. Our empirical analysis based on long-run and short-run elasticity appraisal suggests the validation of the EKC in Pakistan and India. The study findings recommend an important policy insinuation. The study suggests introducing a motivational campaign for the inhabitant towards utilization of high-efficiency electrical appliances, constructing mutual cooperation for economic development rather involve in winning development race, and introducing effective pollution absorption measures along with big projects.

  11. A model for the dynamic behavior of financial assets affected by news: The case of Tohoku-Kanto earthquake

    Science.gov (United States)

    Ochiai, T.; Nacher, J. C.

    2011-09-01

    The prices of financial products in markets are determined by the behavior of investors, who are influenced by positive and negative news. Here, we present a mathematical model to reproduce the price movements in real financial markets affected by news. The model has both positive and negative feed-back mechanisms. Furthermore, the behavior of the model is examined by considering two types of noise. Our results show that the dynamic balance of positive and negative feed-back mechanisms with the noise effect determines the asset price movement.

  12. Scaling symmetry, renormalization, and time series modeling: the case of financial assets dynamics.

    Science.gov (United States)

    Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L

    2013-12-01

    We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments' stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

  13. Scaling symmetry, renormalization, and time series modeling: The case of financial assets dynamics

    Science.gov (United States)

    Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L.

    2013-12-01

    We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments’ stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

  14. Modelling of the Global Geopotential Energy & Stress Field

    DEFF Research Database (Denmark)

    Schiffer, Christian; Nielsen, S.B.

    Lateral density and topography variations yield in and important contribution to the lithospheric stress field. The leading quantity is the Geopotential Energy, the integrated lithostatic pressure in a rock column. The horizontal gradient of this quantity is related to horizontal stresses through...... the Equations of equilibrium of stresses. The Geopotential Energy furthermore can be linearly related to the Geoid under assumption of local isostasy. Satellite Geoid measurements contain, however, also non-isostatic deeper mantle responses of long wavelength. Unfortunately, high-pass filtering of the Geoid...... flow in the presence of local isostasy and a steady state geotherm. Subsequently we use a FEM code to solve the Equations of equilibrium of stresses for a three dimensional elastic shell. The modelled results are shown and compared with the global stress field and other publications....

  15. The possibility of using IFRS 9 in modeling financial results of business entities

    Directory of Open Access Journals (Sweden)

    Maciej Frendzel

    2016-09-01

    Full Text Available The article undertakes the question of application of International Financial Reporting Standard (IFRS 9 Financial Instruments in the context of the possible use of its provisions to achieve the expected results in financial reporting. The aim of the article is to present the selected areas of accounting for financial instruments that can be used to shape the financial results (earnings management and the financial posi-tion of an entity in the context of the first-time application of this regulation. The article uses the method of critical analysis, deductive reasoning and case study. For the purposes of the article and the case study, unstructured interviews were conducted with two persons holding managerial positions in a financial institution in Poland and the simulations made by them were analysed.

  16. Path model of antenatal stress and depressive symptoms among Chinese primipara in late pregnancy.

    Science.gov (United States)

    Li, Yingtao; Zeng, Yingchun; Zhu, Wei; Cui, Ying; Li, Jie

    2016-07-21

    Antenatal maternal mental health problems have numerous consequences for the well-being of both mother and child. This study aimed to test and construct a pertinent model of antenatal depressive symptoms within the conceptual framework of a stress process model. This study utilized a cross-sectional study design. participants were adult women (18 years or older) having a healthy pregnancy, in their third trimester (the mean weeks gestation was 34.71). depressive and anxiety symptoms were measured by Zung's Self-rating Depressive and Anxiety Scale, stress was measured by Pregnancy-related Pressure Scale, social support and coping strategies were measured by Social Support Rating Scale and Simplified Coping Style Questionnaire, respectively. path analysis was applied to examine the hypothesized causal paths between study variables. A total of 292 subjects were enrolled. The final testing model showed good fit, with normed χ (2) = 32.317, p = 0.061, CFI = 0.961, TLI = 0.917, IFI = 0.964, NFI = 0.900, RMSEA = 0.042. This path model supported the proposed model within the theoretical framework of the stress process model. Pregnancy-related stress, financial strain and active coping have both direct and indirect effects on depressive symptoms. Psychological preparedness for delivery, social support and anxiety levels have direct effects on antenatal depressive symptoms. Good preparedness for delivery could reduce depressive symptoms, while higher levels of anxiety could significantly increase depressive symptoms. Additionally, there were indirect effects of miscarriage history, irregular menstruation, partner relationship and passive coping with depressive symptoms. The empirical support from this study has enriched theories on the determinants of depressive symptoms among Chinese primipara, and could facilitate the formulation of appropriate interventions for reducing antenatal depressive symptoms, and enhancing the mental health of

  17. A structural model of the dimensions of teacher stress.

    Science.gov (United States)

    Boyle, G J; Borg, M G; Falzon, J M; Baglioni, A J

    1995-03-01

    A comprehensive survey of teacher stress, job satisfaction and career commitment among 710 full-time primary school teachers was undertaken by Borg, Riding & Falzon (1991) in the Mediterranean islands of Malta and Gozo. A principal components analysis of a 20-item sources of teacher stress inventory had suggested four distinct dimensions which were labelled: Pupil Misbehaviour, Time/Resource Difficulties, Professional Recognition Needs, and Poor Relationships, respectively. To check on the validity of the Borg et al. factor solution, the group of 710 teachers was randomly split into two separate samples. Exploratory factor analysis was carried out on the data from Sample 1 (N = 335), while Sample 2 (N = 375) provided the cross-validational data for a LISREL confirmatory factor analysis. Results supported the proposed dimensionality of the sources of teacher stress (measurement model), along with evidence of an additional teacher stress factor (Workload). Consequently, structural modelling of the 'causal relationships' between the various latent variables and self-reported stress was undertaken on the combined samples (N = 710). Although both non-recursive and recursive models incorporating Poor Colleague Relations as a mediating variable were tested for their goodness-of-fit, a simple regression model provided the most parsimonious fit to the empirical data, wherein Workload and Student Misbehaviour accounted for most of the variance in predicting teaching stress.

  18. Starting with ABC and Finishing with XYZ: What Financial Reporting Model Best Fits a Faculty and Why?

    Science.gov (United States)

    Berry, Prudence Jane

    2014-01-01

    This article looks at the range of financial reporting models available for use in the Australian higher education sector, the possible application of activity-based costing (ABC) in faculties and the eventual rejection of ABC in favour of a more qualitative model designed specifically for use in one institution, in a particular Faculty. The…

  19. Financial history and financial economics

    OpenAIRE

    Turner, John D.

    2014-01-01

    This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial economics upon financial history, and warns of the dangers of applying financial economics unthinkingly to the study of financial history. The essay proceeds to highlight the many insights that financi...

  20. Internal stress model for pre-primary stage of low-stress creep

    International Nuclear Information System (INIS)

    Kloc, L

    2010-01-01

    Initial transient stage in low-stress creep experiments was observed in all such experiments. Recently, evidences were presented that this stage cannot be considered as a normal creep primary stage, though the shape of the creep curve is similar. The strain reached during this so called pre-primary stage is fully recoverable upon unloading; the internal stresses must play important role in the effect. Model of standard linear anelastic solid was modified by introduction of creeping body instead of viscous dashpot. Both power law and hyperbolic sine creep law were used to fit observed creep curves of model and structural materials. Mainly the model using hyeprbolic sine creep law provides good fit to individual creep curves and sets of creep curves at different stresses.

  1. Transient Heating and Thermomechanical Stress Modeling of Ceramic HEPA Filters

    Energy Technology Data Exchange (ETDEWEB)

    Bogle, Brandon [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Kelly, James [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Haslam, Jeffrey [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)

    2017-09-29

    The purpose of this report is to showcase an initial finite-element analysis model of a ceramic High-Efficiency Particulate (HEPA) Air filter design. Next generation HEPA filter assemblies are being developed at LLNL to withstand high-temperature fire scenarios by use of ceramics and advanced materials. The filters are meant for use in radiological and nuclear facilities, and are required to survive 500°C fires over an hour duration. During such conditions, however, collecting data under varying parameters can be challenging; therefore, a Finite Element Analysis model of the filter was conducted using COMSOL ® Multiphysics to analyze the effects of fire. Finite Element Analysis (FEA) modelling offers several opportunities: researchers can quickly and easily consider impacts of potential design changes, material selection, and flow characterization on filter performance. Specifically, this model provides stress references for the sealant at high temperatures. Modeling of full filter assemblies was deemed inefficient given the computational requirements, so a section of three tubes from the assembly was modeled. The model looked at the transient heating and thermomechanical stress development during a 500°C air flow at 6 CFM. Significant stresses were found at the ceramic-metal interfaces of the filter, and conservative temperature profiles at locations of interest were plotted. The model can be used for the development of sealants that minimize stresses at the ceramic-metal interface. Further work on the model would include the full filter assembly and consider heat losses to make more accurate predictions.

  2. Gender Differences in Animal Models of Posttraumatic Stress Disorder

    Directory of Open Access Journals (Sweden)

    Hagit Cohen

    2011-01-01

    Full Text Available Epidemiological studies report higher prevalence rates of stress-related disorders such as acute stress disorder and post-traumatic stress disorder (PTSD in women than in men following exposure to trauma. It is still not clear whether this greater prevalence in woman reflects a greater vulnerability to stress-related psychopathology. A number of individual and trauma-related characteristics have been hypothesized to contribute to these gender differences in physiological and psychological responses to trauma, differences in appraisal, interpretation or experience of threat, coping style or social support. In this context, the use of an animal model for PTSD to analyze some of these gender-related differences may be of particular utility. Animal models of PTSD offer the opportunity to distinguish between biological and socio-cultural factors, which so often enter the discussion about gender differences in PTSD prevalence.

  3. Computational stress and damage modelling for rolling contact fatigue

    DEFF Research Database (Denmark)

    Cerullo, Michele

    Rolling contact fatigue in radial roller bearings is studied by means of a 2D plane strain nite element program. The Dang Van multiaxial fatigue criterion is firstly used, in a macroscopic study modeling the bearing raceway, to investigate the region where fatigue cracks are more likely to nucleate...... and of compressive residual stresses are also analyzed. The stress history of a material point at the depth where the maximum Dang Van damage factor is reached is then recorded and used in a subsequent micro-mechanical analysis. The stress history is applied as periodic boundary conditions in a representative volume...

  4. Integrational Models and Forms of Inter-State Public-Private Partnership: Aspects of Financial Convergence

    Directory of Open Access Journals (Sweden)

    ALINA KULAI

    2015-10-01

    Full Text Available In the article we examined the main models and forms of public-private partnership, their role in the socio-economic development and deepening of financial convergence of countries-participants of the partnership. The attention was paid to decentralization of inter-state forms of public-private partnership as the basis of cross-border and transnational partnership. The scientific research, described in this publication, have found their practical application in the realization of the project within Euro-region “Bug”. This project has founded a joined Ukrainian – Polish institution of labor migration administration and also of granting necessary permissions for realization activities within Ukraine.

  5. A financial market model with two discontinuities: Bifurcation structures in the chaotic domain

    Science.gov (United States)

    Panchuk, Anastasiia; Sushko, Iryna; Westerhoff, Frank

    2018-05-01

    We continue the investigation of a one-dimensional piecewise linear map with two discontinuity points. Such a map may arise from a simple asset-pricing model with heterogeneous speculators, which can help us to explain the intricate bull and bear behavior of financial markets. Our focus is on bifurcation structures observed in the chaotic domain of the map's parameter space, which is associated with robust multiband chaotic attractors. Such structures, related to the map with two discontinuities, have been not studied before. We show that besides the standard bandcount adding and bandcount incrementing bifurcation structures, associated with two partitions, there exist peculiar bandcount adding and bandcount incrementing structures involving all three partitions. Moreover, the map's three partitions may generate intriguing bistability phenomena.

  6. Reconsiderations of the Development and Governance Model after the Financial and Economic Crisis

    Directory of Open Access Journals (Sweden)

    Petre Prisecaru

    2011-01-01

    Full Text Available Financial crisis brought to the fore the fierce confrontation between Keynes disciples and Friedman disciples, between demand siders and supply siders, between Obama’s policies focused on economic growrh and EU austerity policies focused on deficit and debts reduction. Monetary policy showed its limits and neoliberal approach favored the risky products(derivatives and speculative activities. Supply siders, like David Harper, centred on three pillars: tax incentives, competition policy, enhancement of productive credit. Lisbon Strategy and Europe 2020 represent a supply side agenda based on sectoral policies. Great economists like Joseph Stiglitz and Paul Krugman have supported state interventionism and higher government spending for demand recovery and resuming the economic growth. Besides state interventionism one needs the urgent reconsideration of capitalist development model and strongly improving the governance at all levels: global, European, national, corporate.

  7. Model Manajemen Laba Akrual dan Riil Berbasis Implementasi International Financial Reporting Standards

    Directory of Open Access Journals (Sweden)

    Nurmala Ahmar

    2016-03-01

    Full Text Available The aim of this study was to investigate the impact of inplementasi International Financial Reporting Standards (IFRS on accrual earnings management and real earnings management. Adoption of accounting standards have an impact on the way of assessment, measurement and presentation. Samples are manufacturing companies listed in Indonesia Stock Exchange. Accrual earnings measurement method using five measurement approach, and three approaches to the measurement of real earnings management. The results showed that there were differences in real earnings management approach diskretioner costs and production costs. Three of the five methods used accrual earnings management (Modified Jones, Piecewise Linear and Kothari proved to be the difference between before than after IFRS. While, Stubben Model not proved in this research. Results of this study are expected to have positive contribution on the development some policies related to the adoption of IFRS and the, particularly related to the accrual earnings management and real earnings management.

  8. Model and calculation of in situ stresses in anisotropic formations

    Energy Technology Data Exchange (ETDEWEB)

    Yuezhi, W.; Zijun, L.; Lixin, H. [Jianghan Petroleum Institute, (China)

    1997-08-01

    In situ stresses in transversely isotropic material in relation to wellbore stability have been investigated. Equations for three horizontal in- situ stresses and a new formation fracture pressure model were described, and the methodology for determining the elastic parameters of anisotropic rocks in the laboratory was outlined. Results indicate significantly smaller differences between theoretically calculated pressures and actual formation pressures than results obtained by using the isotropic method. Implications for improvements in drilling efficiency were reviewed. 13 refs., 6 figs.

  9. Computational Psychometrics for Modeling System Dynamics during Stressful Disasters

    Directory of Open Access Journals (Sweden)

    Pietro Cipresso

    2017-08-01

    Full Text Available Disasters can be very stressful events. However, computational models of stress require data that might be very difficult to collect during disasters. Moreover, personal experiences are not repeatable, so it is not possible to collect bottom-up information when building a coherent model. To overcome these problems, we propose the use of computational models and virtual reality integration to recreate disaster situations, while examining possible dynamics in order to understand human behavior and relative consequences. By providing realistic parameters associated with disaster situations, computational scientists can work more closely with emergency responders to improve the quality of interventions in the future.

  10. Modelling of stresses generated in steels by phase transformations

    International Nuclear Information System (INIS)

    Dudek, K.; Glowacki, M.; Pietrzyk, M.

    1999-01-01

    Numerical model describing stresses arising during phase transformations in steels products is presented. The full model consists of three components. The first component uses finite element solution of Fourier equation for an evaluation of the temperature field inside the sample. The second component predicts kinetics of phase transformation occurring during cooling of steel products. Coupling of these two components allows prediction of structure and properties of final products at room temperature. The third component uses elastic-plastic finite element model for prediction of stresses caused by non-uniform temperatures and by changes of volume during transformations. Typical results of simulations performed for cooling of rails after hot rolling are presented. (author)

  11. The Biobank Economic Modeling Tool (BEMT): Online Financial Planning to Facilitate Biobank Sustainability

    Science.gov (United States)

    Odeh, Hana; Miranda, Lisa; Rao, Abhi; Vaught, Jim; Greenman, Howard; McLean, Jeffrey; Reed, Daniel; Memon, Sarfraz; Fombonne, Benjamin; Guan, Ping

    2015-01-01

    Background: Biospecimens are essential resources for advancing basic and translational research. However, there are little data available regarding the costs associated with operating a biobank, and few resources to enable their long-term sustainability. To support the research community in this effort, the National Institutes of Health, National Cancer Institute's Biorepositories and Biospecimen Research Branch has developed the Biobank Economic Modeling Tool (BEMT). The tool is accessible at http://biospecimens.cancer.gov/resources/bemt.asp. Methods: To obtain market-based cost information and to inform the development of the tool, a survey was designed and sent to 423 biobank managers and directors across the world. The survey contained questions regarding infrastructure investments, salary costs, funding options, types of biospecimen resources and services offered, as well as biospecimen pricing and service-related costs. Results: A total of 106 responses were received. The data were anonymized, aggregated, and used to create a comprehensive database of cost and pricing information that was integrated into the web-based tool, the BEMT. The BEMT was built to allow the user to input cost and pricing data through a seven-step process to build a cost profile for their biobank, define direct and indirect costs, determine cost recovery fees, perform financial forecasting, and query the anonymized survey data from comparable biobanks. Conclusion: A survey was conducted to obtain a greater understanding of the costs involved in operating a biobank. The anonymized survey data was then used to develop the BEMT, a cost modeling tool for biobanks. Users of the tool will be able to create a cost profile for their biobanks' specimens, products and services, establish pricing, and allocate costs for biospecimens based on percent cost recovered, and perform project-specific cost analyses and financial forecasting. PMID:26697911

  12. The Biobank Economic Modeling Tool (BEMT): Online Financial Planning to Facilitate Biobank Sustainability.

    Science.gov (United States)

    Odeh, Hana; Miranda, Lisa; Rao, Abhi; Vaught, Jim; Greenman, Howard; McLean, Jeffrey; Reed, Daniel; Memon, Sarfraz; Fombonne, Benjamin; Guan, Ping; Moore, Helen M

    2015-12-01

    Biospecimens are essential resources for advancing basic and translational research. However, there are little data available regarding the costs associated with operating a biobank, and few resources to enable their long-term sustainability. To support the research community in this effort, the National Institutes of Health, National Cancer Institute's Biorepositories and Biospecimen Research Branch has developed the Biobank Economic Modeling Tool (BEMT). The tool is accessible at http://biospecimens.cancer.gov/resources/bemt.asp. To obtain market-based cost information and to inform the development of the tool, a survey was designed and sent to 423 biobank managers and directors across the world. The survey contained questions regarding infrastructure investments, salary costs, funding options, types of biospecimen resources and services offered, as well as biospecimen pricing and service-related costs. A total of 106 responses were received. The data were anonymized, aggregated, and used to create a comprehensive database of cost and pricing information that was integrated into the web-based tool, the BEMT. The BEMT was built to allow the user to input cost and pricing data through a seven-step process to build a cost profile for their biobank, define direct and indirect costs, determine cost recovery fees, perform financial forecasting, and query the anonymized survey data from comparable biobanks. A survey was conducted to obtain a greater understanding of the costs involved in operating a biobank. The anonymized survey data was then used to develop the BEMT, a cost modeling tool for biobanks. Users of the tool will be able to create a cost profile for their biobanks' specimens, products and services, establish pricing, and allocate costs for biospecimens based on percent cost recovered, and perform project-specific cost analyses and financial forecasting.

  13. Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data

    Science.gov (United States)

    Alfarano, Simone; Lux, Thomas; Wagner, Friedrich

    2006-10-01

    Following Alfarano et al. [Estimation of agent-based models: the case of an asymmetric herding model, Comput. Econ. 26 (2005) 19-49; Excess volatility and herding in an artificial financial market: analytical approach and estimation, in: W. Franz, H. Ramser, M. Stadler (Eds.), Funktionsfähigkeit und Stabilität von Finanzmärkten, Mohr Siebeck, Tübingen, 2005, pp. 241-254], we consider a simple agent-based model of a highly stylized financial market. The model takes Kirman's ant process [A. Kirman, Epidemics of opinion and speculative bubbles in financial markets, in: M.P. Taylor (Ed.), Money and Financial Markets, Blackwell, Cambridge, 1991, pp. 354-368; A. Kirman, Ants, rationality, and recruitment, Q. J. Econ. 108 (1993) 137-156] of mimetic contagion as its starting point, but allows for asymmetry in the attractiveness of both groups. Embedding the contagion process into a standard asset-pricing framework, and identifying the abstract groups of the herding model as chartists and fundamentalist traders, a market with periodic bubbles and bursts is obtained. Taking stock of the availability of a closed-form solution for the stationary distribution of returns for this model, we can estimate its parameters via maximum likelihood. Expanding our earlier work, this paper presents pertinent estimates for the Australian dollar/US dollar exchange rate and the Australian stock market index. As it turns out, our model indicates dominance of fundamentalist behavior in both the stock and foreign exchange market.

  14. Statistical model of stress corrosion cracking based on extended

    Indian Academy of Sciences (India)

    The mechanism of stress corrosion cracking (SCC) has been discussed for decades. Here I propose a model of SCC reflecting the feature of fracture in brittle manner based on the variational principle under approximately supposed thermal equilibrium. In that model the functionals are expressed with extended forms of ...

  15. Stress and adaptation : Toward ecologically relevant animal models

    NARCIS (Netherlands)

    Koolhaas, Jaap M.; Boer, Sietse F. de; Buwalda, Bauke

    Animal models have contributed considerably to the current understanding of mechanisms underlying the role of stress in health and disease. Despite the progress made already, much more can be made by more carefully exploiting animals' and humans' shared biology, using ecologically relevant models.

  16. The potential to reduce the risk of manipulation of financial statements using the identification models of creative accounting

    Directory of Open Access Journals (Sweden)

    Zita Drábková

    2013-01-01

    Full Text Available Explanatory power of accounting information is the key question for deciding of users of financial statements. A whole range of economic indicators is available to the users of financial statements to measure the firm productivity. When the accounting statements (and applied methods are manipulated, the economic indicators may reveal clearly different results. The users of financial statements should have the possibility to assess the risk of manipulation of accounting statements in time considering potential risk of accounting fraud. The aim of this paper was based on the synthesis of knowledge from the review of literature, the CFEBT model analysis and Beneish Model proposing a convenient model for identifying risks of manipulation of financial statements. The paper summarizes the outcomes of possibilities and limits of manipulated financial statements and their identification. The testing hypothesis is assessing whether there is a close relation of a loss and an increase in the cash flow in 3–5 years time; whether the sum of the amounts for 3–5 year’s time would reveal the same results respectively. The hypothesis was verified on the accounting statements of the accounting entities of prepared case studies respecting the true and fair view of accounting based on Czech accounting standards.

  17. Comparative study on DuPont analysis and DEA models for measuring stock performance using financial ratio

    Science.gov (United States)

    Arsad, Roslah; Shaari, Siti Nabilah Mohd; Isa, Zaidi

    2017-11-01

    Determining stock performance using financial ratio is challenging for many investors and researchers. Financial ratio can indicate the strengths and weaknesses of a company's stock performance. There are five categories of financial ratios namely liquidity, efficiency, leverage, profitability and market ratios. It is important to interpret the ratio correctly for proper financial decision making. The purpose of this study is to compare the performance of listed companies in Bursa Malaysia using Data Envelopment Analysis (DEA) and DuPont analysis Models. The study is conducted in 2015 involving 116 consumer products companies listed in Bursa Malaysia. The estimation method of Data Envelopment Analysis computes the efficiency scores and ranks the companies accordingly. The Alirezaee and Afsharian's method of analysis based Charnes, Cooper and Rhodes (CCR) where Constant Return to Scale (CRS) is employed. The DuPont analysis is a traditional tool for measuring the operating performance of companies. In this study, DuPont analysis is used to evaluate three different aspects such as profitability, efficiency of assets utilization and financial leverage. Return on Equity (ROE) is also calculated in DuPont analysis. This study finds that both analysis models provide different rankings of the selected samples. Hypothesis testing based on Pearson's correlation, indicates that there is no correlation between rankings produced by DEA and DuPont analysis. The DEA ranking model proposed by Alirezaee and Asharian is unstable. The method cannot provide complete ranking because the values of Balance Index is equal and zero.

  18. A financing model to solve financial barriers for implementing green building projects.

    Science.gov (United States)

    Lee, Sanghyo; Lee, Baekrae; Kim, Juhyung; Kim, Jaejun

    2013-01-01

    Along with the growing interest in greenhouse gas reduction, the effect of greenhouse gas energy reduction from implementing green buildings is gaining attention. The government of the Republic of Korea has set green growth as its paradigm for national development, and there is a growing interest in energy saving for green buildings. However, green buildings may have financial barriers that have high initial construction costs and uncertainties about future project value. Under the circumstances, governmental support to attract private funding is necessary to implement green building projects. The objective of this study is to suggest a financing model for facilitating green building projects with a governmental guarantee based on Certified Emission Reduction (CER). In this model, the government provides a guarantee for the increased costs of a green building project in return for CER. And this study presents the validation of the model as well as feasibility for implementing green building project. In addition, the suggested model assumed governmental guarantees for the increased cost, but private guarantees seem to be feasible as well because of the promising value of the guarantee from CER. To do this, certification of Clean Development Mechanisms (CDMs) for green buildings must be obtained.

  19. Cost-Sensitive Estimation of ARMA Models for Financial Asset Return Data

    Directory of Open Access Journals (Sweden)

    Minyoung Kim

    2015-01-01

    Full Text Available The autoregressive moving average (ARMA model is a simple but powerful model in financial engineering to represent time-series with long-range statistical dependency. However, the traditional maximum likelihood (ML estimator aims to minimize a loss function that is inherently symmetric due to Gaussianity. The consequence is that when the data of interest are asset returns, and the main goal is to maximize profit by accurate forecasting, the ML objective may be less appropriate potentially leading to a suboptimal solution. Rather, it is more reasonable to adopt an asymmetric loss where the model's prediction, as long as it is in the same direction as the true return, is penalized less than the prediction in the opposite direction. We propose a quite sensible asymmetric cost-sensitive loss function and incorporate it into the ARMA model estimation. On the online portfolio selection problem with real stock return data, we demonstrate that the investment strategy based on predictions by the proposed estimator can be significantly more profitable than the traditional ML estimator.

  20. A Financing Model to Solve Financial Barriers for Implementing Green Building Projects

    Science.gov (United States)

    Lee, Baekrae; Kim, Juhyung; Kim, Jaejun

    2013-01-01

    Along with the growing interest in greenhouse gas reduction, the effect of greenhouse gas energy reduction from implementing green buildings is gaining attention. The government of the Republic of Korea has set green growth as its paradigm for national development, and there is a growing interest in energy saving for green buildings. However, green buildings may have financial barriers that have high initial construction costs and uncertainties about future project value. Under the circumstances, governmental support to attract private funding is necessary to implement green building projects. The objective of this study is to suggest a financing model for facilitating green building projects with a governmental guarantee based on Certified Emission Reduction (CER). In this model, the government provides a guarantee for the increased costs of a green building project in return for CER. And this study presents the validation of the model as well as feasibility for implementing green building project. In addition, the suggested model assumed governmental guarantees for the increased cost, but private guarantees seem to be feasible as well because of the promising value of the guarantee from CER. To do this, certification of Clean Development Mechanisms (CDMs) for green buildings must be obtained. PMID:24376379

  1. Nonparametric model validations for hidden Markov models with applications in financial econometrics.

    Science.gov (United States)

    Zhao, Zhibiao

    2011-06-01

    We address the nonparametric model validation problem for hidden Markov models with partially observable variables and hidden states. We achieve this goal by constructing a nonparametric simultaneous confidence envelope for transition density function of the observable variables and checking whether the parametric density estimate is contained within such an envelope. Our specification test procedure is motivated by a functional connection between the transition density of the observable variables and the Markov transition kernel of the hidden states. Our approach is applicable for continuous time diffusion models, stochastic volatility models, nonlinear time series models, and models with market microstructure noise.

  2. REGRESSION MODEL FOR RISK REPORTING IN FINANCIAL STATEMENTS OF ACCOUNTING SERVICES ENTITIES

    OpenAIRE

    Mirela NICHITA

    2015-01-01

    The purpose of financial reports is to provide useful information to users; the utility of information is defined through the qualitative characteristics (fundamental and enhancing). The financial crisis emphasized the limits of financial reporting which has been unable to prevent investors about the risks they were facing. Due to the current changes in business environment, managers have been highly motivated to rethink and improve the risk governance philosophy, processes and methodologies....

  3. Banking Models Under the Impact of the Post-Crisis Organizational Changes Apt to Confer Sustainable Financial Stability - Romanian Experience

    Directory of Open Access Journals (Sweden)

    Claudia Gabriela Baicu

    2012-06-01

    Full Text Available The global financial crisis led to substantial changes in the operating environment of banks. Reforming the regulatory framework of financial and banking activity and the increase role of state in banking systems in many countries are important factors that involve major changes in the organizing of banking activity, the strategies adopted, the business models practiced, etc. Based on these considerations, the paper examines trends in banking models after the 2007 crisis. The analysis of the banking models is performed from the perspective of the deep organizational changes that affected the banking environment and sustainable financial stability. The study focuses on the analysis of the banking sustenability and the business model in the Romanian banking system, in the context of the post-crisis organizational changes. The profound interdependence of the Romanian banking system with the banking systems of the European countries and the international tendencies in financial regulation are important factors that influence the business models of the Romanian banks. The banking model practiced in Romania continues to be the traditional one. Currently, the most important challenges of the Romanian banking system are the growth of the non-performing loans, the loans in foreign currency to unhedged borrowers, the pressure to meet the Basel III requirements, as well as the possibility that the exposure of foreign banks towards Romania to decrease.

  4. Stress and Fatigue Life Modeling of Cannon Breech Closures Including Effects of Material Strength and Residual Stress

    National Research Council Canada - National Science Library

    Underwood, John

    2000-01-01

    ...; overload residual stress. Modeling of applied and residual stresses at the location of the fatigue failure site is performed by elastic-plastic finite element analysis using ABAQUS and by solid...

  5. Modeling of Accounting Doctoral Thesis with Emphasis on Solution for Financial Problems

    Directory of Open Access Journals (Sweden)

    F. Mansoori

    2015-02-01

    Full Text Available By passing the instruction period and increase of graduate students and also research budget, knowledge of accounting in Iran entered to the field of research in a way that number of accounting projects has been implemented in the real world. Because of that different experience in implementing the accounting standards were achieved. So, it was expected the mentioned experiences help to solve the financial problems in country, in spite of lots of efforts which were done for researching; we still have many financial and accounting problems in our country. PHD projects could be considered as one of the important solutions to improve the University subjects including accounting. PHD projects are considered as team work job and it will be legitimate by supervisor teams in universities.It is obvious that applied projects should solve part of the problems in accounting field but unfortunately it is not working in the real world. The question which came in to our mind is how come that the out put of the applied and knowledge base projects could not make the darkness of the mentioned problems clear and also why politicians in difficult situations prefer to use their own previous experiences in important decision makings instead of using the consultant’s knowledge base suggestions.In this research I’m going to study, the reasons behind that prevent the applied PHD projects from success in real world which relates to the point of view that consider the political suggestions which are out put of knowledge base projects are not qualified enough for implementation. For this purpose, the indicators of an applied PHD project were considered and 110 vise people were categorized the mentioned indicators and then in a comprehensive study other applied PHD accounting projects were compared to each other.As result, in this study problems of the studied researches were identified and a proper and applied model for creating applied research was developed.

  6. Modeling and complexity of stochastic interacting Lévy type financial price dynamics

    Science.gov (United States)

    Wang, Yiduan; Zheng, Shenzhou; Zhang, Wei; Wang, Jun; Wang, Guochao

    2018-06-01

    In attempt to reproduce and investigate nonlinear dynamics of security markets, a novel nonlinear random interacting price dynamics, which is considered as a Lévy type process, is developed and investigated by the combination of lattice oriented percolation and Potts dynamics, which concerns with the instinctive random fluctuation and the fluctuation caused by the spread of the investors' trading attitudes, respectively. To better understand the fluctuation complexity properties of the proposed model, the complexity analyses of random logarithmic price return and corresponding volatility series are preformed, including power-law distribution, Lempel-Ziv complexity and fractional sample entropy. In order to verify the rationality of the proposed model, the corresponding studies of actual security market datasets are also implemented for comparison. The empirical results reveal that this financial price model can reproduce some important complexity features of actual security markets to some extent. The complexity of returns decreases with the increase of parameters γ1 and β respectively, furthermore, the volatility series exhibit lower complexity than the return series

  7. Systemic oxidative stress markers in animal model for depression

    DEFF Research Database (Denmark)

    Bouzinova, Elena; Kravtsova, Violetta; Aalkjær, Christian

    Involvement of oxidative stress (OxS) in development of major depressive disorder has recently become evident, though mechanisms behind this remain elusive. We analyzed therefore OxS pathways in rat Chronic Mild Stress (CMS) model of depression. Rats are exposed to chronic unpredictable mild...... mg/kg/day). Saline injections were done to control the vehicle effect. Escitalopram treated rats were sub-divided into 2 groups: responders and non-responders, according to their hedonic state and compared to non-stressed rats, treated with either saline or Escitalopram. Measurement of total...... glutathione and malondialdehyde (MDA) in lungs, heart, skeletal muscles, liver, saphenous, mesenteric, and tail arteries were used as estimates for OxS. In heart, glutathione was increased in CMS rats in comparison with non-stressed vehicle group. Accordingly, an estimate for free radical activity, MDA...

  8. Development of residual stress prediction model in pipe weldment

    Energy Technology Data Exchange (ETDEWEB)

    Eom, Yun Yong; Lim, Se Young; Choi, Kang Hyeuk; Cho, Young Sam; Lim, Jae Hyuk [Korea Advanced Institute of Science and Technology, Taejon (Korea, Republic of)

    2002-03-15

    When Leak Before Break(LBB) concepts is applied to high energy piping of nuclear power plants, residual weld stresses is a important variable. The main purpose of his research is to develop the numerical model which can predict residual weld stresses. Firstly, basic theories were described which need to numerical analysis of welding parts. Before the analysis of pipe, welding of a flat plate was analyzed and compared. Appling the data of used pipes, thermal/mechanical analysis were accomplished and computed temperature gradient and residual stress distribution. For thermal analysis, proper heat flux was regarded as the heat source and convection/radiation heat transfer were considered at surfaces. The residual stresses were counted from the computed temperature gradient and they were compared and verified with a result of another research.

  9. Construction of a business model to assure financial sustainability of biobanks.

    Science.gov (United States)

    Warth, Rainer; Perren, Aurel

    2014-12-01

    Biobank-suisse (BBS) is a collaborative network of biobanks in Switzerland. Since 2005, the network has worked with biobank managers towards a Swiss biobanking platform that harmonizes structures and procedures. The work with biobank managers has shown that long-term, sustainable financing is difficult to obtain. In this report, three typical biobank business models are identified and their characteristics analyzed. Five forces analysis was used to understand the competitive environment of biobanks. Data provided by OECD was used for financial estimations. The model was constructed using the business model canvas tool. The business models identified feature financing influenced by the economic situation and the research budgets in a given country. Overall, the competitive environment for biobanks is positive. The bargaining power with the buyer is negative since price setting and demand prediction is difficult. In Switzerland, the healthcare industry collects approximately 5600 U.S. dollars per person and year. If each Swiss citizen paid 0.1% (or 5 U.S. dollars) of this amount to Swiss biobanks, 45 million U.S. dollars could be collected. This compares to the approximately 10 million U.S. dollars made available for cohort studies, longitudinal studies, and pathology biobanks through science funding. With the same approach, Germany, the United States, Canada, France, and the United Kingdom could collect 361, 2634, 154, 264, and 221 million U.S. dollars, respectively. In Switzerland and in other countries, an annual fee less than 5 U.S. dollars per person is sufficient to provide biobanks with sustainable financing. This inspired us to construct a business model that not only includes the academic and industrial research sectors as customer segment, but also includes the population. The revenues would be collected as fees by the healthcare system. In Italy and Germany, a small share of healthcare spending is already used to finance selected clinical trials. The legal

  10. Job stress models for predicting burnout syndrome: a review.

    Science.gov (United States)

    Chirico, Francesco

    2016-01-01

    In Europe, the Council Directive 89/391 for improvement of workers' safety and health has emphasized the importance of addressing all occupational risk factors, and hence also psychosocial and organizational risk factors. Nevertheless, the construct of "work-related stress" elaborated from EU-OSHA is not totally corresponding with the "psychosocial" risk, that is a broader category of risk, comprising various and different psychosocial risk factors. The term "burnout", without any binding definition, tries to integrate symptoms as well as cause of the burnout process. In Europe, the most important methods developed for the work related stress risk assessment are based on the Cox's transactional model of job stress. Nevertheless, there are more specific models for predicting burnout syndrome. This literature review provides an overview of job burnout, highlighting the most important models of job burnout, such as the Job Strain, the Effort/Reward Imbalance and the Job Demands-Resources models. The difference between these models and the Cox's model of job stress is explored.

  11. Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests

    Czech Academy of Sciences Publication Activity Database

    Franta, M.; Baruník, Jozef; Horváth, Roman; Šmídková, K.

    2014-01-01

    Roč. 10, č. 1 (2014), s. 159-187 ISSN 1815-4654 Institutional support: RVO:67985556 Keywords : Bayesian vector autoregression * fan chart * inflation targeting * stress tests Subject RIV: AH - Economics Impact factor: 0.800, year: 2014

  12. Image decomposition as a tool for validating stress analysis models

    Directory of Open Access Journals (Sweden)

    Mottershead J.

    2010-06-01

    Full Text Available It is good practice to validate analytical and numerical models used in stress analysis for engineering design by comparison with measurements obtained from real components either in-service or in the laboratory. In reality, this critical step is often neglected or reduced to placing a single strain gage at the predicted hot-spot of stress. Modern techniques of optical analysis allow full-field maps of displacement, strain and, or stress to be obtained from real components with relative ease and at modest cost. However, validations continued to be performed only at predicted and, or observed hot-spots and most of the wealth of data is ignored. It is proposed that image decomposition methods, commonly employed in techniques such as fingerprinting and iris recognition, can be employed to validate stress analysis models by comparing all of the key features in the data from the experiment and the model. Image decomposition techniques such as Zernike moments and Fourier transforms have been used to decompose full-field distributions for strain generated from optical techniques such as digital image correlation and thermoelastic stress analysis as well as from analytical and numerical models by treating the strain distributions as images. The result of the decomposition is 101 to 102 image descriptors instead of the 105 or 106 pixels in the original data. As a consequence, it is relatively easy to make a statistical comparison of the image descriptors from the experiment and from the analytical/numerical model and to provide a quantitative assessment of the stress analysis.

  13. Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks

    NARCIS (Netherlands)

    Squartini, Tiziano; Almog, Assaf; Caldarelli, Guido; Van Lelyveld, Iman; Garlaschelli, Diego; Cimini, Giulio

    2017-01-01

    Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification of financial distress in capital markets are

  14. Complexity theory and financial regulation: economic policy needs interdisciplinary network analysis and behavioral modeling

    NARCIS (Netherlands)

    Battiston, S.; Farmer, J.D.; Flache, A.; Garlaschelli, D.; Haldane, A.G.; Heesterbeek, H.; Hommes, C.; Jaeger, C.; May, R.; Scheffer, M.

    2016-01-01

    Traditional economic theory could not explain, much less predict, the near collapse of the financial system and its long-lasting effects on the global economy. Since the 2008 crisis, there has been increasing interest in using ideas from complexity theory to make sense of economic and financial

  15. A Knowledge Management Model for Firms in the Financial Services Industry

    Science.gov (United States)

    Held, Carsten; Duncan, Glen; Yanamandram, Venkat

    2013-01-01

    The financial services industry faces many demanding challenges. Firms within this industry are predominantly knowledge-based, as are most of the industry's products, processes and services. The application of knowledge management represents a clear opportunity for financial services firms to confront challenges. However, no industry specific…

  16. Stress

    Science.gov (United States)

    ... can be life-saving. But chronic stress can cause both physical and mental harm. There are at least three different types of stress: Routine stress related to the pressures of work, family, and other daily responsibilities Stress brought about ...

  17. Electromagnetic modeling of stress corrosion cracks in Inconel welds

    International Nuclear Information System (INIS)

    Huang, Haoyu; Miya, Kenzo; Yusa, Noritaka; Hashizume, Hidetoshi; Sera, Takehiko; Hirano, Shinro

    2011-01-01

    This study evaluates suitable numerical modeling of stress corrosion cracks appearing in Inconel welds from the viewpoint of electromagnetic nondestructive evaluations. The stress corrosion cracks analyzed in this study are five artificial ones introduced into welded flat plate, and three natural ones found in a pressurized nuclear power plant. Numerical simulations model a crack as a planar region having a uniform conductivity inside and a constant width, and evaluate the width and conductivity that reproduce the maximum eddy current signals obtained by experiments. The results obtained validate the existence of the minimum value of the equivalent resistance, which is defined by the width divided by conductivity. In contrast, the values of the width and conductivity themselves vary across a wide range. The results also lead to a discussion about (1) the effect of probe utilized on the numerical model, (2) the difference between artificial and natural stress corrosion cracks, and (3) the difference between stress corrosion cracks in base metals and those in Inconel welds in their models. Electromagnetic characteristics of four different Inconel weld alloys are additionally evaluated using a resistance tester and a vibrating sample magnetometer to support the validity of the numerical modeling and the generality of results obtained. (author)

  18. Institutional Arrangement of Financial Markets Supervision: The Case of the Czech Republic

    OpenAIRE

    Musílek, Petr

    2008-01-01

    The paper deals with institutional arrangement of financial supervision in the Czech Republic. Financial markets are composed of partial financial segments specialized in individual types of financial instruments and individual customer groups. Financial institutions gradually transform into financial supermarkets. There are several models of institutional arrangement of financial supervision (integrated financial supervision model, sectional financial supervision model, financial supervision...

  19. A Reynolds stress model for near-wall turbulence

    Science.gov (United States)

    Durbin, P. A.

    1993-01-01

    The paper formulates a tensorially consistent near-wall second-order closure model. Redistributive terms in the Reynolds stress equations are modeled by an elliptic relaxation equation in order to represent strongly nonhomogeneous effects produced by the presence of walls; this replaces the quasi-homogeneous algebraic models that are usually employed, and avoids the need for ad hoc damping functions. The model is solved for channel flow and boundary layers with zero and adverse pressure gradients. Good predictions of Reynolds stress components, mean flow, skin friction, and displacement thickness are obtained in various comparisons to experimental and direct numerical simulation data. The model is also applied to a boundary layer flowing along a wall with a 90-deg, constant-radius, convex bend.

  20. Integro-differential equations of fractional order with nonlocal fractional boundary conditions associated with financial asset model

    Directory of Open Access Journals (Sweden)

    Bashir Ahmad

    2013-02-01

    Full Text Available In this article, we discuss the existence of solutions for a boundary-value problem of integro-differential equations of fractional order with nonlocal fractional boundary conditions by means of some standard tools of fixed point theory. Our problem describes a more general form of fractional stochastic dynamic model for financial asset. An illustrative example is also presented.

  1. Robust linear discriminant models to solve financial crisis in banking sectors

    Science.gov (United States)

    Lim, Yai-Fung; Yahaya, Sharipah Soaad Syed; Idris, Faoziah; Ali, Hazlina; Omar, Zurni

    2014-12-01

    Linear discriminant analysis (LDA) is a widely-used technique in patterns classification via an equation which will minimize the probability of misclassifying cases into their respective categories. However, the performance of classical estimators in LDA highly depends on the assumptions of normality and homoscedasticity. Several robust estimators in LDA such as Minimum Covariance Determinant (MCD), S-estimators and Minimum Volume Ellipsoid (MVE) are addressed by many authors to alleviate the problem of non-robustness of the classical estimates. In this paper, we investigate on the financial crisis of the Malaysian banking institutions using robust LDA and classical LDA methods. Our objective is to distinguish the "distress" and "non-distress" banks in Malaysia by using the LDA models. Hit ratio is used to validate the accuracy predictive of LDA models. The performance of LDA is evaluated by estimating the misclassification rate via apparent error rate. The results and comparisons show that the robust estimators provide a better performance than the classical estimators for LDA.

  2. Analysis of financial support for photovoltaic system installation with the economic simulation model

    International Nuclear Information System (INIS)

    Imamura, E.; Uchiyama, Y.

    1994-01-01

    The authors developed a penetration method of dispersed generation technologies and tried to investigate economic simulation on photovoltaic systems. The model is composed of several analysis modules; a technology application module, a regional meteorology module, cost modules such as capital cost, power generation cost, marginal cost and avoided cost, and a logistic penetration module. The database management system of application forms, meteorological data, energy demand and equipment costs is also developed to support the model. The main purpose of the study is to make clear impacts to the power supply configuration and cost/benefit effects when PV systems are installed into several different sectors in Japan. The ultimate potential of PV system is 235, 103MWp and its market potential is 15,172 MWp in Japan. Market penetration highly depends on cost learning factors of several components of PV system. The installed capacity with 50% subsidy is 5 times larger than that with 67%. In conclusion, it is feasible for government or utilities to financially support the promotion and installation of PV systems as the electricity supply system

  3. Developed Model for Debts Relief Decision Based on Financial and Accounting Reports Applied on PORT TRANS EUROPE SA

    Directory of Open Access Journals (Sweden)

    Riana Iren RADU

    2013-12-01

    Full Text Available Business agents are today facing with a dynamic economic environment transformed by the direct effects of the economic crisis. In these circumstances the managers of the entities are forced to adapt to the economic activities by various types of decisions. A special attention is paid to financial decisions. Financial issues touch all aspects of economic life of an agent. In this context are fitting the management of debts. Management of debts problem can be addressed through a decision-making model. In this paper we propose the development of a multidimensional decision to be strengthened the management of debts of PORT TRANS EUROPE SA, in order to reduce them.

  4. Parenting Stress, Mental Health, Dyadic Adjustment: A Structural Equation Model

    Directory of Open Access Journals (Sweden)

    Luca Rollè

    2017-05-01

    Full Text Available Objective: In the 1st year of the post-partum period, parenting stress, mental health, and dyadic adjustment are important for the wellbeing of both parents and the child. However, there are few studies that analyze the relationship among these three dimensions. The aim of this study is to investigate the relationships between parenting stress, mental health (depressive and anxiety symptoms, and dyadic adjustment among first-time parents.Method: We studied 268 parents (134 couples of healthy babies. At 12 months post-partum, both parents filled out, in a counterbalanced order, the Parenting Stress Index-Short Form, the Edinburgh Post-natal Depression Scale, the State-Trait Anxiety Inventory, and the Dyadic Adjustment Scale. Structural equation modeling was used to analyze the potential mediating effects of mental health on the relationship between parenting stress and dyadic adjustment.Results: Results showed the full mediation effect of mental health between parenting stress and dyadic adjustment. A multi-group analysis further found that the paths did not differ across mothers and fathers.Discussion: The results suggest that mental health is an important dimension that mediates the relationship between parenting stress and dyadic adjustment in the transition to parenthood.

  5. Stressors, stress and stress consequences during long-duration manned space missions: a descriptive model

    Science.gov (United States)

    Geuna, Stefano; Brunelli, Francesco; Perino, Maria A.

    Keeping crew members in good health is a major factor in the success or failure of long-duration manned space missions. Among the many possible agents that can affect the crew's general well-being, stress is certainly one of the most critical because of its implications on human health and performance, both physical and mental. Nevertheless, very few studies have been performed on this fundamental issue and none of them has addressed it in its entirity, considering its diverse physical and psychological aspects. In this work, a descriptive model is proposed to expound the mechanism and sequence of events which mediate stress. A critical analysis of the information provided by past manned spaceflights and by dedicated research performed in analogous environments is presented, and an extrapolation of the available data on human stress in such extreme conditions is proposed. Both internal and external stressors have been identified, at physical and psychosocial levels, thus providing the basis for their early detection and preventive reduction. The possible negative consequences of stress that may lead to disease in crewmembers are described. Finally, the most effective instruments which may be of help in reducing space-related human stress and treating its negative consequences are suggested.

  6. Limit Stress Spline Models for GRP Composites | Ihueze | Nigerian ...

    African Journals Online (AJOL)

    Spline functions were established on the assumption of three intervals and fitting of quadratic and cubic splines to critical stress-strain responses data. Quadratic ... of data points. Spline model is therefore recommended as it evaluates the function at subintervals, eliminating the error associated with wide range interpolation.

  7. Sex Differences in Adolescent Depression: Stress Exposure and Reactivity Models

    Science.gov (United States)

    Hankin, Benjamin L.; Mermelstein, Robin; Roesch, Linda

    2007-01-01

    Stress exposure and reactivity models were examined as explanations for why girls exhibit greater levels of depressive symptoms than boys. In a multiwave, longitudinal design, adolescents' depressive symptoms, alcohol usage, and occurrence of stressors were assessed at baseline, 6, and 12 months later (N=538; 54.5% female; ages 13-18, average…

  8. A plane stress softening plasticity model for orthotropic materials

    NARCIS (Netherlands)

    Lourenço, P.B.; Borst, R. de; Rots, J.G.

    1997-01-01

    A plane stress model has been developed for quasi-brittle orthotropic materials. The theory of plasticity, which is adopted to describe the inelastic behaviour, utilizes modern algorithmic concepts, including an implicit Euler backward return mapping scheme, a local Newton-Raphson method and a

  9. Modelling and analysis of radial thermal stresses and temperature ...

    African Journals Online (AJOL)

    user

    it acts as an insulating medium and prevents the heat flow, hence the need of providing insulation coating on valves is ... geometry metal components (piston, liner and cylinder head) and found a satisfactory .... model. Step8: Find the radial thermal stress at all the nodal point with the use of temperature ..... Cast iron St. 70.

  10. Lower bound plane stress element for modelling 3D structures

    DEFF Research Database (Denmark)

    Herfelt, Morten Andersen; Poulsen, Peter Noe; Hoang, Linh Cao

    2017-01-01

    In-plane action is often the primary load-carrying mechanism of reinforced concrete structures. The plate bending action will be secondary, and the behaviour of the structure can be modelled with a reasonable accuracy using a generalised three-dimensional plane stress element. In this paper...

  11. Job stress and job satisfaction: home care workers in a consumer-directed model of care.

    Science.gov (United States)

    Delp, Linda; Wallace, Steven P; Geiger-Brown, Jeanne; Muntaner, Carles

    2010-08-01

    To investigate determinants of job satisfaction among home care workers in a consumer-directed model. Analysis of data collected from telephone interviews with 1,614 Los Angeles home care workers on the state payroll in 2003. Multivariate logistic regression analysis was used to determine the odds of job satisfaction using job stress model domains of demands, control, and support. Abuse from consumers, unpaid overtime hours, and caring for more than one consumer as well as work-health demands predict less satisfaction. Some physical and emotional demands of the dyadic care relationship are unexpectedly associated with greater job satisfaction. Social support and control, indicated by job security and union involvement, have a direct positive effect on job satisfaction. Policies that enhance the relational component of care may improve workers' ability to transform the demands of their job into dignified and satisfying labor. Adequate benefits and sufficient authorized hours of care can minimize the stress of unpaid overtime work, caring for multiple consumers, job insecurity, and the financial constraints to seeking health care. Results have implications for the structure of consumer-directed models of care and efforts to retain long-term care workers.

  12. Financial and Mathematical Model of Payroll for Labour Remuneration of Teaching Staff in the Sphere of Secondary Professional Education

    Directory of Open Access Journals (Sweden)

    Aleksandr Vladimirovich Dorzhdeev

    2015-12-01

    Full Text Available The article is devoted to building up a financial and mathematical model and designing the appropriate procedure of forming the quota, directed to the payroll of the vocational education teaching staff under the circumstances of normative-per capita financing. Nowadays the given problem occurred after the implementation of normative-per capita financing system is one of the most urgent and complicated problems. The procedures used in many educational institutions are outdated, based on a totally hourly basis and don’t meet the modern requirements of the educational economics and financial management. The approach, suggested in the article, not only solves many financial problems of educational institutions but also reveals problem areas, unprofitable educational programs, resolves optimization tasks, and proposes the algorithm of making the appropriate managerial decisions. Besides, the article describes the distribution procedure of the teaching staff payroll among structural subdivisions of the vocational educational institutions. In the context of the given model, financing should be implemented in proportion to the part of the structural subdivision in the educational process. This part is determined on the basis of the education financial plan of the current academic year of each educational program in this educational institution. In addition, the part of each structural subdivision is determined as the sum of parts of the respective subjects of the educational plan. The suggested procedure promotes the optimization of managing financial performance of vocational educational institutions, provides the opportunity of implementing individual contracts with the teaching staff, and using a number of other modern approaches to financial management of educational institutions.

  13. Relations of occupational stress to occupational class in Japanese civil servants : analysis by two occupational stress models

    OpenAIRE

    Kawaharada, Mariko; Saijo, Yasuaki; Yoshioka, Eiji; Sato, Tetsuro; Sato, Hirokazu; Kishi, Reiko

    2007-01-01

    The aim of the present study was to identify relations between occupational stress and occupational class in Japanese civil servants, using two occupational stress models – the Effort-Reward Imbalance (ERI) Model and the Job Demand-Control (JDC) Model. The subjects were employees of three local public organizations. We distributed self-administered questionnaires and assessed occupational stress by ERI and JDC. We used seven occupational categories based on the Standard Occupational Classific...

  14. Oxidative stress of crystalline lens in rat menopausal model

    OpenAIRE

    Acer, Semra; Pekel, Gökhan; Küçükatay, Vural; Karabulut, Aysun; Yağcı, Ramazan; Çetin, Ebru Nevin; Akyer, Şahika Pınar; Şahin, Barbaros

    2016-01-01

    ABSTRACT Purpose: To evaluate lenticular oxidative stress in rat menopausal models. Methods: Forty Wistar female albino rats were included in this study. A total of thirty rats underwent oophorectomy to generate a menopausal model. Ten rats that did not undergo oophorectomy formed the control group (Group 1). From the rats that underwent oophorectomy, 10 formed the menopause control group (Group 2), 10 were administered a daily injection of methylprednisolone until the end of the study (Gro...

  15. Local yield stress statistics in model amorphous solids

    Science.gov (United States)

    Barbot, Armand; Lerbinger, Matthias; Hernandez-Garcia, Anier; García-García, Reinaldo; Falk, Michael L.; Vandembroucq, Damien; Patinet, Sylvain

    2018-03-01

    We develop and extend a method presented by Patinet, Vandembroucq, and Falk [Phys. Rev. Lett. 117, 045501 (2016), 10.1103/PhysRevLett.117.045501] to compute the local yield stresses at the atomic scale in model two-dimensional Lennard-Jones glasses produced via differing quench protocols. This technique allows us to sample the plastic rearrangements in a nonperturbative manner for different loading directions on a well-controlled length scale. Plastic activity upon shearing correlates strongly with the locations of low yield stresses in the quenched states. This correlation is higher in more structurally relaxed systems. The distribution of local yield stresses is also shown to strongly depend on the quench protocol: the more relaxed the glass, the higher the local plastic thresholds. Analysis of the magnitude of local plastic relaxations reveals that stress drops follow exponential distributions, justifying the hypothesis of an average characteristic amplitude often conjectured in mesoscopic or continuum models. The amplitude of the local plastic rearrangements increases on average with the yield stress, regardless of the system preparation. The local yield stress varies with the shear orientation tested and strongly correlates with the plastic rearrangement locations when the system is sheared correspondingly. It is thus argued that plastic rearrangements are the consequence of shear transformation zones encoded in the glass structure that possess weak slip planes along different orientations. Finally, we justify the length scale employed in this work and extract the yield threshold statistics as a function of the size of the probing zones. This method makes it possible to derive physically grounded models of plasticity for amorphous materials by directly revealing the relevant details of the shear transformation zones that mediate this process.

  16. Non-extensitivity vs. informative moments for financial models —A unifying framework and empirical results

    Science.gov (United States)

    Herrmann, K.

    2009-11-01

    Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two very similar approaches evolving during the last years, one in the so-called econophysics and the other in econometrics. Both generalize the notion of GARCH processes in an information-theoretic sense and are able to capture kurtosis better than traditional models. In this article we present both approaches in a more general framework. The latter allows the derivation of a wide range of new models. We choose a third model using an entropy measure suggested by Kapur. In an application to financial market data, we find that all considered models - with similar flexibility in terms of skewness and kurtosis - lead to very similar results.

  17. Models for financial crisis detection in Indonesia based on bank deposits, real exchange rate and terms of trade indicators

    Science.gov (United States)

    Sugiyanto; Zukhronah, Etik; Nur Aini, Anis

    2017-12-01

    Several times Indonesia has experienced to face a financial crisis, but the crisis occurred in 1997 had a tremendous impact on the economy and national stability. The impact of the crisis fall the exchange rate of rupiah against the dollar so it is needed the financial crisis detection system. Some data of bank deposits, real exchange rate and terms of trade indicators are used in this paper. Data taken from January 1990 until December 2016 are used to form the models with three state. Combination of volatility and Markov switching models are used to model the data. The result suggests that the appropriate model for bank deposit and terms of trade is SWARCH (3,1), and for real exchange rates is SWARCH (3,2).

  18. Financial Comparisons across Different Business Models in the Canadian Airline Industry

    Science.gov (United States)

    Flouris, Triant; Walker, Thomas

    2007-01-01

    This paper examines the accounting and stock price performance of two Canadian airlines, WestJet and Air Canada, over a five year period, taking into account the aftermath of the systemic shock to the airline industry produced by the September 11, 2001 (9-11), terrorist attacks and subsequent events such as the 2002 SARS outbreak, the wars in Afghanistan and Iraq, and the accompanying rise in jet fuel prices. Our study focuses on the viability of low-cost versus conventional-cost business models in Canada under the current business environment and the ability of airlines to withstand and effectively respond to catastrophic industry events. Furthermore, we link the effectiveness of the airlines responses to these events to specific elements of their respective business models. We test our hypothesis through a case study. We focus on WestJet as a typical low-cost airline and compare its accounting and stock performance to Air Canada, a legacy carrier and rival in several business sectors. We find WestJet to be much less affected by catastrophic industry events. By decomposing each airline s return volatility, we observe that WestJet s systematic and unsystematic risk increased only slightly during the industry's post-9-11 turmoil when compared to Air Canada. In addition, we find that both WestJet s accounting and stock performance have been highly superior to those of Air Canada. We argue that WestJet s business model provides the firm with significantly more financial and operational flexibility than its legacy rival, Air Canada. WestJet's lower operating costs, high consumer trust, product offering, corporate structure, workforce and work practices, as well as operational procedures are all factors that appear to contribute to its relative success.

  19. Policy Analysis Implications of a Model to Improve the Delivery of Financial Aid to Disadvantaged Students. AIR 1983 Annual Forum Paper.

    Science.gov (United States)

    Fenske, Robert H.; Porter, John D.

    The role of institutional research in policy analysis regarding the operation of a computer model for delivery of financial aid to disadvantaged students is considered. A student financial aid model at Arizona State University is designed to develop a profile of late appliers for aid funds and also those who file inaccurate or incomplete…

  20. Late Financial Distress Process Stages and Financial Ratios

    DEFF Research Database (Denmark)

    Sormunen, Nina; Laitinen, Teija

    2012-01-01

    stage affects the classification ability of single financial ratios and financial distress prediction models in short-term financial distress prediction. The study shows that the auditor's GC task could be supported by paying attention to the financial distress process stage. The implications...... of these findings for auditors and every stakeholder of business firms are considered....

  1. Modelling Of Residual Stresses Induced By High Speed Milling Process

    International Nuclear Information System (INIS)

    Desmaison, Olivier; Mocellin, Katia; Jardin, Nicolas

    2011-01-01

    Maintenance processes used in heavy industries often include high speed milling operations. The reliability of the post-process material state has to be studied. Numerical simulation appears to be a very interesting way to supply an efficient residual stresses (RS) distribution prediction.Because the adiabatic shear band and the serrated chip shaping are features of the austenitic stainless steel high speed machining, a 2D high speed orthogonal cutting model is briefly presented. This finite element model, developed on Forge registered software, is based on data taken from Outeiro and al.'s paper [1]. A new behaviour law fully coupling Johnson-Cook's constitutive law and Latham and Cockcroft's damage model is detailed in this paper. It ensures results that fit those found in literature.Then, the numerical tools used on the 2D model are integrated to a 3D high speed milling model. Residual stresses distribution is analysed, on the surface and into the depth of the material. Various revolutions and passes of the two teeth hemispheric mill on the workpiece are simulated. Thus the sensitivity of the residual stresses generation to the cutting conditions can be discussed. In order to validate the 3D model, a comparison of the cutting forces measured by EDF R and D to those given by numerical simulations is achieved.

  2. Stress description model by non destructive magnetic methods

    International Nuclear Information System (INIS)

    Flambard, C.; Grossiord, J.L.; Tourrenc, P.

    1983-01-01

    Since a few years, CETIM investigates analysis possibilities of materials, by developing a method founded on observation of ferromagnetic noise. By experiments, correlations have become obvious between state of the material and recorded signal. These correlations open to industrial applications to measure stresses and strains in elastic and plastic ranges. This article starts with a brief historical account and theoretical backgrounds of the method. The experimental frame of this research is described, and the main results are analyzed. Theoretically, a model was built up, and we present it. It seems in agreement with some experimental observations. The main results concerning stress application, thermal and surface treatments (decarbonizing) are presented [fr

  3. One-dimensional models of thermal activation under shear stress

    CSIR Research Space (South Africa)

    Nabarro, FRN

    2003-01-01

    Full Text Available - dimensional models presented here may illuminate the study of more realistic models. For the model in which as many dislocations are poised for backward jumps as for forward jumps, the experimental activation volume Vye(C27a) under applied stresses close to C...27a is different from the true activation volume V(C27) evaluated at C27 ?C27a. The relations between the two are developed. A model is then discussed in which fewer dislocations are available for backward than for forward jumps. Finally...

  4. A decision model for financial assurance instruments in the upstream petroleum sector

    International Nuclear Information System (INIS)

    Ferreira, Doneivan; Suslick, Saul; Farley, Joshua; Costanza, Robert; Krivov, Sergey

    2004-01-01

    The main objective of this paper is to deepen the discussion regarding the application of financial assurance instruments, bonds, in the upstream oil sector. This paper will also attempt to explain the current choice of instruments within the sector. The concepts of environmental damages and internalization of environmental and regulatory costs will be briefly explored. Bonding mechanisms are presently being adopted by several governments with the objective of guaranteeing the availability of funds for end-of-leasing operations. Regulators are mainly concerned with the prospect of inheriting liabilities from lessees. Several forms of bonding instruments currently available were identified and a new instrument classification was proposed. Ten commonly used instruments were selected and analyzed under the perspective of both regulators and industry (surety, paid-in and periodic-payment collateral accounts, letters of credit, self-guarantees, investment grade securities, real estate collaterals, insurance policies, pools, and special funds). A multiattribute value function model was then proposed to examine current instrument preferences. Preliminary simulations confirm the current scenario where regulators are likely to require surety bonds, letters of credit, and periodic payment collateral account tools

  5. Financial modeling in medicine: cash flow, basic metrics, the time value of money, discount rates, and internal rate of return.

    Science.gov (United States)

    Lexa, Frank James; Berlin, Jonathan W

    2005-03-01

    In this article, the authors cover tools for financial modeling. Commonly used time lines and cash flow diagrams are discussed. Commonly used but limited terms such as payback and breakeven are introduced. The important topics of the time value of money and discount rates are introduced to lay the foundation for their use in modeling and in more advanced metrics such as the internal rate of return. Finally, the authors broach the more sophisticated topic of net present value.

  6. Targeting the robo-advice customer: the development of a psychographic segmentation model for financial advice robots

    OpenAIRE

    van Thiel, D.; van Raaij, W.F.

    2017-01-01

    The purpose of this study is to develop the world’s first psychographic market segmentation model that supports personalization, customer education, customer activation, and customer engagement strategies with financial advice robots. As traditional segmentation models in consumer finance primarily focus on externally observed demographics or economic criteria such as profession, age, income, or wealth, post-hoc psychographic segmentation further supports personalization in the digital adviso...

  7. USDOT guidance for connected vehicle deployments : institutional and business models and financial sustainability.

    Science.gov (United States)

    2016-07-01

    This document provides guidance material in regards to Institutional and Business issues as well as Financial Sustainability for the CV Pilots Deployment Concept Development Phase. This material also provides part of the foundation for the Performanc...

  8. Financial gradualism and banking crises in North Africa region: an investigation by a panel logit model

    OpenAIRE

    KHATTAB, Ahmed; IHADIYAN, Abid

    2017-01-01

    Abstract. In order to overcome the troubles of the crisis in the seventies, North African countries have adopted financial liberalization policies to enhance their economic growth. Moreover, these policies have affected the stability of their banking systems. The purpose of this study is to test the impact of financial liberalization on the probability of appearance of banking crises which covers a sample of four countries of the North Africa region during the period 1970-2003 by using a pane...

  9. Compromise between Short- and Long-Term Financial Sustainability: A Hybrid Model for Supporting R&D Decisions

    Directory of Open Access Journals (Sweden)

    Kao-Yi Shen

    2017-03-01

    Full Text Available The debate of “short-termism” has gained increasing interests from various fields, ranging from management to economics; it mainly concerns the decisions or actions taken by businesses that might yield short-term returns at the cost of long-term value or sustainability. Previous studies have highlighted this dilemma faced by managers, mainly from the pressure of capital markets or short-sighted shareholders who crave for immediate financial outcomes; intelligent decision aids that can compromise between the short- and long-term financial sustainability, based on a company’s policy, are highly needed. Therefore, the aim of this study is to develop a multiple-rule-based hybrid decision model to support management teams on prioritizing new R&D projects, considering the financial prospects in dual timeframes (i.e., short- and long-term for sustainability. Furthermore, in the presence of business uncertainty and the limited knowledge of managers on new projects, the intuitionistic fuzzy technique is incorporated. A case of selecting new R&D projects for an IC design company is illustrated using the proposed approach, and the financial data from a group of public-listed IC stocks from Taiwan are inducted to form the decision model. The findings not only support the IC design company to select new projects but also provide business insights to facilitate the understandings of this controversial issue in managerial practice.

  10. A Simulation Modeling Framework to Optimize Programs Using Financial Incentives to Motivate Health Behavior Change.

    Science.gov (United States)

    Basu, Sanjay; Kiernan, Michaela

    2016-01-01

    While increasingly popular among mid- to large-size employers, using financial incentives to induce health behavior change among employees has been controversial, in part due to poor quality and generalizability of studies to date. Thus, fundamental questions have been left unanswered: To generate positive economic returns on investment, what level of incentive should be offered for any given type of incentive program and among which employees? We constructed a novel modeling framework that systematically identifies how to optimize marginal return on investment from programs incentivizing behavior change by integrating commonly collected data on health behaviors and associated costs. We integrated "demand curves" capturing individual differences in response to any given incentive with employee demographic and risk factor data. We also estimated the degree of self-selection that could be tolerated: that is, the maximum percentage of already-healthy employees who could enroll in a wellness program while still maintaining positive absolute return on investment. In a demonstration analysis, the modeling framework was applied to data from 3000 worksite physical activity programs across the nation. For physical activity programs, the incentive levels that would optimize marginal return on investment ($367/employee/year) were higher than average incentive levels currently offered ($143/employee/year). Yet a high degree of self-selection could undermine the economic benefits of the program; if more than 17% of participants came from the top 10% of the physical activity distribution, the cost of the program would be expected to always be greater than its benefits. Our generalizable framework integrates individual differences in behavior and risk to systematically estimate the incentive level that optimizes marginal return on investment. © The Author(s) 2015.

  11. Forecasting Financial Resources for Future Traumatic Spinal Cord Injury Care Using Simulation Modeling.

    Science.gov (United States)

    Ahn, Henry; Lewis, Rachel; Santos, Argelio; Cheng, Christiana L; Noonan, Vanessa K; Dvorak, Marcel F; Singh, Anoushka; Linassi, A Gary; Christie, Sean; Goytan, Michael; Atkins, Derek

    2017-10-15

    Survivors of traumatic spinal cord injury (tSCI) have intense healthcare needs during acute and rehabilitation care and often through the rest of life. To prepare for a growing and aging population, simulation modeling was used to forecast the change in healthcare financial resources and long-term patient outcomes between 2012 and 2032. The model was developed with data from acute and rehabilitation care facilities across Canada participating in the Access to Care and Timing project. Future population and tSCI incidence for 2012 and 2032 were predicted with data from Statistics Canada and the Canadian Institute for Health Information. The projected tSCI incidence for 2012 was validated with actual data from the Rick Hansen SCI Registry of the participating facilities. Using a medium growth scenario, in 2032, the projected median age of persons with tSCI is 57 and persons 61 and older will account for 46% of injuries. Admissions to acute and rehabilitation facilities in 2032 were projected to increase by 31% and 25%, respectively. Because of the demographic shift to an older population, an increase in total population life expectancy with tSCI of 13% was observed despite a 22% increase in total life years lost to tSCI between 2012 and 2032. Care cost increased 54%, and rest of life cost increased 37% in 2032, translating to an additional CAD $16.4 million. With the demographics and management of tSCI changing with an aging population, accurate projections for the increased demand on resources will be critical for decision makers when planning the delivery of healthcare after tSCI.

  12. A detailed heterogeneous agent model for a single asset financial market with trading via an order book.

    Directory of Open Access Journals (Sweden)

    Roberto Mota Navarro

    Full Text Available We present an agent based model of a single asset financial market that is capable of replicating most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. In our model agents employ strategies inspired on those used in real markets, and a realistic trade mechanism based on a double auction order book. We study the role of the distinct types of trader on the return statistics: specifically, correlation properties (or lack thereof, volatility clustering, heavy tails, and the degree to which the distribution can be described by a log-normal. Further, by introducing the practice of "profit taking", our model is also capable of replicating the stylized fact related to an asymmetry in the distribution of losses and gains.

  13. A detailed heterogeneous agent model for a single asset financial market with trading via an order book.

    Science.gov (United States)

    Mota Navarro, Roberto; Larralde, Hernán

    2017-01-01

    We present an agent based model of a single asset financial market that is capable of replicating most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. In our model agents employ strategies inspired on those used in real markets, and a realistic trade mechanism based on a double auction order book. We study the role of the distinct types of trader on the return statistics: specifically, correlation properties (or lack thereof), volatility clustering, heavy tails, and the degree to which the distribution can be described by a log-normal. Further, by introducing the practice of "profit taking", our model is also capable of replicating the stylized fact related to an asymmetry in the distribution of losses and gains.

  14. Phases of Recognition and Management of Financial Crisis in Public Organizations.

    Science.gov (United States)

    Jones, L. R.

    Based in part on interviews conducted in 32 municipalities, this paper is intended to provide information to public managers, policy analysts, and others on methods for improving the management of retrenchment. A model summarizes how public organizations recognize and attempt to manage financial crises and prolonged financial stress. Some cutback…

  15. A memory-based model of posttraumatic stress disorder

    DEFF Research Database (Denmark)

    Rubin, David C.; Berntsen, Dorthe; Johansen, Marlene Klindt

    2008-01-01

    In the mnemonic model of posttraumatic stress disorder (PTSD), the current memory of a negative event, not the event itself, determines symptoms. The model is an alternative to the current event-based etiology of PTSD represented in the Diagnostic and Statistical Manual of Mental Disorders (4th ed......., text rev.; American Psychiatric Association, 2000). The model accounts for important and reliable findings that are often inconsistent with the current diagnostic view and that have been neglected by theoretical accounts of the disorder, including the following observations. The diagnosis needs...

  16. ANIMAL MODELS OF POST-TRAUMATIC STRESS DISORDER: FACE VALIDITY

    Directory of Open Access Journals (Sweden)

    SONAL eGOSWAMI

    2013-05-01

    Full Text Available Post-traumatic stress disorder (PTSD is a debilitating condition that develops in a proportion of individuals following a traumatic event. Despite recent advances, ethical limitations associated with human research impede progress in understanding PTSD. Fortunately, much effort has focused on developing animal models to help study the pathophysiology of PTSD. Here, we provide an overview of animal PTSD models where a variety of stressors (physical, psychosocial, or psychogenic are used to examine the long-term effects of severe trauma. We emphasize models involving predator threat because they reproduce human individual differences in susceptibility to, and in the long-term consequences of, psychological trauma.

  17. Modeling stress wave propagation in rocks by distinct lattice spring model

    Directory of Open Access Journals (Sweden)

    Gaofeng Zhao

    2014-08-01

    Full Text Available In this paper, the ability of the distinct lattice spring model (DLSM for modeling stress wave propagation in rocks was fully investigated. The influence of particle size on simulation of different types of stress waves (e.g. one-dimensional (1D P-wave, 1D S-wave and two-dimensional (2D cylindrical wave was studied through comparing results predicted by the DLSM with different mesh ratios (lr and those obtained from the corresponding analytical solutions. Suggested values of lr were obtained for modeling these stress waves accurately. Moreover, the weak material layer method and virtual joint plane method were used to model P-wave and S-wave propagating through a single discontinuity. The results were compared with the classical analytical solutions, indicating that the virtual joint plane method can give better results and is recommended. Finally, some remarks of the DLSM on modeling of stress wave propagation in rocks were provided.

  18. Financial Rogue Waves

    International Nuclear Information System (INIS)

    Yan Zhenya

    2010-01-01

    We analytically give the financial rogue waves in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black-Scholes model. These rogue wave solutions may he used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.

  19. Benchmark on residual stress modeling in fracture mechanics assessment

    International Nuclear Information System (INIS)

    Marie, S.; Deschanels, H.; Chapuliot, S.; Le Delliou, P.

    2014-01-01

    In the frame of development in analytical defect assessment methods for the RSE-M and RCC-MRx codes, new work on the consideration of residual stresses is initiated by AREVA, CEA and EDF. The first step of this work is the realization of a database of F.E. reference cases. To validate assumptions and develop a good practice guideline for the consideration of residual stresses in finite element calculations, a benchmark between AREVA, CEA and EDF is going-on. A first application presented in this paper focuses on the analysis of the crack initiation of aged duplex stainless steel pipes submitted to an increasing pressure loading. Residual stresses are related to pipe fabrication process and act as shell bending condition. Two tests were performed: the first with an internal longitudinal semi-elliptical crack and the second with an external crack. The analysis first focuses on the ability to accurately estimate the measured pressure at the crack initiation of the two tests. For that purpose, the comparison of results obtained with different methods of taking into account the residual stresses (i.e. thermal fields or initial strain field). It then validates post-treatment procedures for J or G determination, and finally compares of the results obtained by the different partners. It is then shown that the numerical models can integrate properly the impact of residual stresses on the crack initiation pressure. Then, an excellent agreement is obtained between the different numerical evaluations of G provided by the participants to the benchmark so that best practice and reference F.E. solutions for residual stresses consideration can be provided based on that work. (authors)

  20. Modeling of residual stress state in turning of 304L

    International Nuclear Information System (INIS)

    Valiorgue, F.; Rech, J.; Bergheau, J.M.

    2010-01-01

    Research presented in this paper aims to link machining parameters to residual stress state and helps understanding mechanisms responsible of machined surface properties modifications. The first presented works are based on an experimental campaign. They reproduce the finishing turning operation of 304L and allow observing the residual stress state evolution at the work piece surface and for an affected depth of 0.2 mm for such processes. Then, the finishing turning operation is simulated numerically in order to realize the same sensitivity study to cutting parameters. This simulation is based on an hybrid approach mixing experimental data and numerical simulation. This method allows getting round the classical difficulties of turning simulation by applying equivalent thermo mechanical loadings onto the work piece surface without modeling the material separation phenomena. Moreover the numerical model uses an hardening law taking into account dynamic recrystallization phenomena. (authors)

  1. Creep modeling of textured zircaloy under biaxial stressing

    International Nuclear Information System (INIS)

    Adams, B.L.; Murty, K.L.

    1984-01-01

    Anisotropic biaxial creep behavior of textured Zircaloy tubing was modeled using a crystal-plastic uniform strain-rate upper-bound and a uniform stress lower-bound approach. Power-law steady-state creep is considered to occur on each crystallite glide system by fixing the slip rate to be proportional to the resolved shear stress raised to a power. Prismatic, basal, and pyramidal slip modes were considered. The crystallographic texture is characterized using the orientation distribution function determined from a set of three pole-figures. This method is contrasted with a Von-Mises-Hill phenomenological model in comparison with experimental data obtained at 673 deg K. The resulting creep-dissipative loci show the importance of the basal slip mode on creep in heavily cold-worked cladding, whereas prismatic slip is more important for the recrystallized materials. (author)

  2. Financial performance monitoring of the technical efficiency of critical access hospitals: a data envelopment analysis and logistic regression modeling approach.

    Science.gov (United States)

    Wilson, Asa B; Kerr, Bernard J; Bastian, Nathaniel D; Fulton, Lawrence V

    2012-01-01

    From 1980 to 1999, rural designated hospitals closed at a disproportionally high rate. In response to this emergent threat to healthcare access in rural settings, the Balanced Budget Act of 1997 made provisions for the creation of a new rural hospital--the critical access hospital (CAH). The conversion to CAH and the associated cost-based reimbursement scheme significantly slowed the closure rate of rural hospitals. This work investigates which methods can ensure the long-term viability of small hospitals. This article uses a two-step design to focus on a hypothesized relationship between technical efficiency of CAHs and a recently developed set of financial monitors for these entities. The goal is to identify the financial performance measures associated with efficiency. The first step uses data envelopment analysis (DEA) to differentiate efficient from inefficient facilities within a data set of 183 CAHs. Determining DEA efficiency is an a priori categorization of hospitals in the data set as efficient or inefficient. In the second step, DEA efficiency is the categorical dependent variable (efficient = 0, inefficient = 1) in the subsequent binary logistic regression (LR) model. A set of six financial monitors selected from the array of 20 measures were the LR independent variables. We use a binary LR to test the null hypothesis that recently developed CAH financial indicators had no predictive value for categorizing a CAH as efficient or inefficient, (i.e., there is no relationship between DEA efficiency and fiscal performance).

  3. Medicare Chronic Care Management Payments and Financial Returns to Primary Care Practices: A Modeling Study.

    Science.gov (United States)

    Basu, Sanjay; Phillips, Russell S; Bitton, Asaf; Song, Zirui; Landon, Bruce E

    2015-10-20

    Physicians have traditionally been reimbursed for face-to-face visits. A new non-visit-based payment for chronic care management (CCM) of Medicare patients took effect in January 2015. To estimate financial implications of CCM payment for primary care practices. Microsimulation model incorporating national data on primary care use, staffing, expenditures, and reimbursements. National Ambulatory Medical Care Survey and other published sources. Medicare patients. 10 years. Practice-level. Comparison of CCM delivery approaches by staff and physicians. Net revenue per full-time equivalent (FTE) physician; time spent delivering CCM services. If nonphysician staff were to deliver CCM services, net revenue to practices would increase despite opportunity and staffing costs. Practices could expect approximately $332 per enrolled patient per year (95% CI, $234 to $429) if CCM services were delivered by registered nurses (RNs), approximately $372 (CI, $276 to $468) if services were delivered by licensed practical nurses, and approximately $385 (CI, $286 to $485) if services were delivered by medical assistants. For a typical practice, this equates to more than $75 ,00 of net annual revenue per FTE physician and 12 hours of nursing service time per week if 50% of eligible patients enroll. At a minimum, 131 Medicare patients (CI, 115 to 140 patients) must enroll for practices to recoup the salary and overhead costs of hiring a full-time RN to provide CCM services. If physicians were to deliver all CCM services, approximately 25% of practices nationwide could expect net revenue losses due to opportunity costs of face-to-face visit time. The CCM program may alter long-term primary care use, which is difficult to predict. Practices that rely on nonphysician team members to deliver CCM services will probably experience substantial net revenue gains but must enroll a sufficient number of eligible patients to recoup costs. None.

  4. Social Support for Divorced Fathers' Parenting: Testing a Stress-Buffering Model*

    OpenAIRE

    DeGarmo, David S.; Patras, Joshua; Eap, Sopagna

    2008-01-01

    A stress-buffering hypothesis for parenting was tested in a county-representative sample of 218 divorced fathers. Social support for parenting (emergency and nonemergency child care, practical support, financial support) was hypothesized to moderate effects of stress (role overload, coparental conflict, and daily hassles) on fathers’ quality parenting. No custody fathers relied more on relatives compared with custodial fathers, who relied more on new partners for parenting support. No differe...

  5. RTE - 2012 financial results

    International Nuclear Information System (INIS)

    Ricour, Olivia; Marguier, Marina; Lartigau, Thierry

    2013-01-01

    The mission of RTE, the French electricity Transportation grid, a public service assignment, is to balance the electricity supply and demand in real time. This report presents RTE's financial results for 2012: increase of investments for services to clients, performance results, financial balance, stability of the economical model. RTE's regulated economical model, main financial indicators, 2007-2012 investments, 2012 investments by category, 2012 turnover, 2012 costs structure, taxes, financial balance sheet at the end of 2012, and the share of electricity transport in the electricity price are presented in appendixes

  6. Stress monitoring in a maxilla model and dentition

    Science.gov (United States)

    Milczewski, Maura S.; Kalinowski, Hypolito J.; da Silva, Jean C. C.; Abe, Ilda; Simões, José A.; Saga, Armando

    2011-05-01

    Fiber Bragg gratings were used to measure stress caused by the orthodontic appliance in an experimental model reproducing the maxilla and dentition. This study brings light to the understanding of the way forces are dissipated on the dentition and propagate to the adjacent bone. Results show deformations on the order of 4 μɛ and a linear relationship between strain and the applied load in the incisor, canine and molar teeth.

  7. CONSIDERATIONS UPON CONTACT STRESS MODELLING IN DENTAL ARTICULATOR PAIRS

    Directory of Open Access Journals (Sweden)

    Carmen Ciornei

    2012-05-01

    Full Text Available A dental articulator is a mechanism which simulates the temporo-mandibular joint. The articulator is essential as it replicates the basic motions of the upper and lower mandibles, both revolve and translational motions. In the present paper the stresses from an articulator TMJ modelled as a bronze sphere into a cylindrical steel cavity are analyzed by two methods, first applying the Hertzian contact theory and then numerically, by means of finite element analysis using the simulation module in CATIA.

  8. MEETING THE CHALLENGE OF ESTABLISHING COMMERCIAL MOHAIR ENTERPRISES BY BUILDING AN INTERACTIVE ENTERPRISE MANAGEMENT AND FINANCIAL MODEL

    Directory of Open Access Journals (Sweden)

    Stephen J Chaffey

    2009-06-01

    Full Text Available To assist in attracting investors into mohair production in Australia, a production and financial model was built as a learning and support tool. The work aimed to reduce search time and thinking costs about the impact of management strategies on financial feasibility. Various management strategies and assumptions applied to a case study with 300 breeding Angora does and eight variations. The results showed an internal rate of return for mohair ranging from 9.3% to 21.2% over 12 years, a median gross margin per effective hectare ranging from $82 to $167, cash at bank in year 12 ranging from $8,700 to $56,800 and net enterprise assets ranging from $69,900 to $155,700. A key benefit of the model was its ability to allow new farmers to explore potential management strategies and their assumptions about a future enterprise before investing.

  9. TO THE QUESTION OF MODELS OF ANALYSIS ASSESSING FINANCIAL CONDITION OF THE EDUCATIONAL ORGANIZATION OF HIGHER EDUCATION

    Directory of Open Access Journals (Sweden)

    A. Galushkin

    2016-01-01

    Full Text Available In this article, author discusses model of analysis assessing the financial condition of the educational organization of higher education. Author analyzes the sequence (algorithm analysis of fi nancial and economic activity of the educational organization of higher education in the process of separating the analysis of questions of the analysis of the state educational institutions of higher education and non-state educational institutions of higher education. Author also deals with the determination of the average annual values of indicators of educational institution of higher education. In conclusion, the author makes a scientifi cally-based own conclusions and gives a number of suggestions.Goal / task. Aim of the article is to identify further ways of optimizing the financial condition of the educational organization of higher education.Methodology. Author started his research with the setting and the formulation of research objectives. The author defined the subject of the study, prepared by the empirical basis of the study.Results. According to the results of the study produced five research-based fi ndings presented in the article.Conclusions / signifi cance. 1. Analysis of the financial condition of the educational institutions of higher education can be defi ned as a complex and complex economic studies to identify patterns of the system factors in the financial well-being, the subject of analysis of educational, teaching, research and related activities.2. Integral assessment of the conditions of the financial analysis of the educational institution of higher education leads to the conclusion that it should include a number of stages.3. Analysis of the financial condition of the educational institution of higher education should be characterized as a specific type of analytical work. However, it is obvious that it can not be a simple kind of financial analysis of its object, and is a special form of research. The most significant

  10. Financial liberalization, currency substitution and savings in Nigeria: Evidence from cointegration and error correction modeling

    Directory of Open Access Journals (Sweden)

    M Aziakpono

    2004-04-01

    Full Text Available The study set out to test the McKinnon-Shaw proposition that financial liberalization will significantly increase savings mobilization. The results partly supported the financial liberalization proposition. Variables that capture the effects of currency substitution such as the interest rate differential, a proxy for underground economy, the inflation differential (as a measure of macroeconomic instability and a dummy for political instability were significant in their adverse impacts on the saving mobilization process in Nigeria. We, therefore, advocate for an active monetary policy that will help manage the delicate balance between domestic and foreign interest rates. This should be combined with macroeconomic policies that create a stable economic environment along with appropriate financial and exchange rate policies, in order to discourage economic agents from preferring foreign denominated assets to those held in the domestic currency.

  11. Numerical modeling of regional stress distributions for geothermal exploration

    Science.gov (United States)

    Guillon, Theophile; Peter-Borie, Mariane; Gentier, Sylvie; Blaisonneau, Arnold

    2017-04-01

    Any high-enthalpy unconventional geothermal projectcan be jeopardized by the uncertainty on the presence of the geothermal resource at depth. Indeed, for the majority of such projects the geothermal resource is deeply seated and, with the drilling costs increasing accordingly, must be located as precisely as possible to increase the chance of their economic viability. In order to reduce the "geological risk", i.e., the chance to poorly locate the geothermal resource, a maximum amount of information must be gathered prior to any drilling of exploration and/or operational well. Cross-interpretation from multiple disciplines (e.g., geophysics, hydrology, geomechanics …) should improve locating the geothermal resource and so the position of exploration wells ; this is the objective of the European project IMAGE (grant agreement No. 608553), under which the work presented here was carried out. As far as geomechanics is concerned, in situ stresses can have a great impact on the presence of a geothermal resource since they condition both the regime within the rock mass, and the state of the major fault zones (and hence, the possible flow paths). In this work, we propose a geomechanical model to assess the stress distribution at the regional scale (characteristic length of 100 kilometers). Since they have a substantial impact on the stress distributions and on the possible creation of regional flow paths, the major fault zones are explicitly taken into account. The Distinct Element Method is used, where the medium is modeled as fully deformable blocks representing the rock mass interacting through mechanically active joints depicting the fault zones. The first step of the study is to build the model geometry based on geological and geophysical evidences. Geophysical and structural geology results help positioning the major fault zones in the first place. Then, outcrop observations, structural models and site-specific geological knowledge give information on the fault

  12. Evidence from Business Strategy of Mutual Fund Managers after the Financial Crisis - Panel Smooth Transition Regression Model

    OpenAIRE

    Joe-Ming Lee

    2013-01-01

    This study applies by the panel transition regression (PSTR) model to investigate the nonlinear dynamic relationship between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be different business strategy under the volatility threshold value and the control variables of asset of funds, management fee and Turnover indicator. After the financial crisis, the threshold of volatility will be an important index to different business...

  13. Structure simulation of a pre-stressed concrete containment model

    International Nuclear Information System (INIS)

    Grebner, H.; Sievers, J.

    2004-01-01

    An axisymmetric Finite-Element-Model of the 1:4 pre-stressed containment model tested at SANDIA was developed. The model is loaded by the pre-stressing of the tendons and by increasing internal pressure (up to 1.3 MPa). The analyses results in terms of displacements and strains in the liner, the rebars, the tendons and the concrete of the cylindrical part agree well with measured data up to about 0.6 MPa internal pressure (i.e. 1.5 times design pressure). First circumferential micro-cracks in the concrete are found at about 0.75 MPa. With increasing pressure micro-cracks are present through the whole wall. Above about 0.9 MPa the formation of micro-cracks in radial and meridional direction is calculated. At the maximum load (1.3 MPa) almost all concrete parts of the model have micro-cracks which may cause leaks. Nevertheless the failure of the containment model is not expected for loads up to 1.3 MPa without consideration of geometric inhomogeneities due to penetrations in the wall. Although the calculated strains in liner, rebars and tendons show some plastification, the maximum values are below the critical ones. The safety margin against failure is smallest in some hoop tendons. At present parametric studies are performed to investigate the differences between calculations and measured data. Furthermore three-dimensional models are developed for a better simulation of the meridional tendons in the dome region. (orig.)

  14. DECOVALEX I - Test Case 1: Coupled stress-flow model

    International Nuclear Information System (INIS)

    Rosengren, L.; Christianson, M.

    1995-12-01

    This report presents the results of the coupled stress-flow model, test case 1 of Decovalex. The model simulates the fourth loading cycle of a coupled stress-flow test and subsequent shearing up to and beyond peak shear resistance. The first loading sequence (A) consists of seven normal loading steps: 0, 5, 15, 25, 15, 5, 0 MPa. The second loading sequence (B) consists of the following eight steps: unstressed state, normal boundary loading of 25 MPa (no shearing), and then shearing of 0.5, 0.8, 2, 4, 2, 0 mm. Two different options regarding the rock joint behaviour were modeled in accordance with the problem definition. In option 1 a linear elastic joint model with Coulomb slip criterion was used. In option 2 a non-linear empirical (i.e. Barton-Bandis) joint model was used. The hydraulic condition during both load sequence A and B was a constant head of 5 m at the inlet point and 0 m at the outlet point. All model runs presented in this report were performed using the two-dimensional distinct element computer code UDEC, version 1.8. 30 refs, 36 figs

  15. Is different better? Models of teaching and their influence on the net financial outcome for general practice teaching posts

    Directory of Open Access Journals (Sweden)

    Cheah Carolyn

    2011-07-01

    Full Text Available Abstract Background In Australia, training for general practice (GP occurs within private practices and their involvement in teaching can have significant financial costs. At the same time there are growing demands for clinical places for all disciplines and for GP there is concern that there are insufficient teaching practices to meet the demand at the medical student, prevocational and vocational training levels. One option to address this may be to change how teaching occurs in the practice. A question that arises in posing such an option is whether different models of teaching change the costs for a teaching practice. The aim of this study is to determine the net financial outcome of teaching models in private GP. Methods Modelling the financial implications for a range of teaching options using a costing framework developed from a survey of teaching practices in South Australia. Each option was compared with the traditional model of teaching where one GP supervisor is singularly responsible for one learner. The main outcome measure was net financial outcome per week. Decisions on the model cost parameters were made by the study's Steering Group which comprised of experienced GP supervisors. Four teaching models are presented. Model 1 investigates the gains from teaching multiple same level learners, Models 2 and 3, the benefits of vertically integrated teaching using different permutations, and Model 4 the concept of a GP teacher who undertakes all the teaching. Results There was a significant increase in net benefits of Aus$547 per week (95% confidence intervals $459, $668 to the practice when a GP taught two same level learners (Model 1 and when a senior registrar participated in teaching a prevocational doctor (Model 3, Aus$263, 95% confidence intervals $80, $570. For Model 2, a practice could significantly reduce the loss if a registrar was involved in vertically integrated teaching which included the training of a medical student (Aus

  16. Life insurance, financial development and economic growth in South Africa: An application of the autoregressive distributed lag model

    Directory of Open Access Journals (Sweden)

    Athenia Bongani Sibindi

    2014-12-01

    Full Text Available The life insurance sector may contribute to economic growth by its very mechanism of savings mobilisation and thereby performing an intermediation role in the economy. This ensures that capital is provided to deficient units who are in need of capital to finance their working capital requirements and invest in technology thereby resulting in an increase in output. In this way, it could be argued that life insurance development spurs financial development. In this article we investigate the causal relationship between the life insurance sector, financial development and economic growth in South Africa for the period 1990 to 2012 by applying the ARDL bounds testing procedure. We make use of life insurance density as the proxy for life insurance development, real per capita growth domestic product as the proxy for economic growth and real broad money per capita as the proxy for financial development. We test for cointegration amongst the variables by applying the bounds test and then proceed to test for Granger causality based on the error correction model. Our results confirm that the variables are cointegrated and move in tandem to each other in the long-run. The results also indicate that the direction of causality runs from the economy to the life insurance sector in the short-run which is consistent with the “demand-following” insurance-growth hypothesis. There is also evidence of bidirectional Granger causality running from the economy to financial development and vice versa, both in the long-run and short-run. The results also reveal that life insurance complements financial development in bringing about economic growth further lending credence to the “complementarity” hypothesis

  17. Reliability of Coulomb stress changes inferred from correlated uncertainties of finite-fault source models

    KAUST Repository

    Woessner, J.; Jonsson, Sigurjon; Sudhaus, H.; Baumann, C.

    2012-01-01

    Static stress transfer is one physical mechanism to explain triggered seismicity. Coseismic stress-change calculations strongly depend on the parameterization of the causative finite-fault source model. These models are uncertain due

  18. Exchange market pressures during the financial crisis: A Bayesian model averaging evidence

    Czech Academy of Sciences Publication Activity Database

    Feldkircher, M.; Horváth, Roman; Rusnák, M.

    2014-01-01

    Roč. 40, č. 1 (2014), s. 21-41 ISSN 0261-5606 R&D Projects: GA ČR GA13-11983S Institutional support: RVO:67985556 Keywords : exchange rate pressure * Financial crisis Subject RIV: AH - Economics Impact factor: 2.117, year: 2014 http://library.utia.cas.cz/separaty/2015/E/horvath-0449956.pdf

  19. SOME ASPECTS OF METHODOLOGICAL BASIS OF BANK’S FINANCIAL SECURITY MODELING

    Directory of Open Access Journals (Sweden)

    Z. Vasylchenko

    2013-05-01

    Full Text Available Developed methodical approaches for assessing financial safety of bank. Proposed by authors theoretical concept of integral bank’s financial security index has in its basis indicators of capital sufficiency, capital growth, liquidity and return on assets. Bringing together all the mentioned values is appropriate to do using the reliability function. As an input data for setting this function serve expert evaluations regarding the stability of the object that is under consideration. It was found out, that typically system of expert evaluations has couple of features (advantages, which don’t exclude and also don’t complement each other. These features authors consider by separating them as compensational, non-compensational and partly compensational advantages. It was proved, that in banking it is extremely important itself the realistic setup of the ratio between partial and integral indicators, which are partly inherent to-compensational advantage. Proved that the developed approaches for assessing strategic decisions on financial safety of bank are based on three-level index system: bank’s primary accounting figures; aggregate of special generalized figures which consolidate information on management decisions made in bank to the most possible extent; integral indices of financial safety of bank.

  20. Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); J. Tian (Jiarong)

    2016-01-01

    textabstractThe primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns