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.

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.

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…

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.

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.

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.

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…

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.

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...

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.

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...

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...

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:…

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...

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.

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).

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.

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

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

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)…

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)

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.

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...

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

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.

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.

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.

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

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

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

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)

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.

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…

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…

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.

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)

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.

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...

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

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

Financial Adaptation among College Students: Helping Students Cope with Financial Strain

Science.gov (United States)

Serido, Joyce; Shim, Soyeon; Xiao, Jing Jian; Tang, Chuanyi; Card, Noel A.

2014-01-01

This study examines the impact of the recent financial crisis on co-occurring patterns of change in financial strain and financial coping behaviors of college students (N = 748) using two-timed, longitudinal data collected prior to the 2008 financial crisis and again one year later. Using a stress and coping framework, we found that different…

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.

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.

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

Foreign Models of Financial Equalization, Prospects for Implementation in Ukraine

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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

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…

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

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...

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

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)

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.

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.

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

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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.

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.

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.

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.

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.

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

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

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

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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.

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.

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

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.

Financial distress in Brazilian banks: an early warning model,

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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.

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…

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.

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

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.

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....

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...

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.

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....

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.

AN EMPIRICAL ANALYSIS OF RUSSIAN BANKING AND NON-FINANCIAL SECTORS' VULNERABILITY TO POSSIBLE EXTERNAL FINANCIAL SHOCK

Directory of Open Access Journals (Sweden)

Егор Николаевич Поляков

2013-08-01

Full Text Available The article explains to what extent currency mismatch in banking and non-financial sectors determine vulnerability of Russian economy with respect to possible external shock. The authors explain how Central Bank of Russia exchange rate policy depends on currency mismatches and to what extent currency mismatches determined the slowdown of Russian economy during the financial crisis. The article shows the dynamics of currency mismatch from 2004 to 2012 year. The authors offer the model of the relationship between capital flight and external debt of private sector. The authors present the results of stress test of Russian economy. The stress test implies external shock similar to external shock of the end of 2008. According to stress test as of end of 2012 both banking and private sectors are less vulnerable to possible external shock. Meanwhile authors made a conclusion that vulnerability of a private sector remains unacceptably high. The authors recommend 2 ways how to decelerate the currency mismatch of a private sector. DOI: http://dx.doi.org/10.12731/2218-7405-2013-6-8

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.

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)

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.

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

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.

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...

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.

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.

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.

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....

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.

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

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

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

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.

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 ...

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.

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 ...

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…

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.

A queueing theory description of fat-tailed price returns in imperfect financial markets

Science.gov (United States)

Lamba, H.

2010-09-01

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of price thresholds to simulate agent behavior over much longer timescales than are currently used in models of order-books. We show that many phenomena, routinely ignored in efficient market theory, can be systematically introduced into an otherwise efficient market, resulting in models that robustly replicate the most important stylized facts. We then demonstrate a close link between such threshold models and queueing theory, with large price changes corresponding to the busy periods of a single-server queue. The distribution of the busy periods is known to have excess kurtosis and non-exponential decay under various assumptions on the queue parameters. Such an approach may prove useful in the development of mathematical models for rapid deleveraging and panics in financial markets, and the stress-testing of financial institutions.

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.

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…

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

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.

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

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.

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.

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.

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.

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...

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)

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...

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.

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...

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

How to Avoid Fragility of Financial Systems: Lessons from the Financial Crisis and St. Petersburg Paradox

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Takayasu, Hideki

Firstly, I point out that the financial crisis occurred in 2008 has many analogous points with a physical phenomenon of brittle fracture in the sense that it is a highly irreversible phenomenon caused by concentration of stress to the weakest point. Then, I discuss distribution of gain-loss of continuous transactions of options which can be regarded as a source of stress among financial companies. The historical problem of Saint Petersburg paradox is reviewed and it is argued that the paradox is solved by decomposing the process into a combination of a fair gamble and an accompanied financial option. By generalizing this fair gamble it is shown that the gain-loss distribution in this problem is closely related to the distribution of gain-loss of business firms in the real world. Finally, I pose a serious question to the ordinary way of financing money to business firms with compound interest rates. Instead we introduce a new way of financing business firms without applying prefixed interest rates, in which financial stress is shared by all involved firms. This method is expected to reduce the risk of both financial firms and business firms, and is applicable even in the non-growing society.

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

Supervising System Stress in Multiple Markets

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Mikhail V. Oet

2015-09-01

Full Text Available This paper develops an extended financial stress measure that considers the supervisory objective of identifying risks to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using daily public market data. Broad coverage of material financial system markets over time is achieved by leveraging dynamic credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress.

Assessing College Student Needs for Comprehensive Financial Counseling

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Choi, Shinae; Gudmunson, Clinton G.; Griesdorn, Timothy S.; Hong, Gong-Soog

2016-01-01

To meet college student needs for financial counseling, it is important to assess why they seek counseling and the extent to which differing financial situations are tied to financial stress. This study examined these issues with a sample of 554 college students who participated in financial counseling and found financial problems in various…

Out of the Frying Pan: Into the Fire of Post-Global Financial Crisis (GFC) University Management

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Galbraith, Peter

2013-01-01

A downturn in enrolments of international students following the Global Financial Crisis is causing publicised stress among Australian universities that have come to rely on associated income. How to survive the financial consequences is currently receiving urgent attention within the sector. This paper models the problem of developing responses…

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.

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...

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

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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.

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

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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.

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.

Measuring the Behavioral Component of Financial Fluctuations

DEFF Research Database (Denmark)

Caporin, Massimiliano; Corazzini, Luca; Costola, Michele

We study the evolution of the behavioral component of the financial market by estimating a Bayesian mixture model in which two types of investors coexist: one rational, with standard subjective expected utility theory (SEUT) preferences, and one behavioral, endowed with an S-shaped utility function...... and the behavioral choices can be estimated by using a criterion function. The estimated parameter can be interpreted as an endogenous market sentiment index. This is confirmed by a number of checks controlling for the correlation of our endogenous index with measures of (implied) financial volatility, market...... sentiments and financial stress. Our results confirm the existence of a significant behavioral component that reaches its peaks during periods of recession. Moreover, after controlling for a number of covariates, we observe a significant correlation between the estimated behavioral component and the S&P 500...

Investors’ Risk Appetite and Global Financial Market Conditions

OpenAIRE

Brenda Gonzalez-Hermosillo

2008-01-01

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market conditions (including funding liquidity, market liquidity, as well as credit and volatility risks), contagion effects, and idiosyncratic factors. While idiosyncratic factors explain a large amount of the change...

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.

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

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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.

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.

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.

Parameter Estimation for Dynamic Model of the Financial System

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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.

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.

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.

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

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

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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.

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

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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.

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

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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

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.

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

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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

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

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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.

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.

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....

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.

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

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…

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...

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.

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

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

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

STRESS INDUCED OBESITY: LESSONS FROM RODENT MODELS OF STRESS

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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

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...

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.

MODELLING OF SCENARIOS OF THE CRISIS PHENOMENA TRANSFER AMONG FINANCIAL MARKETS

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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

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…

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

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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.

Cortisol shifts financial risk preferences.

Science.gov (United States)

Kandasamy, Narayanan; Hardy, Ben; Page, Lionel; Schaffner, Markus; Graggaber, Johann; Powlson, Andrew S; Fletcher, Paul C; Gurnell, Mark; Coates, John

2014-03-04

Risk taking is central to human activity. Consequently, it lies at the focal point of behavioral sciences such as neuroscience, economics, and finance. Many influential models from these sciences assume that financial risk preferences form a stable trait. Is this assumption justified and, if not, what causes the appetite for risk to fluctuate? We have previously found that traders experience a sustained increase in the stress hormone cortisol when the amount of uncertainty, in the form of market volatility, increases. Here we ask whether these elevated cortisol levels shift risk preferences. Using a double-blind, placebo-controlled, cross-over protocol we raised cortisol levels in volunteers over 8 d to the same extent previously observed in traders. We then tested for the utility and probability weighting functions underlying their risk taking and found that participants became more risk-averse. We also observed that the weighting of probabilities became more distorted among men relative to women. These results suggest that risk preferences are highly dynamic. Specifically, the stress response calibrates risk taking to our circumstances, reducing it in times of prolonged uncertainty, such as a financial crisis. Physiology-induced shifts in risk preferences may thus be an underappreciated cause of market instability.

Cortisol shifts financial risk preferences

Science.gov (United States)

Kandasamy, Narayanan; Hardy, Ben; Page, Lionel; Schaffner, Markus; Graggaber, Johann; Powlson, Andrew S.; Fletcher, Paul C.; Gurnell, Mark; Coates, John

2014-01-01

Risk taking is central to human activity. Consequently, it lies at the focal point of behavioral sciences such as neuroscience, economics, and finance. Many influential models from these sciences assume that financial risk preferences form a stable trait. Is this assumption justified and, if not, what causes the appetite for risk to fluctuate? We have previously found that traders experience a sustained increase in the stress hormone cortisol when the amount of uncertainty, in the form of market volatility, increases. Here we ask whether these elevated cortisol levels shift risk preferences. Using a double-blind, placebo-controlled, cross-over protocol we raised cortisol levels in volunteers over 8 d to the same extent previously observed in traders. We then tested for the utility and probability weighting functions underlying their risk taking and found that participants became more risk-averse. We also observed that the weighting of probabilities became more distorted among men relative to women. These results suggest that risk preferences are highly dynamic. Specifically, the stress response calibrates risk taking to our circumstances, reducing it in times of prolonged uncertainty, such as a financial crisis. Physiology-induced shifts in risk preferences may thus be an underappreciated cause of market instability. PMID:24550472

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...

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.

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

Impact of Global Financial Crisis on Nigerian Stock Market | Onuoha ...

African Journals Online (AJOL)

Impact of Global Financial Crisis on Nigerian Stock Market. ... that the global financial crisis measured by currency crisis, credit crisis, liquidity crisis, ... relevant regulatory authorities should use the financial stress index (FSI) as proposed by ...

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.

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.

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.

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.

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.

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.

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...

Financially fragile rural hospitals: mergers and closures.

Science.gov (United States)

Holmes, Mark

2015-01-01

Rural hospitals serve as major sources of health care and employment for their communities, but recently they have been under increased financial stress. What are the causes of this stress, and how have hospitals and their communities responded?

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...

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.

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.

Auto industry : a framework for considering federal financial assistance.

Science.gov (United States)

2008-12-05

The current economic downturn has brought significant financial stress to the auto manufacturing industry. Recent deteriorating financial, real estate, and labor markets have reduced consumer confidence and available credit, and automobile purchases ...

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.

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...

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.

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

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.

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

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.

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

77 FR 60948 - Stress Testing of Regulated Entities

Science.gov (United States)

2012-10-05

... regulated by a primary federal financial regulatory agency, to conduct annual stress tests to determine... the regulated entities under the Federal Housing Enterprises Financial Safety and Soundness Act of... regulated by a primary Federal financial regulatory agency shall conduct annual stress tests * * * (emphasis...

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...

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

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.

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

Financial Hardship and Patient-Reported Outcomes after Hematopoietic Cell Transplantation

Science.gov (United States)

Abel, Gregory A.; Albelda, Randy; Khera, Nandita; Hahn, Theresa; Salas Coronado, Diana Y.; Odejide, Oreofe O.; Bona, Kira; Tucker-Seeley, Reginald; Soiffer, Robert

2016-01-01

Although hematopoietic cell transplantation (HCT) is the only curative therapy for many advanced hematologic cancers, little is known about the financial hardship experienced by HCT patients, nor the association of hardship with patient-reported outcomes. We mailed a 43-item survey to adult patients approximately 180 days post first autologous or allogeneic HCT at three high-volume centers. We assessed decreases in household income, difficulty with HCT-related costs such as need to relocate or travel, and two types of hardship: “hardship_1” (reporting one or two of the following: dissatisfaction with present finances, difficulty meeting monthly bill payments, or not having enough money at the end of the month), and “hardship_2” (reporting all three). Patient-reported stress was measured with the Perceived Stress Scale (PSS-4), and seven-point scales were provided for perceptions of overall quality of life (QOL) and health. 325 of 499 surveys (65.1%) were received. The median days since HCT was 173; 47% underwent an allogeneic HCT, 60% were male, 51% were > 60 years old, and 92% were white. Overall, 46% reported income decline post-HCT, 56% reported “hardship_1” and 15% “hardship 2.” In multivariable models controlling for income, those reporting difficulty paying for HCT-related costs were more likely to report financial hardship (OR 6.9 [3.8, 12.3]). “Hardship_1” was associated with QOL below the median (OR 2.9 [1.7, 4.9]), health status below the median (OR 2.2 [1.3, 3.6]), and stress above the median (OR 2.1 [1.3, 3.5]). In this sizable cohort of HCT patients, financial hardship was prevalent, and associated with worse QOL and higher levels of perceived stress. Interventions to address patient financial hardship—especially those that ameliorate HCT-specific costs—are likely to improve patient-reported outcomes. PMID:27184627

Financial Hardship and Patient-Reported Outcomes after Hematopoietic Cell Transplantation.

Science.gov (United States)

Abel, Gregory A; Albelda, Randy; Khera, Nandita; Hahn, Theresa; Salas Coronado, Diana Y; Odejide, Oreofe O; Bona, Kira; Tucker-Seeley, Reginald; Soiffer, Robert

2016-08-01

Although hematopoietic cell transplantation (HCT) is the only curative therapy for many advanced hematologic cancers, little is known about the financial hardship experienced by HCT patients nor the association of hardship with patient-reported outcomes. We mailed a 43-item survey to adult patients approximately 180 days after their first autologous or allogeneic HCT at 3 high-volume centers. We assessed decreases in household income; difficulty with HCT-related costs, such as need to relocate or travel; and 2 types of hardship: hardship_1 (reporting 1 or 2 of the following: dissatisfaction with present finances, difficulty meeting monthly bill payments, or not having enough money at the end of the month) and "hardship_2" (reporting all 3). Patient-reported stress was measured with the Perceived Stress Scale-4, and 7-point scales were provided for perceptions of overall quality of life (QOL) and health. In total, 325 of 499 surveys (65.1%) were received. The median days since HCT was 173; 47% underwent an allogeneic HCT, 60% were male, 51% were > 60 years old, and 92% were white. Overall, 46% reported income decline after HCT, 56% reported hardship_1, and 15% reported hardship_2. In multivariable models controlling for income, those reporting difficulty paying for HCT-related costs were more likely to report financial hardship (odds ratio, 6.9; 95% confidence interval, 3.8 to 12.3). Hardship_1 was associated with QOL below the median (odds ratio, 2.9; 95% confidence interval, 1.7 to 4.9), health status below the median (odds ratio, 2.2; 95% confidence interval, 1.3 to 3.6), and stress above the median (odds ratio, 2.1; 95% confidence interval, 1.3 to 3.5). In this sizable cohort of HCT patients, financial hardship was prevalent and associated with worse QOL and higher levels of perceived stress. Interventions to address patient financial hardship-especially those that ameliorate HCT-specific costs-are likely to improve patient-reported outcomes. Copyright © 2016

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.

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…

Financial Quality of Life for Patients With Cancer: An Exploratory Study.

Science.gov (United States)

Callahan, Christine; Brintzenhofeszoc, Karlynn

2015-01-01

For people who are experiencing financial hardship, a cancer diagnosis can be devastating. For others, cancer may exacerbate financial stress, thereby influencing their livelihood, their ability to maintain employment benefits including health insurance, manage financial obligations, and participate meaningfully in cancer treatment. This study examined how vulnerabilities in psychosocial situations affect financial quality of life within the larger context of health-care decision making through a survey conducted with a cross-sectional availability sample of 90 cancer patients. Results from the multiple regression analysis found that health insurance adequacy, fewer perceived barriers to care, and reduced financial stress are significant predictors of better financial quality of life in this sample. Oncology social workers and other disciplines involved in psychosocial treatment with patients with cancer must assess and address financial and logistic aspects of life in order to provide comprehensive cancer care that meets all needs. Collaborative coordination with patients with cancer and their families to intervene psychosocially, medically, and financially are critical components of sound psychosocial and medical practice.

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...

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.

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.

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.

Determinants of financial performance of financial sectors (An assessment through economic value added)

OpenAIRE

Khan, Muhammad Kamran; Nouman, Mohammad; TENG, JIAN-ZHOU; Khan, Muhammad Imran; Jadoon, Arshad Ullah

2017-01-01

This study investigated determinants of financial performance of listed financial sectors in Karachi Stock Exchange from 2008 to 2012. The objective of this study was to investigate the factors of financial performance of financial sectors in Pakistan. Descriptive statistics, Correlation matrix, Chow test, Hausman Test for Fixed Effect Model and Random Effect Model and Breusch-Pagan Lagrange multiplier for Random Effect were used in this study. Estimated results revealed that determinants of ...

Determinants of financial performance of financial sectors (An assessment through economic value added)

OpenAIRE

Khan, Muhammad Kamran; Nouman, Mohammad; Imran, Muhammad

2015-01-01

This study investigated determinants of financial performance of listed financial sectors in Karachi Stock Exchange for the period 2008 to 2012. The objective of this study was to investigate the factors which affect financial performance of financial sectors of Pakistan. Descriptive statistics, Correlation matrix, Chow test, Hausman Test for Fixed Effect Model and Random Effect Model and Breusch-Pagan Lagrange multiplier for Random Effect were used in this study. Estimated results revealed t...

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.

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....

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

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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.

The Influence of Locus of Control on Student Financial Behavior

Science.gov (United States)

Britt, Sonya; Cumbie, Julie A.; Bell, Mary M.

2013-01-01

Data on psychological influences of financial behaviors has not been well addressed in student populations, which is concerning given the high levels of general and financial stress experienced by college students. The findings of this study indicate that college students with an external locus of control exhibit the worst financial behaviors.…

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.

Vector financial rogue waves

International Nuclear Information System (INIS)

Yan, Zhenya

2011-01-01

The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively) correlated to stock returns, and can be regarded as a coupled nonlinear wave alternative of the Black–Scholes option pricing model. In this Letter, we analytically propose vector financial rogue waves of the coupled nonlinear volatility and option pricing model without an embedded w-learning. Moreover, we exhibit their dynamical behaviors for chosen different parameters. The vector financial rogue wave (rogon) solutions may be used to describe the possible physical mechanisms for the rogue wave phenomena and to further excite the possibility of relative researches and potential applications of vector rogue waves in the financial markets and other related fields. -- Highlights: ► We investigate the coupled nonlinear volatility and option pricing model. ► We analytically present vector financial rogue waves. ► The vector financial rogue waves may be used to describe the extreme events in financial markets. ► This results may excite the relative researches and potential applications of vector rogue waves.

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

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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.

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

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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.

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

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

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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

Write It So They'll Read It: Popular Annual Financial Reporting.

Science.gov (United States)

Anderson, Richard T.; Piotrowski, Craig L.

1994-01-01

Waukesha County Technical College (Wisconsin) received the Governmental Financial Officers Association "Popular Annual Financial Reporting Award" in 1993 and became the first educational entity to do so. Popular annual financial reporting is an effective way for schools to present reader-friendly reports that stress graphics and…

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.

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.

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.

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.

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.

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.

Financial hardship associated with colorectal cancer survivorship: the role of asset depletion and debt accumulation.

Science.gov (United States)

Hanly, Paul; Maguire, Rebecca; Ceilleachair, Alan O; Sharp, Linda

2018-05-31

To estimate the prevalence of financial objective stress and subjective strain among colorectal cancer survivors and assess associated financial coping factors in Ireland which has a mixed public-private healthcare system. Colorectal cancer survivors were identified from the National Cancer Registry and a sample of 496 respondents were included in the analysis. A postal survey collected information on survivor demographics, socio-economic background, medical characteristics, cancer-related financial hardship, debt accumulation and asset depletion. Cancer-related financial objective stress and subjective strain were employed as dependent variables in logistic regression analysis. Approximately two in five survivors experienced objective stress (40.9%) or subjective strain (39.4%). Depletion of savings (49.1%) was the most prevalent form of financial coping strategy. Factors significantly associated with increased objective stress were having a stoma (OR=2.1, 95% CI 1.1-3.9), using savings (OR=9.4, 95% CI 4.9-18.0), formally borrowing money (OR=3.1, 95% CI 1.0-9.6) and loans from family members/friends (OR=3.8, 95% CI 1.9-7.8). Not working (excluding retirees) (OR=0.44, 95% CI 0.20-0.96) was associated with decreased objective stress. Significant predictors of subjective strain included having dependents, a stoma, using savings (OR=5.3 95% CI 2.9-9.5) and loans from family members/friends (OR=2.0, 95% CI 1.1-3.9), but excluded borrowing money. Cancer-related financial objective stress and subjective strain are common in colorectal cancer survivors, even where all citizens are entitled to publicly-funded care, but the financial coping strategies significantly associated with these two measures differed. These findings will help inform targeted measures across disparate health care systems, and survivor groups, to alleviate financial hardship. This article is protected by copyright. All rights reserved.

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.

RATIONAL FINANCIAL BEHAVIOR OF POPULATION AS A PROSPERITY FACTOR OF FINANCIAL SECTOR

Directory of Open Access Journals (Sweden)

Sushko E. Yu.

2014-12-01

Full Text Available The rapid sophistication of the Russian financial system inevitably leads not only to the emergence of great opportunities for the development of the financial sector, as expressed in the opening of the new financial institutions or new financial products and services, but also a huge financial risks for companies of this sector, as expressed in the increase of population’s debts and the decline of trust in the financial sector. That is why special tools used in making management decisions about the development of the financial sector in a particular region acquires greater significance. On the basis of statistical data over the Volgograd region the author developed the model of initial attractiveness estimation of an area for business entities, reflecting the level of financial literacy and using the data from open sources of information. The article provides a brief introduction to the development of the methodology: from a theoretical substantiation of the original list of variables for analysis up to determine the regression equation. Obtained regression model can be used by entrepreneurs in case of expansion of their financial business to new areas and by regional governance whose aim is to increase the level of financial literacy.

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

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...

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.

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.

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...

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.

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)

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…

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

Role of stress areas, stress severity, and stressful life events on the onset of depressive disorder: a case-control study.

Science.gov (United States)

Lueboonthavatchai, Peeraphon

2009-09-01

Although the stress and stressful life events are known as the precipitation of depressive disorder, the areas of stress and types of stressful life events found in depression are varied by different socio-cultural context. Identify the stress areas, stress severity, and types of stressful life events associated with the onset of depressive disorder in Thai depressed patients. Ninety depressed and ninety non-depressed subjects, aged above 18 years old, from the Department of Psychiatry, King Chulalongkorn Memorial Hospital, were recruited into the present study between July 2007 and January 2008. All subjects completed a demographic data form, and a 1-Year Life Stress Event Questionnaire. The association between the number of stressful life events, stress areas, stress severity, types of stressful life events, and the onset of depressive disorder were analyzed by independent t-test and chi-square test. Logistic regression was performed to identify the predictors of depressive disorder. Most of the subjects were young and middle-aged women, living in Bangkok and the central region. The depressed subjects experienced more stressful life events than the non-depressed subjects (5.81 +/- 3.19 vs. 3.24 +/- 2.80 events in one year) (p stress areas (health-related, family-related, financial, occupational, and social stress), and overall stress were associated with the onset of depressive disorder (p stress in all areas were at the higher risk of depressive disorder than those with the mild stress (p stress was the stress area highest associated with the depressive disorder (OR = 5.93, 95% CI = 2.33-16.92, p stressful life events associated with the onset of depressive disorder were the medical hospitalization, medical illness leading to missing work or disturbed daily routine, change in sleeping habits, absence of recreation, arguments with spouse, sexual difficulties with spouse, family financial problems, job loss, and trouble with boss (p stress was the significant

Financial Reporting under GASB Statement No. 34 and ASBO International Certificate of Excellence Financial Reporting.

Science.gov (United States)

Heinfeld, Gary

This guide presents a financial model that affects all governmental entities that issue financial statements in conformity with Generally Accepted Accounting Principles (GAAP). The model was prepared to provide school business officials specific examples of school system financial-statement presentations. The guide is divided into six chapters.…

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.

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

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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.

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

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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

A financial network perspective of financial institutions' systemic risk contributions

Science.gov (United States)

Huang, Wei-Qiang; Zhuang, Xin-Tian; Yao, Shuang; Uryasev, Stan

2016-08-01

This study considers the effects of the financial institutions' local topology structure in the financial network on their systemic risk contribution using data from the Chinese stock market. We first measure the systemic risk contribution with the Conditional Value-at-Risk (CoVaR) which is estimated by applying dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH). Financial networks are constructed from dynamic conditional correlations (DCC) with graph filtering method of minimum spanning trees (MSTs). Then we investigate dynamics of systemic risk contributions of financial institution. Also we study dynamics of financial institution's local topology structure in the financial network. Finally, we analyze the quantitative relationships between the local topology structure and systemic risk contribution with panel data regression analysis. We find that financial institutions with greater node strength, larger node betweenness centrality, larger node closeness centrality and larger node clustering coefficient tend to be associated with larger systemic risk contributions.

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)

Financial regulation and financial system architecture in Central Europe

NARCIS (Netherlands)

Scholtens, B

At the beginning of the transition, advice to Central European countries with respect to how to set up their financial systems was based on models used in western economies. This paper analyzes the experiences to set up a financial system in Central Europe. The experience in the first transition

Control of Bank Consolidated Financial Statements Quality

Directory of Open Access Journals (Sweden)

Margarita S. Ambarchyan

2013-01-01

Full Text Available The author presents the multiple linear regression model of bank consolidated financial statements quality. The article considers six characteristics that can be used to estimate the level of bank consolidated financial statements quality. The multiple linear regression model was developed, using the results of point-based system of consolidated financial statements of thirty European bank and financial groups on the basis of the developed characteristics. The author offers to use the characteristic significance factor in the process of consolidated financial statements appraisal by points. The constructed regression model is checked on accuracy and statistical significance. The model can be used by internal auditors and financial analytics as an instrument for bank and non-bank consolidated financial statements quality control

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.

Household Financial Distress and Initial Endowments

DEFF Research Database (Denmark)

Olafsson, Arna

2016-01-01

( 4000 g). I also find evidence that the collapse reduced the sex ratio, indicating selection in utero due to maternal prenatal stress exposure. My results imply large welfare losses from financial distress that have hitherto been ignored...

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.

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

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.

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)

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.

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.

Curbing the Financial Exploitation of the Poor: Financial Literacy and Social Work Education

Science.gov (United States)

Karger, Howard

2015-01-01

The article investigates the importance of financial literacy content for social work students who at some point in their career will encounter financially-excluded clients. Financial literacy content can include understanding how fringe economy businesses operate, including their business model, knowledge of local and national nonpredatory…

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.

Financial Constraints and Nominal Price Rigidities

DEFF Research Database (Denmark)

Menno, Dominik Francesco; Balleer, Almut; Hristov, Nikolay

This paper investigates how financial market imperfections and the frequency of price adjustment interact. Based on new firm-level evidence for Germany, we document that financially constrained firms adjust prices more often than their unconstrained counterparts, both upwards and downwards. We show...... that these empirical patterns are consistent with a partial equilibrium menu-cost model with a working capital constraint. We then use the model to show how the presence of financial frictions changes profits and the price distribution of firms compared to a model without financial frictions. Our results suggest...... that tighter financial constraints are associated with higher nominal rigidities, higher prices and lower output. Moreover, in response to aggregate shocks, aggregate price rigidity moves substantially, the response of inflation is dampened, while output reacts more in the presence of financial frictions...

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)

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

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

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.

Models for financial crisis detection in Indonesia based on M1, M2 per foreign exchange reverse, and M2 multiplier indicators

Science.gov (United States)

Sugiyanto; Zukhronah, Etik; Pratiwi, Esteti Sophia

2017-12-01

Indonesia has been hit by financial crisis in the middle of 1997. The financial crisis that has occurred gives a severe impact to the economy of Indonesia resulting the needs for a detection system of financial crisis. Crisis can be detected based on several indicators such as M1, M2 per foreign exchange reserves, and M2 multiplier. These three indicators can affect the exchange rate stability and may further affect the financial stability so that it can be one of the causes of the financial crisis. This research aims to determine the appropriate model that can detect the financial crisis in Indonesia. Markov switching is an alternative model that can be approach and used often for detecting financial crisis. We can determine the combination of volatility and Markov switching model with AR and volatility model are determined first. The results of this research are that M1 can be modelled by SWARCH (3, 1) while M2 per foreign research exchange reserves and M2 multiplier can be modelled by SWARCH(3,2).

Is culture a determinant of financial development?

OpenAIRE

Dutta, Nabamita; Mukherjee, Deepraj

2011-01-01

The paper investigates the missing link in the literature – whether informal institutions, or what is known as culture, can affect the level of financial development for a country? Our hypothesis stresses that the cultural dimensions of a country can have an impact on its financial set up. We consider multiple dimensions of culture, identified in the literature by Tabellini, to test our hypothesis. As culture evolve in the form of greater trust, control and other traits, individuals’ attitude...

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.

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...

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

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.

Financial fragility and global dynamics

International Nuclear Information System (INIS)

Dieci, Roberto; Sordi, Serena; Vercelli, Alessandro

2006-01-01

This paper deals with a simple model of financial fluctuations, where a crucial role is played by the dynamic interaction between aggregate current and intertemporal financial ratios. The model results in a 4D discrete-time dynamical system-capable of generating complex dynamics-which is analyzed by means of both analytical tools, such as local stability analysis and bifurcation theory, and numerical simulations. The behavior of the model is studied for different parameter regimes. We show that its dynamic behavior is very sensitive to the parameters that represent (1) the speed of adjustment of the desired current financial ratio towards a safe level of the intertemporal one and (2) the intensity with which aggregate current financial decisions affect future financial constraints. In particular, different parameter regimes are identified, giving rise to two different 'routes' to complexity, one leading to chaotic dynamics, the other to a coexistence of attractors and path-dependence

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...

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

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.

Ethnic variations in the relationship between multiple stress domains and use of several types of tobacco/nicotine products among a diverse sample of adults

Directory of Open Access Journals (Sweden)

Christopher J. Rogers

2018-06-01

Full Text Available Introduction: Financial strain and discrimination are consistent predictors of negative health outcomes and maladaptive coping behaviors, including tobacco use. Although there is considerable information exploring stress and smoking, limited research has examined the relationship between patterns of stress domains and specific tobacco/nicotine product use. Even fewer studies have assessed ethnic variations in these relationships. Methods: This study investigated the relationship between discrimination and financial strain and current tobacco/nicotine product use and explored the ethnic variation in these relationships among diverse sample of US adults (N = 1068. Separate logistic regression models assessed associations between stress domains and tobacco/nicotine product use, adjusting for covariates (e.g., age, gender, race/ethnicity, and household income. Due to statistically significant differences, the final set of models was stratified by race/ethnicity. Results: Higher levels of discrimination were associated with higher odds of all three tobacco/nicotine product categories. Financial strain was positively associated with combustible tobacco and combined tobacco/nicotine product use. Financial strain was especially risky for Non-Hispanic Whites (AOR:1.191, 95%CI:1.083–1.309 and Blacks/African Americans (AOR:1.542, 95%CI:1.106–2.148, as compared to other groups, whereas discrimination was most detrimental for Asians/Pacific Islanders (AOR:3.827, 95%CI:1.832–7.997 and Hispanics/Latinas/Latinos (AOR:2.517, 95%CI:1.603–3.952. Conclusions: Findings suggest discrimination and financial stressors are risk factors for use of multiple tobacco/nicotine products, highlighting the importance of prevention research that accounts for these stressors. Because ethnic groups may respond differently to stress/strain, prevention research needs to identify cultural values, beliefs, and coping strategies that can buffer the negative consequences of

The notion and content of financial system in the context of financial law of Ukraine

OpenAIRE

Viktor Chernadchuk; Viktor Sukhonos; Inna Shkolnyk

2017-01-01

The financial system of the advanced countries develops according to two basic models – a bank-based system and a market-based system, depending on the level of protection of the rights of owners, investors and lenders. A paradigm shift in functioning of global financial system and financial systems of all countries is based on financial law, which formalizes all financial relations. Reviewing the financial system of Ukraine, the researchers pay a special attention to public finance due to it...

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

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...

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...

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.)

Financial And Non-financial Factors Motivating Individual Donors To Support Public Benefit Organizations

OpenAIRE

WANIAK-MICHALAK HALINA; ZARZYCKA EWELINA

2015-01-01

This study is aimed at determining how the financial data of public benefit organizations (PBOs) affects donations received by them and if the donors use financial and non-financial information in order to donate. In order to achieve our aim we used different methods of research: quantitative research (econometric model and survey) and qualitative research (laboratory test). The research allowed us to draw the conclusion that Polish donors make very limited use of PBOs’ financial statements i...

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.

Predicting financial distress in publicly-traded companies

Directory of Open Access Journals (Sweden)

Felipe Fontaine Rezende

2017-07-01

Full Text Available ABSTRACT Several models for forecasting bankruptcy have been developed over the years, one of the reasons for which is the important part it plays in decision-making. However, forecasting a company’s bankruptcy leaves a very short time for stakeholders to change the situation. It is in this context that this paper arises in order to develop a model for predicting financial distress, which is identified as a step prior to bankruptcy. The predictive model uses the logistic regression technique with panel data and a sample of Brazilian publicly-traded companies with shares listed on the São Paulo Stock, Commodities, and Futures Exchange between 2001 and 2014. As well as financial variables, the final model includes market expectations (macroeconomic and sector variables. These variables are statistically tested and the hypothesis is confirmed that they improve the accuracy of the model. The research identified the existence of financial distress in 96% of the companies that went bankrupt. In addition, the relationship between the phenomena of bankruptcy and financial distress is verified, using financial and macroeconomic explanatory variables. The results demonstrate that most (83% of the explanatory variables in the model for predicting bankruptcy are also present in the model for predicting the phenomenon of financial distress. The expected gross domestic product variables and the quick ratio, asset turnover, and net equity over total liabilities financial variables are statistically significant in predicting both phenomena. With this evidence, the study suggests the use of the concept of financial distress as a stage prior to bankruptcy and provides a model for predicting financial distress with 89% accuracy when applied to publicly-traded companies in Brazil in the period examined.

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.

Evaluation of conflict hazard and financial risk in the E7 economies’ capital markets

Directory of Open Access Journals (Sweden)

Ümit Hacıoğlu

2013-06-01

Full Text Available The purpose of this research is to examine the interaction between financial stress and conflict risk having impacts on fi nancial instruments in capital markets within an interdisciplinary frame. The Fuzzy TOPSIS method is applied in order to analyse effects of conflict hazard on capital markets and fi nancial instruments in the E7 economies and to demonstrate the best possible ranks of the E7 economies based on performance evaluation criteria. In order to obtain the dynamics of data as to develop a suffi cient reference bases for expert opinions, conflict hazard index and fi nancial stress index have been structured. The empirical results confirm that there is strong relation between fi nancial stress index and confl ict hazard index for the E7 economies. The fundamental conclusion demonstrates the effects of the financial and conflict risks for the stock selection in the E7 economies by the criteria derived from the Financial Stress Index and Confl ict Risk Index.

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.

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.

Balancing Responsibilities – Financial Literacy

Directory of Open Access Journals (Sweden)

Gail Pearson

2017-03-01

Full Text Available In Australia there is an obligation to promote the informed participation of financial consumers while in South Africa there is an obligation to educate consumers. The Australian obligation is concerned with the financial system as a whole while the South African obligation has generally been focused on general financial education as a tool to promote financial inclusion. There is no obligation for consumers to attain a minimum standard of literacy in credit or finance generally. Financial literacy is one among a number of strategies directed towards inducing changes in consumer behaviour. It sits between the old regulatory model which relies on disclosure of information for effective and rational decision-making and a newer regulatory model which takes into account individuals' perceptions and behavioural biases and may seek to accommodate for these by imposing obligations on financial services providers beyond the mere disclosure of information. Financial literacy is generally the ability to understand how money works, how a person can earn money or make it more. It specifically refers to the set of skills and knowledge that allows people to make informed and effective decisions with all of their financial resources. This article discusses Australian and South African legal obligations and social responsibilities aimed at promoting the financial literacy of consumers.

Assessing the Personal Financial Problems of Junior Enlisted Personnel

National Research Council Canada - National Science Library

Buddin, Richard

2002-01-01

.... Surveys of military personnel show that, particularly for junior personnel, financial problems constitute a major source of stress, subordinate only to increased workload and family separation...

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...

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.

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.

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

Strategic Management of Financial Institutions-Survival in the 21st Century

OpenAIRE

Arshad Khan, Muhammad

2006-01-01

In this paper in attempt has been made to propose some strategic measures which are important for the survival of financial institutions in the 21st century. The study points out that liberalization and globalization offered many opportunities to financial institutions to provide wider range of financial and adviser services for their management. The study stressed that banks and NBFIs in Pakistan must used the modern communication, human resource management should be strengthen, SMEs, rural ...

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

STRUCTURAL RELATIONS OF FINANCIAL STATEMENTS AND THE INSTRUMENTS OF FINANCIAL MANAGEMENT

OpenAIRE

CLAUDIA ISAC; ALIN ISAC

2012-01-01

The present paper aims to highlight the dynamic nature of the balance sheet as a component of annual financial statements and the informational support offered by the indicators calculated for financial analysis. In the first part of the paper there are presented some theoretical issues about the current context of the use of financial statements as a useful tool in the process of decision making and the forms and the parts of such situations. The balance sheet represents a model of the firm'...

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)

Enron: a financial Tchernobyl?; Enron: un Tchernobyl financier?

Energy Technology Data Exchange (ETDEWEB)

Nicolet, J.L. [Expert Judiciaire, Pres la Cours d' Appel de Versailles, 78 (France); Alazard, C.; Charron, J.L. [Professeurs agreges d' Economie et Gestion, DECF, Lycee de Sevres, 92 (France)

2004-07-01

ENRON is almost more striking as an epitome, a model, than as a scandal. It is the perfect illustration of the occurrence of a major financial risk with strong contaminating repercussions. Close examination of the measures taken after this scandal, and the many other scandals (WorldCom, Vivendi etc.) which followed it, indicates that financial risk does not only, as might be imagined on more superficial analysis, take its roots in fraudulent behaviour. On the contrary, fraudulent behaviour appears merely to act as a catalyst. The authors suggest that a global approach integrating the concepts of industrial risk management provides a far more appropriate prism through which to interpret and develop effective controls for financial risks. After recalling the main facts, they apply the concepts of cindynics (the science of danger) to the Enron case and rapidly reach a first major conclusion: the financial system does not have its foundations in any reliable system of measurement. (authors)

Chaotic Financial Tornadoes

Science.gov (United States)

Jakimowicz, Aleksander

In contemporary economies classic business cycles are increasingly changing their form undergoing a transformation into phenomena that have been nicknamed financial tornados. A generalization of the Lotka-Volterra model can be used to describe these fast-changing processes. Economically speaking, the most useful are such dynamical systems in which wormholes appear. This article features application of a model with one population of prey and two populations of predators in order to explain the global financial crisis and the consequent phenomena.

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.

Financial sector taxation: Financial activities tax or financial transaction tax?

Directory of Open Access Journals (Sweden)

Danuše Nerudová

2011-01-01

Full Text Available The recent financial crises has revealed the need to improve and ensure the stability of the financial sector to reduce negative externalities, to ensure fair and substantial contribution of the financial sector to the public finances and the need to consolidate public finance. All those needs represent substantial arguments for the discussion about the introduction of financial sector taxation. There are discussed in the paper two possible schemes of financial sector taxation – financial transaction tax and financial activities tax. The aim of the paper is to research the possibility of the introduction of financial sector taxation, to discuss the pros and cons of two major candidates on financial sector taxation – financial transaction tax and financial activities tax and to suggest the possible candidate suitable for the implementation on the EU level. Financial transaction tax represents the tool suitable mainly on global level, for only in that case enables generate sufficient financial resources. From EU point of view is considered as less suitable, for it bears the risk of reallocation. Therefore the introduction of financial activities tax on EU level is considered as a better solution for the financial sector taxation in the EU, for financial sector is exempted from value added tax. With respect to the fact, that the implementation would represent the innovative approach to the financial sector taxation, there are no empirical proves and therefore this could be the subject of further research.

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

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

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...

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.

Understanding Trust in Financial Services

DEFF Research Database (Denmark)

Hansen, Torben

2012-01-01

Although the financial crisis has elevated the interest for factors such as consumer financial healthiness, broad-scope trust, financial knowledge, and consumer relationship satisfaction, no existing model describes how these factors may influence consumer financial relationship trust...... healthiness, broad-scope trust, knowledge, and satisfaction positively affect narrow-scope trust in financial services. Furthermore, it is found that broad-scope trust negatively moderates the relationships between financial healthiness and narrow-scope trust and between satisfaction and narrow-scope trust....... This research extends prior research by developing a conceptual framework explaining how these constructs affect consumers' trust in their financial service provider. Based on two surveys comprising 764 pension consumers and 892 mortgage consumers, respectively, the results of this study indicate that financial...

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.

Financial Expertise as an Arms Race

NARCIS (Netherlands)

Glode, V.; Green, R.C.; Lowery, R.

2010-01-01

We propose a model in which rms involved in trading securities overinvest in financial expertise. Intermediaries or traders in the model meet and bargain over a financial asset. As in the bargaining model in Dang (2008), counterparties endogenously decide whether to acquire information, and improve

Financial Expertise as an Arms Race

NARCIS (Netherlands)

Glode, V.; Green, R.C.; Lowery, R.

2010-01-01

We propose a model in which firms involved in trading securities overinvest in financial expertise. Intermediaries or traders in the model meet and bargain over a financial asset. As in the bargaining model in Dang (2008), counterparties endogenously decide whether to acquire information, and

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.

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.

The Reasons for UK Large Financial Institutions' Failure during the Recent Financial Crisis in 2007

OpenAIRE

LI, ZHAOYI

2012-01-01

Most UK financial institutions have failed during the recent financial crisis. Although this depression is triggered by the failure of US housing market, the business model for the UK is still different with US financial institutions. Most failed companies are not hold large amount of sub-prime loans in their asset portfolio in the UK, the most important reason is the wholesale funding strategies became the central business model for the most failed firms, therefore the retail deposits are no...

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.

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.

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.

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

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.

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...

BUDGETARY CLASSIFICATIONS’ ROLE IN PUBLIC FINANCIAL MANAGEMENT

Directory of Open Access Journals (Sweden)

Gyorgy Adina Cristina

2010-07-01

Full Text Available Budgetary classifications are a vital condition for a sound budgetary management. To be a good and useful classification, some rules should be respected. The international experience could offer us guiding lines which contribute to this purpose. In our paper we tried to present some basic elements of a budgetary classification, stressing on their utility in practice: financial management, reporting, on various criteria, and electronic processing. In last part is presented a functional example of such a classification which proved its utility in Romanian public financial sector.

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...

THE CURRENT INTERNATIONAL FINANCIAL CRISIS AND THE FINANCIAL SUPERVISION INSTITUTIONAL ARRANGEMENTS EFFECTIVENESS IN THE EUROPEAN UNION COUNTRIES

OpenAIRE

STOICA Ovidiu; CAPRARU Bogdan

2012-01-01

The international financial turmoil rise challenges in evaluating and choosing the optimal financial supervision institutional arrangements in many countries. Our study focuses on the financial supervision institutional architecture and its effectiveness in the European Union during the international financial crisis.We evaluated the effectiveness of the financial supervisory framework by groups of countries, categorised according to the supervisory model. Our analysis demonstrates that the p...

It's All About the Money (For Some): Consequences of Financially Contingent Self-Worth.

Science.gov (United States)

Park, Lora E; Ward, Deborah E; Naragon-Gainey, Kristin

2017-05-01

Financial success is an important goal, yet striving for it is often associated with negative outcomes. One reason for this paradox is that financial pressures may be tied to basing self-worth on financial success. Studies 1a to 1c developed a measure of Financial Contingency of Self-Worth (Financial CSW), and found that it predicted more financial social comparisons, financial hassles, stress, anxiety, and less autonomy. In response to a financial (vs. academic) threat, higher Financial CSW participants experienced less autonomy, perceived financial problems more negatively, and disengaged from their financial problems (Study 2). When given an opportunity to self-affirm, however, Financial CSW participants did not show diminished autonomy in response to a financial (vs. academic) threat (Study 3). Finally, participants with higher Financial CSW were less likely to make extravagant spending decisions following a financial (vs. health) threat (Study 4). Together, these studies demonstrate the many consequences of staking self-worth on financial success.

Control of Bank Consolidated Financial Statements Quality

OpenAIRE

Margarita S. Ambarchyan

2013-01-01

The author presents the multiple linear regression model of bank consolidated financial statements quality. The article considers six characteristics that can be used to estimate the level of bank consolidated financial statements quality. The multiple linear regression model was developed, using the results of point-based system of consolidated financial statements of thirty European bank and financial groups on the basis of the developed characteristics. The author offers to use the charact...

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.

Financial Integration and Asset Returns

OpenAIRE

P Martin; H Rey

2000-01-01

The paper investigates the impact of financial integration on asset return, risk diversification and breadth of financial markets. We analyse a three-country macroeconomic model in which (i) the number of financial assets is endogenous; (ii) assets are imperfect substitutes; (iii) cross-border asset trade entails some transaction costs; (iv) the investment technology is indivisible. In such an environment, lower transaction costs between two financial markets translate to higher demand for as...

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)

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].

Financial and economic considerations for emergency response providers.

Science.gov (United States)

Liong, Anne S; Liong, Samuel U

2010-12-01

Catastrophic events often threaten or cause depletion of resources. It is generally accepted that changes inherent to disasters are stressful. The Conservation of Resources Theory predicts that positive and negative changes in resources will have markedly different effects.28 This theory proposes that resource losses are psychologically stressful, whereas resource gains buffer against the effects of resource loss. For first responders, the level of preparedness is crucial. Investments in planning, training, and logistics are necessary to mitigate the stress associated with a crisis. Stress is also related to not knowing the future of their loved ones if death or permanent incapacity occurs, hence specific laws and financial resources provide a safety net to dependents of first responders and survivors. This kind of safety gives the first responders peace of mind and assurance that the future of their dependents will not be jeopardized. Incentives that are offered let the first responders know that they are valued and appreciated. Indeed, financial support considerably helps first responders before, during, and after catastrophic events. It assists them to cope with stress at the individual level and allows them to become more resilient; this resonates to the community and country in which they serve and enhances their potential to save lives and prevent disabilities. Copyright © 2010 Elsevier Inc. All rights reserved.

Chief Financial Officer FY 1997 status report and five-year plan

Energy Technology Data Exchange (ETDEWEB)

NONE

1997-10-01

The Chief Financial Officers Act of 1990 (CFO Act) establishes the legal framework for improved Federal financial management. The Act requires the agency CFO to prepare, and annually revise, a plan to implement the Office of Management and Budget (OMB) Federal Financial Management Status Report and Five-Year Plan. This is the sixth Status Report and Five-Year Plan submission to OMB by the Department of Energy (DOE). Financial management at the Department operates in an environment of Government-wide efforts to improve financial management and implements legislation and administrative provisions which stress the need for change. This report sets forth the Department`s plans for financial management improvements in the coming years. It also highlights several new initiatives completed or currently underway that will significantly improve the overall effectiveness of financial management at the Department of Energy.

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.

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 ...

KNOWLEDGE, TECHNOLOGY ADOPTION AND FINANCIAL INNOVATION

OpenAIRE

Ana Fernandes

2004-01-01

Why are new financial instruments created? This paper proposes the view that financial development arises as a response to the contractual needs of emerging technologies. Exogenous technological progress generates a demand for new financial instruments in order to share risk or overcome private information, for example. A model of the dynamics of technology adoption and the evolution of financial instruments that support such adoption is presented. Early adoption may be required for financial...

Predicting financial trouble using call data—On social capital, phone logs, and financial trouble

Science.gov (United States)

Lin, Chia-Ching; Chen, Kuan-Ta; Singh, Vivek Kumar

2018-01-01

An ability to understand and predict financial wellbeing for individuals is of interest to economists, policy designers, financial institutions, and the individuals themselves. According to the Nilson reports, there were more than 3 billion credit cards in use in 2013, accounting for purchases exceeding US$ 2.2 trillion, and according to the Federal Reserve report, 39% of American households were carrying credit card debt from month to month. Prior literature has connected individual financial wellbeing with social capital. However, as yet, there is limited empirical evidence connecting social interaction behavior with financial outcomes. This work reports results from one of the largest known studies connecting financial outcomes and phone-based social behavior (180,000 individuals; 2 years’ time frame; 82.2 million monthly bills, and 350 million call logs). Our methodology tackles highly imbalanced dataset, which is a pertinent problem with modelling credit risk behavior, and offers a novel hybrid method that yields improvements over, both, a traditional transaction data only approach, and an approach that uses only call data. The results pave way for better financial modelling of billions of unbanked and underbanked customers using non-traditional metrics like phone-based credit scoring. PMID:29474411

Predicting financial trouble using call data-On social capital, phone logs, and financial trouble.

Science.gov (United States)

Agarwal, Rishav Raj; Lin, Chia-Ching; Chen, Kuan-Ta; Singh, Vivek Kumar

2018-01-01

An ability to understand and predict financial wellbeing for individuals is of interest to economists, policy designers, financial institutions, and the individuals themselves. According to the Nilson reports, there were more than 3 billion credit cards in use in 2013, accounting for purchases exceeding US$ 2.2 trillion, and according to the Federal Reserve report, 39% of American households were carrying credit card debt from month to month. Prior literature has connected individual financial wellbeing with social capital. However, as yet, there is limited empirical evidence connecting social interaction behavior with financial outcomes. This work reports results from one of the largest known studies connecting financial outcomes and phone-based social behavior (180,000 individuals; 2 years' time frame; 82.2 million monthly bills, and 350 million call logs). Our methodology tackles highly imbalanced dataset, which is a pertinent problem with modelling credit risk behavior, and offers a novel hybrid method that yields improvements over, both, a traditional transaction data only approach, and an approach that uses only call data. The results pave way for better financial modelling of billions of unbanked and underbanked customers using non-traditional metrics like phone-based credit scoring.

A dependent stress-strength interference model based on mixed copula function

Energy Technology Data Exchange (ETDEWEB)

Gao, Jian Xiong; An, Zong Wen; Liu, Bo [School of Mechatronics Engineering, Lanzhou University of Technology, Lanzhou (China)

2016-10-15

In the traditional Stress-strength interference (SSI) model, stress and strength must satisfy the basic assumption of mutual independence. However, a complex dependence between stress and strength exists in practical engineering. To evaluate structural reliability under the case that stress and strength are dependent, a mixed copula function is introduced to a new dependent SSI model. This model can fully characterize the dependence between stress and strength. The residual square sum method and genetic algorithm are also used to estimate the unknown parameters of the model. Finally, the validity of the proposed model is demonstrated via a practical case. Results show that traditional SSI model ignoring the dependence between stress and strength more easily overestimates product reliability than the new dependent SSI model.

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…

FINANCIAL INTERMEDIATION, ENTREPRENEURSHIP AND ECONOMIC GROWTH

OpenAIRE

Wenli Cheng

2007-01-01

This paper presents a simple general equilibrium model of financial intermediation, entrepreneurship and economic growth. In this model, the role of financial intermediation is to pool savings and to lend the pooled funds to an entrepreneur, who in turn invests the funds in a new production technology. The adoption of the new production technology improves individual real income. Thus financial intermediation promotes economic growth through affecting individuals’ saving behaviour and enabl...

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.

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.

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.

A phenomenological model for pre-stressed piezoelectric ceramic stack actuators

International Nuclear Information System (INIS)

Wang, D H; Zhu, W

2011-01-01

In order to characterize the hysteretic characteristics between the output displacement and applied voltage of pre-stressed piezoelectric ceramic stack actuators (PCSAs), this paper considers that a linear force and a hysteretic force will be generated by a linear extension and a hysteretic extension, respectively, due to the applied voltage to a pre-stressed PCSA and the total force will result in the forced vibration of the single-degree-of-freedom (DOF) system composed of the mass of the pre-stressed PCSA and the equivalent spring and damper of the pre-stressed mechanism, which lets the PCSA be pre-stressed to endure enough tension. On this basis, the phenomenological model to characterize the hysteretic behavior of the pre-stressed PCSA is put forward by using the Bouc–Wen hysteresis operator to model the hysteretic extension. The parameter identification method in a least-squares sense is established by identifying the parameters for the linear and hysteretic components separately with the step and periodic responses of the pre-stressed PCSA, respectively. The performance of the proposed phenomenological model with the corresponding parameter identification method is experimentally verified by the established experimental set-up. The research results show that the phenomenological model for the pre-stressed PCSA with the corresponding parameter identification method can accurately portray the hysteretic characteristics of the pre-stressed PCSA. In addition, the phenomenological model for PCSAs can be deduced from the phenomenological model for pre-stressed PCSAs by removing the terms related to the pre-stressed mechanisms

An anisotropic thermal-stress model for through-silicon via

Science.gov (United States)

Liu, Song; Shan, Guangbao

2018-02-01

A two-dimensional thermal-stress model of through-silicon via (TSV) is proposed considering the anisotropic elastic property of the silicon substrate. By using the complex variable approach, the distribution of thermal-stress in the substrate can be characterized more accurately. TCAD 3-D simulations are used to verify the model accuracy and well agree with analytical results (model can be integrated into stress-driven design flow for 3-D IC , leading to the more accurate timing analysis considering the thermal-stress effect. Project supported by the Aerospace Advanced Manufacturing Technology Research Joint Fund (No. U1537208).

INTEGRATION OF FINANCIAL AND NON-FINANCIAL REPORTS UNDER MANAGEMENT CONDITIONS

Directory of Open Access Journals (Sweden)

Mihail PRODANCIUK

2013-02-01

Full Text Available The paper presents the assessment of the development of integrated reports overseas and describes the stages of establishment of such a system. The form and structure of corporate reporting is developed, and is differentiated, reflecting the integrated information regarding aspects of financial and non-financial activity: statistical indicators, economical, financial and social, company strategy, future cash flows, the value of human capital, and the stability of the business model. Goals and objectives of corporate reports are determined, which consist in providing reliable information on all company activities in accordance with strategic objectives and management models. The structure of the integrated report takes into consideration the requirements of the management system, of the legislative bodies and other institutions, and is considered the basis for the development of branch reports models. Its structure will depend on the size of the legal-organizational form and the social value of the company in society. The author of the article suggests three approaches to achieving corporate reports in the section of social responsibility indicators; where each company chooses the form of reporting in accordance with the available categories that depend on the size and strategic policy. The suggested integrated reports are instrumental to the observance of the stable development doctrines and will become a tool that, in the near future, will ensure the company an effective interaction with financial markets and the stakeholders of market relations.

Integration of financial and non-financial reports under management conditions

Directory of Open Access Journals (Sweden)

Prodanciuk Mihail

2013-02-01

Full Text Available The paper presents the assessment of the development of integrated reports overseas and describes the stages of establishment of such a system. The form and structure of corporate reporting is developed, and is differentiated, reflecting the integrated information regarding aspects of financial and non-financial activity: statistical indicators, economical, financial and social, company strategy, future cash flows, the value of human capital, and the stability of the business model. Goals and objectives of corporate reports are determined, which consist in providing reliable information on all company activities in accordance with strategic objectives and management models.The structure of the integrated report takes into consideration the requirements of the management system, of the legislative bodies and other institutions, and is considered the basis for the development of branch reports models. Its structure will depend on the size of the legal-organizational form and the social value of the company in society. The author of the article suggests three approaches to achieving corporate reports in the section of social responsibility indicators; where each company chooses the form of reporting in accordance with the available categories that depend on the size and strategic policy. The suggested integrated reports are instrumental to the observance of the stable development doctrines and will become a tool that, in the near future, will ensure the company an effective interaction with financial markets and the stakeholders of market relations.

Application of the Financial Industry Business Ontology (FIBO) for development of a financial organization ontology

Science.gov (United States)

Petrova, G. G.; Tuzovsky, A. F.; Aksenova, N. V.

2017-01-01

The article considers an approach to a formalized description and meaning harmonization for financial terms and means of semantic modeling. Ontologies for the semantic models are described with the help of special languages developed for the Semantic Web. Results of FIBO application to solution of different tasks in the Russian financial sector are given.

77 FR 61238 - Annual Stress Test

Science.gov (United States)

2012-10-09

...-2011-0029] RIN 1557-AD58 Annual Stress Test AGENCY: Office of the Comptroller of the Currency (``OCC... conduct annual stress tests pursuant to regulations prescribed by their respective primary financial... annual stress test as prescribed by this rule. Under the final rule covered institutions are divided into...

Banks, markets, and financial stability

OpenAIRE

Eder, Armin; Fecht, Falko; Pausch, Thilo

2014-01-01

In a theoretical model of the Diamond-Dybvig style, in which deposit-taking banks and financial markets coexist, bank behavior is analyzed taking into account a positive ex-ante probability of a future financial crisis. We focus on the role of the interaction of market liquidity and banks' funding liquidity in the propagation of shocks in the financial system. Our findings suggest that in particular bank-dominated financial systems are prone to contagious bank runs due to asset price deterior...

Financial Market Regulation in Germany - Capital Requirements of Financial Institutions

Directory of Open Access Journals (Sweden)

Daniel Karl Detzer

2015-03-01

Full Text Available This paper examines capital adequacy regulation in Germany. The first part reviews capital adequacy regulation from the 1930s up to the financial crisis and identifies two main trends: a gradual softening of the eligibility criteria for equity and increasing reliance on internal risk models. While the first trend has been reversed following the financial crisis, internal risk models still play a central role. Therefore, the second part discusses the problems with the use of internal risk models and discusses the potentials of Basel 2.5 and Basel III to alleviate the identified problems. It is concluded that the relevant problems are not resolved. Therefore, in the final part some suggestions of how the problems could be addressed properly are given.

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%.

Impact of a function-based payment model on the financial performance of acute inpatient medical rehabilitation providers: a simulation analysis.

Science.gov (United States)

Sutton, J P; DeJong, G; Song, H; Wilkerson, D

1997-12-01

To operationalize research findings about a medical rehabilitation classification and payment model by building a prototype of a prospective payment system, and to determine whether this prototype model promotes payment equity. This latter objective is accomplished by identifying whether any facility or payment model characteristics are systematically associated with financial performance. This study was conducted in two phases. In Phase 1 the components of a diagnosis-related group (DRG)-like payment system, including a base rate, function-related group (FRG) weights, and adjusters, were identified and estimated using hospital cost functions. Phase 2 consisted of a simulation analysis in which each facility's financial performance was modeled, based on its 1990-1991 case mix. A multivariate regression equation was conducted to assess the extent to which characteristics of 42 rehabilitation facilities contribute toward determining financial performance under the present Medicare payment system as well as under the hypothetical model developed. Phase 1 (model development) included 61 rehabilitation hospitals. Approximately 59% were rehabilitation units within a general hospital and 48% were teaching facilities. The number of rehabilitation beds averaged 52. Phase 2 of the stimulation analysis included 42 rehabilitation facilities, subscribers to UDS in 1990-1991. Of these, 69% were rehabilitation units and 52% were teaching facilities. The number of rehabilitation beds averaged 48. Financial performance, as measured by the ratio of reimbursement to average costs. Case-mix index is the primary determinant of financial performance under the present Medicare payment system. None of the facility characteristics included in this analysis were associated with financial performance under the hypothetical FRG payment model. The most notable impact of an FRG-based payment model would be to create a stronger link between resource intensity and level of reimbursement

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.

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.

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

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

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…

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

The impact of the financial revolution in England in 1688 on the development of financial services

Directory of Open Access Journals (Sweden)

S.Z. Moshenskyi

2016-12-01

Full Text Available The differences between the decentralized model of the British financial market from the centralized French (continental model emerged after the financial revolution of 1688 in England, which lasted until the end of the XVII century and had an impact on public and private finance. Due to the captivity of the French Huguenots shortly before the "Glorious Revolution" in England, new technologies appeared in the financial sector, and manifested in the creation of the first British banks. After the revolution, with the coming to power of the Dutch Prince, many financiers arrived at London and were spreading the technique of effective Dutch stock transactions. Increased interest of the society to innovation in the financial market and the emergence of new investment opportunities had a positive impact on the development of stock market, government bond market and derivatives market. This, in its turn, led to the appearance of new financial intermediaries such as jobbers, who took over the high risks because of investing of own funds in securities. Such significant changes in the financial system of England became the important prerequisite of the industrial revolution and allowed it to take the leading position in the economic, political and financial area in the world.

Maternal Stress and Initial Endowments

DEFF Research Database (Denmark)

Vardardottir, Arna

In this paper, I estimate the causal effect of exposure to the stress associated with the collapse of the Icelandic economy during the fall of 2008 using data from the National Birth Register. Iceland experienced the deepest and most rapid financial crisis recorded in peacetime history when its...... three major banks all collapsed during the same week, triggering a systemic crisis, the first in any advanced economy. I use this sudden deterioration in economic conditions to capture the causal effect that financial stress had on the birth outcomes of the cohort in utero during the collapse. I also...

Predicting Covariance Matrices with Financial Conditions Indexes

NARCIS (Netherlands)

A. Opschoor (Anne); D.J.C. van Dijk (Dick); M. van der Wel (Michel)

2013-01-01

textabstractWe model the impact of financial conditions on asset market volatility and correlation. We propose extensions of (factor-)GARCH models for volatility and DCC models for correlation that allow for including indexes that measure financial conditions. In our empirical application we

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.

Financial Resource Allocation in Higher Education

Science.gov (United States)

Ušpuriene, Ana; Sakalauskas, Leonidas; Dumskis, Valerijonas

2017-01-01

The paper considers a problem of financial resource allocation in a higher education institution. The basic financial management instruments and the multi-stage cost minimization model created are described involving financial instruments to constraints. Both societal and institutional factors that determine the costs of educating students are…

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.

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

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.

Financial Management Competence of Founding Teams and Growth of New Technology-Based Firms

DEFF Research Database (Denmark)

Brinckmann, Jan; Gemuenden, Hans Georg; Salomo, Søren

2009-01-01

This article draws on the resource-based view to analyze the role founding teams' financial management competencies play for firm growth. Prior research stressed the importance of acquiring external financial resources. In this study, we broaden the understanding of financial management in new......-assessments of their financial management competencies at start-up. We apply the partial least squares approach to determine the effects of the different financial management competencies on firm growth....... firms. We explore the relevance of strategic financial planning competence, external financing competence, competence in financing from cash flow, and controlling competence of entrepreneurial teams for the growth of new technology-based firms. A total of 212 founding teams provided self...

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.

Assessing College Student Subjective and Objective Knowledge in an Online Financial Education Program

Science.gov (United States)

Bowles, Charity

2017-01-01

Purpose: This purpose of this correlational study using Joo's (2008) financial wellness framework was to determine the impact of an online financial literacy workshop on student subjective knowledge, dependent on indicators of stress, behavior, and objective knowledge, when controlling for demographic differences at a large public university.…

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.

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

Analisis Financial Deepening di Indonesia

OpenAIRE

Ruslan, Dede

2011-01-01

This paper aims to analize the financial deepening on Indonesia economy. The focusof analysize is to identifiying effect of interest rate, exchange rate and Gross DomesticProduct (GDP) to financial deepening on Indonesian economy for 1980-2007. Methodeof analysize is linier regression model. The result of analysize are Gross DomesticProduct (GDP) and interest rate have significant effect to financial deepening onIndonesian economy.

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

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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.

An agent-based approach to financial stylized facts

Science.gov (United States)

Shimokawa, Tetsuya; Suzuki, Kyoko; Misawa, Tadanobu

2007-06-01

An important challenge of the financial theory in recent years is to construct more sophisticated models which have consistencies with as many financial stylized facts that cannot be explained by traditional models. Recently, psychological studies on decision making under uncertainty which originate in Kahneman and Tversky's research attract a lot of interest as key factors which figure out the financial stylized facts. These psychological results have been applied to the theory of investor's decision making and financial equilibrium modeling. This paper, following these behavioral financial studies, would like to propose an agent-based equilibrium model with prospect theoretical features of investors. Our goal is to point out a possibility that loss-averse feature of investors explains vast number of financial stylized facts and plays a crucial role in price formations of financial markets. Price process which is endogenously generated through our model has consistencies with, not only the equity premium puzzle and the volatility puzzle, but great kurtosis, asymmetry of return distribution, auto-correlation of return volatility, cross-correlation between return volatility and trading volume. Moreover, by using agent-based simulations, the paper also provides a rigorous explanation from the viewpoint of a lack of market liquidity to the size effect, which means that small-sized stocks enjoy excess returns compared to large-sized stocks.

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

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

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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.

Financial Literacy, Financial Education, and Economic Outcomes

Science.gov (United States)

Hastings, Justine S.; Madrian, Brigitte C.; Skimmyhorn, William L.

2013-01-01

In this article, we review the literature on financial literacy, financial education, and consumer financial outcomes. We consider how financial literacy is measured in the current literature and examine how well the existing literature addresses whether financial education improves financial literacy or personal financial outcomes. We discuss the…

A Framework for Macroprudential Bank Solvency Stress Testing; Application to S-25 and Other G-20 Country FSAPs

OpenAIRE

Andreas A. Jobst; Li L Ong; Christian Schmieder

2013-01-01

The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countr...

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...

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)

FINANCIAL ACCOUNTING MEASUREMENT: INSTRUMENTATION AND CALIBRATION

OpenAIRE

stanley c. w. salvary

2005-01-01

In its Conceptual Framework (CF), the Financial Accounting Standards Board (FASB) has not identified the observable phenomena and was not able to identify a single measurement property in financial accounting. While identifying aspects of the observable phenomena in financial accounting, the FASB has indicated that there are five measurement attributes which are used in financial accounting and the result is a mixed-attributes model. Lacking a critical underlying theory, the FASB’s Conceptual...

Untangling complex networks: risk minimization in financial markets through accessible spin glass ground states.

Science.gov (United States)

Lisewski, Andreas Martin; Lichtarge, Olivier

2010-08-15

Recurrent international financial crises inflict significant damage to societies and stress the need for mechanisms or strategies to control risk and tamper market uncertainties. Unfortunately, the complex network of market interactions often confounds rational approaches to optimize financial risks. Here we show that investors can overcome this complexity and globally minimize risk in portfolio models for any given expected return, provided the relative margin requirement remains below a critical, empirically measurable value. In practice, for markets with centrally regulated margin requirements, a rational stabilization strategy would be keeping margins small enough. This result follows from ground states of the random field spin glass Ising model that can be calculated exactly through convex optimization when relative spin coupling is limited by the norm of the network's Laplacian matrix. In that regime, this novel approach is robust to noise in empirical data and may be also broadly relevant to complex networks with frustrated interactions that are studied throughout scientific fields.

Untangling complex networks: Risk minimization in financial markets through accessible spin glass ground states

Science.gov (United States)

Lisewski, Andreas Martin; Lichtarge, Olivier

2010-08-01

Recurrent international financial crises inflict significant damage to societies and stress the need for mechanisms or strategies to control risk and tamper market uncertainties. Unfortunately, the complex network of market interactions often confounds rational approaches to optimize financial risks. Here we show that investors can overcome this complexity and globally minimize risk in portfolio models for any given expected return, provided the margin requirement remains below a critical, empirically measurable value. In practice, for markets with centrally regulated margin requirements, a rational stabilization strategy would be keeping margins small enough. This result follows from ground states of the random field spin glass Ising model that can be calculated exactly through convex optimization when relative spin coupling is limited by the norm of the network’s Laplacian matrix. In that regime, this novel approach is robust to noise in empirical data and may be also broadly relevant to complex networks with frustrated interactions that are studied throughout scientific fields.

Teaching Financial Data Mining using Stocks and Futures Contracts

Directory of Open Access Journals (Sweden)

Gary Boetticher

2005-06-01

Full Text Available Financial data mining models is considered to be "the hardest way to make easy money." Data miners are certainly motivated by the prospect of discovering a financial "Holy Grail." However, designing and implementing a successful model poses many intellectual challenges. These include securing and cleaning data; acquiring a sufficient amount of financial domain knowledge; bounding the complexity of the problem; and properly validating results. Teaching financial data mining is especially difficult due to the student's limited financial domain knowledge and the relatively short period (one semester for building financial models. This paper describes an application of a financial data mining term project based on Stock and E-Mini futures contracts and discusses "lessons learned" from assigning similar term projects over six different semesters. Results of each case study results are presented and discussed.

Banking Models Under the Impact of the Post-Crisis Organizational Changes Apt to Confer Sustainable Financial Stability - Romanian Experience

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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.

Integrating Physical Actions and Financial Instruments to Manage Environmental Financial Risk

Science.gov (United States)

Foster, B.

2016-12-01

Exposure to extreme weather events can be reduced through physical actions (e.g., dams/reservoirs) or mitigated financially (e.g., insurance). Often physical actions involve investments in expensive infrastructure that reduce exposure, but whose benefits are only occasionally realized. Financial risk management does not reduce the impacts of an event, but rather redistributes them temporally, albeit at a cost. Nonetheless, these costs are typically much smaller, at least in the short run, than those incurred for physical actions. Financial strategies are also more flexible than physical ones in the face of an uncertain future. Financial contracts specifically designed to manage extreme environmental risks are becoming more common and can either replace or complement infrastructural investments as part of a risk management portfolio. In order to make optimal decisions as to the relative levels of physical and financial risk mitigation to employ, it is necessary to understand the relative merits of each strategy. This research develops a method for analyzing tradeoffs between physical and financial risk management strategies. We identify the unique cost and benefit properties of each strategy and integrate them into a single model that details the tradeoffs involved in various portfolios of physical and financial strategies. These methods are then applied to evaluate decisions to pursue emergency dredging during drought on the Mississippi River, which is used to mitigate the increased costs and/or reduced revenues barge operators face when water levels are low. Currently the U.S. Army Corps of Engineers funds most emergency dredging operations during major droughts and they are considering more intensive strategies for future droughts. Barge carriers and shippers though could manage at least some portion of their financial risks through a series of existing and experimental financial contracts. This work involves the formulation of these experimental contracts and

Relations of occupational stress to occupational class in Japanese civil servants : analysis by two occupational stress models