This paper presents two architectures for 2-D discrete wavelet transform (DWT) and inverse DWT (IDWT). The first consists of transform module, RAM module and address sequencer. The transform module, which takes uniform and regular structure with local communication, offers many advantages, e.g. simple...

To understand the causal relationship of stock market is always a top priority for investors. Most investors use some fundamental knowledge and basic analysis techniques to analyze or predict the trends. However, there are always some other factors beyond our control or unexpected events that might affect...

The study examines whether the contrarian investment strategy, implies simultaneously buying previous losers and selling previous winners, exists in stock market of Taiwan. This study utilizes De Bondt and Thaler (1985) contrarian strategies into listed electronic and informational stocks in Taiwan from...

The behaviors of the real exchange rate corresponding to capital mobility within an open-economy macroeconomic framework are investigated. Chaotic phenomena are reasonable candidates for analyzing the random walk behaviors of the given real exchange rate model similar to the simple logistic map. Method...

Index funds are popular investment tools currently being used in modern portfolio management; moreover, it has been observed that the performances of index funds are better than those of many other actively managed funds Elton, et al. (1996). The strategy is taken by fund managers when their portfolios...

Classical Genetic Algorithms(CGAs)accomplish the global search by selection,crossover and mutation. It has many shortages. Here we proposed a restricted genetic algorithm based on ascending of tangent plane(RGAATP). Our algorithm is simple and effective, which approaches the global solution step by step....

The notion of a ripple effect in the housing market implies stationarity in regional:national house price ratios. The central aim of this study is to investigate whether the ripple effect exists in Taiwan’s regional house price ratio by implementing the Breuer et al. (2001) Panel SURADF unit root tests,...

This study adopts derivative pricing as an indicator of market expectations, with those results suggesting that general investors can use market expectations to predict the final settlement value of underlying assets. Most investment textbooks note that one of the major functions of futures is price...

The aim of this paper is to gain the broad explanation of corruption using simple computational model. We elaborated further the model of corruption described previously in [4], with some additions in model’s properties. We performed hundreds of experiments computationally using Swarm and constructed...

This paper examines the welfare implications of managing asset-price with consumer-price inflation targeting by monetary authorities who have to learn the laws of motion for both inflation rates. Our results show that the Central Bank can improve welfare if it targets both consumer and asset-price inflation...

Global competition is fierce. Especially, it is in the telecom market. It is a more and more difficult task for retaining profitable customers for a telecom company. In this paper, a retention system based on the customer intelligence is introduced. The system was successfully used for one telecom company...

This paper describes a decision making support system developed for asset liability management of a Paraguayan pension fund company. The model combines a parallel Multi-objective Evolutionary Algorithm and stochastic scenario generators to find good asset allocations that optimize several conflicting...

Stock options are usually sold in bundles of 100 units, and their price can be quoted either per unit or per bundle. In this paper, the effect of different methods of quoting financial asset prices on the subjective value of a contract was examined experimentally. In particular, we examined differences...

Traditional portfolio insurance (PI) strategy, such as CPPI, only considers the floor constraint but not the goal aspect. This paper proposes a goal-directed (GD) strategy to express an investor's goal-directed trading behavior and combines this floor-less GD strategy with the goal-less CPPI strategy...

The purpose of this research is to explore the IPO pricing behavior in an underwriting system by applying the fuzzy game theory. Results of this study are: (1) The application of the fuzzy game theory is more consistent with the uncertainty relationship of human interference between independent and dependent...

This paper uses a grey forecasting model GM(1,1) on improving the investment performance of classical Markowitz efficiency frontier’s investment portfolio using the component markets’ indexes of MSCI World Index from 1999 to 2005 as the samples. Using grey Markowitz efficiency frontier’s investment portfolio...

This article compares the forecasting performance of the conditional autoregressive range (CARR) model with the commonly adopted GARCH model. Two major stock indices, FTSE 100 and Nikkei 225, are studies using the daily range data and daily close price data over the period 1990 to 2000. Our results suggest...

Increasing complexity of the modern market dynamics requires new quantitative frameworks for the discovery of stable portfolio strategies. Important requirements include the ability of the coupled and self-consistent optimization of the dynamic strategies and asset allocations as well as robust built-in...

AN EVOLUTIONARY IDEA OF EVOLUTION: A PEIRCEAN INTERPRETATION OF A HYBRID-AGENT ORGANIZATION MODEL This paper proposes an evolutionary interpretation of a hybrid-agent organization model. Charles S. Peirce’s conception of evolution, a combination in some Darwinian and Lamarckian ideas, is a key component...

In the financial time series forecasting field, the problem that we often encountered is how to increase the predict accuracy as possible using the noisy financial data. In this study, we discuss the use of supervised neural networks as the metamodeling technique to design a financial time series forecasting...

In this paper we present a semi-automated search procedure to deal with the problem of the identification of the contemporaneous causal structure connected to a large class of multivariate time series models. We propose to use graphical causal models for recovering partial information about the contemporaneous...

Based upon the raw S&P 500 portfolio performance in eight consecutive years, this paper gives an overview analysis of the application of influence diagram to portfolio management. Our findings provide a ground for the question: Is the structure information provide by the expert superior to the one generated...

This paper aims to analyse the risks involved in reverse mortgage on a forward sale of house by elderly homeowner. We provide a practical solution to institutions planning to issue such reverse mortgages. We propose the formation of Senior Citizens Housing Trust for retired homeowners who wish to sell...

This paper aims at identifying steady state relations (cointegrated relationships) in a system that contains multidirectional nexuses for a hypothetical economic structure. The study discusses various econometric tools needed to identify long run cointegration vectors and employs these tools to derive...

We present a Markov process that provides an analytical framework for a comprehensive analysis of trading efficiency comprising price and order data. Agents place orders and/or accept already placed orders. Transactions are generated by matching orders. We apply the well known Discrete Choice logit approach...

The purpose of this paper is to provide an algorithm for commercial banks in Taiwan to evaluate the credibility of their potential debtors from the default probability viewpoint under fuzzy environment. The fundamental concepts we have adopted include the eigenvector method, fuzzy Delphi method, fuzzy...

We employ the methods of neural network (hereafter NN) and genetic programming (hereafter GP) in this paper to construct a spread trading system, respectively, to forecast the trend of the price spread between Taiwan Stock Exchange Electronic Index Futures (hereafter TE) and Taiwan Stock Exchange Finance...

The purpose of this paper is to provide an algorithm for the motion picture companies to evaluate the key capabilities from firm viewpoint under fuzzy environment. The fundamental concepts we have adopted include the eigenvector method, fuzzy Delphi method, fuzzy set theory, and multi-criteria decision...

This paper studies the possibilities that genetic algorithm describes investor sentiment, and time series properties of estimated models. For these purposes, first we identify the conditions for describing investor sentiment by altering parameters of genetic algorithm. Then the auto-correlations and...

Based on a thorough comparison of the basic assumptions and economic underpinning of the Ramsey and over lapping generation (OLG) model, this study builds both static and dynamic computable general equilibrium tax policy models to analyze the effect of tax reform on Taiwan’s economy. The new tax structure...

We propose a new method based on evolutionary optimization for obtaining an optimal Lp-quantizer of a multidimensional random variable. First, we remind briefly the main results about quantization. Then, we present the classical gradient-based approach used up to now to find a “local” optimal Lp-quantizer....

Online group purchasing or collective purchasing is the activity in which people who desire to buy the same merchandises join together so that they can negotiate with sellers for a better price through Internet. This paper utilizes fuzzy logic to develop a bargaining model for such activities. The model...

The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the generalized autoregressive conditional heteroscedasticity (GARCH) model. The HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it updates all parameters at once. We demonstrate that how the HMC reproduces...

This research presents the application of the Goal Graph in the methodology of generating software requirements specification, in order to improve the modifiability of the customization the Goal Graph. We propose an algorithm that optimizes the quality factor of modifiability for the Goal Graph to enhance...

Quality Function Deployment (QFD) is an approach to translate customer requirements into technical requirements for a product or service. The traditional QFD provides a fundamental analysis, but it is still inconvenient when decision making in technical design should address business objection. The competition...

This paper advances Multilevel Stochastic Dynamic Process (MSDP) models as a new framework for modeling nonstationary and nonlinear time series and complex systems, and discuss possible applications of MSDP models in global financial market analysis and surveillance. Under the heterogeneous market hypothesis,...

Shopping online has become more and more popular. Many people participate in online auctions. Due to the popularity of online auction, this study intends to study the possible factors that affect the transactions in online auction. This study uses the MP3 in the auction of Yahoo! Taiwan as the target...

Is just only one cointegrating vector among the panel variables? Based on the multivariate maximum likelihood cointegration tests offered by Larsson et al. (2001), the findings here provide solid evidence of the presence of at least two cointegrated vectors for the money demand function in GCC countries.

Using artificial neural network is a common approach for the stock time series prediction problem. Unlike variety of researches that focus on selecting different indicators, network training, network architecture, etc., we are focusing on the selection of appropriate time points from the time sequence...

The traditional multi-step ahead prediction is based on sequential algorithm to run multi-step ahead prediction and it brings error propagation problem. Furthermore, the prediction error of multi-step ahead includes both system and propagation errors. Therefore, how to decrease the propagation error...

In this work, a novel facial feature extraction method is proposed for automatic facial expressions recognition, which detecting local texture information, global texture information and shape information of the face automatically to form the facial features. First, Active Appearance Model (AAM) is used...