A Comparative Predicting Stock Prices using Heston and Geometric Brownian Motion Models

This paper presents a novel approach to predicting stock prices using technical analysis. By utilizing Ito's lemma and Euler-Maruyama methods, the researchers develop Heston and Geometric Brownian Motion models that take into account volatility, interest rate, and historical stock prices to generate predictions. The results of the study demonstrate that these models are effective in accurately predicting stock prices and outperform commonly used statistical indicators. The authors conclude that this technical analysis-based method offers a promising solution for stock market prediction

Dielectric Permeability of Forestry Depending on Environmental Parameters in Radio Frequency Monitoring

Introduction. New approach to forestry monitoring is presented. The relevance of the study is caused by the need to improve the forest management system based of modern information technologies. The paper demonstrates radio frequency monitoring as a most effective solution using a network of radio-frequency devices. This system quickly tracks the movement of forest resources, detect forest fires at the beginning of smoke and perform other functions. Complex dielectric permittivity is one of the main parameters for the design and operation of the system. The usual statistical methods do not allow obtaining such permeability. Thus, the aim of the study is to find a functional dependence of the permittivity on the parameters of the forest environment based on fuzzy inference. Materials and Methods. Mathematical and fuzzy modeling are methods of theoretical research in this paper. In addition, methods of forest inventory and logging processes, information theory and signaling, mathematical statistics, and experimental theory were used to perform experimental studies on approbation of a radio frequency monitoring system and to verify the adequacy of the proposed fuzzy model. We used Fuzzy Logic Toolbox software with MatLab technical computing software as a tool for synthesis. Results. The dependence of the permittivity on the parameters of the forest environment based on fuzzy inference was obtained. Formally, the total complex dielectric constant ек of the forest area (canopy) and the values of the input quantities are determined as follows: ек = f (V, a), where V - volume fraction of i component of the forest environment (in real conditions, according to experimental data, is from 0 to 0,5); a - constant, taking into account the type of forest (from 0 to 0,5 - open area; from 0,5 to 1,5 - pine forest of standard height 25 m; from 1,5 to 2,5 - mixed forest; from 3,5 to 4,5 - birch grove; from 4,5 to 5,0 - spruce forest). A feature of the proposed approach is a discrete representation 149 ВЕСТНИК МОРДОВСКОГО УНИВЕРСИТЕТА Том 28, № 2. 2018 of the forest environment as a sum of forest elements. This approach provides an accurate measure of the permittivity of the forest environment. Conclusions. The practical significance of the results lies in the possibility of creating an information support structure for an automated forest management system based on forestry monitoring. The proposed function of the permittivity of the forest area takes into account the main parameters of the forest environment, so it is sufficiently correct. This function is necessary for the design of radio frequency monitoring systems of forestry and allows us to implement a fundamentally new approach to solving the tasks of forest fund monitoring.Введение. Рассмотрена проблема мониторинга лесного фонда. Актуальность исследований обусловлена необходимостью совершенствования системы лесоуправления и лесопользования на базе современных информационных технологий. Самым эффективным решением является использование радиочастотного мониторинга лесного фонда с помощью сети радиочастотных (RFID) устройств. Такая система позволяет оперативно отслеживать перемещения лесосырьевых потоков с точностью до одного бревна, выявлять лесные пожары в самом начале задымления и выполнять многие другие функции. Одним из необходимых параметров функционирования и проектирования системы является комплексная диэлектрическая проницаемость, получить которую традиционными статистическими методами не представляется возможным. Таким образом, цель исследования - получение функциональной зависимости диэлектрической проницаемости от параметров лесной среды на основе нечеткого вывода. Материалы и методы. Методологическую основу теоретических исследований составили положения математического и нечеткого моделирования, а в части выполнения экспериментальных исследований по апробации системы радиочастотного мониторинга и проверки адекватности предложенной нечеткой модели использовались методы лесной таксации, процессов лесозаготовок, теории информации и передачи сигналов, математической статистики, теории эксперимента. Синтез нечеткой модели был выполнен средствами Fuzzy Logic Toolbox приложения MATLAB. Результаты исследования. Была получена зависимость диэлектрической проницаемости от параметров лесной среды на основе нечеткого вывода. Формально суммарная комплексная диэлектрическая проницаемость ек участка лесной среды (полога) и значения входных величин определяются следующим образом: ек = f (V, а), где V - объемная доля г'-го компонента лесной среды (в реальных условиях, по данным эксперимента, - от 0 до 0,5); а - константа, учитывающая вид лесного массива (от 0 до 0,5 - открытый участок; от 0,5 до 1,5 - сосновый бор стандартной высоты 25 м; от 1,5 до 2,5 - смешанный лес; от 3,5 до 4,5 - березовая роща; от 4,5 до 5,0 - ельник). Главное отличие предложенного подхода заключается в дискретном представлении лесной среды как суммы элементов леса. Только такой подход обеспечивает точное измерение диэлектрической проницаемости лесной среды. © Побединский В. В., Газизов А. М., Санников С. П., Побединский А. А., 2018 148 Vol. 28, no. 2. 2018_MORDOVIA UNIVERSITY BULLETIN Обсуждение и заключения. В статье впервые предложен теоретический подход к оценке параметров лесной среды, представленной дискретно, а диэлектрическая проницаемость определена на основе нечеткого моделирования. Практическая применимость результатов заключается в возможности создания структуры информационного обеспечения автоматизированной системы лесоуправления и лесопользования на базе мониторинга лесного фонда. Предложенная функция диэлектрической проницаемости участка леса учитывает основные параметры лесной среды и является достаточно корректной Она необходима для проектирования систем радиочастотного мониторинга лесного фонда и позволяет реализовать принципиально новый подход к решению задач мониторинга лесного фонда

Corporate financing decisions under ambiguity : pecking order and liquidity policy implications

This paper addresses the following unresolved questions fromthe perspective of ambiguity theory: Why do some firms issue equity instead of debt?Why did most firms retain their cash holdings instead of distributing themas dividends in recent times? How do firms change their financing policies during a period of severe financial constraints and ambiguity, orwhen facing the threat of an unpredictable financial crisis? We analyze how the values of the firm's equity and debt are affected by ambiguity. Wealso showthat cash holdings are retained longer if the investors' ambiguity aversion bias is sufficiently large,while cash holdings become less attractivewhen the combined impact of ambiguity and ambiguity aversion is relatively low

Cash holdings and financing decisions under ambiguity

This paper addresses the following unresolved questions: Why do some firms issue equity instead of debt? Why did most firms retain their cash holdings instead of distributing them as dividends in recent times? How do firms change their financing policies during a period of severe financial constraints and ambiguity, or when facing the threat of an unpredictable financial crisis? We analyze how the values of the firm’s equity and debt are affected by ambiguity. We also show that cash holdings are retained longer if the investors’ ambiguity aversion bias is sufficiently large, while cash holdings become less attractive when the combined impact of ambiguity and ambiguity aversion is relatively low

An analysis of the use of discounted cash flow methods and real options to value flexibility in real estate development projects

Includes abstract.Includes bibliographical references (leaves 68-71).Surveys of firms outside the property sector indicate the growth in the use of DCF methods such as the NPV and IRR methods to evaluate projects as compared to the use of such naïve methods as Payback and the Accounting rate of return. The growing convergence of theory and practice is indicated by the growing use of the NPV method. The objective of this study is to determine the capital budgeting methods used to evaluate real estate development projects and to compare the results of a survey with the results of other studies. Further, recent developments in capital budgeting theory, indicate that the investment valuation tools such as the Net Present Value (NPV), Internal Rate of Return (lRR), Payback Period (PP), and theAccounting Rate of Return (ARR) may fail to recognize flexibilities in real estate development projects. As a consequence, the discounted cash flow methods (DCF) may systematically undervalue strategic or large-scale real estate development projects. Two methods are introduced as an alternative to address the weaknesses of the DCF methods. Decision Tree Analysis (DTA) employs an approach to analyse flexibilities by creating a chain of possible options and allows alternative courses of action for management to adapt their initial strategies in order to capitalise on new opportunities or to minimise losses. Real Option Analysis (ROA) introduces the theory of valuing financial derivates, in particular call options, and allows the staging of the development. These instruments further introduce a risk management aspect, as call options have a limited down side and an unlimited upside. Each approach has advantages and shortcomings and should only be used in appropriate circumstances. DTA is suited for the analysis of the project specific risks. ROA on the other hand, is a superior tool when dealing with uncertainty. The thesis finds that that over 90% of all respondents are using a combination of NPV and IRR methods most often to evaluate development opportunities. Interestingly, 85% of all respondents are also using the payback period. Other methods used are the profitability index, residual value, free cash flow, economic value, and return on equity. Developers have adopted DCF methods such as NPV and IRR as the primary methods to evaluate projects rather than naïve methods such as Payback and ARR, although these latter methods remain in use. The use of decision tree analysis and real option analysis is very limited

Flexibility Value of Distributed Generation in Transmission Expansion Planning

The efficiency of the classic planning methods for solving realistic problems largely relies on an accurate prediction of the future. Nevertheless, the presence of strategic uncertainties in current electricity markets has made prediction and even forecasting essentially futile. The new paradigm of decision-making involves two major deviations from the conventional planning approach. On one hand, the acceptation the fact the future is almost unpredictable. On the other hand, the application of solid risk management techniques turns to be indispensable. In this chapter, a decision-making framework that properly handles strategic uncertainties is proposed and numerically illustrated for solving a realistic transmission expansion planning problem. The key concept proposed in this chapter lies in systematically incorporating flexible options such as large investments postponement and investing in Distributed Generation, in foresight of possible undesired events that strategic uncertainties might unfold. Until now, the consideration of such flexible options has remained largely unexplored. The understanding of the readers is enhanced by means of applying the proposed framework in a numerical mining firm expansion capacity planning problem. The obtained results show that the proposed framework is able to find solutions with noticeably lower involved risks than those resulting from traditional expansion plans.Fil: Vásquez, Paúl. Consejo Nacional de Electricidad; EcuadorFil: Olsina, Fernando Gabriel. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - San Juan. Instituto de Energía Eléctrica. Universidad Nacional de San Juan. Facultad de Ingeniería. Instituto de Energía Eléctrica; Argentin

Risk Management for the Future

A large part of academic literature, business literature as well as practices in real life are resting on the assumption that uncertainty and risk does not exist. We all know that this is not true, yet, a whole variety of methods, tools and practices are not attuned to the fact that the future is uncertain and that risks are all around us. However, despite risk management entering the agenda some decades ago, it has introduced risks on its own as illustrated by the financial crisis. Here is a book that goes beyond risk management as it is today and tries to discuss what needs to be improved further. The book also offers some cases

Techno-economic valuation of mobile communications scenarios

Valuation of large projects on new communications technologies is a challenging task. Major investments are required to spread out technology and services, the characteristics of which are still largely unknown. A balanced view is needed on capabilities of the technologies, market demand, and relevant value network actors and their economies. In this dissertation, comprehensive techno-economic modelling of these aspects will be introduced for valuation of selected business scenarios. The research framework is mobile data services and business architectures in the advent of new technologies, like UMTS (Universal Mobile Telecommunications System), WLAN (Wireless Local Area Network) and WiMAX (Worldwide Interoperability for Microwave Access). The techno-economic method in this context comprises the modelling of a large set of technology, market and other factors in relation to the business operations of the analysed market actors. The many uncertainties concerning future service innovations and market development set demands on scenario creation and parameter estimation. Traditional techno-economic investment project calculation is not enough. This study gives devices for strategic decision making by analysing three different technology transitions: The modelling of Western-European incumbent operator business starting from the early 2000's indicated that the UMTS deployment should be started without delay to maximise the long-term profits from the acquired licenses, contrary to looking for short-term investment payoffs that was prevalent after the telecommunications downturn. Results also show that the emerging WLAN technology would not become a substitute for UMTS, but the public WLAN will complement the UMTS based business architecture. Modelling of the upcoming mobile WiMAX in comparison to UMTS path indicated that the mobile WiMAX cannot challenge the UMTS, as the latter one offers a better business case for the key actors. In the last transition, techno-economic delta analysis was used to quantify the benefits from the fixed-mobile convergence. The main enhancements to the techno-economic method are first the extensive classification of advanced mobile services and related modelling of service diffusion, usage patterns, capacity requirements and revenues. The second contribution is to improve the analysis of service usage in relation to technology characteristics by integrating an end-user model that gives the demand and revenue potential of each service type, per user segment and utilised technology. A novelty is also the separation of network provisioning and service provisioning part of the business architecture into separate but interlinked models. The fourth contribution to the method is the application of real options method on large communications technology deployment projects, solving option modelling problems due to the complex dependencies of the project value on the investment timing. The introduced method starts from ordinary expected cash flow valuation, but adds to that the option value related to specific flexibility in the project

Modelling the ecological, behavioural and perceptual dimensions of outdoor recreation, using Loch Lomond as a case study

A variety of econometric models have been created, including a travel cost model, contingent behaviour models and a contingent valuation model. Based on these models a “typical” day at Loch Lomond is valued at £20.53, with visitors willing to pay an additional £1.76 to fund environmental improvements. Looking at the particular environmental issues of noise, crowding and environmental damage, noise pollution appears to have the greatest influence on recreation enjoyment. Noise pollution is caused primarily by the use of personal watercraft (“jet-skis”). It was found that an asymmetrical conflict exists between jet-skiers and non jet-skiers. The research project reveals that there is no simple relationship between the perception of and reality of environmental damage. Although visitor perception of environmental damage often differs from actual levels of environmental damage, the relationship is complex. In terms of “real” environmental impact around the loch area, the visitor-induced environmental damage survey estimates that just over 9% of the loch shore suffers from severe environmental impact. Ecological vegetation surveys also confirm that recreation pressure is a statistically significant influence on the presence/absence of plant communities, but that this ecological impact is spatially limited to specific sites around the loch. Following on from both the perceptual and ecological results, policy and management implications are investigated and recommendations are provided – for example the implementation of a possible vehicle parking fee at various sites around Loch Lomond. It is suggested that recreational carrying capacity frameworks such as VERP should be applied, as they assimilate the ecological and social facets of outdoor recreation. An overall conclusion to the thesis is thus that a sustainable approach (framework) to recreation management, one that encompasses the perceptual and ecological dimensions of outdoor recreation, is the only way of maintaining the beauty and enjoyment of Loch Lomond – and, it is suggested, national parks world-wide – for present and future generations