Evaluation of VI index forecasting model by machine learning for Yahoo! stock BBS using volatility trading simulation

The risk avoidance is very crucial in investment and asset management. One commonly used index as a risk index is the VI index. Suwa et al. (2017) analyzed stock bulletin board messages and predicted it rise. In our study, we developed a simulation of trading Nikkei stock index options using intra-day data and verified the validity of the VI index prediction model proposed by Suwa et al. In a period from November 18, 2014, to June 29, 2016, we conducted a simulation using a long straddle strategy. The profit and loss from trading with the instructions of their model was +3,021 yen. The benchmark\u27s profit and loss was -3,590 yen. The improvement with their model was +6,611 yen. Therefore, we confirmed that Suwa et al.\u27s VI index prediction model might be effective

GAUGING PUBLIC INTEREST FROM SERVER LOGS, SURVEYS AND INLINKS

As the World Wide Web (the Web) has turned into a full-fledged medium to disseminate news, it is very important for journalism and information science researchers to investigate how Web users access online news reports and how to interpret such usage patterns. This doctoral thesis collected and analyzed Web server log statistics, online surveys results, online reprints of the top 50 news reports, as well as external inlinks data of a leading comprehensive online newspaper (the People’s Daily Online) in China, one of the biggest Web/information markets in today’s world. The aim of the thesis was to explore various methods to gauge the public interest from a Webometrics perspective. A total of 129 days of Web server log statistics, including the top 50 Chinese and English news stories with the highest daily pageview numbers, the comments attracted by these news items and the emailed frequencies of the same stories were collected from October 2007 to September 2008. These top 50 news items’positions on the Chinese and English homepages and the top 50 queries submitted to the website search engine of the People’s Daily Online were also retrieved. Results of the two online surveys launched in March 2008 and March 2009 were collected after their respective closing dates. The external inlinks to the People’s Daily Online were retrieved by Yahoo! (Chinese and English versions), and the online reprints were retrieved by Google. Besides the general usage patterns identified from the top 50 news stories, this study, by conducting statistical tests on the data sets, also reveals the following findings. First, the editors’ choices and the readers’ favorites do not always match each other; thus content of news title is more important than its homepage position in attracting online visits. Second, the Chinese and English readers’ interests in the same events are different. Third, the pageview numbers and comments posted to the news items reflect the unfavorable attitudes of the Chinese people toward the United States and Japan, which might offer us a method to investigate the public interest in some other issues or nations after necessary modifications. More importantly, some publicly available data, such as the comments posted to the news stories and online survey results, further show that the pageview measure does reflect readers’ interests/needs truthfully, as proved by the strong correlations between the top news reports and relevant top queries. The external ininks to the news websites and the online reprints of the top news items help us examine readers\u27 interests from other perspectives, as well as establish online profiles of the news websites. Such publicly accessible information could be an alternative data source for researchers to study readers\u27 interests when the Web server log data are not available. This doctoral thesis not only shows the usefulness of Web server log statistics, survey results, and other publicly accessible data in studying Web user’s information needs, but also offers practical suggestions for online news sites to improve their contents and homepage designs. However, no single method can draw a complete picture of the online news readers’ interests. The above mentioned research methodologies should be employed together, in order to make more comprehensive conclusions. Future research is especially needed to investigate the continuously rapid growth of the “Mobile News Readers,” which poses both challenges and opportunities to the press industry in the 21st century

A meta-analysis on the Bank of Japan quantitative easing policy: the Bank of Japan's effectiveness to promote economic growth

As the Qualitative and Quantitative Easing programmes are still in place there have been signs that the Japanese economy will maintain a path of moderate economic growth, still, without glancing the desired 2% inflation. The question over whether and how the Bank of Japan successive quantitative easing programmes, which were based on an unprecedented increase on the central bank’s asset sheet, have been successful in promoting a steady growth of the Japanese Economy, has been debated by the literature that is focused on the transmission channels of monetary policy. We present a comprehensive meta-analysis that focus on the literature that have been studying the effectiveness of the Bank of Japan’s policies during the 2001 to 2016 period, that resorts to the Vector Auto-regressive methodology to analyze, through impulse response functions, how monetary policy shocks impact output. An analysis based on funnel plots - Funnel Asymmetry Test - and linear regressions - Precision Effect Test - does not provide evidence of publication bias, neither the consensus over the output growth during the quantitative years. A meta-probit analysis suggests that a study with the characteristics mentioned above, which uses certain variables to build the model – industrial output, price level, bond yield and either the money base or the money supply - as well as different specifications in the data used - increasing the number of observations used or choosing quarterly data - will affect the probability of reporting statistically significant output growth; notwithstanding, the evidence found in this last analysis varies in terms of statistical robustness.Ainda com o programa de "Qualitative" e "Quantitative Easing" em vigor, têm existido sinais de que a economia japonesa manterá um caminho de moderada recuperação económica; não obstante, sem se vislumbrar o desejado crescimento da inflação a 2%. A questão em torno de se, e como, os sucessivos programas de "quantitative easing" baseados num crescimento sem precedentes dos ativos do Banco Central do Japão, têm tido sucesso em promover o crescimento estável da economia japonesa, tem sido discutida na literatura que se foca nos mecanismos de transmissão da política monetária. Neste estudo, apresentamos uma meta-análise que se foca na literatura que estuda a eficácia das políticas do Banco do Japão durante o período de 2001 a 2016. Literatura essa que recorre a metodologia baseada em modelos "Vector Auto-regressive", para analisar através de funções de resposta a impulso, como é que os choques causados por ferramentas de política monetária afetam a produção da economia japonesa. Com base numa análise em gráficos de dispersão em funil - "Funnel Asymmetry Test" - e em regressões lineares - "Precision Effect Test" - não obtivemos provas que sugerissem "publication bias" - enviesamento dos resultados publicados em revistas - nem provas que sugerissem um consenso entre a literatura visada, relativamente ao valor do crescimento da atividade económica no Japão durante os períodos de "quantitative easing". Uma análise baseada em modelos meta-probit, sugere que a inclusão, em estudos com a estrutura atrás mencionada, de certas variáveis no modelo a estimar (relativas à economia Japonesa) – o "output" industrial, o nível dos preços, as taxas de retorno de títulos da dívida japonesa, ou tanto a base monetária como a oferta de moeda nacional - tal como outras especificações relativas ao tipo de dados utilizados - o incremento do número de observações ou a utilização de dados trimestrais - podem afetar a probabilidade das estimações virem a reportar um crescimento positivo e estatisticamente significativo na atividade económica. Os resultados encontrados nesta última análise variam em termos de robustez estatística

The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50

[[abstract]]We employ the constituent stocks of Taiwan 50 as our sample and explore if investors can beat the market by trading them as trading signals emitted by Bollinger Bands (BBs). Results reveal that investors might beat the market by taking long positions on stocks as share prices hit the lower BBs, as significantly shown in the positive abnormal returns. In addition, investors might also take the long positions instead of short positions when share prices reach the upper BBs. Thus, investors should employ momentum strategies instead of contrarian strategies while hitting upper BBs.[[notice]]補正完

GAUGING PUBLIC INTEREST FROM SERVER LOGS, SURVEYS AND INLINKS A Multi-Method Approach to Analyze News Websites

As the World Wide Web (the Web) has turned into a full-fledged medium to disseminate news, it is very important for journalism and information science researchers to investigate how Web users access online news reports and how to interpret such usage patterns. This doctoral thesis collected and analyzed Web server log statistics, online surveys results, online reprints of the top 50 news reports, as well as external inlinks data of a leading comprehensive online newspaper (the People\u27s Daily Online) in China, one of the biggest Web/information markets in today\u27s world. The aim of the thesis was to explore various methods to gauge the public interest from a Webometrics perspective. A total of 129 days of Web server log statistics, including the top 50 Chinese and English news stories with the highest daily pageview numbers, the comments attracted by these news items and the emailed frequencies of the same stories were collected from October 2007 to September 2008. These top 50 news items’positions on the Chinese and English homepages and the top 50 queries submitted to the website search engine of the People’s Daily Online were also retrieved. Results of the two online surveys launched in March 2008 and March 2009 were collected after their respective closing dates. The external inlinks to the People’s Daily Online were retrieved by Yahoo! (Chinese and English versions), and the online reprints were retrieved by Google. Besides the general usage patterns identified from the top 50 news stories, this study, by conducting statistical tests on the data sets, also reveals the following findings. First, the editors’ choices and the readers’ favorites do not always match each other; thus content of news title is more important than its homepage position in attracting online visits. Second, the Chinese and English readers’ interests in the same events are different. Third, the pageview numbers and comments posted to the news items reflect the unfavorable attitudes of the Chinese people toward the United States and Japan, which might offer us a method to investigate the public interest in some other issues or nations after necessary modifications. More importantly, some publicly available data, such as the comments posted to the news stories and online survey results, further show that the pageview measure does reflect readers’ interests/needs truthfully, as proved by the strong correlations between the top news reports and relevant top queries. The external ininks to the news websites and the online reprints of the top news items help us examine readers\u27 interests from other perspectives, as well as establish online profiles of the news websites. Such publicly accessible information could be an alternative data source for researchers to study readers\u27 interests when the Web server log data are not available. This doctoral thesis not only shows the usefulness of Web server log statistics, survey results, and other publicly accessible data in studying Web user’s information needs, but also offers practical suggestions for online news sites to improve their contents and homepage designs. However, no single method can draw a complete picture of the online news readers’ interests. The above mentioned research methodologies should be employed together, in order to make more comprehensive conclusions. Future research is especially needed to investigate the continuously rapid growth of the “Mobile News Readers,” which poses both challenges and opportunities to the press industry in the 21st century

Glastir Monitoring & Evaluation Programme. Second year annual report

What is the purpose of Glastir Monitoring and Evaluation Programme? Glastir is the main scheme by which the Welsh Government pays for environmental goods and services whilst the Glastir Monitoring and Evaluation Programme (GMEP) evaluates the scheme’s success. Commissioning of the monitoring programme in parallel with the launch of the Glastir scheme provides fast feedback and means payments can be modified to increase effectiveness. The Glastir scheme is jointly funded by the Welsh Government (through the Rural Development Plan) and the EU. GMEP will also support a wide range of other national and international reporting requirements. What is the GMEP approach? GMEP collects evidence for the 6 intended outcomes from the Glastir scheme which are focussed on climate change, water and soil quality, biodiversity, landscape, access and historic environment, woodland creation and management. Activities include; a national rolling monitoring programme of 1km squares; new analysis of long term data from other schemes combining with GMEP data where possible; modelling to estimate future outcomes so that adjustments can be made to maximise impact of payments; surveys to assess wider socio-economic benefits; and development of novel technologies to increase detection and efficiency of future assessments. How has GMEP progressed in this 2nd year? 90 GMEP squares were surveyed in Year 2 to add to the 60 completed in Year 1 resulting in 50% of the 300 GMEP survey squares now being completed. Squares will be revisited on a 4 year cycle providing evidence of change in response to Glastir and other pressures such as changing economics of the farm business, climate change and air pollution. This first survey cycle collects the baseline against which future changes will be assessed. This is important as GMEP work this year has demonstrated land coming into the scheme is different in some respects to land outside the scheme. Therefore, future analysis to detect impact of Glastir will be made both against the national backdrop from land outside the scheme and this baseline data from land in scheme. A wide range of analyses of longterm data has been completed for all Glastir Outcomes with the exception of landscape quality and historic features condition for which limited data is available. This has involved combining data with 2013/14 GMEP data when methods allow. Overall analysis of long term data indicates one of stability but with little evidence of improvement with the exception of headwater quality, greenhouse gas emissions and woodland area for which there has been improvement over the last 20 years. Some headline statistics include: 51% of historic features in excellent or sound condition; two thirds of public rights of way fully open and accessible; improvement in hedgerow management with 85% surveyed cut in the last 3 years but < 1% recently planted; 91% of streams had some level of modification but 60% retained good ecological quality; no change topsoil carbon content over last 25 years. What is innovative? GMEP has developed various new metrics to allow for more streamlined reporting in the future. For example a new Priority Bird species Index for Wales which combines data from 35 species indicates at least half have stable or increasing populations. The new GMEP Visual Quality Landscape Index has been tested involving over 2600 respondents. Results have demonstrated its value as an objective and repeatable method for quantifying change in visual landscape quality. A new unified peat map for Wales has been developed which has been passed to Glastir Contract Managers to improve targeting of payments when negotiating Glastir contracts. An estimate of peat soil contribution to current greenhouse gas emissions due to human modification has been calculated. Models have allowed quantification of land area helping to mitigate rainfall runoff. We are using new molecular tools to explore the effects of Glastir on soil organisms and satellite technologies to quantify e.g. small woody features and landcover change. Finally we are using a community approach to develop a consensus on how to define and report change in High Nature Value Farmland which will be reported in the Year 3 GMEP report

Consumers’ Willingness to Pay (WTP) for Organically Farmed Fish in Bangladesh

This study aims to assess the market potential for organically farmed shrimp. The rank-ordered logit model was employed to investigate consumer perceptions; the findings reveal that consumers prefer organic shrimp from mariculture, and inland-farmed shrimp to the coastal version. The willingness to pay (WTP) for conventional shrimp amongst consumers with low knowledge is less than that for organic shrimp amongst highly knowledgeable ones. In addition, the lower WTP for organic shrimp compared with safe shrimp amongst those with a medium knowledge level shows that the organically farmed shrimp market is lagging behind due to limited knowledge and confusion

The impact of foreign direct investment inflows on sustainable development : evidence from an emerging middle-income economy

Policymakers and global financial institutions promote foreign direct investment (FDI) as a driver of economic growth in developing countries; however, questions remain if FDI actually promotes sustainable development. It may encourage growth, but also hinder social and environmental development. In the study, I analyse whether FDI promotes or hinders sustainable development in developing countries, using Bangladesh as an example of an emerging middle-income country. Literature in this field indicates that FDI inflows can have positive or negative impacts on sustainable development, depending on the absorptive capacity of the country, the regulatory system, and the sector where FDI is directed. I focus on the manufacturing sector in Bangladesh and contribute to the literature on FDI and economic growth, inequality, and sustainable development by analysing the impact of FDI on all three dimensions of sustainable development – the economic, the environmental, and the social. In general, the impact of FDI inflows on economic and social sustainability is positive in Bangladesh, while the environmental dimension of sustainable development is hindered. Bangladesh should consider environmental issues seriously in the case for promoting FDI inflows in the country; otherwise, FDI inflows could cause irreversible damage to the environment and hinder sustainable development and social wellbeing. Based on the findings of the analysis, the thesis also offers policy suggestions to steer the FDI inflows towards sustainable development for developing countries

The determinants of net interest margins & net interest spreads in the Russian & Japanese Commercial Banking sectors

This study presents an empirical investigation of the determinants of net interest margins and spreads in the Russian and Japanese banking sectors with a particular focus on commercial banks. Net interest mar-gins and spreads serve as indicators of financial intermediation efficiency. This paper employed a bank-level unbalanced panel dataset prolonging from 2005 to 2014. My main empirical results show that bank characteristics explain the most of the variation in not only net interest margins but also in spreads. Capi-talization, liquidity risk, inflation, economic growth, private and government debt are important determi-nants of margin in Russia. In Japan to the contrary loan and deposit market concentration along with bank size do predominate. Common significant variables in both countries are the substitution effect, cost effi-ciency and profitability. Turning to net interest spreads, micro- and macro-specific variables are the main significant drivers in Russia. I reach the conclusion that there are no significant determinants of net interest spreads in Japan within the original selection of variables, but operating efficiency and deposits to total funding seem to prevail. In both countries, there are solid differences in the net interest margins as well as spreads once the pre- and the post-crisis periods are considered

Voluntary Financial Reporting on the Internet: Analysis of the Practice of Stock-Market Listed Croatian and Slovene Joint Stock Companies

An investigation into Internet financial reporting carried out in June 2005 that focused on stock-market listed Croatian and Slovene joint-stock companies has two basic aspects, comparative and explanatory. The comparative aspect of the research showed that Slovene corporations have a statistically significant higher level of financial reporting (as measured with IFR score). The average IFR score for 55 corporate entities from Croatia came to just 6.85, while the average IFR score for 30 Slovene firms was 17.63. The second aspect of the investigation was explanatory, and at the level of each state and sample the intention was to find the variables that affect IFR scores significantly. With respect to the Croatian sample it was shown that the IFR score was statistically significantly and positively correlated with size, profitability, number of shareholders, and amount of traffic on the stock markets. Then regression analysis showed that majority foreign ownership had a positive effect on the IFR score. A statistically significant but negative correlation was established for two sectors, tourism and marine transport. For the Slovene sample, comprising 30 firms, the size, profitability and number of stockholders were not significant variables. However, official listing, proportion of market capitalisation and ratio of market to book values of shares were statistically significantly and positively correlated with the IFR score. Only one sector, transport, was significantly and negatively correlated with the IFR score