Forecasting of financial data: a novel fuzzy logic neural network based on error-correction concept and statistics

First, this paper investigates the effect of good and bad news on volatility in the BUX return time series using asymmetric ARCH models. Then, the accuracy of forecasting models based on statistical (stochastic), machine learning methods, and soft/granular RBF network is investigated. To forecast the high-frequency financial data, we apply statistical ARMA and asymmetric GARCH-class models. A novel RBF network architecture is proposed based on incorporation of an error-correction mechanism, which improves forecasting ability of feed-forward neural networks. These proposed modelling approaches and SVM models are applied to predict the high-frequency time series of the BUX stock index. We found that it is possible to enhance forecast accuracy and achieve significant risk reduction in managerial decision making by applying intelligent forecasting models based on latest information technologies. On the other hand, we showed that statistical GARCH-class models can identify the presence of leverage effects, and react to the good and bad news.Web of Science421049

Business Domain Modelling using an Integrated Framework

This paper presents an application of a “Systematic Soft Domain Driven Design Framework” as a soft systems approach to domain-driven design of information systems development. The framework combining techniques from Soft Systems Methodology (SSM), the Unified Modelling Language (UML), and an implementation pattern known as “Naked Objects”. This framework have been used in action research projects that have involved the investigation and modelling of business processes using object-oriented domain models and the implementation of software systems based on those domain models. Within this framework, Soft Systems Methodology (SSM) is used as a guiding methodology to explore the problem situation and to develop the domain model using UML for the given business domain. The framework is proposed and evaluated in our previous works, and a real case study “Information Retrieval System for academic research” is used, in this paper, to show further practice and evaluation of the framework in different business domain. We argue that there are advantages from combining and using techniques from different methodologies in this way for business domain modelling. The framework is overviewed and justified as multimethodology using Mingers multimethodology ideas

A decision model for natural oil buying policy under uncertainty

A manufacturer, in a fast moving consumer goods industry, buys Natural oils from a number of oil suppliers world-wide. The prices of these oils are the major raw material cost in producing the consumer goods, which are also sold world-wide. The volatility in the international prices of the Natural oils has signi¯cant impact on the planning and budgets decisions. Since the oils are bought and the ¯nished products are sold in markets throughout the world, the manufacturer is exposed to a variety of market uncertainties and the resulting risks. These uncertainties are the raw material prices, the demand and the therefore the selling prices for the finished goods- all of which influence the profitability of the manufacturing firm. The risks can be minimised by entering into futures contract of appropriate duration, that is, by following a schedule of "forward"' purchase of oil (with specific series of future delivery dates) with the oil suppliers. We formulate this problem as a two-stage Stochastic Program (SP) using the futures and the spot prices for the Natural oil. This SP model gives robust decisions that hedge against the uncertainties in the Natural oil prices and the demand for the finished products. The uncertainty in the oil prices and the demand are modelled through a scenario generator. We have constructed a decision support system (DSS) that integrates the SP model, the scenario generator and the solution algorithm. This DSS also provides the decision maker a profile of the risk and return exposures for different policies

Supporting strategy : a survey of UK OR/MS practitioners

This paper reports the results of an on-line survey conducted with practitioner members of the UK Operational Research (OR) Society. The purpose of the survey was to explore the current practice of supporting strategy in terms of activities supported and tools used. The results of the survey are compared to those of previous surveys to explore developments in, inter-alia, the use of management/strategy tools and „soft‟ Operational Research / Management Science (OR/MS) tools. The survey results demonstrate that OR practitioners actively support strategy within their organisations. Whilst a wide variety of tools, drawn from the OR/MS and management / strategy fields are used to support strategy within organisations, the findings suggest that soft OR/MS tools are not regularly used. The findings also demonstrate that tools are combined to support strategy from both within and across the OR/MS and management / strategy fields. The paper ends by identifying a number of areas for further research

Short-term forecasts of euro area GDP growth

Global financial integration unlocks a huge potential for international risk sharing. We examine the degree to which international equity holdings act as a risk sharing device in industrial and emerging economies. We split equity returns into investment income (dividend distribution) and capital gains to investigate which of the two channels delivers the largest potential for risk sharing. Our evidence suggests that net capital gains are a more potent channel of risk sharing. They behave in a countercyclical way, that is they tend to be positive (negative) when the domestic economy is growing more slowly (rapidly) than the rest of the world. Countries with more countercyclical net capital gains experience improved consumption risk sharing. The empirical analysis furthermore suggests that these risk sharing properties of net capital gains have increased through time, in particular in the 1990s and early-2000s, on the back of a declining equity home bias and financial market deepening. JEL Classification: E52, C33, C53consumption smoothing, Cross-Border Investment, International portfolio diversification, International risk sharing, Valuation effects

Dundee Discussion Papers in Economics 228:A soft edge target zone model: theory and application to Hong Kong

Hong Kong’s currency is pegged to the US dollar in a currency board arrangement. In autumn 2003,the Hong Kong dollar appreciated from close to 7.80 per US dollar to 7.70, as investors feared that the currency board would be abandoned. In the wake of this appreciation, the monetary authorities revamped the one-sided currency board mechanism into a symmetric two-sided system with a narrow exchange rate band. This paper reviews the characteristics of the new currency board arrangement and embeds a theoretical soft edge target zone model typifying many intermediate regimes, to explain the notable achievement of speculative peace and credibility since May 2005

The uses of qualitative data in multimethodology:Developing causal loop diagrams during the coding process

In this research note we describe a method for exploring the creation of causal loop diagrams (CLDs) from the coding trees developed through a grounded theory approach and using computer aided qualitative data analysis software (CAQDAS). The theoretical background to the approach is multimethodology, in line with Minger’s description of paradigm crossing and is appropriately situated within the Appreciate and Analyse phases of PSM intervention. The practical use of this method has been explored and three case studies are presented from the domains of organisational change and entrepreneurial studies. The value of this method is twofold; (i) it has the potential to improve dynamic sensibility in the process of qualitative data analysis, and (ii) it can provide a more rigorous approach to developing CLDs in the formation stage of system dynamics modelling. We propose that the further development of this method requires its implementation within CAQDAS packages so that CLD creation, as a precursor to full system dynamics modelling, is contemporaneous with coding and consistent with a bridging strategy of paradigm crossing