Simulation and hedging oil price with geometric Brownian Motion and single-step binomial price model

This paper[1] uses the Geometric Brownian Motion (GBM) to model the behaviour of crude oil price in a Monte Carlo simulation framework. The performance of the GBM method is compared with the naïve strategy using different forecast evaluation techniques. The results from the forecasting accuracy statistics suggest that the GBM outperforms the naïve model and can act as a proxy for modelling movement of oil prices. We also test the empirical viability of using a call option contract to hedge oil price declines. The results from the simulations reveal that the single-step binomial price model can be effective in hedging oil price volatility. The findings from this paper will be of interest to the government of Nigeria that views the price of oil as one of the key variables in the national budget. JEL Classification Numbers: E64; C22; Q30 Keywords: Oil price volatility; Geometric Brownian Motion; Monte Carlo Simulation; Single-Step Binomial Price Model [1] Acknowledgement: We wish to thank the two anonymous reviewers for their insightful comments and kind considerations. Memos to: Azeez Abiola Oyedele, School of Business and Enterprise, University of the West of Scotland, Paisley Campus, Paisley PA1 2BE, Scotland, Email: [email protected]

Forecasting OPEC oil price: a comparison of parametric stochastic models

Most academic papers on oil price forecasting have frequently focused on the use of WTI and European Brent oil price series with little focus on other equally important international oil price benchmarks such as the OPEC Reference Basket (ORB). The ORB is a weighted average of 11-member countries crude streams weighted according to production and exports to the main markets. This paper compares the forecasting accuracy of four stochastic processes and four univariate random walk models using daily data of OPEC Reference Basket series. The study finds that the random walk univariate model outperforms the other stochastic processes. An element of uncertainty was introduced into the point estimates by deriving probability distribution that describes the possible price paths on a given day and their likelihood of occurrence. This will help decision makers, traders and analysts to have a better understanding of the possible daily prices that could occur. JEL Classification Numbers: E64; C22; Q30 Keywords: Oil Price Forecasting, Probability Distributions, and Forecast Evaluation Statistics, Brownian Motion with Mean Reversion process, GARCH Model

Performance Evaluation of Machine Learning Techniques for Identifying Forged and Phony Uniform Resource Locators (URLs)

Since the invention of Information and Communication Technology (ICT), there has been a great shift from the erstwhile traditional approach of handling information across the globe to the usage of this innovation. The application of this initiative cut across almost all areas of human endeavours. ICT is widely utilized in education and production sectors as well as in various financial institutions. It is of note that many people are using it genuinely to carry out their day to day activities while others are using it to perform nefarious activities at the detriment of other cyber users. According to several reports which are discussed in the introductory part of this work, millions of people have become victims of fake Uniform Resource Locators (URLs) sent to their mails by spammers. Financial institutions are not left out in the monumental loss recorded through this illicit act over the years. It is worth mentioning that, despite several approaches currently in place, none could confidently be confirmed to provide the best and reliable solution. According to several research findings reported in the literature, researchers have demonstrated how machine learning algorithms could be employed to verify and confirm compromised and fake URLs in the cyberspace. Inconsistencies have however been noticed in the researchers’ findings and also their corresponding results are not dependable based on the values obtained and conclusions drawn from them. Against this backdrop, the authors carried out a comparative analysis of three learning algorithms (Naïve Bayes, Decision Tree and Logistics Regression Model) for verification of compromised, suspicious and fake URLs and determine which is the best of all based on the metrics (F-Measure, Precision and Recall) used for evaluation. Based on the confusion metrics measurement, the result obtained shows that the Decision Tree (ID3) algorithm achieves the highest values for recall, precision and f-measure. It unarguably provides efficient and credible means of maximizing the detection of compromised and malicious URLs. Finally, for future work, authors are of the opinion that two or more supervised learning algorithms can be hybridized to form a single effective and more efficient algorithm for fake URLs verification.Keywords: Learning-algorithms, Forged-URL, Phoney-URL, performance-compariso

Multi Factor Explanation to Ipo Long Run Underperformance Anomaly: Sri Lankan Evidence

This paper focuses on IPO long run underperformance anomaly and the application of calendar time techniques to dissect anomalous behavior of IPO stocks. More specifically this paper will provide fresh evidence on how multi factor models work on a specific type of security (IPO stocks in this scenario) in an emerging market like Sri Lanka. It is analyzed IPOs over a period from 2000 to 2012 on Colombo Stock Exchange (CSE). Main finding of the study is that traditional market beta still remains strong despite the employment of latest multi factor models

Biodiesel: Freedom from Dependence on Fossil Fuels?

In view of the depleting oil reserves and exponential rise in petroleum prices, the search for alternative sources of fuel is very timely and important. The present paper addresses the underlying issues in biodiesel production from biomaterials and sustainable production and supply of first-generation biofuels, especially the one from jatropha. The agencies and research institutions involved in the production of biofuels and the national and international efforts made in this regard are discussed here. There is also a dire need of a step towards large-scale production and supply of second-generation biofuels, although in infant stage, to strengthen the world economy in general and Indian economy in particular. However, the production of biofuels are likely to have serious socio-economic implications especially to the lesser developed societies. This needs serious attention from policy makers and public at large

A survey of plants used in treatment of hypertension and diabetes mellitus in Ilorin, Kwara State, Nigeria

Background: Hypertension and Diabetes mellitus have emerged as the leading non-communicable disease worldwide, thus, the increasing need to continuously explore more and better ways of treating these diseases.Objectives: To carry out a survey of plants used in the treatment of hypertension and Diabetes mellitus in Ilorin, Kwara State, Nigeria.Materials and methods: Interview was conducted among respondents using semi-structured questionnaires and asking open-ended questions. Descriptive statistics were used for data analysis.Result: A total of 30 respondents comprising of 60.0% male and 40.0% female with the highest distribution of age range at above 50 years old (50.0%) was reported. Forty (40) medicinal plant species belonging to thirty-one (31) plant families were cited with the Apocynaceae family having the highest number of medicinal plants, followed by Asteraceae. For hypertension, 32 plant species were reported of which the most cited were Allium sativum (4) and Ficus asperifolia (2) while for Diabetes mellitus, 20 plant species were mentioned, of which the most cited were Hunteria umbellata (10) and Vernonia amygdalina (9). Of particular interest in this study were the plants that appeared for both hypertension and Diabetes treatment.Conclusion: This survey has helped to increase available medicinal plants knowledge and documentation in the management of hypertension and Diabetes. However, further work on the pharmacological activity of these plants as well as formulation in proper dosage form is recommended.Keywords: Hypertension, Diabetes mellitus, Traditional medicine practitioners, Kwara stat

Bus Rapid Transit and Socioeconomic Condition of Bus Commuters in Lagos State

Road transport is one of the most common means of transportation across the world. Bus transportation in Nigeria had witnessed many problems for the past decades considering the growing population with the attendant loss of lives and properties in most cities like Lagos in Nigeria. This paper focuses on the adequacy of services provided by Bus Rapid Transit (BRT) in Lagos State with respect to the extent to which it influences the socioeconomic conditions of bus commuters.  It examines the effect of services rendered by BRT on cost reduction potential, income and safety. Multistage sampling technique was used to select 20 samples each from all respondents in all local government area in Lagos State to reach a total of three hundred and thirty (330) samples. The data collection instrument was the questionnaire which was validated. Data collected were analysed with the use of descriptive statistics such as means, percentages and standard deviation and inferential statistics such as regression and analysis of variance techniques. Findings showed that BRT services has reduced the cost of bus commuters and also increased safety and security thereby increasing the socioeconomic condition of Lagosians. The study recommends improvements in BRT services through the deployment of technology as it had been used in developed countries. &nbsp

First report of polymelia and a rudimentary wing in a Nigerian Nera black chicken

A case of polymelia with a rudimentary wing is described in an eight-week-old Nera black chicken (Gallus domesticus). It is a rare disorder with chromosomal aberrations, which are associated with congenital limb malformations. The condition was observed during routine physical examination of a flock of 2000 poultry birds in the month of February 2008 in Ibadan, Nigeria. After physical examination, the bird was found to have two extra well-developed legs, which were shorter than the normal legs. These extra legs were also found to be non-functional. Similarly, a rudimentary wing, which was highly vestigial, was found on the left lateral side of the bird very close to the cloaca. The bird died at the age of eight weeks. This is the first reported case of polymelia with a rudimentary wing in a domestic chicken in Nigeria

Towards ensuring scalability, interoperability and efficient access control in a multi-domain grid-based environment

The application of grid computing has been hampered by three basic challenges: scalability, interoperability and efficient access control which need to be optimized before a full-scale adoption of grid computing can take place. To address these challenges, a novel architectural model was designed for a multi-domain grid based environment (built on three domains). It was modelled using the dynamic role-based access control. The architecture’s framework assumes that each domain has an independent local security monitoring unit and a central security monitoring unit that monitors security for the entire grid. The architecture was evaluated using the Grid Security Services Simulator, a meta-query language and Java Runtime Environment 1.7.0.5 for implementing the workflows that define the model’s task. In terms of scalability, the results show that as the number of grid nodes increases, the average turnaround time reduces, and thereby increases the number of service requesters (grid users) on the grid. Grid middleware integration across various domains as well as the appropriate handling of authentication and authorisation through a local security monitoring unit and a central security monitoring unit proved that the architecture is interoperable. Finally, a case study scenario used for access control across the domains shows the efficiency of the role based access control approach used for achieving appropriate access to resources. Based on the results obtained, the proposed framework has proved to be interoperable, scalable and efficiently suitable for enforcing access control within the parameters evaluated.Department of HE and Training approved lis