The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan

This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information transmission between stock and exchange rates. Empirical results demonstrated that the diffusion and jump process have significantly correlations and interacted with stock and exchange rates markets following the QFIIs deregulation. Finally, normal information transmission changed bi-directionally across markets and abnormal information supports the asset approach to determining exchange rates. Additionally, estimation results suggest that information transmissions are affected by removal of investment restrictions.The Qualified Foreign Institutional Investors Deregulation Jump Intensity Spillovers CBP-GARCH-JDSV Model

Adaptive Middleware for Resource-Constrained Mobile Ad Hoc and Wireless Sensor Networks

Mobile ad hoc networks: MANETs) and wireless sensor networks: WSNs) are two recently-developed technologies that uniquely function without fixed infrastructure support, and sense at scales, resolutions, and durations previously not possible. While both offer great potential in many applications, developing software for these types of networks is extremely difficult, preventing their wide-spread use. Three primary challenges are: 1) the high level of dynamics within the network in terms of changing wireless links and node hardware configurations,: 2) the wide variety of hardware present in these networks, and: 3) the extremely limited computational and energy resources available. Until now, the burden of handling these issues was put on the software application developer. This dissertation presents three novel programming models and middleware systems that address these challenges: Limone, Agilla, and Servilla. Limone reliably handles high levels of dynamics within MANETs. It does this through lightweight coordination primitives that make minimal assumptions about network connectivity. Agilla enables self-adaptive WSN applications via the integration of mobile agent and tuple space programming models, which is critical given the continuously changing network. It is the first system to successfully demonstrate the feasibility of using mobile agents and tuple spaces within WSNs. Servilla addresses the challenges that arise from WSN hardware heterogeneity using principles of Service-Oriented Computing: SOC). It is the first system to successfully implement the entire SOC model within WSNs and uniquely tailors it to the WSN domain by making it energy-aware and adaptive. The efficacies of the above three systems are demonstrated through implementation, micro-benchmarks, and the evaluation of several real-world applications including Universal Remote, Fire Detection and Tracking, Structural Health Monitoring, and Medical Patient Monitoring

MECHANISM FOR TRUE OPINION SHARING

A mechanism is proposed for sharing true opinions amongst a plurality of users in a cloud storage system. An opinion sharing service may generate a group public key and a plurality of member private keys. Responsive to receiving from a first member a request to open a discussion forum for the group, the opinion sharing service may send an invitation message to members of the group to join the discussion forum and, for those who joined, send the group public key to each member who joined the discussion forum. Once receiving a message encrypted using the group public key from a second member, the opinion sharing service may decrypt the encrypted message using a private key that corresponds to the second member. Next, the opinion sharing service may anonymously present the message content

A Unified Specification Framework for Spatiotemporal Communication

Traditionally, network communication entailed the delivery of messages to specific network addresses. As computers acquired multimedia capabilities, new applications such as video broadcasting dictated the need for real-time quality of service guarantees and delivery to multiple recipients. In light of this, a subtle transition took place as a subset of IP addresses evolved into a group-naming scheme and best-effort delivery became subjugated to temporal constraints. With recent developments in mobile and sensor networks new applications are being considered in which physical locations and even temporal coordinates play a role in identifying the set of desired recipients. Other applications involved in the delivery of spatiotemporal services are pointing to increasingly sophisticated ways in which the name, time, and space dimensions can be engaged in specifying the recipients of a given message. In this paper we explore the extent to which these and other techniques for implicit and explicit specification of the recipient list can be brought under a single unified frame-work. The proposed framework is shown to be expressive enough so as to offer precise specifications for ex-isting communication mechanisms. More importantly, its analysis suggests novel forms of communication relevant to the emerging areas of spatiotemporal service provision in sensor and mobile networks

Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an abnormal information lead and lag relationship existed for the Nikkei 225, SIMEX-Nikkei 225 and OSE-Nikkei 225. Empirical results demonstrate that Nikkei 225 index and futures show jump phenomena, implying a jump process is necessary to match statistical features in spot and futures markets. Finally, the empirical results indicated that the abnormal information of the OSE-Nikkei 225 futures contract significantly leads the one of the SIMEX- Nikkei 225 and Nikkei 225 index.

Studies on the Effect of Trading Volume and Return Volatility on Call Warrants and Underlying Stocks in Taiwan

[[abstract]]This study selects ten call warrants on electronics stocks and utilizes the bivariate GARCH model to investigate the influence of return and expected and unexpected trading volume on the call warrants and underlying stocks. The results reveal that stocks and call warrants are correlated and function as leading factors for each other. The volatilities of underlying stock returns are positively influenced by the expected and unexpected trading volumes of the underlying stocks. The influence of expected and unexpected trading volumes of warrants on the volatility of target stock returns is also positively correlated. Expected and unexpected trading volumes of warrants as well as underlying stocks show a positive correlation with the return volatility of warrants.[[notice]]補正完畢[[journaltype]]國

Hedging with Floor-traded and E-mini Stock Index Futures

[[abstract]]This study investigates the out-of-sample hedging effectiveness and dynamic hedge ratios of floor-traded and E-mini futures with VAR, ECM, bivariate GARCH, Kaiman filter, and Markov regime switching in the S&P500 and Nasdaq-100 markets. The empirical results show that both the floor-traded and E-mini futures can be good instruments to be used as hedge objectives. The correlation coefficient between spot and futures increases and hedge effectiveness goes up when the hedging period is extended. Moreover, the bivariate GARCH and Markov regime switching show a higher HEI performance in short-term and long-term hedging periods, respectively. Furthermore, floortraded futures with an open outcry system surprisingly do better than E-mini futures contracts. This study proposes meaningful evidence of hedging strategies for investors with different spot index, hedging periods, and trading mechanisms.[[notice]]補正完