Validation of a Rolling-Logit Model to Predict TSE Corporate Bankruptcy

For more than 50 years, predicting corporate bankruptcy has been a critical topic of global interest resulting in significant research devoted to the development and refinement of corporate bankruptcy prediction models. However, most studies overwhelmingly concentrated on using single period\u27s information to identify bankruptcy risks and very few studies investigated the role of previous information in prediction models. Morris (1997) and Um (2001) used a rolling-logit model based on previous and present information to measure the risks of corporations, but presented an inconsistency about the predictive ability. This inconsistency suggested more research efforts to verify the predictive ability of the model. Furthermore, there was a lack of empirical studies that adopted this method to predict the bankruptcies of Taiwanese corporations. Therefore, this study attempted to validate a rolling-logit model in predicting TSE (Taiwan Security Exchange) corporate bankruptcy. Using non-probability purposive sampling, 52 TSE corporations were matched with 52 non-bankrupt corporations during the period 1999-2005. Based on the sample, a predictive and secondary research design was conducted to (a) describe the characteristics of the sample TSE corporations, (b) compare financial and auditing characteristics between bankrupt and non-bankrupt TSE corporations, and (c) validate the usefulness of the rolling-logit model in predicting TSE corporation bankruptcies. The results of the mean comparison tests in financial ratios supported that a failing TSE corporation usually experienced declining earnings and liquidity, while simultaneously having a higher leverage position. Furthermore, the results of the mean comparison tests in auditing indicators disclosed that an aggravated financial condition would be critical in determining whether an auditor issues an unclean opinion or a corporation changes its incumbent auditor. Finally, the results of the validation of the rolling-logit model demonstrated that the model, compared to the benchmark model, exhibited higher overall accuracy. The successful performance was attributed to a recall mechanism which allows the model to measure a corporation\u27s risks based upon consistent information across time. However, this study had limitations due to the selection of the sample and variables. Future research could validate its applicability in other markets or select other explanatory variables in order to improve the predictive ability

Nonlinear Mean Reversion and Arbitrage in the Gold Futures Market

Previous literatures take transaction costs as being negligible when analyzing the futures basis behavior in linear dynamic framework. However, we argue that the relationship between the futures and spot prices with the conventional linear cointegration approach may not be appropriate after taking transaction costs into account. In this paper, an incorporation of transaction costs presented by Dumas (1992) and Michael (1997) into the exponential smooth transition autoregressive (ESTAR) model developed by Granger and Terasvita (1993) is motivated to examine the dynamic relationship between daily gold futures and spot prices and the nonlinear behavior of the gold futures basis. Transaction costs may lead to the existence of neutral band for futures market speculation within which profitable trading opportunities are impossible. Further, our results indicate that the ESTAR model provides higher forecasting power than the linear AR(1) model.

XML-based Web Services Technology to Implement a Prototype Command and Control System

A command and control system is a complex system of systems. For its ability to improvethe command and control efficiency and multiply operational capability, command and controlsystem investment is always a benchmark for military modernisation. However, most commandand control systems were independently developed, validated and approved as a stand-alonesolution to reflect service requirement rather than joint focused. These stovepipe systems notonly have an adverse impact on joint or coalition operation, but also are fairly difficult to integrateand interoperate effectively with other systems. To solve these problems, the study appliesXML standard to redefine the structured radar track and global positioning system (GPS)positioning data formats. Radar tracking data and GPS positioning data generator wereimplemented to simulate air and land targets. In addition, the static intelligence databases, suchas order of battle, were built for information exchange with other systems. Sensors, GPS, andintelligence web services, including simple object access protocol (SOAP) and web servicedefinition language (WSDL) are constructed to provide near-real-time static intelligence anddynamic track services. All relevant command and control centres may subscribe the necessaryservices from the service providers to work together with their own systems for mission needs.The implementation of result demonstrates XML-based web services technology and makescommand and control system integration easy, flexible, and cost effective

Topic Retrospection with Storyline-based Summarization on News Reports

The electronics newspaper becomes a main source for online news readers. When facing the numerous stories of a series of events, news readers need some supports in order to review a topic in an efficient way. Besides identifying events and presenting the search results with news titles and keywords the TDT (Topic Detection and Tracking) is used to do, a summarized text to present event evolution is necessary for general news readers to review events under a news topic. This paper proposes a topic retrospection process and implements the SToRe system that identifies various events under a news topic, and composes a summary that news readers can get the sketch of event evolution in the topic. It consists of three main functions: event identification, main storyline construction and storyline-based summarization. The constructed main storyline can remove the irrelevant events and present a main theme. The summarization extracts the representative sentences and takes the main theme as the template to compose summary. The summarization not only provides enough information to comprehend the development of a topic, but also serves as an index to help readers to find more detailed information. A lab experiment is conducted to evaluate the SToRe system in the question-and-answer (Q&A) setting. The experimental results show that the SToRe system enables news readers to effectively and efficiently capture the evolution of a news topic

Nonlinear Mean Reversion and Arbitrage in the Gold Futures Market

Previous literatures take transaction costs as being negligible when analyzing the futures basis behavior in linear dynamic framework. However, we argue that the relationship between the futures and spot prices with the conventional linear cointegration approach may not be appropriate after taking transaction costs into account. In this paper, an incorporation of transaction costs presented by Dumas (1992) and Michael (1997) into the exponential smooth transition autoregressive (ESTAR) model developed by Granger and Terasvita (1993) is motivated to examine the dynamic relationship between daily gold futures and spot prices and the nonlinear behavior of the gold futures basis. Transaction costs may lead to the existence of neutral band for futures market speculation within which profitable trading opportunities are impossible. Further, our results indicate that the ESTAR model provides higher forecasting power than the linear AR(1) model.

The RoboScooter a new personal mobility system

Thesis (S.M.)--Massachusetts Institute of Technology, School of Architecture and Planning, Program in Media Arts and Sciences, 2010.Cataloged from PDF version of thesis.Includes bibliographical references (p. 83).RoboScooter is the result of the design workshop "Concept Scooter Project with Sang Yang Motors." During the design workshop held in 2007, I proposed an electric folding scooter. There are two main features of this scooter, folding and fully electric. These two features are designed to solve two critique urban problems, congestion and pollution. Based on the MIT Smart Cities research group's Robot Wheel technology, I built two 2- wheeler prototypes. The project was divided into two different phases. Phase one was focused on figuring out a correct folding architecture, the folding mechanisms and the implementation of working scooter-size Robot Wheels. Phase one was completed on April 29th 2008 with an official press conference held in Taipei, Taiwan to announce the RoboScooter.The second phase was focused on improving the next generation of the scooter structure and folding mechanism. The RoboScooter "G2" was completed in spring 2009. Designing the RoboScooter is an interesting story because of the conflicting factors such as the total weight, the load, different forces such as torque and bending forces to the chassis of the scooter. These numbers and the results can be simulated by using Finite Element Analysis (FEA) combining scooter manufacturer's experience. In the scooter industry, majority of the analysis requires experiences from dynamic structure experts. This is also how the initial drawing was created. I will clearly describe the design process and the rationale behind it later in the thesis.by Michael Chia-Liang Lin.S.M

Contextualizing urban mobile fabrics

Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2007.Page 60 blank.Includes bibliographical references (p. 58-59).This thesis is focus on the urban fabric issues. To be more specific, I will focus on the "Mobile Fabrics" within the larger Asian urban context. Instead of working with a specific geographical site; I will focus on the "Duration" of these mobile fabrics. Certain duration during the day will be selected according to the specific phenomenon and the duration for incorporating elements which discovered in different places. The overall idea is to canvass a series of movements by its duration regarding some the current pertinent issues affecting urban and architectural design. One of the most interesting Mobile Fabrics in the Asian context is the scooter and the Chinese traditional shop front. The scooter forms as a private space moving within the public space whereas the Chinese traditional shop front is a public space within a private property. The result of this design thesis is to aim at the different possibilities to intergrades these two mobile fabrics together; further more, creating different combinations for urban space orderings and shifting the identity of public and private spaces.by Michael Chia-Liang Lin.S.M

Individualized Storyline-based News Topic Retrospection

It takes a great effort for common news readers to track events promptly, and not to mention that they can retrospect them precisely after it occurred for a long time period. Although topic detection and tracking techniques have been developed to promptly identify and keep track of similar events in a topic and monitor their progress, the cognitive load remains for a reader to digest these reports. A storyline-based summarization may facilitate readers to recall occurred events in a topic by extracting informative sentences of news reports to compose a concise summary with essential episodes. This paper proposes SToRe (Story-line based Topic Retrospection), that identifies events from news reports and composes a storyline summary to portray the event evolution in a topic. It consists of three main functions: event identification, main storyline construction and storyline-based summarization. The main storyline guides the extraction of representative sentences from news articles to summarize occurred events. This study demonstrates that different topic term sets result in different storylines, and in turn, different summaries. This adaptation is useful for users to review occurred news topics in different storylines

Development of a compact DFB laser interferometer for high-speed inline displacement measurement

A compact fiber laser interferometer, capable of precise displacement measurements, was devised using a 1550 nm DFB laser for frequency modulation up to 300 kHz. The system comprises a fiber laser, a fiber-optic interferometer, and a wavelength modulation system. The presented method offers nanometer-scale precision and incorporates a hydrogen cyanide (HCN) gas cell for monitoring the laser's central wavelength. A technique to compensate for modulation depth has been developed to maintain a consistent modulation depth over extensive measurement ranges. Preliminary trials reveal a measurement bias of less than 40 nm achieved over a 300 mm range at a speed of 100 mm/s compared to a calibrated interferometer. This approach proves beneficial for high-precision measurements for inline semiconductor manufacturing processes

Control Design for Signal Transduction Networks

Signal transduction networks of biological systems are highly complex. How to mathematically describe a signal transduction network by systematic approaches to further develop an appropriate and effective control strategy is attractive to control engineers. In this paper, the synergism and saturation system (S-systems) representations are used to describe signal transduction networks and a control design idea is presented. For constructing mathematical models, a cascaded analysis model is first proposed. Dynamic analysis and controller design are simulated and verified