The Use of Artificial Neural Network in Option Pricing: The Case of S and P 100 Index Options

Due to the increasing and varying risks that economic units face with, derivative instruments gain substantial importance, and trading volumes of derivatives have reached very significant level. Parallel with these high trading volumes, researchers have developed many different models. Some are parametric, some are nonparametric. In this study, the aim is to analyse the success of artificial neural network in pricing of options with S&P 100 index options data. Generally, the previous studies cover the data of European type call options. This study includes not only European call option but also American call and put options and European put options. Three data sets are used to perform three different ANN models. One only includes data that are directly observed from the economic environment, i.e. strike price, spot price, interest rate, maturity, type of the contract. The others include an extra input that is not an observable data but a parameter, i.e. volatility. With these detail data, the performance of ANN in put/call dimension, American/European dimension, moneyness dimension is analyzed and whether the contribution of the volatility in neural network analysis make improvement in prediction performance or not is examined. The most striking results revealed by the study is that ANN shows better performance when pricing call options compared to put options; and the use of volatility parameter as an input does not improve the performance.

Applications of Trigonometic Measures of Fuzzy Entropy to Geometry

In the literature of fuzzy measures, there exist many well known parametric and non-parametric measures, each with its own merits and limitations. But our main emphasis is on applications of these measures to a variety of disciplines. To extend the scope of applications of these fuzzy measures to geometry, we need some special fuzzy measures. In this communication, we have introduced two new fuzzy measures involving trigonometric functions and simultaneously provided their applications to obtain the basic results already existing in the literature of geometry.

Water Demand Prediction for Touristic Mecca City in Saudi Arabia using Neural Networks

Saudi Arabia is an arid country which depends on costly desalination plants to satisfy the growing residential water demand. Prediction of water demand is usually a challenging task because the forecast model should consider variations in economic progress, climate conditions and population growth. The task is further complicated knowing that Mecca city is visited regularly by large numbers during specific months in the year due to religious occasions. In this paper, a neural networks model is proposed to handle the prediction of the monthly and yearly water demand for Mecca city, Saudi Arabia. The proposed model will be developed based on historic records of water production and estimated visitors- distribution. The driving variables for the model include annuallyvarying variables such as household income, household density, and city population, and monthly-varying variables such as expected number of visitors each month and maximum monthly temperature.

Electrically Conducting Lubricants: Esterified Carbon Nanotubes

Fats and oils are made of esterified hydrocarbons (RCOOR-) and this work demonstrates the substitution of R by multi-walled CNTs (MWNTs). The resultant materials are fluidic, oily, electrically conducting and excellent lubricants. Esterified MWNTs can also respond to magnetic field when tubules contain long segments of Fe

The Taiwanese Institutional Arrangement for Coastal Management Due to Climate Change

Weather disaster events were frequent and caused loss of lives and property in Taiwan recently. Excessive concentration of population and lacking of integrated planning led to Taiwanese coastal zone face the impacts of climate change directly. Comparing to many countries which have already set up legislation, competent authorities and national adaptation strategies, the ability of coastal management adapting to climate change is still insufficient in Taiwan. Therefore, it is necessary to establish a complete institutional arrangement for coastal management due to climate change in order to protect environment and sustain socio-economic development. This paper firstly reviews the impact of climate change on Taiwanese coastal zone. Secondly, development of Taiwanese institutional arrangement of coastal management is introduced. Followed is the analysis of four dimensions of legal basis, competent authority, scientific and financial support and international cooperations of institutional arrangement. The results show that Taiwanese government shall: 1) integrate climate change issue into Coastal Act, Wetland Act and territorial planning Act and pass them; 2) establish the high level competent authority for coastal management; 3) set up the climate change disaster coordinate platform; 4) link scientific information and decision markers; 5) establish the climate change adjustment fund; 6) participate in international climate change organizations and meetings actively; 7) cooperate with near countries to exchange experiences.

Estimation of Production Function in Fishery on the Coasts of Caspian Sea

This research was conducted for the first time at the southeastern coasts of the Caspian Sea in order to evaluate the performance of osteichthyes cooperatives through production (catch) function. Using one of the indirect valuation methods in this research, contributory factors in catch were identified and were inserted into the function as independent variables. In order to carry out this research, the performance of 25 Osteichthyes catching cooperatives in the utilization year of 2009 which were involved in fishing in Miankale wildlife refuge region. The contributory factors in catch were divided into groups of economic, ecological and biological factors. In the mentioned function, catch rate of the cooperative were inserted into as the dependant variable and fourteen partial variables in terms of nine general variables as independent variables. Finally, after function estimation, seven variables were rendered significant at 99 percent reliably level. The results of the function estimation indicated that human resource (fisherman quantity) had the greatest positive effect on catch rate with an influence coefficient of 1.7 while weather conditions had the greatest negative effect on the catch rate of cooperatives with an influence coefficient of -2.07. Moreover, factors like member's share, experience and fisherman training and fishing effort played the main roles in the catch rate of cooperative with influence coefficients of 0.81, 0.5 and 0.21, respectively.

Study on Ultrasonic Vibration Effects on Grinding Process of Alumina Ceramic (Al2O3)

Nowadays, engineering ceramics have significant applications in different industries such as; automotive, aerospace, electrical, electronics and even martial industries due to their attractive physical and mechanical properties like very high hardness and strength at elevated temperatures, chemical stability, low friction and high wear resistance. However, these interesting properties plus low heat conductivity make their machining processes too hard, costly and time consuming. Many attempts have been made in order to make the grinding process of engineering ceramics easier and many scientists have tried to find proper techniques to economize ceramics' machining processes. This paper proposes a new diamond plunge grinding technique using ultrasonic vibration for grinding Alumina ceramic (Al2O3). For this purpose, a set of laboratory equipments have been designed and simulated using Finite Element Method (FEM) and constructed in order to be used in various measurements. The results obtained have been compared with the conventional plunge grinding process without ultrasonic vibration and indicated that the surface roughness and fracture strength improved and the grinding forces decreased.

Social and Economic Effects of Mining Industry Restructuring in Romania -Case Studies

As in other countries from Central and Eastern Europe, the economic restructuring occurred in the last decade of the twentieth century affected the mining industry in Romania, an oversize and heavily subsidized sector before 1989. After more than a decade since the beginning of mining restructuring, an evaluation of current social implications of the process it is required, together with an efficiency analysis of the adaptation mechanisms developed at governmental level. This article aims to provide an insight into these issues through case studies conducted in the most important coal basin of Romania, Petroşani Depression.

Empirical Analyses of Determinants of D.J.S.I.US Mean Returns

This study investigates the relationship between 10 year bond value, Yen/U.S dollar exchange rate, non-farm payrolls (all employs) and crude oil to U.S. Dow Jones Sustainability Index. A GARCH model is used to test these relationships for the period January 1st 1999 to January 31st 2008 using monthly data. Results show that an increase of the 10 year bond and non farm payrolls (all employs) lead to an increase of the D.J.S.I returns. On the contrary the volatility of the Yen/U.S dollar exchange rates as well as the increase of crude oil returns has negative effects on the U.S D.J.S.I returns. This study aims at assisting investors to understand the influences certain macroeconomic indicators have on the companies- stock returns as reported by the D.J.S.I.

Study on Rural Landscape Design Method under the Background of the Population Diversification

Population diversification phenomena becomes quite common in villages located in China’s developed coastal area. Based on the analysis of the traditional rural society and its landscape characteristics, and in consideration of diversified landscape requirements due to the population diversification, with dual ideas of heritage and innovation, methods for rural landscape design were explored by taking Duxuao Village in Zhejiang Province of China as an example.

A New Measure of Herding Behavior: Derivation and Implications

If price and quantity are the fundamental building blocks of any theory of market interactions, the importance of trading volume in understanding the behavior of financial markets is clear. However, while many economic models of financial markets have been developed to explain the behavior of prices -predictability, variability, and information content- far less attention has been devoted to explaining the behavior of trading volume. In this article, we hope to expand our understanding of trading volume by developing a new measure of herding behavior based on a cross sectional dispersion of volumes betas. We apply our measure to the Toronto stock exchange using monthly data from January 2000 to December 2002. Our findings show that the herd phenomenon consists of three essential components: stationary herding, intentional herding and the feedback herding.

Assessment of EU Competitiveness Factors by Multivariate Methods

Measurement of competitiveness between countries or regions is an important topic of many economic analysis and scientific papers. In European Union (EU), there is no mainstream approach of competitiveness evaluation and measuring. There are many opinions and methods of measurement and evaluation of competitiveness between states or regions at national and European level. The methods differ in structure of using the indicators of competitiveness and ways of their processing. The aim of the paper is to analyze main sources of competitive potential of the EU Member States with the help of Factor analysis (FA) and to classify the EU Member States to homogeneous units (clusters) according to the similarity of selected indicators of competitiveness factors by Cluster analysis (CA) in reference years 2000 and 2011. The theoretical part of the paper is devoted to the fundamental bases of competitiveness and the methodology of FA and CA methods. The empirical part of the paper deals with the evaluation of competitiveness factors in the EU Member States and cluster comparison of evaluated countries by cluster analysis. 

The Cinema in Turkey During 1940s

The cinema in Turkey during the 1940s was shaped under the Second World War conditions. The amateur film makers from different socioeconomic roots experienced movie production in those years. Having similar socioeconomic characteristics and autobiographies, each of them has a different understanding of cinema. Nevertheless, they joined in making movies which address native culture and audience. They narrated indigenous stories with native music, amateur players and simple settings. Although the martial law, censorship and economical deficiencies, they started to produce films in the Second World War. The cinematographers of the 1940s usually called as thetransition period cinematographers in Turkey, producing in the passage between the period of thetheatre playersand the period of thenational cinema. But, 1940- 1950 period of Turkish cinema should be defined not as a transition but a period of forming the professional conscioussness in cinema.

Conventional and PSO Based Approaches for Model Reduction of SISO Discrete Systems

Reduction of Single Input Single Output (SISO) discrete systems into lower order model, using a conventional and an evolutionary technique is presented in this paper. In the conventional technique, the mixed advantages of Modified Cauer Form (MCF) and differentiation are used. In this method the original discrete system is, first, converted into equivalent continuous system by applying bilinear transformation. The denominator of the equivalent continuous system and its reciprocal are differentiated successively, the reduced denominator of the desired order is obtained by combining the differentiated polynomials. The numerator is obtained by matching the quotients of MCF. The reduced continuous system is converted back into discrete system using inverse bilinear transformation. In the evolutionary technique method, Particle Swarm Optimization (PSO) is employed to reduce the higher order model. PSO method is based on the minimization of the Integral Squared Error (ISE) between the transient responses of original higher order model and the reduced order model pertaining to a unit step input. Both the methods are illustrated through numerical example.

Myotonometry Method for Assessment Muscle Performance

The aim of this paper is to present the role of myotonometry in assessment muscle viscoelasticity by measurement of force index (IF) and stiffness (S) at thigh muscle groups. The results are used for improve the muscle training. The method is based on mechanic impulse on the muscle group, that involve a muscle response like acceleration, speed and amplitude curves. From these we have information about elasticity, stiffness beginning from mechanic oscillations of muscle tissue. Using this method offer the possibility for monitoring the muscle capacity for produce mechanic energy, that allows a efficiency of movement with a minimal tissue deformation.

An Approach to Polynomial Curve Comparison in Geometric Object Database

In image processing and visualization, comparing two bitmapped images needs to be compared from their pixels by matching pixel-by-pixel. Consequently, it takes a lot of computational time while the comparison of two vector-based images is significantly faster. Sometimes these raster graphics images can be approximately converted into the vector-based images by various techniques. After conversion, the problem of comparing two raster graphics images can be reduced to the problem of comparing vector graphics images. Hence, the problem of comparing pixel-by-pixel can be reduced to the problem of polynomial comparisons. In computer aided geometric design (CAGD), the vector graphics images are the composition of curves and surfaces. Curves are defined by a sequence of control points and their polynomials. In this paper, the control points will be considerably used to compare curves. The same curves after relocated or rotated are treated to be equivalent while two curves after different scaled are considered to be similar curves. This paper proposed an algorithm for comparing the polynomial curves by using the control points for equivalence and similarity. In addition, the geometric object-oriented database used to keep the curve information has also been defined in XML format for further used in curve comparisons.

Security of Mobile Agent in Ad hoc Network using Threshold Cryptography

In a very simple form a Mobile Agent is an independent piece of code that has mobility and autonomy behavior. One of the main advantages of using Mobile Agent in a network is - it reduces network traffic load. In an, ad hoc network Mobile Agent can be used to protect the network by using agent based IDS or IPS. Besides, to deploy dynamic software in the network or to retrieve information from network nodes Mobile Agent can be useful. But in an ad hoc network the Mobile Agent itself needs some security. Security services should be guaranteed both for Mobile Agent and for Agent Server. In this paper to protect the Mobile Agent and Agent Server in an ad hoc network we have proposed a solution which is based on Threshold Cryptography, a new vibe in the cryptographic world where trust is distributed among multiple nodes in the network.

The Defects Reduction in Injection Molding by Fuzzy Logic based Machine Selection System

The effective machine-job assignment of injection molding machines is very important for industry because it is not only directly affects the quality of the product but also the performance and lifetime of the machine as well. The phase of machine selection was mostly done by professionals or experienced planners, so the possibility of matching a job with an inappropriate machine might occur when it was conducted by an inexperienced person. It could lead to an uneconomical plan and defects. This research aimed to develop a machine selection system for plastic injection machines as a tool to help in decision making of the user. This proposed system could be used both in normal times and in times of emergency. Fuzzy logic principle is applied to deal with uncertainty and mechanical factors in the selection of both quantity and quality criteria. The six criteria were obtained from a plastic manufacturer's case study to construct a system based on fuzzy logic theory using MATLAB. The results showed that the system was able to reduce the defects of Short Shot and Sink Mark to 24.0% and 8.0% and the total defects was reduced around 8.7% per month.

Aerodynamics and Optimization of Airfoil Under Ground Effect

The Prediction of aerodynamic characteristics and shape optimization of airfoil under the ground effect have been carried out by integration of computational fluid dynamics and the multiobjective Pareto-based genetic algorithm. The main flow characteristics around an airfoil of WIG craft are lift force, lift-to-drag ratio and static height stability (H.S). However, they show a strong trade-off phenomenon so that it is not easy to satisfy the design requirements simultaneously. This difficulty can be resolved by the optimal design. The above mentioned three characteristics are chosen as the objective functions and NACA0015 airfoil is considered as a baseline model in the present study. The profile of airfoil is constructed by Bezier curves with fourteen control points and these control points are adopted as the design variables. For multi-objective optimization problems, the optimal solutions are not unique but a set of non-dominated optima and they are called Pareto frontiers or Pareto sets. As the results of optimization, forty numbers of non- dominated Pareto optima can be obtained at thirty evolutions.

Comparative Approach of Measuring Price Risk on Romanian and International Wheat Market

This paper aims to present the main instruments used in the economic literature for measuring the price risk, pointing out on the advantages brought by the conditional variance in this respect. The theoretical approach will be exemplified by elaborating an EGARCH model for the price returns of wheat, both on Romanian and on international market. To our knowledge, no previous empirical research, either on price risk measurement for the Romanian markets or studies that use the ARIMA-EGARCH methodology, have been conducted. After estimating the corresponding models, the paper will compare the estimated conditional variance on the two markets.