Forecasting of Intermittent Demand Data in the Case of Medical Apparatus

Size: px
Start display at page:

Download "Forecasting of Intermittent Demand Data in the Case of Medical Apparatus"

Transcription

1 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Forecasing of Inermien Demand Daa in he Case of Medical Apparaus Kazuhiro Takeyasu, Daisuke Takeyasu Absrac Inermien daa are ofen seen in indusries. Bu i is raher difficul o make forecasing in general. In recen years, he needs for inermien demand forecasing are increasing because of he consrains of sric Supply Chain Managemen. How o improve he forecasing accuracy is an imporan issue. There are many researches made on his. Bu here are rooms for improvemen. In his paper, a new mehod for cumulaive forecasing mehod is proposed. The daa is cumulaed and o his cumulaed ime series, he following mehod is applied o improve he forecasing accuracy. Focusing ha he equaion of exponenial smoohing mehod(esm) is equivalen o (,) order ARMA model equaion, he new mehod of esimaion of smoohing consan in exponenial smoohing mehod is proposed before by us which saisfies minimum variance of forecasing error. Generally, smoohing consan is seleced arbirarily. Bu in his paper, we uilize above saed heoreical soluion. Firsly, we make esimaion of ARMA model parameer and hen esimae smoohing consans. Thus heoreical soluion is derived in a simple way and i may be uilized in various fields. Furhermore, combining he rend removing mehod wih his mehod, we aim o improve he forecasing accuracy. An approach o his mehod is execued in he following mehod. Trend removing by he combinaion of linear and nd order non-linear funcion and 3 rd order non-linear funcion is execued o he producion daa of Medical Apparaus (Medical hermography and Bioelecric phenomenon inspecion equipmen). The weighs for hese funcions are se 0.5 for wo paerns a firs and hen varied by 0.0 incremen for hree paerns and opimal weighs are searched. For he comparison, monhly rend is removed afer ha. Theoreical soluion of smoohing consan of ESM is calculaed for boh of he monhly rend removing daa and he non monhly rend removing daa. Then forecasing is execued on hese daa. The forecasing resul is compared wih hose of he non-cumulaive forecasing mehod. The new mehod shows ha i is useful for he forecasing of inermien demand daa. The effeciveness of his mehod should be examined in various cases. Key Words inermien demand forecasing, minimum variance, exponenial smoohing mehod, forecasing, rend. I. INTRODUCTION Demand forecasing is he basis in supply chain managemen. In indusries, how o improve forecasing accuracy such as sales, shipping is an imporan issue. There are cases ha inermien demand forecasing is required. Bu he mere applicaion of he pas mehod does no bear good esimaion of parameers and exquisie forecasing. There are many researchers made on his. Based upon he Croson s model (Croson 97[], Box e al.008 []), Shensone and Hyndma (005)[3] analyzed he inermien demand forecasing. Froung e al. (0)[4] applied Neural Nework o inermien demand forecasing. Ghobbar and Friend (996)[5] have made applicaion o aircraf mainenance and invenory conrol. Tanaka e al. (0)[6] has buil sales forecasing model for book publishing, where hey have devised cumulaive forecasing mehod. In his paper, we furher develop his cumulaive forecasing mehod in order o improve he forecasing accuracy for inermien demand. A new mehod for cumulaive forecasing mehod is proposed. The daa is cumulaed and o his cumulaed ime series, he following mehod is applied o improve he forecasing 545

2 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 accuracy. Focusing ha he equaion of exponenial smoohing mehod(esm) is equivalen o (,) order ARMA model equaion, a new mehod of esimaion of smoohing consan in exponenial smoohing mehod was proposed before by us which saisfied minimum variance of forecasing error[7]. Generally, smoohing consan is seleced arbirarily. Bu in his paper, we uilize above saed heoreical soluion. Firsly, we make esimaion of ARMA model parameer and hen esimae smoohing consans. Thus heoreical soluion is derived in a simple way and i may be uilized in various fields. Furhermore, combining he rend removing mehod wih his mehod, we aim o improve he forecasing accuracy. An approach o his mehod is execued in he following mehod. Trend removing by he combinaion of linear and nd order non-linear funcion and 3 rd order non-linear funcion is execued o he daa of Medical Apparaus (Medical hermography and Bioelecric phenomenon inspecion equipmen). The weighs for hese funcions are se 0.5 for wo paerns a firs and hen varied by 0.0 incremen for hree paerns and opimal weighs are searched. For he comparison, monhly rend is removed afer ha. Theoreical soluion of smoohing consan of ESM is calculaed for boh of he monhly rend removing daa and he non-monhly rend removing daa. Then forecasing is execued on hese daa. The forecasing resul is compared wih hose of he non-cumulaive forecasing mehod. The new mehod shows ha i is useful for he forecasing of inermien demand daa. The effeciveness of his mehod should be examined in various cases. The res of he paper is organized as follows. In secion, ESM is saed by ARMA model and esimaion mehod of smoohing consan is derived using ARMA model idenificaion. The combinaion of linear and non-linear funcion is inroduced for rend removing in secion 3. The Monhly Raio is referred in secion 4. Forecasing is execued in secion 5, and esimaion accuracy is examined. II. DESCRIPTION OF ESM USING ARMA MODEL [7] In ESM, forecasing a ime + is saed in he following equaion. xˆ x xˆ x xˆ xˆ () Here, ˆ x : Forecasing a x : Realized value a : Smoohing consan 0 () is re-saed as l0 l x l By he way, we consider he following (,) order ARMA model. xˆ () x x e e (3) Generally, p, q order ARMA model is saed as Here, : x p q ai x i e i j b e j j x Sample process of Saionary Ergodic Gaussian Process e :Gaussian Whie Noise wih 0 mean x,,, N, variance e MA process in (4) is supposed o saisfy converibiliy condiion. Uilizing he relaion ha we ge he following equaion from (3). E e e, e, 0 (4) 546

3 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 xˆ x e (5) Operaing his scheme on +, we finally ge xˆ xˆ xˆ e x xˆ If we se, he above equaion is he same wih (), i.e., equaion of ESM is equivalen o (,) order ARMA model, or is said o be (0,,) order ARIMA model because s order AR parameer is [][3]. Comparing wih (3) and (4), we obain From (), (6), a b (6) Therefore, we ge a b (7) From above, we can ge esimaion of smoohing consan afer we idenify he parameer of MA par of ARMA model. Bu, generally MA par of ARMA model become non-linear equaions which are described below. Le (4) be We express he auocorrelaion funcion of equaions which are well known [3]. ~ r k p i ~ x x a x (8) qk e j0 q j i i ~ x e b e (9) b b x~ as r k j k j j j ~ and from (8), (9), we ge he following non-linear ( k q) ~ r 0 0 q e j0 b j ( k q ) (0) For hese equaions, a recursive algorihm has been developed. In his paper, parameer o be esimaed is only b, so i can be solved in he following way. From (3) (4) (7) (0), we ge q If we se a b ~ r0 b e ~ r b e () 547

4 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) he following equaion is derived. We can ge b as follows. In order o have real roos, mus saisfy From inveribiliy condiion, b mus saisfy Volume 3, ~ Issue, March 04 r ~ k k () r 0 b (3) b 4 b (4) (5) b From (3), using he nex relaion, (5) always holds. As b is wihin he range of Finally we ge b 0 b 0 b b 0 b 4 4 (6) which saisfy above condiion. Thus we can obain a heoreical soluion by a simple way. Here mus saisfy 0 (7) in order o saisfy 0. Focusing on he idea ha he equaion of ESM is equivalen o (,) order ARMA model equaion, we can esimae smoohing consan afer esimaing ARMA model parameer. I can be esimaed only by calculaing 0h and s order auocorrelaion funcion. III. TREND REMOVAL METHOD[7] As rend removal mehod, we describe he combinaion of linear and non-linear funcion. 548

5 [] Linear funcion We se ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 as a linear funcion. [] Non-linear funcion We se y a x (8) b y a (9) x b x c as a nd and a 3 rd order non-linear funcion. y a (0) 3 3x b3 x c3x d3 [3] The combinaion of linear and non-linear funcion We se a x b a x b x y () c 3 a x b β a x b x c x y () β d3 y γ a x b γ a x b x c 3 γ a x b x c x d as he combinaion of linear and nd order non-linear and 3 rd order non-linear funcion. Here,, β β, γ3 ( γ γ ). Comparaive discussion concerning (), () and (3) are described in secion 5. IV. MONTHLY RATIO[7] For example, if here is he monhly daa of L years as saed bellow: i,, L j,, x ij Where, x ij R in which j means monh and i means year and x ij is a shipping daa of i-h year, j-h monh. Then, monhly raio x~ j j,, is calculaed as follows. i j 3 (3) L xij ~ L i x j L (4) xij L Monhly rend is removed by dividing he daa by (4). Numerical examples boh of monhly rend removal case and non-removal case are discussed in 5. A. Analysis Procedure V. FORECASTING THE PRODUCTION DATA Sum oal daa of producion daa of Medical Apparaus (Medical hermography and bioelecric phenomen on inspecion equipmen) from January 00 o December 0 are analyzed. These daa are obained fro m he Annual Repor of Saisical Invesigaion on Saisical-Survey-on-Trends-in-Pharmaceuical-Produc ion by Minisry of Healh, Labour and Welfare in Japan. The original daa and accumulaed daa are 549

6 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 exhibied in Table (Medical hermography) and Table (Bioelecric phenomenon inspecion equipmen ). Table. Original Daa and Accumulaed Daa in Medical hermography Original Daa Accumulaed Daa January / February / March / April / May / June / July / Augus / Sepember / Ocober / November / December / January /0 0 4 February /0 0 4 March /0 0 4 April / May / June / July / Augus /0 46 Sepember / Ocober / November / December / January /0 57 February /0 59 March / April / May / June /

7 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 July / Augus / Sepember / Ocober / November / December / Table. Original Daa and Accumulaed Daa in Bioelecric phenomenon inspecion equipmen Original Daa Accumulaed Daa January / February / March / April / May / June / July / Augus / Sepember / Ocober / November / December / January / February / March / April / May / June /0 64 July /0 85 Augus /0 306 Sepember / Ocober / November /0 393 December / January / February /

8 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 March / April / May / June / July /0 53 Augus / Sepember / Ocober / November / December / Analysis procedure is as follows. There are 36 monhly daa for each case. We use 4 daa ( o 4) and remove rend by he mehod saed in 3. Then we calculae monhly raio by he mehod saed in 4. Afer removing monhly rend, he mehod saed in is applied and Exponenial Smoohing Consan wih minimum variance of forecasing error is esimaed. Then sep forecas is execued. Thus, daa is shifed o nd o 5h and he forecas for 6h daa is execued consecuively, which finally reaches forecas of 36h daa. To examine he accuracy of forecasing, variance of forecasing error is calculaed for he daa of 5h o 36h daa. Final forecasing daa is obained by muliplying monhly raio and rend. Forecasing error is expressed as: Variance of forecasing error is calculaed by: xˆ x (5) i i N N i i (6) i N i (7) N i B. Trend Removing Trend is removed by dividing original daa by,(),(),(3). The paerns of rend removal are exhibied in Table 3. Table 3: The paerns of rend removal Paern, are se 0.5 in he equaion () Paern, are se 0.5 in he equaion () Paern3 is shifed by 0.0 incremen in () Paern4 is shifed by 0.0 incremen in () Paern5 γ and γ are shifed by 0.0 incremen in (3) In paern and, he weigh of,,, are se 0.5 in he equaion (),(). In paern3, he weigh of is shifed by 0.0 incremen in () which saisfy he range In paern4, he weigh of is shifed in he same way which saisfy he range In paern5, he weigh of and are shifed by 0.0 incremen in (3) which saisfy he range 0. 00, The bes soluion is seleced which minimizes he variance of forecasing error. 55

9 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 C. Removing rend of monhly raio Afer removing rend, monhly raio is calculaed by he mehod saed in 4. D. Esimaion of Smoohing Consan wih Minimum Variance of Forecasing Error Afer removing monhly rend, Smoohing Consan wih minimum variance of forecasing error is esimaed uilizing (6). There are cases ha we canno obain a heoreical soluion because hey do no saisfy he condiion of (5). In hose cases, Smoohing Consan wih minimum variance of forecasing error is derived by shifing variable from 0.0 o 0.99 wih 0.0 inervals. The inermien demand daa ofen include 0 daa. If here are so many 0 daa, here is a case we canno calculae he heoreical soluion of smoohing consan In ha case, we add very iny daa which is no 0 bu close o 0 ha does no affec anyhing in calculaing parameers (i.e. negligible small). E. Forecasing and Variance of Forecasing Error Uilizing smoohing consan esimaed in he previous secion, forecasing is execued for he daa of 5h o 36h daa. Final forecasing daa is obained by muliplying monhly raio and rend. Variance of forecasing error is calculaed by (7). As we have made accumulaed daa case and iny daa close o 0 added case, we have he following cases alogeher.. Non Monhly Trend Removal () Accumulaed Daa () Non Accumulaed Daa (-) Forecasing from he Accumulaed daa (Accumulaed forecasing daa a ime n-accumulaed daa (a ime n-) ) A. Paern, B. Paern, C. Paern 3, D. Paern 4, E. Paern 5 (-) Forecasing from he iny daa close o 0 added case A. Paern, B. Paern, C. Paern 3, D. Paern 4, E. Paern 5. Monhly Trend Removal () Accumulaed Daa () Non Accumulaed Daa (-) Forecasing from he Accumulaed daa (Accumulaed forecasing daa a ime n-accumulaed daa (a ime n-) ) A. Paern, B. Paern, C. Paern 3, D. Paern 4, E. Paern 5 (-) Forecasing from he iny daa close o 0 added case A. Paern, B. Paern, C. Paern 3, D. Paern 4, E. Paern 5 We can make forecasing by reversely making he daa from he forecasing accumulaed daa, i.e., ha is shown a (-). Now, we show hem a Figure hrough 6. Figure, and 3 show he Non-monhly Trend Removal Case in Medical hermography. I includes all cases classified above. Figure shows he Accumulaed Daa Case in Non-Monhly Trend Removal. Figure shows he Forecasing from he Accumulaed Daa Case in Non-Monhly Trend Removal. Figure 3 shows he Forecasing from he iny daa close o 0 added case in Non-Monhly Trend Removal. Table 4,5 and 6 show he corresponding variance of forecasing error for each Figure, and

10 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Fig Forecasing from he Accumulaed Daa Case in Non-Monhly Trend Removal (-()) Table 4 Variance of Forecasing Error (-()) Paern Paern Paern3 Paern4 Paern Fig Forecasing from he Accumulaed Daa Case in Non-monhly Trend Removal (-(-)) Table 5 Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern

11 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Fig 3 Forecasing from he Tiny Daa close o 0 Added case in Non-Monhly Trend Removal (-(-)) Table 6 Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern Nex, we see he Monhly Trend Removal case. Figure 4,5 and 6 show he Monhly Trend Removal Case in Medical hermography. I includes all cases classified above. Figure 4 shows he Accumulaed Daa Case in Monhly Trend Removal. Figure 5 shows he Forecasing from he Accumulaed Daa Case in Monhly Trend Removal. Figure 6 shows he Forecasing from he iny daa close o 0 added case in Monhly Trend Removal. Table 7,8 and 9 show he corresponding variance of forecasing error for each Figure 4,5 and 6. Fig 4 Accumulaed Daa case in Monhly Trend Removal (-()) 555

12 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Table 7 Variance of Forecasing Error (-()) Paern Paern Paern3 Paern4 Paern Fig 5 Forecasing from he accumulaed Daa case in Monhly Trend Removal (-(-)) Table 8 Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern Fig 6 Forecasing from he Tiny Daa close o 0 Added case in Monhly Trend Removal (-(-)) 556

13 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Table 9 Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern Table 0 shows he summary for Medical hermography by he Variance of forecasing error. Table 0 Summary for Medical hermography Monhly Trend Removal Non Monhly Trend Removal Na me Medical hermography Accumu laed Daa Forecasing Value -Accumulaed Value Tiny daa close o 0 added case Accumu laed Daa Forecasing Value -Accumulaed Value Tiny daa close o 0 added case Minimum variance of Forecasing Error Now, we proceed o he case of bioelecric phenomenon inspecion equipmen. Figure 7, 8 and 9 show he Non-monhly Trend Removal Case in Bioelecric phenomenon inspecion equipmen. I includes all cases classified above. Figure 7 shows he Accumulaed Daa Case in Non-Monhly Trend Removal. Figure 8 shows he Forecasing from he Accumulaed Daa Case in Non-Monhly Trend Removal. Figure 9 shows he Forecasing from he iny daa close o 0 added case in Non-Monhly Trend Removal. Table, and 3 show he corresponding variance of forecasing error for each Figure 7,8 and 9. Fig 7 Accumulaed Daa case in Non-Monhly Trend Removal (-()) Table Variance of Forecasing Error (-()) Paern Paern Paern3 Paern4 Paern

14 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Fig 8 Forecasing from he accumulaed Daa case in Non-Monhly Trend Removal (-(-)) Table Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern Fig 9 Forecasing from he Tiny Daa close o 0 Added case in Non-Monhly Trend Removal (-(-)) Table 3 Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern

15 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Nex, we see he Monhly Trend Removal case. Figure 0, and show he Monhly Trend Removal Case in Bioelecric phenomenon inspecion equipmen. I includes all cases classified above. Figure 0 shows he Accumulaed Daa Case in Monhly Trend Removal. Figure shows he Forecasing from he Accumulaed Daa Case in Monhly Trend Removal. Figure shows he Forecasing from he iny daa close o 0 added case in Monhly Trend Removal. Table 4,5 and 6 show he corresponding variance of forecasing error for each Figure 0, and. Fig 0 Accumulaed Daa case in Monhly Trend Removal (-()) Table 4 Variance of Forecasing Error (-()) Paern Paern Paern3 Paern4 Paern Fig Forecasing from he accumulaed Daa case in Monhly Trend Removal (-(-)) 559

16 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Table 5 Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern Fig Forecasing from he Tiny Daa close o 0 Added case in Monhly Trend Removal (-(-)) Table 6 Variance of Forecasing Error (-(-)) Paern Paern Paern3 Paern4 Paern Table 7 shows he summary for bioelecric phenomenon inspecion equipmen by he Variance of forecasing error. Table 7 Summary for Bioelecric phenomenon inspecion equipmen Monhly Trend Removal Non Monhly Trend Removal N a m e Bioelecric phenomenon inspecion equipmen Accum ulaed Daa Forecasing Value -Accumulaed Value Tiny daa close o 0 added case Accum ulaed Daa Forecasing Value -Accumulaed Value Tiny daa close o 0 added case Minimum variance of Forecasing Error

17 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 F. Remarks In boh cases, Non-Monhly Trend Removal case was beer han Monhly Trend Removal case. This is because here was no ypical monhly rend in boh cases and he resul had refleced hem. In he Non-Monhly Trend Removal case for Medical hermography, forecasing from he iny daa close o 0 added case (-(-)) was beer han hose of Accumulaed daa case (-(-)). On he oher hand, in he Non-Monhly Trend Removal case for Bioelecric phenomenon inspecion equipmen, forecasing from he accumulaed daa case (-(-)) was beer han hose of he iny daa close o 0 added case (-(-)). By he way, forecasing of accumulaed daa (-(), -()) shows raher good resul. I can be used as one of he ool o decide when and how much volume o procure he maerials ec.. I can be uilized as a new mehod o procure in supply chain managemen. VI. CONCLUSION The needs for inermien demand forecasing are increasing. In his paper, a new mehod for cumulaive forecasing mehod was proposed. The daa was cumulaed and o his cumulaed ime series, he following mehod was applied o improve he forecasing accuracy. Focusing ha he equaion of exponenial smoohing mehod(esm) was equivalen o (,) order ARMA model equaion, a new mehod of esimaion of smoohing consan in exponenial smoohing mehod was proposed before by us which saisfied minimum variance of forecasing error. Generally, smoohing consan was seleced arbirarily. Bu in his paper, we uilized above saed heoreical soluion. Firsly, we made esimaion of ARMA model parameer and hen esimaed smoohing consans. Thus heoreical soluion was derived in a simple way. Furhermore, combining he rend removing mehod wih his mehod, we aimed o improve he forecasing accuracy. An approach o his mehod was execued in he following mehod. Trend removing by he combinaion of linear and nd order non-linear funcion and 3 rd order non-linear funcion was execued o he producion daa of Medical Apparaus (Medical hermography and bioelecric phenomenon inspecion equipmen). The weighs for hese funcions were se 0.5 for wo paerns a firs and hen varied by 0.0 incremen for hree paerns and opimal weighs were searched. For he comparison, monhly rend was removed afer ha. Theoreical soluion of smoohing consan of ESM was calculaed for boh of he monhly rend removing daa and he non-monhly rend removing daa. Then forecasing was execued on hese daa. The forecasing resul was compared wih hose of he non-cumulaive forecasing mehod. The new mehod shows ha i is useful for he forecasing of inermien demand daa. Among hem, forecasing of accumulaed daa (-(), -()) shows raher good resul. I can be used as one of he ool o decide when and how much volume o procure he maerials ec.. I can be uilized as a new mehod o procure in supply chain managemen. The effeciveness of his mehod should be examined in various cases. REFERENCES [] Croson, J.D. (97), Forecasing and sock conrol for inermien demands, Opimal Research Quarerly 3(3), [] Box, G.E.P., Jenkins, G.M.& Reinsel, G.C. (008), Time Series analysis: forecasing and conrol, Wiley, 4 h edn. [3] Lydia Shensone and Rob J. Hyndma,(005), Sochasic models underlying Croson s mehod for inermien demand forecasing, Journal of Forecasing, 4: [4] Nguyen Khoa Vie Froung, Shin Sangmun, Vo Thanh Nha, Kwon Ichon, (January -4, 0), Inermien Demand forecasing by using Neural Nework wih simulaed daa, Proceedings of he 0 Inernaional Engineering and Operaions Managemen Kuala Lumpur, Malaysia, pp [5] Ghobbar, A.A., and Friend, C.H., (996). Aircraf mainenance and invenory conrol using he recorda poin sysem, Inernaional Journal of Producion Research, Vol.34, No.0, pp [6] Kenji Tanaka, Yukihiro Miyamura and Jing Zhang, (November 0), The Cluser Grouping Approach of Sales 56

18 ISSN: ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Forecasing Model for Book Publishing, Inernaional Journal of Japan Associaion for Managemen Sysems, Vol.4, No.,pp.3-35 [7] Kazuhiro Takeyasu and Keiko Nagaa.(00) Esimaion of Smoohing Consan of Minimum Variance wih Opimal Parameers of Weigh, Inernaional Journal of Compuaional Science Vol.4,No.5, pp AUTHOR BIOGRAPHY Kazuhiro Takeyasu is a Professor of College of Business Adminisraion, Tokoha Universiy, and was a Professor of Osaka Prefecure Universiy, Japan. He received a Docoral Degree from he Graduae School of Engineering a Tokyo Meropolian Insiue of Technology, Japan in 004. His eaching and research ineress are ime series analysis, sysem idenificaion and markeing. Daisuke Takeyasu is now a Cerified Social Worker. He graduaed Tokai Universiy. He received a MBA Degree from he Open Universiy of Japan in 04. His main research ineress are ime series analysis and markeing. 56

Estimation of Smoothing Constant with Optimal Parameters of Weight in the Medical Case of Blood Extracorporeal Circulation Apparatus

Estimation of Smoothing Constant with Optimal Parameters of Weight in the Medical Case of Blood Extracorporeal Circulation Apparatus Inernaional Journal of Engineering and Technology Volume No. 0, Ocoer, 0 Esimaion of Smoohing Consan wih Opimal Parameers of Weigh in he Medical Case of Blood Exracorporeal Circulaion Apparaus Daisuke

More information

ESTIMATION OF SMOOTHING CONSTANT WITH OPTIMAL PARAMETERS OF WEIGHT IN THE MEDICAL CASE OF A TUBE AND A CATHETER

ESTIMATION OF SMOOTHING CONSTANT WITH OPTIMAL PARAMETERS OF WEIGHT IN THE MEDICAL CASE OF A TUBE AND A CATHETER Aug 0.Vol., No.4 ISSN0708 Inernaional Journal of Research In Medical and Healh Sciences 0 IJRMHS & K.A.J. All righs reserved hp://www.ijsk.org/ijrmhs.hml ESTIMATION OF SMOOTHING CONSTANT WITH OPTIMAL PARAMETERS

More information

Forecasting method under the introduction. of a day of the week index to the daily. shipping data of sanitary materials

Forecasting method under the introduction. of a day of the week index to the daily. shipping data of sanitary materials Journal of Compuaions & Modelling, vol.7, no., 07, 5-68 ISSN: 79-765 (prin), 79-8850 (online) Scienpress Ld, 07 Forecasing mehod under he inroducion of a day of he week index o he daily shipping daa of

More information

Dynamic Programming Applications. Capacity Expansion

Dynamic Programming Applications. Capacity Expansion Dynamic Programming Applicaions Capaciy Expansion Objecives To discuss he Capaciy Expansion Problem To explain and develop recursive equaions for boh backward approach and forward approach To demonsrae

More information

Finance Solutions to Problem Set #6: Demand Estimation and Forecasting

Finance Solutions to Problem Set #6: Demand Estimation and Forecasting Finance 30210 Soluions o Problem Se #6: Demand Esimaion and Forecasing 1) Consider he following regression for Ice Cream sales (in housands) as a funcion of price in dollars per pin. My daa is aken from

More information

Empirical analysis on China money multiplier

Empirical analysis on China money multiplier Aug. 2009, Volume 8, No.8 (Serial No.74) Chinese Business Review, ISSN 1537-1506, USA Empirical analysis on China money muliplier SHANG Hua-juan (Financial School, Shanghai Universiy of Finance and Economics,

More information

CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T. J. KEHOE MACROECONOMICS I WINTER 2011 PROBLEM SET #6

CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T. J. KEHOE MACROECONOMICS I WINTER 2011 PROBLEM SET #6 CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T J KEHOE MACROECONOMICS I WINTER PROBLEM SET #6 This quesion requires you o apply he Hodrick-Presco filer o he ime series for macroeconomic variables for he

More information

Predictive Analytics : QM901.1x Prof U Dinesh Kumar, IIMB. All Rights Reserved, Indian Institute of Management Bangalore

Predictive Analytics : QM901.1x Prof U Dinesh Kumar, IIMB. All Rights Reserved, Indian Institute of Management Bangalore Predicive Analyics : QM901.1x All Righs Reserved, Indian Insiue of Managemen Bangalore Predicive Analyics : QM901.1x Those who have knowledge don predic. Those who predic don have knowledge. - Lao Tzu

More information

Determination Forecasting Sporadic Demand in Supply Chain Management

Determination Forecasting Sporadic Demand in Supply Chain Management 07 Published in 5h Inernaional Symposium on Innovaive Technologies in Engineering and Science 9-30 Sepember 07 (ISITES07 Baku - Azerbaijan Deerminaion Forecasing Sporadic Demand in Supply Chain Managemen

More information

Improving Forecasting Accuracy in the Case of Intermittent Demand Forecasting

Improving Forecasting Accuracy in the Case of Intermittent Demand Forecasting (IJACSA) Inernaonal Journal of Advanced Compuer Scence and Applcaons, Vol. 5, No. 5, 04 Improvng Forecasng Accuracy n he Case of Inermen Demand Forecasng Dasuke Takeyasu The Open Unversy of Japan, Chba

More information

Appendix B: DETAILS ABOUT THE SIMULATION MODEL. contained in lookup tables that are all calculated on an auxiliary spreadsheet.

Appendix B: DETAILS ABOUT THE SIMULATION MODEL. contained in lookup tables that are all calculated on an auxiliary spreadsheet. Appendix B: DETAILS ABOUT THE SIMULATION MODEL The simulaion model is carried ou on one spreadshee and has five modules, four of which are conained in lookup ables ha are all calculaed on an auxiliary

More information

UCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory

UCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory UCLA Deparmen of Economics Fall 2016 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and you are o complee each par. Answer each par in a separae bluebook. All

More information

Missing Data Prediction and Forecasting for Water Quantity Data

Missing Data Prediction and Forecasting for Water Quantity Data 2011 Inernaional Conference on Modeling, Simulaion and Conrol ICSIT vol.10 (2011) (2011) IACSIT ress, Singapore Missing Daa redicion and Forecasing for Waer Quaniy Daa rakhar Gupa 1 and R.Srinivasan 2

More information

1 Purpose of the paper

1 Purpose of the paper Moneary Economics 2 F.C. Bagliano - Sepember 2017 Noes on: F.X. Diebold and C. Li, Forecasing he erm srucure of governmen bond yields, Journal of Economerics, 2006 1 Purpose of he paper The paper presens

More information

This specification describes the models that are used to forecast

This specification describes the models that are used to forecast PCE and CPI Inflaion Differenials: Convering Inflaion Forecass Model Specificaion By Craig S. Hakkio This specificaion describes he models ha are used o forecas he inflaion differenial. The 14 forecass

More information

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test:

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: A Noe on Missing Daa Effecs on he Hausman (978) Simulaneiy Tes: Some Mone Carlo Resuls. Dikaios Tserkezos and Konsaninos P. Tsagarakis Deparmen of Economics, Universiy of Cree, Universiy Campus, 7400,

More information

An inventory model for Gompertz deteriorating items with time-varying holding cost and price dependent demand

An inventory model for Gompertz deteriorating items with time-varying holding cost and price dependent demand Inernaional Journal of Mahemaics rends and echnology (IJM) Volume 49 Number 3 Sepember 7 An invenory model for Gomperz deerioraing iems wih ime-varying holding cos and price dependen demand Absrac Nurul

More information

Forecasting Sales: Models, Managers (Experts) and their Interactions

Forecasting Sales: Models, Managers (Experts) and their Interactions Forecasing Sales: Models, Managers (Expers) and heir Ineracions Philip Hans Franses Erasmus School of Economics franses@ese.eur.nl ISF 203, Seoul Ouline Key issues Durable producs SKU sales Opimal behavior

More information

Short-term Forecasting of Reimbursement for Dalarna University

Short-term Forecasting of Reimbursement for Dalarna University Shor-erm Forecasing of Reimbursemen for Dalarna Universiy One year maser hesis in saisics 2008 Auhors: Jianfeng Wang &Xin Wang Supervisor: Kenneh Carling Absrac Swedish universiies are reimbursed by he

More information

A Study of Process Capability Analysis on Second-order Autoregressive Processes

A Study of Process Capability Analysis on Second-order Autoregressive Processes A Sudy of Process apabiliy Analysis on Second-order Auoregressive Processes Dja Shin Wang, Business Adminisraion, TransWorld Universiy, Taiwan. E-mail: shin@wu.edu.w Szu hi Ho, Indusrial Engineering and

More information

Documentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values

Documentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values Documenaion: Philadelphia Fed's Real-Time Daa Se for Macroeconomiss Firs-, Second-, and Third-Release Values Las Updaed: December 16, 2013 1. Inroducion We documen our compuaional mehods for consrucing

More information

8/17/2015. Lisa M. Grantland Product Manager, Epicor

8/17/2015. Lisa M. Grantland Product Manager, Epicor Lisa M. Granland Produc Manager, Epicor 1 2 Release 879 Enhancemen UFO Enhancemen Commiee Addiions and Fixes in 900.13 Addiional forecasing ools Updae Demand unchanged Deermining Seasonaliy Paern 3 New

More information

Volume 31, Issue 1. Pitfall of simple permanent income hypothesis model

Volume 31, Issue 1. Pitfall of simple permanent income hypothesis model Volume 31, Issue 1 ifall of simple permanen income hypohesis model Kazuo Masuda Bank of Japan Absrac ermanen Income Hypohesis (hereafer, IH) is one of he cenral conceps in macroeconomics. Single equaion

More information

FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY

FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Proceedings of he 9h WSEAS Inernaional Conference on Applied Mahemaics, Isanbul, Turkey, May 7-9, 006 (pp63-67) FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Yasemin Ulu Deparmen of Economics American

More information

Proposed solution to the exam in STK4060 & STK9060 Spring Eivind Damsleth

Proposed solution to the exam in STK4060 & STK9060 Spring Eivind Damsleth Proposed soluion o he exam in STK46 & STK96 Spring 6 Eivind Damsleh.5.6 NTE: Several of he quesions in he es have no unique answer; here will always be a subjecive elemen, in paricular in selecing he bes

More information

Money, Income, Prices, and Causality in Pakistan: A Trivariate Analysis. Fazal Husain & Kalbe Abbas

Money, Income, Prices, and Causality in Pakistan: A Trivariate Analysis. Fazal Husain & Kalbe Abbas Money, Income, Prices, and Causaliy in Pakisan: A Trivariae Analysis Fazal Husain & Kalbe Abbas I. INTRODUCTION There has been a long debae in economics regarding he role of money in an economy paricularly

More information

Multiple Choice Questions Solutions are provided directly when you do the online tests.

Multiple Choice Questions Solutions are provided directly when you do the online tests. SOLUTIONS Muliple Choice Quesions Soluions are provided direcly when you do he online ess. Numerical Quesions 1. Nominal and Real GDP Suppose han an economy consiss of only 2 ypes of producs: compuers

More information

AN ENTERPRISE FINANCIAL STATE ESTIMATION BASED ON DATA MINING

AN ENTERPRISE FINANCIAL STATE ESTIMATION BASED ON DATA MINING AN ENTERPRISE FINANCIAL STATE ESTIMATION BASED ON DATA MINING Mikhail D. Godlevsky, Sergey V. Orekhov Naional Technical Universiy Kharkov Polyechnic Insiue Frunze sr. 2 Ukraine-6002 Kharkov god_asu@kpi.kharkov.ua,

More information

CURRENCY CHOICES IN VALUATION AND THE INTEREST PARITY AND PURCHASING POWER PARITY THEORIES DR. GUILLERMO L. DUMRAUF

CURRENCY CHOICES IN VALUATION AND THE INTEREST PARITY AND PURCHASING POWER PARITY THEORIES DR. GUILLERMO L. DUMRAUF CURRENCY CHOICES IN VALUATION AN THE INTEREST PARITY AN PURCHASING POWER PARITY THEORIES R. GUILLERMO L. UMRAUF TO VALUE THE INVESTMENT IN THE OMESTIC OR FOREIGN CURRENCY? Valuing an invesmen or an acquisiion

More information

Financial Econometrics Jeffrey R. Russell Midterm Winter 2011

Financial Econometrics Jeffrey R. Russell Midterm Winter 2011 Name Financial Economerics Jeffrey R. Russell Miderm Winer 2011 You have 2 hours o complee he exam. Use can use a calculaor. Try o fi all your work in he space provided. If you find you need more space

More information

The Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations

The Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations The Mahemaics Of Sock Opion Valuaion - Par Four Deriving The Black-Scholes Model Via Parial Differenial Equaions Gary Schurman, MBE, CFA Ocober 1 In Par One we explained why valuing a call opion as a sand-alone

More information

Portfolio Risk of Chinese Stock Market Measured by VaR Method

Portfolio Risk of Chinese Stock Market Measured by VaR Method Vol.53 (ICM 014), pp.6166 hp://dx.doi.org/10.1457/asl.014.53.54 Porfolio Risk of Chinese Sock Marke Measured by VaR Mehod Wu Yudong School of Basic Science,Harbin Universiy of Commerce,Harbin Email:wuyudong@aliyun.com

More information

(1 + Nominal Yield) = (1 + Real Yield) (1 + Expected Inflation Rate) (1 + Inflation Risk Premium)

(1 + Nominal Yield) = (1 + Real Yield) (1 + Expected Inflation Rate) (1 + Inflation Risk Premium) 5. Inflaion-linked bonds Inflaion is an economic erm ha describes he general rise in prices of goods and services. As prices rise, a uni of money can buy less goods and services. Hence, inflaion is an

More information

OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS

OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Kuwai Chaper of Arabian Journal of Business and Managemen Review Vol. 3, No.6; Feb. 2014 OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Ayoub Faramarzi 1, Dr.Rahim

More information

The Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka

The Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka The Relaionship beween Money Demand and Ineres Raes: An Empirical Invesigaion in Sri Lanka R. C. P. Padmasiri 1 and O. G. Dayarana Banda 2 1 Economic Research Uni, Deparmen of Expor Agriculure 2 Deparmen

More information

Modeling and Forecasting by using Time Series ARIMA Models

Modeling and Forecasting by using Time Series ARIMA Models Inernaional Journal of Engineering Research & Technology (IJERT) ISSN: 78-08 Vol. 4 Issue 03, March-05 Modeling and Forecasing by using Time Series ARIMA Models Musafa M. Ali Alfaki Research Scholar,School

More information

Computer Lab 6. Minitab Project Report. Time Series Plot of x. Year

Computer Lab 6. Minitab Project Report. Time Series Plot of x. Year Compuer Lab Problem. Lengh of Growing Season in England Miniab Projec Repor Time Series Plo of x x 77 8 8 889 Year 98 97 The ime series plo indicaes a consan rend up o abou 9, hen he lengh of growing season

More information

Estimating Earnings Trend Using Unobserved Components Framework

Estimating Earnings Trend Using Unobserved Components Framework Esimaing Earnings Trend Using Unobserved Componens Framework Arabinda Basisha and Alexander Kurov College of Business and Economics, Wes Virginia Universiy December 008 Absrac Regressions using valuaion

More information

Online Appendix to: Implementing Supply Routing Optimization in a Make-To-Order Manufacturing Network

Online Appendix to: Implementing Supply Routing Optimization in a Make-To-Order Manufacturing Network Online Appendix o: Implemening Supply Rouing Opimizaion in a Make-To-Order Manufacuring Nework A.1. Forecas Accuracy Sudy. July 29, 2008 Assuming a single locaion and par for now, his sudy can be described

More information

A PROCUREMENT PLANNING IMPROVEMENT BY USING LINEAR PROGRAMMING AND FORECASTING MODELS

A PROCUREMENT PLANNING IMPROVEMENT BY USING LINEAR PROGRAMMING AND FORECASTING MODELS 9 h nernaional Conference on Producion Research A PROCUREMENT PLANNNG MPROVEMENT BY UNG LNEAR PROGRAMMNG AND FORECATNG MODEL Ahakorn Kengpol, Peerapol Kaoien Deparmen of ndusrial Engineering, Faculy of

More information

A Regime Switching Independent Component Analysis Method for Temporal Data

A Regime Switching Independent Component Analysis Method for Temporal Data Journal of Compuaions & Modelling, vol.2, no.1, 2012, 109-122 ISSN: 1792-7625 (prin), 1792-8850 (online) Inernaional Scienific Press, 2012 A Regime Swiching Independen Componen Analysis Mehod for Temporal

More information

Market and Information Economics

Market and Information Economics Marke and Informaion Economics Preliminary Examinaion Deparmen of Agriculural Economics Texas A&M Universiy May 2015 Insrucions: This examinaion consiss of six quesions. You mus answer he firs quesion

More information

Importance of the macroeconomic variables for variance. prediction: A GARCH-MIDAS approach

Importance of the macroeconomic variables for variance. prediction: A GARCH-MIDAS approach Imporance of he macroeconomic variables for variance predicion: A GARCH-MIDAS approach Hossein Asgharian * : Deparmen of Economics, Lund Universiy Ai Jun Hou: Deparmen of Business and Economics, Souhern

More information

MA Advanced Macro, 2016 (Karl Whelan) 1

MA Advanced Macro, 2016 (Karl Whelan) 1 MA Advanced Macro, 2016 (Karl Whelan) 1 The Calvo Model of Price Rigidiy The form of price rigidiy faced by he Calvo firm is as follows. Each period, only a random fracion (1 ) of firms are able o rese

More information

Homework 5 (with keys)

Homework 5 (with keys) Homework 5 (wih keys) 2. (Selecing an employmen forecasing model wih he AIC and SIC) Use he AIC and SIC o assess he necessiy and desirabiliy of including rend and seasonal componens in a forecasing model

More information

Volatility and Hedging Errors

Volatility and Hedging Errors Volailiy and Hedging Errors Jim Gaheral Sepember, 5 1999 Background Derivaive porfolio bookrunners ofen complain ha hedging a marke-implied volailiies is sub-opimal relaive o hedging a heir bes guess of

More information

Reconciling Gross Output TFP Growth with Value Added TFP Growth

Reconciling Gross Output TFP Growth with Value Added TFP Growth Reconciling Gross Oupu TP Growh wih Value Added TP Growh Erwin Diewer Universiy of Briish Columbia and Universiy of New Souh Wales ABSTRACT This aricle obains relaively simple exac expressions ha relae

More information

Detailed Examples of the Modifications to Accommodate. any Decimal or Fractional Price Grid

Detailed Examples of the Modifications to Accommodate. any Decimal or Fractional Price Grid eailed Examples of he Modificaions o ccommodae any ecimal or Fracional Price Grid The Holden Model on any ecimal or Fracional Price Grid This secion presens he modificaions of he Holden model o accommodae

More information

Erratic Price, Smooth Dividend. Variance Bounds. Present Value. Ex Post Rational Price. Standard and Poor s Composite Stock-Price Index

Erratic Price, Smooth Dividend. Variance Bounds. Present Value. Ex Post Rational Price. Standard and Poor s Composite Stock-Price Index Erraic Price, Smooh Dividend Shiller [1] argues ha he sock marke is inefficien: sock prices flucuae oo much. According o economic heory, he sock price should equal he presen value of expeced dividends.

More information

Advanced Forecasting Techniques and Models: Time-Series Forecasts

Advanced Forecasting Techniques and Models: Time-Series Forecasts Advanced Forecasing Techniques and Models: Time-Series Forecass Shor Examples Series using Risk Simulaor For more informaion please visi: www.realopionsvaluaion.com or conac us a: admin@realopionsvaluaion.com

More information

Effect of Probabilistic Backorder on an Inventory System with Selling Price Demand Under Volume Flexible Strategy

Effect of Probabilistic Backorder on an Inventory System with Selling Price Demand Under Volume Flexible Strategy Inernaional Transacions in Mahemaical Sciences and compuers July-December 0, Volume 5, No., pp. 97-04 ISSN-(Prining) 0974-5068, (Online) 0975-75 AACS. (www.aacsjournals.com) All righ reserved. Effec of

More information

Ch. 10 Measuring FX Exposure. Is Exchange Rate Risk Relevant? MNCs Take on FX Risk

Ch. 10 Measuring FX Exposure. Is Exchange Rate Risk Relevant? MNCs Take on FX Risk Ch. 10 Measuring FX Exposure Topics Exchange Rae Risk: Relevan? Types of Exposure Transacion Exposure Economic Exposure Translaion Exposure Is Exchange Rae Risk Relevan?? Purchasing Power Pariy: Exchange

More information

Labor Cost and Sugarcane Mechanization in Florida: NPV and Real Options Approach

Labor Cost and Sugarcane Mechanization in Florida: NPV and Real Options Approach Labor Cos and Sugarcane Mechanizaion in Florida: NPV and Real Opions Approach Nobuyuki Iwai Rober D. Emerson Inernaional Agriculural Trade and Policy Cener Deparmen of Food and Resource Economics Universiy

More information

On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment

On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,

More information

An Incentive-Based, Multi-Period Decision Model for Hierarchical Systems

An Incentive-Based, Multi-Period Decision Model for Hierarchical Systems Wernz C. and Deshmukh A. An Incenive-Based Muli-Period Decision Model for Hierarchical Sysems Proceedings of he 3 rd Inernaional Conference on Global Inerdependence and Decision Sciences (ICGIDS) pp. 84-88

More information

Robustness of Memory-Type Charts to Skew Processes

Robustness of Memory-Type Charts to Skew Processes Inernaional Journal of Applied Physics and Mahemaics Robusness of Memory-Type Chars o Skew Processes Saowani Sukparungsee* Deparmen of Applied Saisics, Faculy of Applied Science, King Mongku s Universiy

More information

Description of the CBOE S&P 500 2% OTM BuyWrite Index (BXY SM )

Description of the CBOE S&P 500 2% OTM BuyWrite Index (BXY SM ) Descripion of he CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) Inroducion. The CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) is a benchmark index designed o rack he performance of a hypoheical 2% ou-of-he-money

More information

Non-Stationary Processes: Part IV. ARCH(m) (Autoregressive Conditional Heteroskedasticity) Models

Non-Stationary Processes: Part IV. ARCH(m) (Autoregressive Conditional Heteroskedasticity) Models Alber-Ludwigs Universiy Freiburg Deparmen of Economics Time Series Analysis, Summer 29 Dr. Sevap Kesel Non-Saionary Processes: Par IV ARCH(m) (Auoregressive Condiional Heeroskedasiciy) Models Saionary

More information

Suggested Template for Rolling Schemes for inclusion in the future price regulation of Dublin Airport

Suggested Template for Rolling Schemes for inclusion in the future price regulation of Dublin Airport Suggesed Templae for Rolling Schemes for inclusion in he fuure price regulaion of Dublin Airpor. In line wih sandard inernaional regulaory pracice, he regime operaed since 00 by he Commission fixes in

More information

Variance Risk Premium and VIX Pricing: A Simple GARCH Approach

Variance Risk Premium and VIX Pricing: A Simple GARCH Approach Variance Risk Premium and VIX Pricing: A Simple GARCH Approach Qiang iu a Professor, School of Finance Souhwesern Universiy of Finance and Economics Chengdu, Sichuan, P. R. China. Gaoxiu Qiao Graduae suden,

More information

CHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods,

CHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods, Openness in Goods and Financial Markes CHAPTER CHAPTER18 Openness in Goods, and Openness has hree disinc dimensions: 1. Openness in goods markes. Free rade resricions include ariffs and quoas. 2. Openness

More information

Weibull Deterioration, Quadratic Demand Under Inflation

Weibull Deterioration, Quadratic Demand Under Inflation IOS Journal of Mahemaics IOS-JM e-issn: 78-78, p-issn: 9 7X. Volume 0, Issue Ver. V May-Jun. 0, PP 09-7 Weibull Deerioraion, Quadraic Demand Under Inflaion. Mohan *,.Venkaeswarlu Dep of Mahemaics, F-ivil,

More information

Forecasting Tourist Arrivals Based on Fuzzy Approach with Average Length and New Base Mapping

Forecasting Tourist Arrivals Based on Fuzzy Approach with Average Length and New Base Mapping Forecasing Touris Arrivals Based on Fuzzy Approach wih Average Lengh and New Base Mapping Sii Musleha Ab Mualib Faculy of Compuer & Mahemaical Sciences Universii Teknologi MARA Malaysia musleha78@gmailcom

More information

A Screen for Fraudulent Return Smoothing in the Hedge Fund Industry

A Screen for Fraudulent Return Smoothing in the Hedge Fund Industry A Screen for Fraudulen Reurn Smoohing in he Hedge Fund Indusry Nicolas P.B. Bollen Vanderbil Universiy Veronika Krepely Universiy of Indiana May 16 h, 2006 Hisorical performance Cum. Mean Sd Dev CSFB Tremon

More information

PARAMETER ESTIMATION IN A BLACK SCHOLES

PARAMETER ESTIMATION IN A BLACK SCHOLES PARAMETER ESTIMATIO I A BLACK SCHOLES Musafa BAYRAM *, Gulsen ORUCOVA BUYUKOZ, Tugcem PARTAL * Gelisim Universiy Deparmen of Compuer Engineering, 3435 Isanbul, Turkey Yildiz Technical Universiy Deparmen

More information

Introduction. Enterprises and background. chapter

Introduction. Enterprises and background. chapter NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.

More information

Hedging Performance of Indonesia Exchange Rate

Hedging Performance of Indonesia Exchange Rate Hedging Performance of Indonesia Exchange Rae By: Eneng Nur Hasanah Fakulas Ekonomi dan Bisnis-Manajemen, Universias Islam Bandung (Unisba) E-mail: enengnurhasanah@gmail.com ABSTRACT The flucuaion of exchange

More information

Web Usage Patterns Using Association Rules and Markov Chains

Web Usage Patterns Using Association Rules and Markov Chains Web Usage Paerns Using Associaion Rules and Markov hains handrakasem Rajabha Universiy, Thailand amnas.cru@gmail.com Absrac - The objecive of his research is o illusrae he probabiliy of web page using

More information

4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression

4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression Mah Modeling Lecure 17: Modeling of Daa: Linear Regression Page 1 5 Mahemaical Modeling Lecure 17: Modeling of Daa: Linear Regression Inroducion In modeling of daa, we are given a se of daa poins, and

More information

IJRSS Volume 2, Issue 2 ISSN:

IJRSS Volume 2, Issue 2 ISSN: A LOGITIC BROWNIAN MOTION WITH A PRICE OF DIVIDEND YIELDING AET D. B. ODUOR ilas N. Onyango _ Absrac: In his paper, we have used he idea of Onyango (2003) he used o develop a logisic equaion used in naural

More information

A Comparative Study on Individual Income Tax Burden of Vietnam and China

A Comparative Study on Individual Income Tax Burden of Vietnam and China A Comparaive Sudy on Individual Income Tax Burden of Vienam and China Cung Huu Nguyen 1,2 & Hua Liu 1 1 School of Managemen, Huazhong Universiy of Science & Technology, Wuhan, China 2 Faculy of Economics

More information

R e. Y R, X R, u e, and. Use the attached excel spreadsheets to

R e. Y R, X R, u e, and. Use the attached excel spreadsheets to HW # Saisical Financial Modeling ( P Theodossiou) 1 The following are annual reurns for US finance socks (F) and he S&P500 socks index (M) Year Reurn Finance Socks Reurn S&P500 Year Reurn Finance Socks

More information

Prediction of Rain-fall flow Time Series using Auto-Regressive Models

Prediction of Rain-fall flow Time Series using Auto-Regressive Models Available online a www.pelagiaresearchlibrary.com Advances in Applied Science Research, 2011, 2 (2): 128-133 ISSN: 0976-8610 CODEN (USA): AASRFC Predicion of Rain-fall flow Time Series using Auo-Regressive

More information

Extreme Risk Value and Dependence Structure of the China Securities Index 300

Extreme Risk Value and Dependence Structure of the China Securities Index 300 MPRA Munich Personal RePEc Archive Exreme Risk Value and Dependence Srucure of he China Securiies Index 300 Terence Tai Leung Chong and Yue Ding and Tianxiao Pang The Chinese Universiy of Hong Kong, The

More information

From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH

From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH MPRA Munich Personal RePEc Archive From Discree o Coninuous: Modeling Volailiy of he Isanbul Sock Exchange Marke wih GARCH and COGARCH Yavuz Yildirim and Gazanfer Unal Yediepe Universiy 15 November 2010

More information

LIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg

LIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg LIDSTONE IN THE CONTINUOUS CASE by Ragnar Norberg Absrac A generalized version of he classical Lidsone heorem, which deals wih he dependency of reserves on echnical basis and conrac erms, is proved in

More information

STATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables

STATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables ECONOMICS RIPOS Par I Friday 7 June 005 9 Paper Quaniaive Mehods in Economics his exam comprises four secions. Secions A and B are on Mahemaics; Secions C and D are on Saisics. You should do he appropriae

More information

a. If Y is 1,000, M is 100, and the growth rate of nominal money is 1 percent, what must i and P be?

a. If Y is 1,000, M is 100, and the growth rate of nominal money is 1 percent, what must i and P be? Problem Se 4 ECN 101 Inermediae Macroeconomics SOLUTIONS Numerical Quesions 1. Assume ha he demand for real money balance (M/P) is M/P = 0.6-100i, where is naional income and i is he nominal ineres rae.

More information

Inventory Investment. Investment Decision and Expected Profit. Lecture 5

Inventory Investment. Investment Decision and Expected Profit. Lecture 5 Invenory Invesmen. Invesmen Decision and Expeced Profi Lecure 5 Invenory Accumulaion 1. Invenory socks 1) Changes in invenory holdings represen an imporan and highly volaile ype of invesmen spending. 2)

More information

Organize your work as follows (see book): Chapter 3 Engineering Solutions. 3.4 and 3.5 Problem Presentation

Organize your work as follows (see book): Chapter 3 Engineering Solutions. 3.4 and 3.5 Problem Presentation Chaper Engineering Soluions.4 and.5 Problem Presenaion Organize your work as follows (see book): Problem Saemen Theory and Assumpions Soluion Verificaion Tools: Pencil and Paper See Fig.. in Book or use

More information

Market risk VaR historical simulation model with autocorrelation effect: A note

Market risk VaR historical simulation model with autocorrelation effect: A note Inernaional Journal of Banking and Finance Volume 6 Issue 2 Aricle 9 3--29 Marke risk VaR hisorical simulaion model wih auocorrelaion effec: A noe Wananee Surapaioolkorn SASIN Chulalunkorn Universiy Follow

More information

Evolution of Consumption Statistics Driven by Big Data

Evolution of Consumption Statistics Driven by Big Data Evoluion of Consumpion Saisics Driven by Big Daa - An Example from Minisry of Inernal Affairs and Communicaions, JAPAN - June 2018, Beijing Tomoaki OGAWA A fellow from he Governmen of Japan SDG Monioring

More information

Available online at ScienceDirect

Available online at  ScienceDirect Available online a www.sciencedirec.com ScienceDirec Procedia Economics and Finance 8 ( 04 658 663 s Inernaional Conference 'Economic Scienific Research - Theoreical, Empirical and Pracical Approaches',

More information

Transfer Function Approach to Modeling Rice Production in Bangladesh

Transfer Function Approach to Modeling Rice Production in Bangladesh EUROPEAN ACADEMIC RESEARCH Vol. II, Issue 4/ July 204 ISSN 2286-4822 www.euacademic.org Impac Facor: 3. (UIF) DRJI Value: 5.9 (B+) Transfer Funcion Approach o Modeling Rice Producion in Bangladesh Md.

More information

San Francisco State University ECON 560 Summer 2018 Problem set 3 Due Monday, July 23

San Francisco State University ECON 560 Summer 2018 Problem set 3 Due Monday, July 23 San Francisco Sae Universiy Michael Bar ECON 56 Summer 28 Problem se 3 Due Monday, July 23 Name Assignmen Rules. Homework assignmens mus be yped. For insrucions on how o ype equaions and mah objecs please

More information

Further Advances in Forecasting Day-Ahead Electricity Prices Using Time Series Models

Further Advances in Forecasting Day-Ahead Electricity Prices Using Time Series Models KIEE Inernaional Transacions on PE, Vol. 4-A No. 3, pp. 59~66, 004 59 Furher Advances in Forecasing Day-Ahead Elecriciy Prices Using Time Series Models Hany S. Guirguis* and Frank A. Felder Absrac - Forecasing

More information

GUIDELINE Solactive Gold Front Month MD Rolling Futures Index ER. Version 1.1 dated April 13 th, 2017

GUIDELINE Solactive Gold Front Month MD Rolling Futures Index ER. Version 1.1 dated April 13 th, 2017 GUIDELINE Solacive Gold Fron Monh MD Rolling Fuures Index ER Version 1.1 daed April 13 h, 2017 Conens Inroducion 1 Index specificaions 1.1 Shor name and ISIN 1.2 Iniial value 1.3 Disribuion 1.4 Prices

More information

The Impact of Interest Rate Liberalization Announcement in China on the Market Value of Hong Kong Listed Chinese Commercial Banks

The Impact of Interest Rate Liberalization Announcement in China on the Market Value of Hong Kong Listed Chinese Commercial Banks Journal of Finance and Invesmen Analysis, vol. 2, no.3, 203, 35-39 ISSN: 224-0998 (prin version), 224-0996(online) Scienpress Ld, 203 The Impac of Ineres Rae Liberalizaion Announcemen in China on he Marke

More information

2. Quantity and price measures in macroeconomic statistics 2.1. Long-run deflation? As typical price indexes, Figure 2-1 depicts the GDP deflator,

2. Quantity and price measures in macroeconomic statistics 2.1. Long-run deflation? As typical price indexes, Figure 2-1 depicts the GDP deflator, 1 2. Quaniy and price measures in macroeconomic saisics 2.1. Long-run deflaion? As ypical price indexes, Figure 2-1 depics he GD deflaor, he Consumer rice ndex (C), and he Corporae Goods rice ndex (CG)

More information

Objectives for Exponential Functions Activity

Objectives for Exponential Functions Activity Objecives for Recognize siuaions having a consan percen change as exponenial Creae an exponenial model given wo poins Creae and inerpre an exponenial model in a conex Compound ineres problems Perform exponenial

More information

A Hybrid Data Filtering Statistical Modeling Framework for Near-Term Forecasting

A Hybrid Data Filtering Statistical Modeling Framework for Near-Term Forecasting A Hybrid Daa Filering Saisical Modeling Framework for Near-Term Forecasing Frank A. Monfore, Ph.D. Iron s Forecasing Brown Bag Seminar January 5, 2008 Please Remember In order o help his session run smoohly,

More information

Measuring and Forecasting the Daily Variance Based on High-Frequency Intraday and Electronic Data

Measuring and Forecasting the Daily Variance Based on High-Frequency Intraday and Electronic Data Measuring and Forecasing he Daily Variance Based on High-Frequency Inraday and Elecronic Daa Faemeh Behzadnejad Supervisor: Benoi Perron Absrac For he 4-hr foreign exchange marke, Andersen and Bollerslev

More information

Session IX: Special topics

Session IX: Special topics Session IX: Special opics 2. Subnaional populaion projecions 10 March 2016 Cheryl Sawyer, Lina Bassarsky Populaion Esimaes and Projecions Secion www.unpopulaion.org Maerials adaped from Unied Naions Naional

More information

The probability of informed trading based on VAR model

The probability of informed trading based on VAR model Universiy of Wollongong Research Online Faculy of Commerce - Papers (Archive) Faculy of Business 29 The probabiliy of informed rading based on VAR model Min Xu Beihang Universiy, xumin_828@sina.com Shancun

More information

INSTITUTE OF ACTUARIES OF INDIA

INSTITUTE OF ACTUARIES OF INDIA INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 9 h November 2010 Subjec CT6 Saisical Mehods Time allowed: Three Hours (10.00 13.00 Hrs.) Toal Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1. Please read he insrucions

More information

Time Series Prediction Method of Bank Cash Flow and Simulation Comparison

Time Series Prediction Method of Bank Cash Flow and Simulation Comparison Algorihms 204, 7, 650-662; doi:0.3390/a7040650 Aricle OPEN ACCESS algorihms ISSN 999-4893 www.mdpi.com/journal/algorihms Time Series Predicion Mehod of Bank Cash Flow and Simulaion Comparison Wen-Hua Cui,

More information

Forecasting general insurance loss reserves in Egypt

Forecasting general insurance loss reserves in Egypt African Journal of Business Managemen Vol. 5(22), pp. 8961-8970, 30 Sepember, 2011 Available online a hp://www.academicjournals.org/ajbm DOI: 10.5897/AJBM11.582 ISSN 1993-8233 2011 Academic Journals Full

More information

Table 3. Yearly Timeline of Release Dates Last Quarter Included Release Date Fourth Quarter of T-1 First full week of April of T First Quarter of T

Table 3. Yearly Timeline of Release Dates Last Quarter Included Release Date Fourth Quarter of T-1 First full week of April of T First Quarter of T 3 Mehodological Approach 3.1 Timing of Releases The inernaional house price daabase is updaed quarerly, bu we face grea heerogeneiy in he iming of each counry s daa releases. We have found a significan

More information

International Review of Business Research Papers Vol. 4 No.3 June 2008 Pp Understanding Cross-Sectional Stock Returns: What Really Matters?

International Review of Business Research Papers Vol. 4 No.3 June 2008 Pp Understanding Cross-Sectional Stock Returns: What Really Matters? Inernaional Review of Business Research Papers Vol. 4 No.3 June 2008 Pp.256-268 Undersanding Cross-Secional Sock Reurns: Wha Really Maers? Yong Wang We run a horse race among eigh proposed facors and eigh

More information

VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA

VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA 64 VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA Yoon Hong, PhD, Research Fellow Deparmen of Economics Hanyang Universiy, Souh Korea Ji-chul Lee, PhD,

More information