Trading Period Research Articles

Using Statistical Model to Study the Daily Closing Price Index in the Kingdom of Saudi Arabia (KSA)

Classification in statistics is usually used to solve the problems of identifying to which set of categories, such as subpopulations, new observation belongs, based on a training set of data containing information (or instances) whose category membership is known. The article aims to use the Gaussian Mixture Model to model the daily closing price index over the period of 1/1/2013 to 16/8/2020 in the Kingdom of Saudi Arabia. The daily closing price index over the period declined, which might be the effect of corona virus, and the mean of the study period is about 7866.965. The closing price is the last regular deal that took place during the continuous trading period. If there are no transactions on the stock during the day, the closing price is the previous day’s closing price. The closing auction period comes after the continuous trading period (from 3 : 00 PM to 3 : 10 PM), during which investors can enter by buying and selling the stocks at this period. The experimental results show that the best mixture model is E (equal variance) with three components according to the BIC criterion. The expectation-maximization (EM) algorithm converged in 2 repetitions. The data source is from Tadawul KSA.

COPD risk among older construction workers-Updated analyses 2020.

A 2010 study of construction workers participating in medical screening programs at the Department of Energy (DOE) nuclear facilities demonstrated increased chronic obstructive pulmonary disease (COPD) risk. The current study of a larger worker cohort allowed for a more nuanced analysis of COPD risk, including for employment beginning after the mid-1990s. Study participants included 17,941 workers with demographic and smoking data and spirometry with a minimum of three recorded expiratory efforts and reproducibility of forced vital capacity (FVC) and forced expiratory volume in 1 s (FEV1 ) of 0.2 L or less. COPD was defined as a FEV1 /FVC ratio below the lower limit of normal using established prediction equations without use of bronchodilation. Stratified analyses explored COPD prevalence by demographic variables and trade. Logistic regression analyses assessed risks by trade and time periods of trade and DOE site work, controlling for age, gender, race/ethnicity, body mass index, and smoking. Overall COPD prevalence was 13.4% and 67.4% of cases were classified as moderate to severe. Compared to nonconstruction workers, construction trade workers were at significantly increased risk of all COPD (OR = 1.34, 95% CI = 1.29-1.79) and even more so for severe COPD (OR = 1.61, 95% CI = 1.32-1.96). The highest risk trades were cement masons/bricklayers (OR = 2.36; 95% CI = 1.71-3.26) and roofers (OR = 2.22; 95% CI = 1.48-3.32). Risk among workers employed after 1995 was elevated but not statistically significant. Construction workers are at increased COPD risk. Results support the prevention of both smoking and occupational exposures to reduce these risks. While the number of participants employed after 1995 was small, patterns of risk were consistent with findings in the overall cohort.

Fundamental pricing laws and long memory effects in the day-ahead power market

We apply linear and nonlinear panel models to investigate fundamental pricing laws in the Greek day-ahead electricity market. We link the persistence behaviour and other dynamic properties of electricity price trajectories to an extended array of fundamental variables reflecting market conditions and the price course of energy commodities in global markets. Assuming that the dynamics of the intraday power pricing curve is adequately specified within a panel modelling framework with long memory and common unobserved stochastic effects, we are able to provide consistent estimates of price responsiveness to the main fundamental drivers and thus avoid biases induced by other popular modelling approaches. We also device a panel variant of the standard smooth-transition regression model to investigate regime switching effects in the price responsiveness mechanism. Empirical results suggest that Greek day-ahead electricity market prices respond significantly to hour-specific (load, marginal generation capacity) and global (Brent price, emission allowance rights cost) fundamental variables. In some intraday power delivery zones, these covariates are in a fractional cointegrating relationship with electricity prices being responsible for their drifting behaviour. The strength and type of cointegration changes across intraday trading periods in response to market conditions. The results of the nonlinear model demonstrate the ineffectiveness of linear model designs (either univariate or panel) to accurately estimate the levels of price risk and associate it with changes in the market climate.

Dynamic Adjustment Model of the Water Rights Trading Price Based on Water Resource Scarcity Value Analysis.

The formation of the water rights trading price is an important part of the water rights trading system. In order to continuously and dynamically reflect the social–economic development changes and water resource scarcity, herein, we discuss the dynamic adjustment of the water rights trading price from the perspective of water resource scarcity value analysis. First, we constructed the water resource scarcity evaluation index system from the four dimensions of the water resource natural endowment, the water resource supply, the water resource demand, and the water environment, and then we constructed the water resource scarcity index calculation model of the transferor, the transferee, and the comprehensive water resource scarcity index calculation model of both parties of the trading. Second, by analyzing the 30 comparable water rights trading cases in China since 2016, we established the response function of the water rights trading price to the water resource scarcity index, and then we analyzed the impact mechanism of the water resource scarcity index on the water rights trading price. Third, based on the two factors of “the water resource scarcity value” and “the capital time value,” we constructed a dynamic price adjustment model of water rights trading for different adjustment factors, so as to adjust the water rights trading price scientifically. Finally, we took the water rights trading in Helan County (Helan) of Ningxia Hui Autonomous Region (Ningxia) as an example. The research shows that: (1) During the trading period of water rights in Helan, the water resource scarcity index rises, and the water rights trading price should be increased year-by-year. Additionally, there are certain differences in the water rights trading price changes with the adjustment of different elements. Among them, considering the adjustment of “the water resource scarcity value” element, the water rights trading price of Helan should be increased from 1.0940 to 2.8574 CNY/m³ during the water rights trading period; (2) there are differences in the water rights trading cost under different payment modes, among which the annual payment mode increased the most, i.e., from 2.7350 × 108 to 7.4500 × 108 CNY. This study suggests exerting a regulating effect of the water scarcity value on the water rights trading price, so as to promote the construction of a more equitable and long-term water rights trading market.

A hotspot of Toxoplasma gondii Africa 1 lineage in Benin: How new genotypes from West Africa contribute to understand the parasite genetic diversity worldwide.

Through international trades, Europe, Africa and South America share a long history of exchanges, potentially of pathogens. We used the worldwide parasite Toxoplasma gondii to test the hypothesis of a historical influence on pathogen genetic diversity in Benin, a West African country with a longstanding sea trade history. In Africa, T. gondii spatial structure is still non-uniformly studied and very few articles have reported strain genetic diversity in fauna and clinical forms of human toxoplasmosis so far, even in African diaspora. Sera from 758 domestic animals (mainly poultry) in two coastal areas (Cotonou and Ouidah) and two inland areas (Parakou and Natitingou) were tested for T. gondii antibodies using a Modified Agglutination Test (MAT). The hearts and brains of 69 seropositive animals were collected for parasite isolation in a mouse bioassay. Forty-five strains were obtained and 39 genotypes could be described via 15-microsatellite genotyping, with a predominance of the autochthonous African lineage Africa 1 (36/39). The remaining genotypes were Africa 4 variant TUB2 (1/39) and two identical isolates (clone) of Type III (2/39). No difference in terms of genotype distribution between inland and coastal sampling sites was found. In particular, contrarily to what has been described in Senegal, no type II (mostly present in Europe) was isolated in poultry from coastal cities. This result seems to refute a possible role of European maritime trade in Benin despite it was one of the most important hubs during the slave trade period. However, the presence of the Africa 1 genotype in Brazil, predominant in Benin, and genetic analyses suggest that the triangular trade was a route for the intercontinental dissemination of genetic strains from Africa to South America. This supports the possibility of contamination in humans and animals with potentially imported virulent strains.

Using algorithmic trading to analyze short term profitability of Bitcoin.

Cryptocurrencies such as Bitcoin (BTC) have seen a surge in value in the recent past and appeared as a useful investment opportunity for traders. However, their short term profitability using algorithmic trading strategies remains unanswered. In this work, we focus on the short term profitability of BTC against the euro and the yen for an eight-year period using seven trading algorithms over trading periods of length 15 and 30 days. We use the classical buy and hold (BH) as a benchmark strategy. Rather surprisingly, we found that on average, the yen is more profitable than BTC and the euro; however the answer also depends on the choice of algorithm. Reservation price algorithms result in 7.5% and 10% of average returns over 15 and 30 days respectively which is the highest for all the algorithms for the three assets. For BTC, all algorithms outperform the BH strategy. We also analyze the effect of transaction fee on the profitability of algorithms for BTC and observe that for trading period of length 15 no trading strategy is profitable for BTC. For trading period of length 30, only two strategies are profitable.

Book trade bibliography of Germany

The article considers some aspects of the development of the German book industry, in particular the book distribution and the formation of the book trade bibliography. Analysis of the source base shows that despite the significant experience of publishers and booksellers in Germany, in the Ukrainian research field little attention is paid to the history and modernity of the book trade bibliography of this country.
 The history of the formation of catalogs is analyzed, starting from the announcements of itinerant booksellers, fair catalogs of the 16th century, in particular the Frankfurt and Leipzig catalogs; bibliographic catalogs, reflecting the proposals of auctions and antique shops of the 17th century, the first specialized book trade periodicals of the 18th century to modern indexes.
 The activities of the Exchange Union of German Booksellers, founded in 1824 in Leipzig, which occupies a special place in the history of book trade bibliography in Germany, and the German Library in Leipzig, the founding of which in 1912 marked the beginning of the next stage in the development of national bibliography. a single system of bibliographic indexes produced by the library.

SIMULATION OF PARTICLE SWARM OPTIMIZATION FOR INVESTMENTS ON STOCK MARKET

This work reports simulations performed using Particle Swarm Optimization (PSO) as applied to investments on the stock market. About 480 stocks belonging to the S&P500 index have been taken into account. A naive approach has been developed in which one simulation step corresponded to one trading period. As a second ingredient of the investment strategy, the relative strength of an asset has been employed. The results are analyzed with respect to the parameters of PSO.

Do Electronic Markets Improve Execution If You Cannot Identify Yourself?

We study two aspects of the transition to electronic markets for large uninformed traders: (1) the increase in trading frequency, and (2) the move to anonymous trading, which challenged the implementation of reputation-based strategies. We present a model of optimal execution where a risk-neutral trader must sell over multiple trading periods before a fixed deadline to several risk-averse market makers. We model trading frequency as the number of trading periods over a fixed time intervial, and reputationbased strategies as the ability to commit ex-ante to a sequence of market orders, what we refer to as scheduling. While scheduling and more trading periods are both valuable, a trader typically prefers scheduling over more trading periods. Moreover, the benefits of scheduling significantly increase when coupled with more frequent trading, and outweigh the potential costs associated with predatory trading against predictable orders. Our model suggests that transparent execution algorithms, which could be used to implement scheduling in anonymous electronic markets, may have important benefits for large, uninformed traders.

Persistent stock market returns volatility in emerging capital markets as evidenced in Tanzania

This study examined the stock returns volatility in Dar es Salaam Stock Exchange for the year 1998 through 2018 period. The study employed quantitative research design on time series data in which autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity models were used determine the existence of volatility. The study employed Win Rat and E-views Econometric software for data analysis. Serial correlation and unit root analysed to determine seasonal dependencies of the stock market returns and stationarity, respectively. Results showed that all-time series of returns were non-stationary except at market level and volatility of stock returns had a constant decaying coefficient value of 0.75 per trading period. The study concluded that the shocks to volatility were more persistent and had a slower and constant decaying rate in various trading periods in DSE. Therefore, it was recommended that the public should buy and sell shares in the market.

Persistent stock market returns volatility in emerging capital markets as evidenced in Tanzania

This study examined the stock returns volatility in Dar es Salaam Stock Exchange for the year 1998 through 2018 period. The study employed quantitative research design on time series data in which autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity models were used determine the existence of volatility. The study employed Win Rat and E-views Econometric software for data analysis. Serial correlation and unit root analysed to determine seasonal dependencies of the stock market returns and stationarity, respectively. Results showed that all-time series of returns were non-stationary except at market level and volatility of stock returns had a constant decaying coefficient value of 0.75 per trading period. The study concluded that the shocks to volatility were more persistent and had a slower and constant decaying rate in various trading periods in DSE. Therefore, it was recommended that the public should buy and sell shares in the market.

The Role of Technology and Network Externalities in the Long-Term Performance of ICOs

This study examines the impact of technology and network externalities on exchange-listed Initial Coin Offerings (ICOs). ICOs are a new fundraising instrument used to finance technological innovation against a digital voucher or receipt. They diffuse the ownership of claim for a digital good. Utilising an online database comprising of self-reported ICO characteristics, measures of post-ICO performance, along with information on business social networks, higher fundraising figures are found to contribute to the ICO long-term success, but this impact is multiplied by six times when fundraising is conducted to existing, proprietary blockchain. This is explained by the network effect. The modified information ratio measure is used to approximate the quality signalling of ICO organisations using price timeseries and benchmarking these to already functioning blockchain technology, e.g. ethereum in the long-term. The ICO sample’s mean trading period on exchanges is 1.5 years and is used for long-period asset analysis. Additionally, the cointegration to the market technology benchmark is found to have a large, significant negative effect on long-term ICO organisational success as this indicates lower ICO intrinsic value.

The main criteria for making financial decisions on the financing of working capital of the enterprise

This article examines the scientific basis of the formation and management of working capital of the enterprise and provides relevant scientific conclusions. For example, the need for additional production inventories may be related to supporting the maintenance of high levels of sales during the seasonal current trading period. At the same time, the volume of receivables will increase with the development of sales. The Action Strategy for the further development of the Republic of Uzbekistan for 2017-2021 sets the task of deepening structural changes, increasing its competitiveness by modernizing and diversifying the leading sectors of the national economy.

Simulated Annealing Algorithm for Dynamic Economic Dispatch Problem in the Electricity Market Incorporating Wind Energy

In this paper, a bid-based dynamic economic dispatch (BBDED) problem is solved in the electricity market system under bidding strategies, including wind energy penetration using simulated annealing (SA) algorithm. The multi-objective dispatch model allows generating companies (GENCOs) and their customers to submit supply and demand bids to a market controller known as the independent system operator (ISO) and follow a bidding strategy. ISO is responsible for the market clearing and settlement to maximize the social profit and benefit for GENCOs and customers during trading periods. To study the effect and advantages of wind energy integration in the BBDED problem, the wind energy generation is computed using the forecasted wind speeds and included in the dispatch model. In this regard, the ISO's dispatch model is formulated as a bilevel nonlinear optimization problem. The higher-level is solving the market-clearing with and without wind energy, and the lower level is maximizing GENCO's social profit. The proposed SA algorithm is evaluated for optimality, convergence, robustness, and computational efficiency tested on an IEEE 30-bus test system. The simulation results are compared with those found using different algorithm-based approaches, considering various constraints like power balancing, generator limits, ramp rate limits, and transmission losses.

Concubinage ( Jariya ) in Turkish Folk Culture in the Period of Islamization

Kölelik/câriyelik insanlık tarihi kadar eski olup yerleşik kültürlerin bir ürünüdür. Türklerde konar-göçer bozkır hayatının şartları bu türden oluşumların kurumsal özellikler kazanmasına müsaade etmemiştir. Bununla birlikte, kadın veya erkek esirlerden istifade mecburiyeti esirlerin ticaretini ve bir şekilde istihdamını gerektirmiştir. İslamlaşma sürecinde Türkistan en mühim köle ticaretinin yapıldığı yerlerden olmuştur. Bu işi Samaniler üstlenmiştir. Türk kadın köleler/cariyeler güzellikleri nedeniyle çokça talep görmüştür. Türk kadınlarının güzellikleri Dede Korkut ve Şehname’ye yansımış, dönemin seyyahları tarafından da onanmıştır. Söz konusu dönemde Türkler, cariye, hizmetçi ve odalık manasında Türkçe ve Çinceden dillerine geçen farklı kelimeler kullanmıştır. Kaşgarlı Mahmud bu kelimeleri kaydetmiştir. Kadın köleler/cariyeler aile hayatında umumiyetle hizmet erbabı kadınları temsil etmiştir. Cariyeler, sahiplerinin isteği doğrultusunda, evlenme, azad edilme gibi bir takım fırsatlardan mahrum bırakılmamıştır. Bu çalışmada amacımız, İslâmlaşma sürecinde Türk halk kültüründe câriyeliğin ve cariyelerin ne ifade ettiğini, halk tarafından nasıl algılandığını ve câriyelerle ilgili birtakım kültürel pratikleri değerlendirerek ortaya koymaktır.

Predicting the price of a stock using regression analysis

At the moment, there is a high tendency towards investing financial resources for additional earnings on stock exchanges, their speculations, etc. A large number of people work on trading platforms, buy or sell stocks, which causes their price to change in different periods. On the basis of their prices, charts are formed, according to which technical and fundamental analysis is performed to build a strategy for earning and forecast not even the price of a stock, but the direction of movement of its value in the direction of growth or decrease. To obtain an answer to this question, they resort to various methods of studying the historical data of stocks, studying their qualitative indicators, as well as mathematical forecasting methods. This article examines an example of how the algorithm for predicting the stock price at the close of the trading day on the market. The method, which will provide information about the stock price, is based on the use of linear regression analysis. This method is best suited for research, because stock price charts are linear. The method of regression analysis allows you to take into account such factors as the cyclical recurrence of trends and tendencies of increase or decrease in the value of a stock, the length of the trading period, during which historical data is obtained and studied, etc. The authors also studied the work of the forecasting algorithm based on regression analysis and studied factors affecting accuracy – the size of the training sample, the amount of historical data, the number of days for which the price will be predicted in the future. In the course of the study, information was obtained on the accuracy of forecasting stock prices, which is 96 % depending on the currency in which the stock is traded and the company that issued it. It should be noted that the accuracy of the forecast is also affected by the volume of historical data and the financial position of the corporation in the market. The materials are of practical importance for the development of decision support systems in economic sectors. The developed model can be used as a basis for helping to make decisions for trading on the stock exchange.

Bubbles and incentives: an experiment on asset markets

We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets. We compare (i) a no-bonus treatment; (ii) a short-term bonus treatment in which bonuses are assigned to the best performers at the end of each trading period; (iii) a long-term bonus treatment in which bonuses are assigned to the best performers at the end of the 15 periods of the market. We find that the existence of bonus contracts does not increase the likelihood of bubbles but it affects their severity, depending on the time horizon of bonuses. Markets with long-term bonus contracts experience lower price deviations and a lower turnover of assets than markets with either no bonuses or long-term bonus contracts. Short-term bonus contracts increase price deviations but only when markets include a higher share of male traders. At the individual level, the introduction of bonus contracts increases the trading activity of males, probably due to their higher competitiveness.

The Use of Stable Isotope Ratio Analysis to Trace European Sea Bass (D. labrax) Originating from Different Farming Systems.

Simple SummaryEuropean sea bass is one of the most economically important fish species in the Mediterranean area. The potential effects of farming systems on the final quality of this product and the recent popular demand for labels to certify the animal rearing origin, which is increasingly used as a marketing tool, have raised the use of analytical techniques that make it possible to differentiate this fish product according to the rearing farming system and authenticate their geographical origin. The aim of this study was to determine whether isotopic ratio mass spectrometry (IRMS) can discriminate farmed European sea bass according to different farming systems (concrete tank inland, sea cages, and extensive methods in valleys or salt works) and geographic origins (different locations scattered throughout Italy). The results of this study showed the viability of δ13C and δ15N to discriminate cultured sea bass from different farming systems (extensive vs. intensive) reared at different geographical sites in Italy. Meanwhile, the measurement of δ18O and δ2H made it possible to distinguish the geographical origin of the sea bass farmed extensively and intensively (in cages).This study aimed to determine whether isotopic ratio mass spectrometry (IRMS) can discriminate farmed European sea bass according to different farming systems and geographic origins. Dicentrarchus labrax of commercial size from three different rearing systems (concrete tank inland, sea cages, and extensive methods in valleys or salt works) were collected at the trading period (autumn–winter). For each farming type, different locations spread over Italy were monitored. Once the fish were harvested, the muscle and feed were sampled. For both muscle and feed, δ13C and δ15N were measured by continuous flow elemental analyzer isotope ratio mass spectrometry (CF-EA-IRMS) with the goal of discriminating samples based on the rearing system. Additional δ2H and δ18O measurements of fish samples were performed by continuous flow total combustion elemental analyzer isotope ratio mass spectrometry (CF-TC/EA-IRMS) to track the geographical origin. The measurements of δ13C and δ15N made it possible to discriminate cultured sea bass from different farming systems (extensive vs. intensive) reared at different geographical sites in Italy. Additional information was obtained from δ18O and δ2H, which enabled the geographical areas of origin of the sea bass farmed extensively and intensively (in cages) to be distinguished.

Towards the Design of P2P Energy Trading Scheme Based on Optimal Energy Scheduling for Prosumers

The peer-to-peer (P2P) energy trading is anchored in more efficient usage of electric power by allowing excess electric power from energy prosumers to be harnessed by other end-users. To boost the P2P energy trading, it is of pivotal significance to call on energy prosumers and end-users to actively participate in the trading while sharing information with a greater degree of freedom. In this perspective, this paper purports to implement the P2P energy trading scheme with an optimization model to assist in energy prosumers’ decisions by reckoning on hourly electric power available in the trading via the optimal energy scheduling of the energy trading and sharing system (ETS). On a purely practical level, it is assumed that all trading participants neither join the separate bidding processes nor are forced to comply with the predetermined optimal schedules for a trading period. Furthermore, this paper will be logically elaborated with reference to not only the determination of transaction price for maximizing the benefits of consumers under the different electricity rates but the establishment of additional settlement standards for bridging an imperative gap between optimally planned and actually transacted quantities of the P2P energy trading.

Pairs Trading in Commodity Futures: Evidence from the Indian Market

The pairs trading, one of the techniques of the statistical arbitrage, is a market-neutral trading strategy that employs time series methods to identify relative mispricing between securities based on the expected values of these assets. The main objective of this study was to investigate the profitability and risks of pairs trading based on the selection of pairs through minimising the sum of squared deviation (distance method) and the selection based on cointegration tests (cointegration method) using the future daily prices of commodities traded and listed on The Multi Commodity Exchange of India (MCX) over 2011-2017 on a rolling basis. The pairs trading strategy was performed in two stages: the formation period and the trading period. The strategy involved long position in one commodity and short position in other commodity of the pair identified. The study revealed that pairs trading in commodities were significantly profitable, with average annualised profitability of up to 59 percent, including transaction costs.