scholarly journals Heavy Metals: Might as Well Jump

2019 ◽  
Vol 7 (2) ◽  
pp. 33
Author(s):  
Neil A. Wilmot
Keyword(s):  
Heavy Metal ◽  
Commodity Prices ◽  
Time Varying ◽  
Fat Tails ◽  
Times Series ◽  
Complex Processes ◽  
Price Series ◽  
New Information ◽  
Complex Process ◽  
Rapid Changes

Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes—or jump—in prices. This suggests that natural resource commodity prices should follow a more complex process than geometric Brownian motion (GBM), which is linked to the Gaussian distribution. The presence of jumps (discontinuities) in several heavy metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns.

scholarly journals A Reappraisal of the Prebisch-Singer Hypothesis Using Wavelets Analysis

2021 ◽  
Vol 14 (7) ◽  
pp. 319
Author(s):  
Hany Fahmy
Keyword(s):  
International Trade ◽  
Structural Breaks ◽  
Developing Economies ◽  
Commodity Prices ◽  
Commodity Price ◽  
Data Set ◽  
Price Series ◽  
Long Run ◽  
Starting Point ◽  
The Impact

The Prebisch-Singer (PS) hypothesis, which postulates the presence of a downward secular trend in the price of primary commodities relative to manufacturers, remains at the core of a continuing debate among international trade economists. The reason is that the results of testing the PS hypothesis depend on the starting point of the technical analysis, i.e., stationarity, nonlinearity, and the existence of structural breaks. The objective of this paper is to appraise the PS hypothesis in the short- and long-run by employing a novel multiresolution wavelets decomposition to a unique data set of commodity prices. The paper also seeks to assess the impact of the terms of trade (also known as Incoterms) on the test results. The analysis reveals that the PS hypothesis is not supported in the long run for the aggregate commodity price index and for most of the individual commodity price series forming it. Furthermore, in addition to the starting point of the analysis, the results show that the PS test depends on the term of trade classification of commodity prices. These findings are of particular significance to international trade regulators and policymakers of developing economies that depend mainly on primary commodities in their exports.

An investigation of time varying market efficiency: evidence from STOXX Europe Christian index

2021 ◽  
Vol 37 (4) ◽  
pp. 631-643
Author(s):  
Tayyaba Yousaf ◽  
Sadia Farooq ◽  
Ahmed Muneeb Mehta
Keyword(s):  
Price Index ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Time Varying ◽  
Content Type ◽  
Daily Data ◽  
New Information ◽  
Academic Researchers ◽  
The Impact

Purpose The purpose of this study is to investigate whether the STOXX Europe Christian price index (SECI) follows the premise of efficient market hypothesis (EMH). Design/methodology/approach The study used daily data of SECI for the period of 15 years as its launch date i.e. 31 December 2004 to 31 December 2019. Data are analyzed by taking a full-length sample and fixed-length subsample. For subsample, the data are divided into five subsamples of three years each. Subsample analysis is important for analyzing time varying efficiency of the series, as the market is said to follow EMH if it is being efficient throughout the sample. Both type of samples is examined through linear tests including autocorrelations test and variance ratio (VR) test. Findings Tests applied conclude that SECI is weak-form efficient, which means that the prices of the index include all the relevant past information and immediately react to new information. Hence, the investors cannot earn abnormal returns. Originality/value Religion-based indices grasped the attention of investors, policymakers and academic researchers because of increased concern over ethics in business. Though the impact of religion on the economy have been studied in many ways but the efficiency of religion-based indices have been less explored. The current study is primary in its nature as it analysis the efficiency of SECI. This index is important to explore because Christianity is the world’s top religion with 2.3 billion followers around the globe.

scholarly journals The origin of the galaxy color bimodality

2014 ◽  
Vol 11 (S308) ◽  
pp. 383-389
Author(s):  
M. A. Aragón-Calvo ◽  
Mark C. Neyrinck ◽  
Joseph Silk
Keyword(s):  
Spatial Configuration ◽  
Star Formation History ◽  
Star Forming ◽  
Complex Processes ◽  
Complex Process ◽  
Formation History ◽  
Density Relation ◽  
The Galaxy ◽  
Color Density ◽  
History Of

AbstractThe star formation history of galaxies is a complex process usually considered to be stochastic in nature, for which we can only give average descriptions such as the color-density relation. In this work we follow star-forming gas particles in a hydrodynamical N-body simulation back in time in order to study their initial spatial configuration. By keeping record of the time when a gas particle started forming stars we can produce Lagrangian gas-star isochrone surfaces delineating the surfaces of accreting gas that begin producing stars at different times. These surfaces form a complex a network of filaments in Eulerian space from which galaxies accrete cold gas. Lagrangian accretion surfaces are closely packed inside dense regions, intersecting each other, and as a result galaxies inside proto-clusters stop accreting gas early, naturally explaining the color dependence on density. The process described here has a purely gravitational / geometrical origin, arguably operating at a more fundamental level than complex processes such as AGN and supernovae, and providing a conceptual origin for the color-density relation.

The Role of Information and Communication Technologies in Knowledge Management

2008 ◽  
pp. 36-45
Author(s):  
Irma Becerra-Fernandez ◽  
Rajiv Sabherwal
Keyword(s):  
Knowledge Management ◽  
Information And Communication Technologies ◽  
Communication Technologies ◽  
Complex Processes ◽  
Rapid Changes ◽  
Growth Of Knowledge ◽  
Information And Communication ◽  
Structural Mechanisms ◽  
Role Of Information

Rapid changes in the field of knowledge management (KM) have to a great extent resulted from the dramatic progress we have witnessed in the field of information and communication technology. ICT allows the movement of information at increasing speeds and efficiencies, and thus facilitates sharing as well as accelerated growth of knowledge. For example, computers capture data from measurements of natural phenomena, and then quickly manipulate the data to better understand the phenomena they represent. Increased computer power at lower prices enables the measurement of increasingly complex processes, which we possibly could only imagine before. Thus, ICT has provided a major impetus for enabling the implementation of KM applications. Moreover, as learning has accrued over time in the area of social and structural mechanisms, such as through mentoring and retreats that enable effective knowledge sharing, it has made it possible to develop KM applications that best leverage these improved mechanisms by deploying sophisticated technologies.

ICT and Knowledge Management Systems

2011 ◽  
pp. 1042-1050 ◽  
Author(s):  
Irma Becerra-Fernandez ◽  
Rajiv Sabherwal
Keyword(s):  
Knowledge Management ◽  
Knowledge Sharing ◽  
Knowledge Management Systems ◽  
Complex Processes ◽  
Rapid Changes ◽  
Growth Of Knowledge ◽  
Information And Communication ◽  
Accelerated Growth ◽  
Structural Mechanisms ◽  
Over Time

Rapid changes in the field of knowledge management (KM) have to a great extent resulted from the dramatic progress we have witnessed in the field of information and communication technology. ICT allows the movement of information at increasing speeds and efficiencies, and thus facilitates sharing as well as accelerated growth of knowledge. For example, computers capture data from measurements of natural phenomena, and then quickly manipulate the data to better understand the phenomena they represent. Increased computer power at lower prices enables the measurement of increasingly complex processes, which we possibly could only imagine before. Thus, ICT has provided a major impetus for enabling the implementation of KM applications. Moreover, as learning has accrued over time in the area of social and structural mechanisms, such as through mentoring and retreats that enable effective knowledge sharing, it has made it possible to develop KM applications that best leverage these improved mechanisms by deploying sophisticated technologies.

Holistic Evaluation of the Roles of ICTs in Regional Development

2011 ◽  
pp. 166-179 ◽  
Author(s):  
Chris Keen ◽  
Dean Steer ◽  
Paul Turner
Keyword(s):  
Regional Development ◽  
Information Technologies ◽  
Holistic Approach ◽  
Exploratory Research ◽  
Information And Communications Technologies ◽  
Research Perspective ◽  
New Information ◽  
Complex Process ◽  
Related Development

Regional Australia continues to be the recipient of public programs premised on assumptions about the benefits of Information and Communications Technologies (ICTs) related development, at the same time as it is experiencing a reduction in basic services and problems associated with the digital divide. From a research perspective, these circumstances pose challenges on how to evaluate meaningfully the impacts of ICTs on regional development. These challenges are compounded by the considerable confusion that exists over what is meant by regional development, how it can be achieved, and how to measure and evaluate the role ICTs play in reviving and sustaining regional communities. The exploratory research reported in this chapter examines the issues surrounding what is meant by ICT-related development in a regional context. It also explores the usefulness of multiple measures, as opposed to single measures, to describe what in reality is a very complex process. In this context, the chapter outlines the preliminary development of, and the rationale behind, a holistic approach for evaluating the role of ICTs in regional development, based on insights generated from ongoing research in Tasmania. The role of ICT … in economic growth and social change has received considerable attention in recent years [but] … reliable and comprehensive indicators are needed to track developments in new information technologies and understand their impacts on our economies and societies. (OECD, 2002, p. 3)

IT-Enabled Integration of Business Relationships in the Steel Industry Context

2006 ◽  
pp. 275-294
Author(s):  
Jari Salo
Keyword(s):  
Information Technology ◽  
Technology Integration ◽  
Steel Industry ◽  
Future Research ◽  
Business Relationships ◽  
Longitudinal Case Study ◽  
Organizational Relationships ◽  
Factors Affecting ◽  
New Information ◽  
Complex Process

Companies engage in many business relationships; however, the number is decreasing constantly, so existing relationships are increasingly valuable. The purpose of this chapter is to highlight how inter-organizational relationships can be seen as a source of competitive advantage and how, in order to survive in a hyper-competitive landscape, key relationships are integrated with new information technology solutions, such as ERP. This chapter focuses on the changes brought about by technology integration in the context of the steel industry with the help of a longitudinal case study. The chapter sheds some light on factors affecting the changes occurring in business relationships and illustrates how those alterations can be managed. It seems that information technology integration within a business relationship is a complex process that depends on characteristics of the adopted technology as well as the relationship. Subsequently, implications are discussed together with suggestions for future research. Lastly, the limitations are briefly stated.

scholarly journals Breaks, trends and unit roots in commodity prices: a robust investigation

2014 ◽  
Vol 18 (1) ◽  
Author(s):  
Atanu Ghoshray ◽  
Mohitosh Kejriwal ◽  
Mark Wohar
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Commodity Prices ◽  
Unit Roots ◽  
Commodity Price ◽  
Policy Implications ◽  
Price Shocks ◽  
Price Series ◽  
Commodity Price Shocks ◽  
Trend Breaks

AbstractThis paper empirically examines the time series behavior of primary commodity prices relative to manufactures with reference to the nature of their underlying trends and the persistence of shocks driving the price processes. The direction and magnitude of the trends are assessed employing a set of econometric techniques that is robust to the nature of persistence in the commodity price shocks, thereby obviating the need for unit root pretesting. Specifically, the methods allow consistent estimation of the number and location of structural breaks in the trend function as well as facilitate the distinction between trend breaks and pure level shifts. Further, a new set of powerful unit root tests is applied to determine whether the underlying commodity price series can be characterized as difference or trend stationary processes. These tests treat breaks under the unit root null and the trend stationary alternative in a symmetric fashion thereby alleviating the procedures from spurious rejection problems and low power issues that plague most existing procedures. Relative to the extant literature, we find more evidence in favor of trend stationarity suggesting that real commodity price shocks are primarily of a transitory nature. We conclude with a discussion of the policy implications of our results.

The effects of uncertainty measures on commodity prices from a time-varying perspective

2021 ◽  
Vol 71 ◽  
pp. 100-114 ◽  
Author(s):  
Jianbai Huang ◽  
Yingli Li ◽  
Hongwei Zhang ◽  
Jinyu Chen
Keyword(s):  
Commodity Prices ◽  
Time Varying ◽  
Uncertainty Measures

Nonlinear and Time-Varying Dynamical Models of Human Operators in Manual Control Systems

1966 ◽  
Vol 8 (2) ◽  
pp. 97-120 ◽  
Author(s):  
Walter W. Wierwille ◽  
Gilbert A. Gagne
Keyword(s):  
Control System ◽  
Linear Time ◽  
Human Operator ◽  
Manual Control ◽  
Time Variability ◽  
Time Varying ◽  
Deterministic Theory ◽  
Manual Control System ◽  
New Information ◽  
Human Operators

This paper describes the application of a deterministic theory for characterizing or modeling the dynamics of a human operator in a manual control system. Linear time-varying, nonlinear time-varying, and non-linear constant-coefficient models are obtained by applying the theory to tracking data taken for one- and two-axis tasks with various displays. The accuracy and fidelity of these advanced models are explored in detail. Also, new information about time variability and nonlinearity of the human operator, obtained by studying the models and the manual control system signals, is presented.

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