Wyniki wyszukiwania - BazTech

1

Do the Outbreak of COVID-19 Influence the China Stock Market?

Ashraf Junaid, Gnahe Franck Edouard Gnahe, Huang Fei-Ming, Rizk Zeinab

Problemy Ekorozwoju

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2022

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Vol. 17, nr 2

59--68

EN

This study aims at the impact outbreak of COVID-19 influence Chinese currency and stock market over the period December 2, 2019, to January 04, 2021. The Generalized Autoregressive Conditional Homoscedastic approach captures the most common stylized fact about index returns (such as multivariate to capture the Shanghai and Shenzhen stock exchange). Our finding shows the explosive process and risk premium for the Shenzhen stock exchange (SSE) and Shanghai stock exchange (SZSE) index. And the standard deviation depreciation of the Chinese currency during the COVID-19 equivalent to 0.46% improved stock market return by 81% average returns. These results explain that high volatility of index returns is present in the Chinese stock market over the sample period. According to the analysis results, it can be concluded that the number of new cases and the number of recent deaths have a significant effect on the stock market, causing uncertainty in the sustainability.

2

Contagion effects on capital and forex markets around GFC and COVID-19 crises : a comparative study

Brania Krzysztof, Gurgul Henryk

Operations Research and Decisions

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2021

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Vol. 31, No. 2

59--92

EN

The spread of crises across the financial and capital markets of different countries has been studied. The standard method of contagion detection is based on the evolution of the correlation matrix for the example of exchange rates or returns, usually after removing univariate dynamics with the GARCH model. It is a common observation that crises that have occurred in one financial market are usually transmitted to other financial markets/countries simultaneously and that they are visible in different financial variables such as returns and volatility which determine probability distribution. The changes in distributions can be detected through changes in the descriptive statistics of, e.g., returns characterised by expected value, variance, skewness, kurtosis, and other statistics. They determine the shape of the distribution function of returns. These descriptive statistics display dynamics over time. Moreover, they can interreact within the given financial or capital market and among markets. We use the FX currency cluster represented by some of the major currencies and currencies of the Višegrad group. In analysing capital markets in terms of equity indexes, we chose developed markets, such as DAX 30, AEX 25, CAC 40, EURSTOXX 50, FTSE 100, ASX 200, SPX 500, NASDAQ 100, and RUSSEL 2000. We aim to check the changes in descriptive statistics, matrices of correlation concerning exchange rates, returns and volatility based on the data listed above, surrounding two crises: the global financial crisis (GFC) in 2007–2009 and Covid 2019.

3

The negative and positive pressure system of natural balanced ventilation

Gaczoł Tomasz

Technical Transactions

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2020

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Vol. 117, iss. 1

art. no. e2020026

EN

This paper discusses the results of research conducted with the Ansys Fluent programme on the air flow through natural ventilation supply and exhaust ducts of rooms located on the ground and upper floor of a building. A scenario with air inflow to a room through an air intake located on the basement floor level was selected for the tests. All simulations were performed for outdoor temperatures of +3,+12, and -15°C (simulations run for an outdoor air temperature of +12°C are discussed in detail). The temperature inside the room is +20°C, i.e. at the minimum temperature level for thermal comfort. The simulations address such issues as the pressure system inside the room and in the exhaust duct, the distribution of air temperature in the room and the vector direction of airflow through the supply and exhaust ducts.

4

Forecasting currency exchange rate time series with fireworks algorithm-based higher order neural network, with special attention to training data enrichment

Sahu Kishore Kumar, Nayak Sarat Chandra, Behera Himansu Sekhar

Computer Science

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2020

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T. 21 (4)

463--488

EN

Exchange rates are highly fluctuating by nature; thus, they are difficult to forecast. Artificial neural networks (ANNs) have proven to be better than statistical methods. Inadequate training data may lead the model to reach sub-optimal solutions, resulting in poor accuracy (as ANN-based forecasts are data-driven). To enhance forecasting accuracy, we suggests a method of enriching training datasets through exploring and incorporating virtual data points (VDPs) by an evolutionary method called the fireworks algorithm-trained functional link artificial neural network (FWA-FLN). The model maintains a correlation between current and past data, especially at the oscillation point on the time series. The exploration of a VDP and forecast of the succeeding term go consecutively by FWA-FLN. Real exchange rate time series are used to train and validate the proposed model. The efficiency of the proposed technique is related to other similarly trained models and produces far better prediction accuracy.

5

Wykorzystanie sztucznych sieci neuronowych przez przedsiębiorstwa eksportujące oraz importujące

Jasiński T.

Zarządzanie Przedsiębiorstwem

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2014

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Vol. 17, nr 1

37--40

EN

The paper raises issues of the use of artificial intelligence in the enterprise. The focus was on the possibility of using artificial neural networks to accurately predict the behavior of the time series relevant to the economic activities based on the export and import. In particular, the paper describes the practical possibilities for time series forecasting such as foreign exchange rates. Researches focused on predicting of slope of linear regression, to determinate the direction of exchange rate changes. Artificial neural networks, tested during researches, included two types of models. First one was a simple neural network model, containing only a one network. Second one was a more complex model containing at least a few networks. These networks were used for predicting a part of output variable. To obtained mentioned parts during researches was used multiresolution analysis based on discrete wavelet trans- form. During researches a lot of versions of multiresolution analysis were tested. Finally, as the best one, was chosen the discrete wavelet transform based on the biorthogonal 6/8 wavelet. The paper describes also a type of model input variables, considering a frequency of their changes. It shows advantages and disadvantages of macroeconomic data and technical analysis. The article describes main and the most useful types of moving averages, such as simple moving average, exponential moving average, weighted moving average and VI- DYA (Variable Index Dynamic Average). The paper mentions other type of input variable, especially such indicators as RSI and MACD and their modifications. The final evaluation of the models was carried out based on a simple trading system. Thus was confirmed the useful- ness of the results in practical applications. During the analysis of the obtained results, was used the method of sliding window.

6

The role of macroeconomic variables in the stock market in Iran

Khodaparasti R B

Polish Journal of Management Studies

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2014

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Vol. 10, No. 2

54--64

EN

Capital and capital markets are important role in any economy. Therefore in this study the role and impact of macro variables in the Iranian stock market is given in. Since the stock market in any country is one of the most important indicators that highlight the economic situation, as important variables in this market analysis is required. In Iran several years ago by the approval and implementation of principle 44 of the constitution of the country's stock market has altered the essential and most state-owned companies were sold. Thus the results of this work can be used for the principle of privatization. Macroeconomic variables used in this work are: inflation, exchange, volume of liquidity in the private sector and index of industrial production. By analyze of variance method, this experimental study actually examines the oscillation in the stock market as oscillations that exist in these four variables between 2007- 2011. Outcome of this analysis shows that the exchange rate and industrial index have more effect on the stock market than inflation and M1.

PL

Kapitał i rynki kapitałowe pełnią ważną rolę w każdej gospodarce. Dlatego też w niniejszym badaniu przedstawiona jest rola i wpływ zmiennych makroekonomicznych w irańskim rynku akcji. Ponieważ rynek akcji w każdym kraju jest jednym z najważniejszych wskaźników, które podkreślają sytuację gospodarczą, jako istotne zmienne w tym rynku, analiza jest wymagana. W Iranie kilka lat temu, przez zatwierdzenie i wdrożenie zasady 44 konstytucji kraju, rynek akcji kraju zmienił się istotne i większość przedsiębiorstw państwowych zostało sprzedanych. Tak więc, wyniki tej pracy mogą być wykorzystane do zasady prywatyzacji. Zmienne makroekonomiczne wykorzystane w niniejszej pracy to: inflacja, wymiany, wielkość płynności w sektorze prywatnym, a wskaźnik produkcji przemysłowej. Przez analizę metody wariancji, to eksperymentalne badanie rzeczywiście rozpatruje oscylację na rynku giełdowym jako oscylacje, które występują w tych czterech zmiennych między lata 2007 2011. Wynik tej analizy wskazuje, że kurs walutowy i wskaźnik przemysłowy mają większy wpływ na rynek giełdowy niż inflacja.

7

Determination of the optimal exchange rate via control of the domestic interest rate in Nigeria

Ekhosuehi V. U., Ogbonmwan S. M.

Operations Research and Decisions

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2014

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Vol. 24, No. 1

23--36

EN

An economic scenario has been considered where the government seeks to achieve a favourable balance-of-payments over a fixed planning horizon through exchange rate policy and control of the domestic interest rate. The dynamics of such an economy was considered in terms of a bounded optimal control problem where the exchange rate is the state variable and the domestic interest rate is the control variable. The idea of balance-of-payments was used as a theoretical underpinning to specify the objective function. By assuming that, changes in exchange rates were induced by two effects: the impact of the domestic interest rate on the exchange rate and the exchange rate system adopted by the government. Instances for both fixed and flexible optimal exchange rate regimes have been determined. The use of the approach has been illustrated employing data obtained from the Central Bank of Nigeria (CBN) statistical bulletin.

8

Proste metody zabezpieczania ryzyka kursu walut

Bielawska A.

Zeszyty Naukowe. Problemy Transportu i Logistyki / Uniwersytet Szczeciński

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2009

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Nr 7

35--40

PL

Ryzyko finansowe, na jakie narażone są przedsiębiorstwa, jest obecnie większe niż w przeszłości. Zmiany kursów walut czy cen innych aktywów finansowych wpływają nie tylko na wynik finansowy, ale mogą mieć kluczowe znaczenie dla przetrwania przedsiębiorstwa. Skuteczność instrumentów zabezpieczających (instrumenty pochodne) dostępnych na rynku zależy od wielu czynników, m.in. od wiedzy i to nie tylko przedsiębiorców, ale i pracowników instytucji oferujących te instrumenty. Bankructwo opcyjnie, które pojawiło się na GPW pogłębi jeszcze prawdopodobnie derywatofobię, jaka pojawiła się na rynkach finansowych wielu krajów. Należy więc przypuszczać, że kadra kierownicza wielu przedsiębiorstw w większym stopniu niż dotychczas zainteresuje się możliwościami użycia dostępnych im prostych technik asekuracji.

DE

In dem Beitrag werden einfache Methoden zur Absicherung des Wechselkursrisikos dargestellt, auf die Unternehmen zurückgreifen können. Es wurden ausgewähltc Methoden erläutert sowie deren Vor- und Nachteile als Instrument zur Absicherung des Untemehmensvermögens dargestellt.

9

Predykcja kursu euro/dolar z wykorzystaniem prognoz indeksu giełdowego: wybrane modele ekonometryczne i perceptron wielowarstwowy

Matuszewska A., Witkowska D.

Badania Operacyjne i Decyzje

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2004

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nr 1

53-66

PL

Przedstawiono wyniki badań dotyczące prognozowania kursu euro/dolar. Proces prognozowania następuje w dwóch etapach. W pierwszym prognozowane są wartości stóp zwrotu indeksy Dow Jones STOXX50. W drugim etapie dokonuje się predykcji kursu euro/dolar, korzystając z wartości uzyskanych w pierwszym etapie.

EN

In the paper, we discuss the results of euro/dollar exchange rate prediction. Forecast are made on the basis of the dynamic economic model and multilayer perception. Forecasting is provided in a two-stage procedure. In the first step Dow Jones STOXX 50 Index is pr4ediced applying ARMA model constructed for the rates of return of this variable. In the second stage the predicted values of Dow Jones STOXX 50 Index are introduced to the econometric and neural network models, that are constructed for the euro/dollar rate of returns. Then the forecasts obtained are transformed into euro/dollar exchange rate. Data included in the analysis covers the period from 5th January 1999 to 13th July 2001. However, the estimation is made for the period till 29th June 2001 and the forecasts are made for the next ten sessions.