Bond pricing errors exist in the bond market universally, the formation of the reasons for its formation has been controversial. In this paper, in order to obtain the pricing error, the authors first estimate the term structure of interest rate of China's interbank market by using the three spline model and the Svensson model. Then, the author using the moving average model and time series model to build the bond trading strategy based on the pricing error. Through the simulation of our bond portfolio trading, the result shows that bond trading can obtain about 11 basis points of the annual excess return based on bond pricing errors, and the excess return rate is not caused by different bond liquidity or risk characteristics, instead is due to the effective economic information included in the bond pricing error.
International Journal of Business and Management Invention (IJBMI) is an international journal intended for professionals and researchers in all fields of Business and Management. IJBMI publishes research articles and reviews within the whole field Business and Management, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
Price Integration In The Indian Stock Market: S&P CNX Nifty And S&P CNX Nifty...Karthika Nathan
One of the important functions of Futures market is Price discovery. Futures
markets provide a mechanism through which information about current and
futures Spot prices can be assimilated and disseminated to all participants in
the economy. The ability of future markets to provide information about price
is a central theme for the existence of these markets. The paper has examined
whether the futures market is performing its primary role of price discovery.
The main objective of the study is to examine whether any long run
equilibrium relationship exists between spot market and future market and to
identify the lead-lag relationship between these markets. The daily NSE
closing prices of Nifty Spot Index and Nifty Index Futures of near month
contracts from January 2013 to December 2013 have been taken for the study
purpose. After obtaining the stationarity of the series by conducting
Augmented Dickey Fuller Test, Granger’s Co integration Test and Johansen
Co integration Test have been conducted on the Nifty Spot and Nifty futures.
The empirical results indicate that there exists long run equilibrium between
these two markets. Further Granger’s Causality Test results indicate that there
exists lead –lag relationship between these Spot market and Future market. It
also shows that there is much feedback from Futures market to Spot market in
impounding information in its prices. Finally from overall empirical results
we propose that Futures markets are more efficient in discovering the Future
spot price.
Dynamic Causal Relationships among the Greater China Stock marketsAM Publications,India
This study examines the dynamic causal relationships among the Great China stock markets. In addition, we find the Asian financial crisis is a breakpoint during the whole sample period, so we examine the return and volatility effect with three different sample periods, namely, the whole sample period, the pre-crisis period, and the post-crisis period. We find that there were no return spillover effects between any pair of these three stock markets in the pre-crisis period. Return changes of the Mainland China spills over into Hong Kong, which in turn affects the return in the Taiwan market after the crisis. The bivariate GARCH framework of the BEKK is estimated to examine the volatility spillover effects. Before the crisis, there existed volatility spillover effects from Hong Kong to Mainland China and Taiwan, but no volatility feedback existed between Mainland China and Taiwan. Unidirectional volatility spillover from Mainland China to Hong Kong was found after the crisis, and a bidirectional volatility spillover effect between Hong Kong and Taiwan was also presented, however, there was no spillover effect between Mainland China and Taiwan
International Journal of Business and Management Invention (IJBMI) is an international journal intended for professionals and researchers in all fields of Business and Management. IJBMI publishes research articles and reviews within the whole field Business and Management, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
Price Integration In The Indian Stock Market: S&P CNX Nifty And S&P CNX Nifty...Karthika Nathan
One of the important functions of Futures market is Price discovery. Futures
markets provide a mechanism through which information about current and
futures Spot prices can be assimilated and disseminated to all participants in
the economy. The ability of future markets to provide information about price
is a central theme for the existence of these markets. The paper has examined
whether the futures market is performing its primary role of price discovery.
The main objective of the study is to examine whether any long run
equilibrium relationship exists between spot market and future market and to
identify the lead-lag relationship between these markets. The daily NSE
closing prices of Nifty Spot Index and Nifty Index Futures of near month
contracts from January 2013 to December 2013 have been taken for the study
purpose. After obtaining the stationarity of the series by conducting
Augmented Dickey Fuller Test, Granger’s Co integration Test and Johansen
Co integration Test have been conducted on the Nifty Spot and Nifty futures.
The empirical results indicate that there exists long run equilibrium between
these two markets. Further Granger’s Causality Test results indicate that there
exists lead –lag relationship between these Spot market and Future market. It
also shows that there is much feedback from Futures market to Spot market in
impounding information in its prices. Finally from overall empirical results
we propose that Futures markets are more efficient in discovering the Future
spot price.
Dynamic Causal Relationships among the Greater China Stock marketsAM Publications,India
This study examines the dynamic causal relationships among the Great China stock markets. In addition, we find the Asian financial crisis is a breakpoint during the whole sample period, so we examine the return and volatility effect with three different sample periods, namely, the whole sample period, the pre-crisis period, and the post-crisis period. We find that there were no return spillover effects between any pair of these three stock markets in the pre-crisis period. Return changes of the Mainland China spills over into Hong Kong, which in turn affects the return in the Taiwan market after the crisis. The bivariate GARCH framework of the BEKK is estimated to examine the volatility spillover effects. Before the crisis, there existed volatility spillover effects from Hong Kong to Mainland China and Taiwan, but no volatility feedback existed between Mainland China and Taiwan. Unidirectional volatility spillover from Mainland China to Hong Kong was found after the crisis, and a bidirectional volatility spillover effect between Hong Kong and Taiwan was also presented, however, there was no spillover effect between Mainland China and Taiwan
A Comparison of Hsu &Wang Model and Cost of Carry Model: The case of Stock In...iosrjce
The study empirically tests and compares the pricing performance of two alternative futures pricing
models; the standard Cost of Carry Model and Hsu & Wang Model (2004) for three futures indices of National
Stock Exchange (NSE), India – CNX Nifty futures, Bank Nifty futures and CNX IT futures. It is found that, the
Hsu & Wang Model with an argument of incomplete arbitrage mechanism and real capital markets are
imperfect, provides much better pricing performance than the standard Cost of Carry Model for all the three
futures markets. On the basis of Mean Absolute Pricing Error (MAPE), CNX Nifty Futures contract with highest
trading history and trading volume is preferred, followed by Bank Nifty futures and CNX IT futures contract for
both the pricing models. This result implies that Indian futures markets are imperfect and arbitrage process
cannot complete. Degree of market imperfection might influence the pricing error. Therefore, investors should
know the degree of market imperfection of the futures markets in which they would like to participate.
In this paper I estimate a Bayesian structural VAR models for the Czech Republic and Poland, allowing for changes in parameters between the two monetary policy arrangements. The four-variables structural VAR methodology adopted in the study is successful in identifying monetary policy shocks and their effects for the Czech and Polish economies. The time-varying model is capable of detecting a change in the policy reaction function consistent with introduction of the floating exchange rate system and switching to short-term interest rate as the main policy instrument. The results indicate the dominant role of exchange rate in the monetary transmission mechanism.
Authored by: Wojciech Maliszewski
Published in 2002
International Journal of Engineering Research and Development (IJERD)IJERD Editor
call for paper 2012, hard copy of journal, research paper publishing, where to publish research paper,
journal publishing, how to publish research paper, Call For research paper, international journal, publishing a paper, IJERD, journal of science and technology, how to get a research paper published, publishing a paper, publishing of journal, publishing of research paper, reserach and review articles, IJERD Journal, How to publish your research paper, publish research paper, open access engineering journal, Engineering journal, Mathemetics journal, Physics journal, Chemistry journal, Computer Engineering, Computer Science journal, how to submit your paper, peer reviw journal, indexed journal, reserach and review articles, engineering journal, www.ijerd.com, research journals,
yahoo journals, bing journals, International Journal of Engineering Research and Development, google journals, hard copy of journal
A Critique of Factor Analysis of Interest RatesIlias Lekkos
Any old paper of mine on the limitations of applying factor analysis and principal component analysis on interest rates that has received renewed attention
Environmental Management System and Green Productivity (EMS_GP) Implementatio...inventionjournals
the cement plant has many environmental aspect that can lead to pollution. For managing this effects we must use of environmental and productivity technique to minimize this effects. In this study, the Kurdistan cement plant as a case study had studied by use of two important technique: green productivity and environmental management systems as ISO. For there more, this plant environmental aspect had identified by brainstorming and specialist opinion. Then those causes are specified and for each one proposed an option for controlling it. Finally in order to applying this options, these are prioritized by ranking them. The spraying water on dust from mining and transportation is first option to applying.
Application of Servqual Method in Providing Services of Two Private Education...inventionjournals
In The Course Of This Article We Will Be Treated To Quality Management In Providing Educational Services, Showing The Five Dimensions Of Parasuraman , Using The Servqual Method , Demonstrating The Expectations Of Customers Regarding The Services Of The Industry Social Service Schools - ( Sesi ) " Dr. Francisco Garcia "And" Dr. Adalberto Ferreira Do Vale , " Which Could Serve As A Model For Other Institutions In The Same Segment . By Following , It Was Also Treated The Tangibility Dimensions , Reliability, Promptness , Empathy And Security Among These 22 Questions To Indicate Customer Satisfaction As The Expectation That The Method Shows The Results .
Prioritizing the Effecting Factors in Organisational Structure of the Iranian...inventionjournals
The purpose of this paper is to identify and investigate the relevant factors in organisational structure of the Iranian southern ports which are located at Khuzestan state such as Abadan, Khorramshahr and Imam Khomeini port. It should be noted that two stages have been carried out in terms of the required infrastructure for implementation of knowledge management. In the first stage by analyzing the research data from the questionnaire and by using the single-sample t-test the situation of the above mentioned ports in terms of the required infrastructure of knowledge management has been reviewed and the hypotheses were tested. To capitalize on knowledge management, an organization must be swift in balancing its knowledge management activities. The results of these research shows that the condition of the ports is not suitable in respect of the infrastructure to implement the knowledge management. In the second stage, by using the grey relational analysis the ports have been evaluated by considering the five effecting factors such as information technology, organisational culture, organisational structure, human resources and change management. By referring to the port grey relational factors the following ranking in organisational structure of knowledge management has been achieved for the ports: Imam Khomeini port as first rank, Khorramshahr port as second rank and finally Abadan port as third rank in this research.
Analysis of The Influence Patient Safety, Service Quality, Marketing Mix, Tow...inventionjournals
This research includes studies explanation (explanatory research) is causality that explains a relationship between variables by testing the hypothesis that there is. The population of reseach was patients who had received inpatient health services with the unit of analysis is a private hospitals in Surabaya. This reseach use a sampling technique with accidential sampling method. Patient safety variable were measured through indicators of patient identification, effective communication, drug safety, assurance procedures, the risk of infection, the risk of patient falls. Marketing mix variable were measured through indicators of product, price, promotion, place, participant, process, physical evidence. Service quality variable were measured through indicators reliability, assurance, tangible, empathy, responsiveness. Patient satisfaction variable were measured through indicators, namely; suitability of hope, fulfillment, fulfillment of desires. Patient loyalty variable were measured through indicators repeat purchase, retention, referalls, Results of this reseach: 1) Patient safety have a significant effect on patient satisfaction for inpatient of private hospitals in Surabaya. 2) Marketing mix have a significant effect on patient satisfaction for inpatient of private hospital in Surabaya. 3) Service quality does not have a significant effect on patient satisfaction for inpatient of private hospitals in Surabaya. 4) Patient safety does not have a significant effect on patient loyalty for inpatient of private hospitals in Surabaya. 5) Servive quality have a significant effect on patient loyalty for inpatient of private hospitals in Surabaya. 6) Marketing mix have a significant effect on pateint loyalty for inpatient of private hospitals in Surabaya. 7) Patient satisfaction have a significant effect on patient loyalty for inpatient of private hospitals in Surabaya. 8) Patient safety have a significant effect on the service quality for inpatient of private hospitals in Surabaya
Knowledge Management Strategies and Their Contribution to Small and Medium En...inventionjournals
Despite the many individual case studies on various knowledge management initiatives in large organisations, the perception of knowledge management practices and developments in Small and Medium enterprises suffers certain drawbacks. As such, there is paucity of information on the effects of different knowledge management strategies used by small firms in the hospitality industry in Kenya. The study sought to determine the contribution of knowledge management strategies on sales growth in the hospitality industry. Objective was to determine the contributions of knowledge management strategies on small and medium business sales growth. A cross-sectional survey research design was used for this study and a census was conducted on 39 businesses. A questionnaire with structured and unstructured questions was used to collect primary data from all the 39 top managers and supervisors of selected hospitality businesses since they are the key decision makers. Descriptive and regression analysis were used to analyze the data with the help of Statistical package for social sciences computer software. The findings from this study indicate that, though knowledge management strategies were used to a greater extent among the businesses, they did not significantly contribute to sales growth in the hospitality industry. This implies that the relationship was not significant because the use of the knowledge management strategies did not fully actualize the intended sales growth in the hospitality businesses. The results of this study have implications in enhancing the growth of Small and medium enterprises in Kenya.
IS Plastic Money Matter for Consumer Buying Behavior? An Empirical Analysis f...inventionjournals
The study explored the effect of plastic money on consumer’s buying behavior .In this study the data was collected through the questionnaire among the customers in market place, supermarket, and grocery store by using convenience-sampling techniques. Simple linear regression analysis was used to answer the questions of study. SPSS system was used to interpret the data. The independent variable is use of plastic money where as dependent variable is consumer buying behavior and reliability of data is 0.709
A importância da avaliação quantitativa de agentes químicos na prevenção da s...inventionjournals
Este texto trata da importância da avaliação quantitativa de agentes químicos na prevecenção da saúde do trabalhador da indústria, busca identificar a necessidade desta avaliação e os beneficios que ela pode trazer ao trabalhador. O estudo foi realizado através de levantamento bibliográfico, onde descreve a avaliação quantitativa de agentes químicos, forma como se apresentam no ambiente de trabalho, sua classificação, tipos de amostragem, procedimentos e equipamentos utilizados na avaliação. Foram abordados quatro casos de trabalhadores expostos a agentes químicos: frentistas expostos ao benzeno, trabalhadores de uma fábrica de telhas expostos ao amianto, a responsabilidade dos profissionais que cuidam da saúdo do trabalhador em uma fábrica de baterias onde o trabalhador estava exposto a chumbo, a luta e morte de um trabalhador da extinta ―SUCAM‖ exposto ao inseticida Dicloro-difenil-tricloroetano - DDT. Em todos esses casos a avaliação quantitativa dos agentes químicos seria fundamental na prevenção da saúde do trabalhador, pois permitiria identificar a intensidade ou concentração do agente químico presente no ambiente de trabalho, indicando se os valores encontrados estavam acima ou abaixo dos limites de tolerância apresentados pela Norma Reulamentadora NR-15 e/ou ACGIH, além de permitir a antecipação do risco e fornecer subsídios para a prevenção.
A Study on Emerging Challenges & Opportunities for Indian Banking Sectorinventionjournals
Banking sector is treated as a backbone of a nation as it plays multifarious role for the all total growth of a developing country like India. The banking industry in India has a huge canvas of history, which covers the traditional banking Practices from the time of Britishers to the reforms period, nationalization to privatization of banks and now increasing numbers of foreign banks in India. Therefore, Banking in India has been through a long journey. Banking industry in India has also achieved a new height with the changing times. The use of technology has brought a revolution in the working style of the banks. Nevertheless, the fundamental aspects of banking i.e. trust and the confidence of the people on the institution remain the same. Here commercial banks cater to short and medium term financing requirements, while national level and state level financial institutions meet longer-term requirements. Banking industry in India has also achieved anew height with the changing times. Most of banks provide various services such as Mobile banking, SMS & Net banking and ATMs to their customers for their convenience. The use of technology has brought a revolution in the working style of the banks. Banking today has transformed into a technology intensive and customer friendly model with a focus inconvenience. However, changing dynamics of banking business also brings new kind of risk exposure.
A Comparison of Hsu &Wang Model and Cost of Carry Model: The case of Stock In...iosrjce
The study empirically tests and compares the pricing performance of two alternative futures pricing
models; the standard Cost of Carry Model and Hsu & Wang Model (2004) for three futures indices of National
Stock Exchange (NSE), India – CNX Nifty futures, Bank Nifty futures and CNX IT futures. It is found that, the
Hsu & Wang Model with an argument of incomplete arbitrage mechanism and real capital markets are
imperfect, provides much better pricing performance than the standard Cost of Carry Model for all the three
futures markets. On the basis of Mean Absolute Pricing Error (MAPE), CNX Nifty Futures contract with highest
trading history and trading volume is preferred, followed by Bank Nifty futures and CNX IT futures contract for
both the pricing models. This result implies that Indian futures markets are imperfect and arbitrage process
cannot complete. Degree of market imperfection might influence the pricing error. Therefore, investors should
know the degree of market imperfection of the futures markets in which they would like to participate.
In this paper I estimate a Bayesian structural VAR models for the Czech Republic and Poland, allowing for changes in parameters between the two monetary policy arrangements. The four-variables structural VAR methodology adopted in the study is successful in identifying monetary policy shocks and their effects for the Czech and Polish economies. The time-varying model is capable of detecting a change in the policy reaction function consistent with introduction of the floating exchange rate system and switching to short-term interest rate as the main policy instrument. The results indicate the dominant role of exchange rate in the monetary transmission mechanism.
Authored by: Wojciech Maliszewski
Published in 2002
International Journal of Engineering Research and Development (IJERD)IJERD Editor
call for paper 2012, hard copy of journal, research paper publishing, where to publish research paper,
journal publishing, how to publish research paper, Call For research paper, international journal, publishing a paper, IJERD, journal of science and technology, how to get a research paper published, publishing a paper, publishing of journal, publishing of research paper, reserach and review articles, IJERD Journal, How to publish your research paper, publish research paper, open access engineering journal, Engineering journal, Mathemetics journal, Physics journal, Chemistry journal, Computer Engineering, Computer Science journal, how to submit your paper, peer reviw journal, indexed journal, reserach and review articles, engineering journal, www.ijerd.com, research journals,
yahoo journals, bing journals, International Journal of Engineering Research and Development, google journals, hard copy of journal
A Critique of Factor Analysis of Interest RatesIlias Lekkos
Any old paper of mine on the limitations of applying factor analysis and principal component analysis on interest rates that has received renewed attention
Environmental Management System and Green Productivity (EMS_GP) Implementatio...inventionjournals
the cement plant has many environmental aspect that can lead to pollution. For managing this effects we must use of environmental and productivity technique to minimize this effects. In this study, the Kurdistan cement plant as a case study had studied by use of two important technique: green productivity and environmental management systems as ISO. For there more, this plant environmental aspect had identified by brainstorming and specialist opinion. Then those causes are specified and for each one proposed an option for controlling it. Finally in order to applying this options, these are prioritized by ranking them. The spraying water on dust from mining and transportation is first option to applying.
Application of Servqual Method in Providing Services of Two Private Education...inventionjournals
In The Course Of This Article We Will Be Treated To Quality Management In Providing Educational Services, Showing The Five Dimensions Of Parasuraman , Using The Servqual Method , Demonstrating The Expectations Of Customers Regarding The Services Of The Industry Social Service Schools - ( Sesi ) " Dr. Francisco Garcia "And" Dr. Adalberto Ferreira Do Vale , " Which Could Serve As A Model For Other Institutions In The Same Segment . By Following , It Was Also Treated The Tangibility Dimensions , Reliability, Promptness , Empathy And Security Among These 22 Questions To Indicate Customer Satisfaction As The Expectation That The Method Shows The Results .
Prioritizing the Effecting Factors in Organisational Structure of the Iranian...inventionjournals
The purpose of this paper is to identify and investigate the relevant factors in organisational structure of the Iranian southern ports which are located at Khuzestan state such as Abadan, Khorramshahr and Imam Khomeini port. It should be noted that two stages have been carried out in terms of the required infrastructure for implementation of knowledge management. In the first stage by analyzing the research data from the questionnaire and by using the single-sample t-test the situation of the above mentioned ports in terms of the required infrastructure of knowledge management has been reviewed and the hypotheses were tested. To capitalize on knowledge management, an organization must be swift in balancing its knowledge management activities. The results of these research shows that the condition of the ports is not suitable in respect of the infrastructure to implement the knowledge management. In the second stage, by using the grey relational analysis the ports have been evaluated by considering the five effecting factors such as information technology, organisational culture, organisational structure, human resources and change management. By referring to the port grey relational factors the following ranking in organisational structure of knowledge management has been achieved for the ports: Imam Khomeini port as first rank, Khorramshahr port as second rank and finally Abadan port as third rank in this research.
Analysis of The Influence Patient Safety, Service Quality, Marketing Mix, Tow...inventionjournals
This research includes studies explanation (explanatory research) is causality that explains a relationship between variables by testing the hypothesis that there is. The population of reseach was patients who had received inpatient health services with the unit of analysis is a private hospitals in Surabaya. This reseach use a sampling technique with accidential sampling method. Patient safety variable were measured through indicators of patient identification, effective communication, drug safety, assurance procedures, the risk of infection, the risk of patient falls. Marketing mix variable were measured through indicators of product, price, promotion, place, participant, process, physical evidence. Service quality variable were measured through indicators reliability, assurance, tangible, empathy, responsiveness. Patient satisfaction variable were measured through indicators, namely; suitability of hope, fulfillment, fulfillment of desires. Patient loyalty variable were measured through indicators repeat purchase, retention, referalls, Results of this reseach: 1) Patient safety have a significant effect on patient satisfaction for inpatient of private hospitals in Surabaya. 2) Marketing mix have a significant effect on patient satisfaction for inpatient of private hospital in Surabaya. 3) Service quality does not have a significant effect on patient satisfaction for inpatient of private hospitals in Surabaya. 4) Patient safety does not have a significant effect on patient loyalty for inpatient of private hospitals in Surabaya. 5) Servive quality have a significant effect on patient loyalty for inpatient of private hospitals in Surabaya. 6) Marketing mix have a significant effect on pateint loyalty for inpatient of private hospitals in Surabaya. 7) Patient satisfaction have a significant effect on patient loyalty for inpatient of private hospitals in Surabaya. 8) Patient safety have a significant effect on the service quality for inpatient of private hospitals in Surabaya
Knowledge Management Strategies and Their Contribution to Small and Medium En...inventionjournals
Despite the many individual case studies on various knowledge management initiatives in large organisations, the perception of knowledge management practices and developments in Small and Medium enterprises suffers certain drawbacks. As such, there is paucity of information on the effects of different knowledge management strategies used by small firms in the hospitality industry in Kenya. The study sought to determine the contribution of knowledge management strategies on sales growth in the hospitality industry. Objective was to determine the contributions of knowledge management strategies on small and medium business sales growth. A cross-sectional survey research design was used for this study and a census was conducted on 39 businesses. A questionnaire with structured and unstructured questions was used to collect primary data from all the 39 top managers and supervisors of selected hospitality businesses since they are the key decision makers. Descriptive and regression analysis were used to analyze the data with the help of Statistical package for social sciences computer software. The findings from this study indicate that, though knowledge management strategies were used to a greater extent among the businesses, they did not significantly contribute to sales growth in the hospitality industry. This implies that the relationship was not significant because the use of the knowledge management strategies did not fully actualize the intended sales growth in the hospitality businesses. The results of this study have implications in enhancing the growth of Small and medium enterprises in Kenya.
IS Plastic Money Matter for Consumer Buying Behavior? An Empirical Analysis f...inventionjournals
The study explored the effect of plastic money on consumer’s buying behavior .In this study the data was collected through the questionnaire among the customers in market place, supermarket, and grocery store by using convenience-sampling techniques. Simple linear regression analysis was used to answer the questions of study. SPSS system was used to interpret the data. The independent variable is use of plastic money where as dependent variable is consumer buying behavior and reliability of data is 0.709
A importância da avaliação quantitativa de agentes químicos na prevenção da s...inventionjournals
Este texto trata da importância da avaliação quantitativa de agentes químicos na prevecenção da saúde do trabalhador da indústria, busca identificar a necessidade desta avaliação e os beneficios que ela pode trazer ao trabalhador. O estudo foi realizado através de levantamento bibliográfico, onde descreve a avaliação quantitativa de agentes químicos, forma como se apresentam no ambiente de trabalho, sua classificação, tipos de amostragem, procedimentos e equipamentos utilizados na avaliação. Foram abordados quatro casos de trabalhadores expostos a agentes químicos: frentistas expostos ao benzeno, trabalhadores de uma fábrica de telhas expostos ao amianto, a responsabilidade dos profissionais que cuidam da saúdo do trabalhador em uma fábrica de baterias onde o trabalhador estava exposto a chumbo, a luta e morte de um trabalhador da extinta ―SUCAM‖ exposto ao inseticida Dicloro-difenil-tricloroetano - DDT. Em todos esses casos a avaliação quantitativa dos agentes químicos seria fundamental na prevenção da saúde do trabalhador, pois permitiria identificar a intensidade ou concentração do agente químico presente no ambiente de trabalho, indicando se os valores encontrados estavam acima ou abaixo dos limites de tolerância apresentados pela Norma Reulamentadora NR-15 e/ou ACGIH, além de permitir a antecipação do risco e fornecer subsídios para a prevenção.
A Study on Emerging Challenges & Opportunities for Indian Banking Sectorinventionjournals
Banking sector is treated as a backbone of a nation as it plays multifarious role for the all total growth of a developing country like India. The banking industry in India has a huge canvas of history, which covers the traditional banking Practices from the time of Britishers to the reforms period, nationalization to privatization of banks and now increasing numbers of foreign banks in India. Therefore, Banking in India has been through a long journey. Banking industry in India has also achieved a new height with the changing times. The use of technology has brought a revolution in the working style of the banks. Nevertheless, the fundamental aspects of banking i.e. trust and the confidence of the people on the institution remain the same. Here commercial banks cater to short and medium term financing requirements, while national level and state level financial institutions meet longer-term requirements. Banking industry in India has also achieved anew height with the changing times. Most of banks provide various services such as Mobile banking, SMS & Net banking and ATMs to their customers for their convenience. The use of technology has brought a revolution in the working style of the banks. Banking today has transformed into a technology intensive and customer friendly model with a focus inconvenience. However, changing dynamics of banking business also brings new kind of risk exposure.
Why Company Does Tax Avoidance? Evidence from a Manufacturing Company in Indo...inventionjournals
: The problem of this research is corporate social responsibility, profitability, independent Commissioners, and the ratio of Tobin q effect on tax avoidance. With the goal of obtaining empirical evidence whether corporate social responsibility, profitability, independent Commissioners, and the ratio of Tobin q effect on tax avoidance. The study sample as many as 34 companies manufacturing in the Jakarta Stock Exchange of 141 existing manufacturing companies The results Showed that CSR, profitability, independent Commissioners, and Tobin's q ratio has a significant effect on tax avoidance. While partially, independent directors, and Tobin's q ratio have no significant effect on tax avoidance, and tax avoidance Significantly Affects
Coordination in Three-Level Supply Chain under Output and Demand Uncertaintyinventionjournals
Purpose: The purpose of this research is to designing a contract that can coordinate three -level supply chain with output and demand uncertainty. Design/methodology/approach: This paper focuses on three-level supply chain with a supplier, a manufacturer and a retailer. If the supplier and the manufacturer’s production is subject to random yield and the retailer faces uncertain demand, the existence of supply chain demonstrates doubled marginalizing lead to analyses of supply chain coordination and buyback contract. Findings: Although buyback contract cannot coordinate the three – level supply chain, it can improve the performance of supply chain. Therefore, we design the buyback-cost sharing contract from the perspective of risk sharing to coordination supply chain, and the profits of all members of the supply chain have been improved by Pareto. The numerical examples further to research the effects of demand and output uncertainty on supply chain performance. Originality/value: Comprehensively comparing risk-sharing contract and buyback contract is only presented in the supply chain.
The Philosophy of Democracy Dividend Delivery: A Push for Government Revenue ...inventionjournals
Democracy more than any other form of government remains the most attractive option or phenomenon for the realization of the yearnings of the citizenry through what is commonly referred to as dividends of democracy. Since the return to democratic rule in 1999, Nigeria has continued to struggle with the delivery of democracy dividends; that is, social infrastructure, security, justice, equity, equal access to resources and power. The main impediments in the struggle being the twin diseases of corruption and insecurity. It is in this direction that this paper seeks to highlight the philosophy of democracy dividends delivery which is a driving force for government to generate revenue in order to enable her deliver the dividends. The methodology used for the study is the eclectic desk research approach. The paper concludes that democratic governments need to judiciously and prudently use the resources at their disposal to improve the quality of life of the citizens. In the same vein, fairness and accountability must be imbibed in order to usher in good and effective democratic governance. The study recommends among other recommendations that government should invest more in security than before in order to avert the boko haram scourge and other insecurity challenges.
Challenges Facing the Adoption of Information Technology in the Management of...inventionjournals
The economic growth of any country depends, to a certain degree, on the ability of the country’s business community to maximize their growth potential. One of the biggest contributors from the business community of any nation, to the nation’s economic development, is the small and medium sized enterprise (SME) sector. Studies have shown that SMEs and indeed, large and multi-national organizations can improve their productive capacity by using the benefits of the Information and Communications Technology (ICT). This paper explores how the Small and Medium Sized Enterprises (SMEs) in the developing economies such as Nigeria can achieve their own growth through the adoption of information communication technology. This study relies on secondary data from various sources to examine the availability, accessibility and affordability to relevant ICT facilities and challenges facing SMEs in the use of information technology. The study recommends that agencies that regulate SMEs should formulate policies that will facilitate the adoption of ICT facilities by SMEs because of its potential in improving firms growth performance; SMEs owners should invest in ICT and its components because they have been proven to significantly influence organizational performance.
An Analysis of Three Distinct Levels of Studying Africa in International Poli...inventionjournals
The role and positions of Africa as a continent in international politics may be systematically studied on three distinct political levels. The focus of the study of Africa may fall on: a. the individual states within the continent; b. the continent may be sub-divided into five regional areas, each representing a focal point; or c. Africa as part of the international or global system. This article examines each of the levels.
Influence of Occupational Stress on Teachers' Performance in Public Secondary...inventionjournals
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The historical developments of systematic philosophy may be viewed as having passed through a number of phases depicted as (a) Greek classical periods; (b) mediaeval phase; (c) modern philosophy, and (d) contemporary systematic philosophy. Mediaeval philophy, which essentially a christian philosophy reflects and is founded upon Christian philosophy explainable in religious terms and concepts. This forms the subject of this article.
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Statistical Arbitrage
Pairs Trading, Long-Short Strategy
Cyrille BEN LEMRID

1 Pairs Trading Model 5
1.1 Generaldiscussion ................................ 5 1.2 Cointegration ................................... 6 1.3 Spreaddynamics ................................. 7
2 State of the art and model overview 9
2.1 StochasticDependenciesinFinancialTimeSeries . . . . . . . . . . . . . . . 9 2.2 Cointegration-basedtradingstrategies ..................... 10 2.3 FormulationasaStochasticControlProblem. . . . . . . . . . . . . . . . . . 13 2.4 Fundamentalanalysis............................... 16
3 Strategies Analysis 19
3.1 Roadmapforstrategydesign .......................... 19 3.2 Identificationofpotentialpairs ......................... 19 3.3 Testingcointegration ............................... 20 3.4 Riskcontrolandfeasibility............................ 20
4 Results
22
2
Contents

Introduction
This report presents my research work carried out at Credit Suisse from May to September 2012. This study has been pursued in collaboration with the Global Arbitrage Strategies team.
Quantitative analysis strategy developers use sophisticated statistical and optimization techniques to discover and construct new algorithms. These algorithms take advantage of the short term deviation from the ”fair” securities’ prices. Pairs trading is one such quantitative strategy - it is a process of identifying securities that generally move together but are currently ”drifting away”.
Pairs trading is a common strategy among many hedge funds and banks. However, there is not a significant amount of academic literature devoted to it due to its proprietary nature. For a review of some of the existing academic models, see [6], [8], [11] .
Our focus for this analysis is the study of two quantitative approaches to the problem of pairs trading, the first one uses the properties of co-integrated financial time series as a basis for trading strategy, in the second one we model the log-relationship between a pair of stock prices as an Ornstein-Uhlenbeck process and use this to formulate a portfolio optimization based stochastic control problem.
This study was performed to show that under certain assumptions the two approaches are equivalent.
Practitioners most often use a fundamentally driven approach, analyzing the performance of stocks around a market event and implement strategies using back-tested trading levels.
We also study an example of a fundamentally driven strategy, using market reaction to a stock being dropped or added to the MSCI World Standard, as a signal for a pair trading strategy on those stocks once their inclusion/exclusion has been made effective.
This report is organized as follows. Section 1 provides some background on pairs trading strategy. The theoretical results are described in Section 2. Section 3
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(CNN)s, to adversarial attacks and presents a proactive training technique designed to counter them. We
introduce a novel volumization algorithm, which transforms 2D images into 3D volumetric representations.
When combined with 3D convolution and deep curriculum learning optimization (CLO), itsignificantly improves
the immunity of models against localized universal attacks by up to 40%. We evaluate our proposed approach
using contemporary CNN architectures and the modified Canadian Institute for Advanced Research (CIFAR-10
and CIFAR-100) and ImageNet Large Scale Visual Recognition Challenge (ILSVRC12) datasets, showcasing
accuracy improvements over previous techniques. The results indicate that the combination of the volumetric
input and curriculum learning holds significant promise for mitigating adversarial attacks without necessitating
adversary training.
Saudi Arabia stands as a titan in the global energy landscape, renowned for its abundant oil and gas resources. It's the largest exporter of petroleum and holds some of the world's most significant reserves. Let's delve into the top 10 oil and gas projects shaping Saudi Arabia's energy future in 2024.
Overview of the fundamental roles in Hydropower generation and the components involved in wider Electrical Engineering.
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Author: Robbie Edward Sayers
Collaborators and co editors: Charlie Sims and Connor Healey.
(C) 2024 Robbie E. Sayers
Final project report on grocery store management system..pdfKamal Acharya
In today’s fast-changing business environment, it’s extremely important to be able to respond to client needs in the most effective and timely manner. If your customers wish to see your business online and have instant access to your products or services.
Online Grocery Store is an e-commerce website, which retails various grocery products. This project allows viewing various products available enables registered users to purchase desired products instantly using Paytm, UPI payment processor (Instant Pay) and also can place order by using Cash on Delivery (Pay Later) option. This project provides an easy access to Administrators and Managers to view orders placed using Pay Later and Instant Pay options.
In order to develop an e-commerce website, a number of Technologies must be studied and understood. These include multi-tiered architecture, server and client-side scripting techniques, implementation technologies, programming language (such as PHP, HTML, CSS, JavaScript) and MySQL relational databases. This is a project with the objective to develop a basic website where a consumer is provided with a shopping cart website and also to know about the technologies used to develop such a website.
This document will discuss each of the underlying technologies to create and implement an e- commerce website.
Cosmetic shop management system project report.pdfKamal Acharya
Buying new cosmetic products is difficult. It can even be scary for those who have sensitive skin and are prone to skin trouble. The information needed to alleviate this problem is on the back of each product, but it's thought to interpret those ingredient lists unless you have a background in chemistry.
Instead of buying and hoping for the best, we can use data science to help us predict which products may be good fits for us. It includes various function programs to do the above mentioned tasks.
Data file handling has been effectively used in the program.
The automated cosmetic shop management system should deal with the automation of general workflow and administration process of the shop. The main processes of the system focus on customer's request where the system is able to search the most appropriate products and deliver it to the customers. It should help the employees to quickly identify the list of cosmetic product that have reached the minimum quantity and also keep a track of expired date for each cosmetic product. It should help the employees to find the rack number in which the product is placed.It is also Faster and more efficient way.
Cosmetic shop management system project report.pdf
Research on the Trading Strategy Based On Interest Rate Term Structure Change and Pricing Error
1. International Journal of Business and Management Invention
ISSN (Online): 2319 – 8028, ISSN (Print): 2319 – 801X
www.ijbmi.org || Volume 5 Issue 4 || April. 2016 || PP—30-36
www.ijbmi.org 30 | Page
Research on the Trading Strategy Based On Interest Rate Term
Structure Change and Pricing Error
Lu Shen
School Of Economics and Business Administration, Central China Normal University, 430079 Wuhan, Hubei
Province, China
Abstract: Bond pricing errors exist in the bond market universally, the formation of the reasons for its
formation has been controversial. In this paper, in order to obtain the pricing error, the authors first estimate
the term structure of interest rate of China's interbank market by using the three spline model and the Svensson
model. Then, the author using the moving average model and time series model to build the bond trading
strategy based on the pricing error. Through the simulation of our bond portfolio trading, the result shows that
bond trading can obtain about 11 basis points of the annual excess return based on bond pricing errors, and the
excess return rate is not caused by different bond liquidity or risk characteristics, instead is due to the effective
economic information included in the bond pricing error.
Keywords -Pricing error; term of interest rate; trading strategy; economic information
I. Introduction
The importance of the interest rate of financial market is self-evident, in an efficient market, the accurate
estimation of interest rates term structure can reasonably explain the information contained in the bond market
prices, for the same credit rating for any period of time. However, almost all empirical studies on the pricing of
bonds at home and abroad show that there is a significant difference between the theoretical price and the
market price of the bond (Svensson, 1994; Jankowisch and Pichler, 2004). So what caused this wide spread?
Some scholars will cause attributed the spread of bonds of different tax rate and different mobility, but Elton
(1998) and Jankowisch (2006) pointed out that these two factors cannot fully explain the observed spreads.
Therefore, the spread is bound to a certain extent by the model setting error or by the market information on the
pricing errors caused by.
The purpose of this paper is to analyze whether the observed pricing error contains economic information. If the
pricing error in a certain degree of market information is caused by the price of the market information, then
based on these are not reflected in the model of market information to be able to get the excess return on the
transaction. Flavell et al. (1994), sercu (1997) and ioannides (2003) through the empirical research by using
Belgium and the UK bond market data, utilize the pricing error trading strategies can get excess returns of 50
basis points rate. But because it does not contain any transaction costs and of different interest rate risk income
just by the same method adjusted; therefore, the excess rate of return can only reflect the bond pricing error may
contain effective market information.
According to the deficiencies of the previous literature, this paper from the reality of the pricing error to develop
bond trading strategies, fully consider the transaction cost, for the first time in China is proposed based on bond
pricing error of the idea of bond trading, and the use of practical methods of risk adjusted to correct for portfolio
under different interest rate risk return. In this paper, the transaction decision-making is determined by two
factors, one is the average rate of interest rate theory, and the other is to issue bonds to sell or buy signal after
calibration of the pricing error time series model. In the construction of this trading strategy based on. Firstly,
this paper uses transaction data of China's Shanghai Stock Exchange Market from January 2010 to December
2014. Also, McCulloch (1975) proposed by cubic spline model to estimate the term structure of interest rates,
and then get the pricing error of each country's debt. In order to ensure the trading strategies rely on bond
pricing error, we make estimation of the term structure of the same rate according to extended model based on
Svensson (1994) and Nelson-Seiglon (1987). In the two models of term structure of interest rates of national
debt pricing, and according to the bond pricing residuals obtained by the two models a larger proportion is on
the basis of the same interval, and then based on pricing residuals of bond trading.
The remainder of this paper is organized as follows. In the second part, estimation of term structure of interest
rates, and access to the Chinese treasury bond pricing error; the third part based on bond pricing error of
simulated trading; the fourth part based on transaction pricing error of the result to carry on the analysis; the
fifth part is the conclusion.
2. Research on the Trading Strategy Based On Interest Rate Term Structure Change and Pricing Error
www.ijbmi.org 31 | Page
II. Bond Pricing And Pricing Error
For any of the bond in market, estimation of term structure of interest rate r (t) or the discount factor D (t)
should be able to accurately reflect the market price of the bond, then in order to observable to bond market
price P and the duration of the bond cash flow Z conditions, there is the following relationship:
P = Zj ∙ D Tj + εj (1)
Among them, represents a bond pricing error;Further, pricing factor D (t) usually are regarded as bonds with
a maturity of continuous function, depends only on the number of parameters, the pricing error epsilon squared
and minimized to calibrate the parameter estimates. If the is a free parameter in the pricing factor function,
there are:
D t = f t; a (2)
And
P = Zj ∙ f Tj; a + εj (3)
In order to obtain accurate bond price theory, we must first equal credit level of the term structure of interest
rates has accurate estimation. Therefore, this paper selects is widely used or graphic description ability of
McCulloch (1975) three times spline model and Svensson (1994) model were estimated term structure of
interest rate, and obtains the theoretical price of the bonds.
McCulloch (1975) used the three spline method is to n only bonds from small to large order, the use of k-1
nodes will be the longest period is divided into K-2 range, so as to get k parameters. Noded_j=m_h+θ(m_(h+1)-
m_h ),(j=1,2,⋯,k-1), among them, the integer part h=(j-1)n/(k-2), θ=(j-1)n/(k-2)-h, andd_0=d_1=0, d_(k-
1)=d_k=m_n, Then the basis function set by the McCulloch is:
When j = 1,2, ⋯ , k − 1
0 m < dj−1
m−dj−1
3
6 dj−dj−1
dj−1 ≤ m < dj
dj−dj−1
2
6
+
dj−dj−1 m−dj
2
+
m−dj
2
2
−
m−dj
3
6 dj+1−dj
dj ≤ m < dj+1
dj+1 − dj−1
2dj+1−dj−dj−1
6
+
m−dj+1
2
m ≥ dj+1
(4)
When j = k,
fk m = m
The calculated fj(m) into the formula (3), resulting in the bond I pricing model
Pi = Zij ∙ ak ∙k fk Tij + εi =j ak ∙ Zij ∙j fk Tij + εik (5)
Because formula (5) is a linear structuretype of ak , then we can get the value of ak by least square
estimation.Because the model can also lead to the pricing error, in order to ensure that the pricing error is not
entirely caused by the model, this paper uses Svensson (1994) model to estimate the term structure of interest
rate again:
r t = β0
+β1
1−exp −
t
τ1
t
τ1
+β2
1−exp −
t
τ1
t
τ1
− exp −
t
τ1
+ β
3
1−exp −
t
τ2
t
τ2
− exp −
t
τ2
(6)
β1
,β2
,β3
,β4
,τ1,τ2is to be estimated parameters, so that the pricing factor function is
f Tij ; a = [1 + r(Tij )]−Tij (7)
In order to estimate the parameters in the two models, taking into account the national debt of our country
whether liquidity or transaction size and other types of bonds than there are great advantages, and inter-bank
bond market trading volume accounted for the proportion of all of our national debt transaction size close to
95%, so this paper chooses China inter-bank market bond transaction data of this theory to carry out an
empirical test. Only the flow of treasury bonds to, but there is no but because of China's inter-bank bond market
maker too easy to inquiry mechanism to promote the bond trading, so the bond market price fluctuations are not
frequent, often appear for a few days prices unchanged, in order to ensure the pricing error effectively, the
sampling period for a week, from wind database for China's inter-bank bond from January 1,2010 to December
31,2014; JCP 260 week of trading information, excluding the price during this period did not change more than
3 times, and the remaining time limit in 20 years or less (long-term debt limit is too low), and ultimately won 57
National 216 observation values. In this paper, the parameter estimation and Simulation of subsequent
transactions are completed by Matlab software. Table 1 is the bond distribution in the observation period of
China's interbank market.
3. Research on the Trading Strategy Based On Interest Rate Term Structure Change and Pricing Error
www.ijbmi.org 32 | Page
Under the conditions of K=4, using McCulloch three times spline model to estimate China inter-bank bond
market interest rate term structure, at the same time, using formula 6 as the Svensson model estimated term
structure of interest rate of treasury bonds, and further through the bond market price (price+accrued interest) by
subtracting the model to calculate the theoretical price, thus the pricing error of the two models can be obtained.
Through the use of McCulloch cubic spline model and Svensson model by China inter-bank bond market every
week Treasury data information repeated iterative estimation, and get the bonds in the sample every bond in
each week of bond pricing error. Table 2 is the distribution of China's national debt pricing errors.
Table 1.The maturity distribution of the inter-bank market bonds in China
Weekly bond deadlines 0-3 years 3-5 years >5 years
average 117 15 27 78
minimum 67 0 9 59
Maximum 161 48 45 86
Table 2.The distribution of Chinese Treasury bond pricing error
Three spline Mean StdDev Maximum Minimum
Mean absolute pricing error 20.76 2.51 27.06 16.33
Maximum pricing error 100.61 12.68 130.45 77.10
Minimum pricing error -48.38 16.67 -22.25 -100.97
Svensson model Mean StdDev Maximum Minimum
Mean absolute pricing error 18.77 2.66 29.08 14.38
Maximum pricing error 116.51 15.06 137.82 80.43
Minimum pricing error -50.74 20.68 -14.98 -96.79
If the pricing error containing market information, then for the same bond, the use of cubic spline model and
Svensson model will overestimate (underestimate) bonds, that is, due to the existence of market information is
not reflected in the model, cubic spline model overestimated (underestimated) a bond, Svensson model should
also will be overestimated (underestimated) with a bond. In order to verify whether there is enough market
information in the pricing error, this paper calculates the hit rate of the bond pricing error estimated by the two
models according to the method proposed by Bliss (1997). First, the pricing errors are classified into three
intervals, interval (pricing error 10bp), zero interval (- 10pricing error < 10), negative interval (pricing error
<-10). In the cubic spline model is regarded as the premise of the benchmark model, by calculating the pricing
error of the two models give fall into the same interval probability, finally found two models are presented for
the pricing error and incidence rate of 69%, although the results suggest that the model selection will indeed
affect the bond pricing, but also reflect national debt pricing errors contain information of the market and
effective.
In theory, the pricing error of bonds should be independent of each other in time series, but the pricing error of
all bonds in this paper is highly correlated, and the first order autocorrelation coefficient of the bond is up to
0.8918. It can be found that the time series of pricing error is not in the vicinity of 0 fluctuations in the bond
value is overvalued or undervalued will continue for more than half a year.
Is not difficult to find that the time series of bond pricing error has two effects; first, the level effect, different
bonds with different maturities and liquidity, so high mobility bonds usually have a positive pricing errors, and
illiquid bonds exist negative pricing errors, thus leading to the different bond pricing error that there is a
difference in the level. But floating premium does not explain all of pricing error of volatility, pricing errors also
reflects the second effect is pricing error around non zero mean fluctuations, the second effect may is the
parameter estimation process caused by noise components, may also contains information related to the bond
price deviation relative to the market in the short run. If bond pricing error in a certain extent containing to
deviate from the market conditions in short-term economic and effective information, then in addition to its
liquidity and maturity to the level of bonds on behalf of pricing error effect, bond pricing error above (below)
the mean value can be regarded as overestimated (underestimated) bonds; thus appropriate trading this relatively
overvalued or undervalued bonds will be able to fire the excess rate of return.
III. Trading Strategy
The sample concentration bond pricing error exists not only height autocorrelation, and surrounds the non-zero
mean fluctuations, but such as sercu& Wu (1996), ioannides (2003) directly based pricing residuals for
constructing trading strategy is not appropriate, because even if the high liquidity of bonds are overvalued, keep
persistent overbidding, is difficult in the short term to obtain excess return rate. Therefore, this paper based on
the theory of the value of the bond pricing error, and re build trading strategy. In view of the autocorrelation of
bond pricing errors, this paper first sets the trading signal by the k order of the pricing error.
μi,t
=
1
k
εi,j
t−1
j=t−k (7)
4. Research on the Trading Strategy Based On Interest Rate Term Structure Change and Pricing Error
www.ijbmi.org 33 | Page
σi,t =
1
k−1
(εi,t − μi,j
)2t−1
j=t−k (8)
Where εi,j means the pricing error at j week of i bond, and then build the following trading signal
multiplier m in a given situation:
Whenεi,j > μi,j
+ m ∙ σi,j,bond I is overvalued;
Whenεi,j < μi,j
− m ∙ σi,j, bond I is undervalued.
This trading strategy applies only to information on the market mispricing, therefore the replacement signal
transaction design method, the structure is more general trading strategies, namely the use of time series models
predict pricing error, so as to obtain the trading signals. Because the price is highly correlated with the error, this
paper uses the AR (1) model to forecast the bond pricing errors.
di,t = c + b ∙ di,t−1 + ui,t(9)
di,t = εi,t − εi,t−1 ,For any one week in the observation period t, this paper uses AR (1) to estimate the
coefficient, then the first phase of the next week to predict the next T-1, then the outward phase prediction
results for the:
di,t+1 = ci,t + bi,t ∙ di,t(10)
The standard error is:
σi,t+1 = Se ∙ 1 +
1+di,t
2
t∙ di,k
2 −( di,k
t
k=1 )2t
k=1
(11)
Where Se is formula (11) regression standard errors, using this result, can obtain εi,t+1and σi,t+1,then:
Whenεi,j > μi,j
+ m ∙ σi,j,bond I is overvalued;
Whenεi,j < μi,j
− m ∙ σi,j, bond I is undervalued.
The trading strategy is the same as the moving average method, but the confidence interval for the next phase of
the forecast results by sub m is 1.96 and 1.65 represent95% and 90% confidence intervals, respectively.
Under the premise of building a good trading strategy, trading rules is defined as follows: (1) in the 2010 any
weektrading,the first standardized bond portfolio was 100%; (2) when found a sell signal, sold all of the bond
portfolio; (3) the selling income funds and emergency interest part of a buy signal was found in the bond
investment, the remaining part of the investment in the inter-bank overnight lending market is surplus funds
invest in Shibor overnight interest rates. Moreover, it does not allow short selling and margin trading, taking
into account China's bond trading commission free, transaction cost is only every transaction amount of
0.0001%, equal to 0.01 percentage point, and the highest do not exceed 100 RMB, compared with the pricing
error is still small, so all the bonds easily can ignore the cost. So in this transaction strategy under the
combination of P weekly earnings can be expressed as formula:
ri
P
=
wi,t−1 ∙ Pi,t
nt−1
i=1 + NIC ∙ 1 +
1
360
∙ rt−1
MMY
+ Coupon
wi,t−1 ∙ Pi,t−1 + NIC
ni,t−1
i=1
− 1
In order to make the simulation trading more close to the actual transaction, this article provides that the
transaction duration is greater than one day, and then avoid the excess return of the accidental factors. In
addition, this paper will bond between the inter-bank bond index and the maturity of the portfolio as a
benchmark, which holds a combination of the current market in the current market by all the circulation of
treasury bonds, according to the weight of the weight of investment. Will be based on bond pricing error
exchange obtained from the expected return on the benchmark portfolio returns were compared before, this
paper introduces the period in more than 25 years of long-term bonds and sample concentration of bonds
constitute a new combination, to match the duration of the benchmark portfolio, so as to ensure that the pricing
error to construct the portfolio and benchmark portfolio based on has the same risk exposure, the two
combinations in the investment income is more reasonable.
Because this trading strategy involved in the model contain free parameters, such as moving average model of
lag order number k and the multiplier m, model and time sequence of multiplier m. Therefore, this paper will be
K were set for 10 days, 20 days, 30 days and 40 days, two trading signal model by m were set to 0.5, 1.5, 2 and
2.5 to test based on the pricing errors of the trading strategy of the validity and robustness. In addition, taking
into account the 2010 China inter-bank market flow of good bond number 57 and every bond should reflected in
the portfolio returns, so in this paper, the capital to limit the proportion of each bond funds portfolio for the total
5. Research on the Trading Strategy Based On Interest Rate Term Structure Change and Pricing Error
www.ijbmi.org 34 | Page
amount of investment is less than or equal to 2%, less than or equal to 3% and less than or equal to 4%, 2%
similar to etc. the combination weights, and higher than the 4% the proportion of investment will make money
and a few bonds and combination in the rest of the bond investment funds are 0, not only makes the portfolio
risk cannot be dispersed effectively, but also makes the most of the bond combination lost the meaning of
existence.
IV. Results
Using the bond market, which is a combination of the bond market of our country, the paper puts forward the
bond trading strategy to invest in the portfolio. Figure 1 and Figure 2 show that the design of the trading signals
in the moving average model can be compared with the yield of the benchmark portfolio. Obviously, whether
for bonds in inter-bank bond index or to buy and hold portfolio maturity, based on the moving average model is
constructed for the trading signals, the proportion of investment in a limited to 2%, 3% and 4% and lag period of
10 weeks, 20 weeks and 30 weeks of case can obtain excess return rate of, and for 40 weeks lag, excess return
rate is almost zero. This may be due to the lag period is too long, the trading signal insensitive with respect to
price changes.
Similarly, in figure 1, the multipliers were 0.5, 1.0, 1.5, 2.0 and 2.5 four cases, time series model by outward
prediction pricing errors and build the trading signals, the obtained income rate of more than buy and hold to
maturity and bonds in inter-bank bond index reached 11 basis points around.
Further, this paper uses sample concentrated only 57 of the national debt and 3 period to construct a new
combination in more than 25 years of national debt, matching buy and hold portfolio and bank debt bond index
two benchmark portfolio duration expires, which will be constructed in this paper combination and buy and hold
maturities and between bank debt and bond index portfolio risk in the same level. After every bond investment
ratio does not exceed 2% of the calculated the trading portfolio and benchmark portfolio in each period the
average investment proportion. Table 3 shows the combination is constructed in this paper respectively, and buy
and hold portfolio and bank debt bond index portfolio in duration matching under, the investment in 0-3 years,
3-7 years, 7 to 10 years and 10 years four time interval within the funds accounted for the proportion of total
investment.
Figure 1.Moving average model with respect to the excess return of buying and holding maturity portfolio
Figure 2.The excess return of the moving average model with respect to the Treasury bond index
-0.02%
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
2%
3%
4%
-0.02%
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
2%
3%
4%
6. Research on the Trading Strategy Based On Interest Rate Term Structure Change and Pricing Error
www.ijbmi.org 35 | Page
Figure 3.Excess returns relative to the buying and holding maturity portfolio and the Treasury bond index
Table 3.Average investment share of each term in the portfolio
Average investment ratio 0-3 years 3-7 years 7-10 years >10 years
Portfolio combined with buy-and-hold maturing duration matching
moving average 9.87% 43.26% 22.67% 24.20%
time series 8.92% 41.37% 22.89% 26.82%
Buy and hold maturity 11.23% 38.55% 18.98% 31.24%
Portfolio combined with debt in the inter-bank bond index duration matching
moving average 7.78% 40.69% 28.74% 22.79%
time series 6.69% 42.63% 24.51% 26.17%
China Interbank Government Bond
Index
6.59% 43.61% 26.67% 23.13%
Obviously, the combination of moving average model and time series model has a certain degree of investment
in each period, not only to invest in short-term treasury bonds or long-term treasury bonds. However, due to the
composition of the bond index portfolio does not contain 1 year bonds, thus resulting in the debt ratio of the
inter-bank bond index portfolio in the 0-3 year period is relatively small. This fully shows that the bond pricing
error does contain is not incorporated into the pricing model of effective information, because for any one of the
bonds, the effective information of the market are the same, so any one of the bond pricing errors inevitably
contain effective market information, therefore short-term bonds, medium-term notes and long-term bond
pricing error among are effective market information, and only the market information to any of the role of the
market in different period of bond prices, such as the popular and other factors can only cause market in
particular maturity of the bond pricing of the existence of bias. So, it is certain that the Chinese government
bond pricing error contains effective economic information, and based on this effective information to build a
reasonable trading strategy, can get the excess return.
V. Conclusion And Suggestion
The China inter-bank bond market the bond transaction data information, the term structure of interest rate
estimation is obtained by McCulloch cubic spline model and Svensson model and on the basis of China's bond
market price and the theoretical price for bond pricing error. After respectively pricing errors to construct bond
trading strategies based on and through the China Securities simulated investment income by moving average
model and time series model, this paper finds that China inter-bank bond market the bond pricing error contains
effective economic information, radicals and on a combination of bond pricing error structure appropriate
trading can obtain about 11 basis points of the annual excess return rate.
According to the analysis process and the conclusion, this paper puts forward the following several suggestions:
first, as soon as possible to improve the bond market system of China, the end of China's bond market
segmentation phenomenon, thereby increasing the various types of bond liquidity; second, the implementation
of the bond arbitrage access policy, under the premise of the pricing mechanism is not perfect, through the bond
arbitrage mechanism market information will be reflected fully, improve the market is effective.
-0.02%
-0.01%
0.00%
0.01%
0.02%
0.03%
0.04%
0.05%
0.06%
0.5 1.0 1.5 2.0 2.5
2%
3%
4%
-0.02%
-0.01%
0.00%
0.01%
0.02%
0.03%
0.04%
0.05%
0.5 1.0 1.5 2.0 2.5
2%
3%
4%
7. Research on the Trading Strategy Based On Interest Rate Term Structure Change and Pricing Error
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