Neuro-fuzzy (NF) decision-making technology is designed and implemented to obtain the optimal daily currency trading rule. We find that a non-linear artificial neural network (ANN) exchange rate microstructure model combined with a fuzzy logic controller (FLC) generates a set of trading strategies that, on average, earn a higher rate of return compared to the simple buy-and-hold strategy. We al...

This paper examines the risk-return trade-off in Spain during the last 15 years. The study is developed in a multi-factor framework where not only the market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be obtained if a n...

When our two eyes view incongruent images, we experience binocular rivalry: An ongoing cycle of dominance periods of either image and transition periods when both are visible. Two key forces underlying this process are adaptation of and inhibition between the images' neural representations. Models based on these factors meet the constraints posed by data on dominance periods, but these are not ...

Objective: ANEEL, the Brazilian National Electric Energy Agency, regularly renews its tariff model to remunerate electricity transmission service operators. This study focuses on conceded rate of return operators’ regulatory capital. We aim contribute methodological improvement regulator’s approach in future reviews by focusing issues concerning calculation this key figure.Method: critically re...

Stochastic dominance is theoretically superior to mean-variance (MV) analysis because it considers the entire return distribution and is based on minimally restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally based assets to a wholly domestic portfolio generates diversification benefits for an investor. In contrast to...

Extreme, or “rogue,” waves are those in the tail of the probability distribution and are a matter of great concern and considerable research. They may be partly associated with non-Gaussian behavior caused by resonant nonlinear interactions. Here it is shown that even in a Gaussian sea, “unexpected” waves, in the sense of, for example, waves twice as large as any in the preceding 30 periods, oc...

In this paper, we propose the stochastic programming (SP) model with risk measure conditional value at risk (CVaR) for investing stocks in Taiwan stock market. In each period of investment, 200 scenarios are generated for solving SP, and the CVaR is utilized to manage the risk. The experiment interval starts from 2005/1/1 and ends on 2013/12/31, which has totally 2235 trading periods. The exper...

In his seminal work, Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that incorporating the well-established time-varying return dynamics across trading and nontrading periods can produce a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisin...

estimation of the magnitude and frequency of maximum instantaneous discharges and hydrographs are used for a variety of purposes, such as the design of bridges, culverts, flood-control structures; and the management and regulation of floodplains. fuller (1914), developed a flood-frequency formula based on analysis of flood peaks in hundred of streams to provide simple methods of estimating maxi...