Showing papers by "National Chengchi University published in 1998"

Forecasting S&P 500 stock index futures with a hybrid AI system

Abstract: This study presents a hybrid AI (artificial intelligence) approach to the implementation of trading strategies in the S&P 500 stock index futures market The hybrid AI approach integrates the rule-based systems technique and the neural networks technique to accurately predict the direction of daily price changes in S&P 500 stock index futures By highlighting the advantages and overcoming the limitations of both the neural networks technique and rule-based systems technique, the hybrid approach can facilitate the development of more reliable intelligent systems to model expert thinking and to support the decision-making processes Our methodology differs from other studies in two respects First, the rule-based systems approach is applied to provide neural networks with training examples Second, we employ Reasoning Neural Networks (RN) instead of Back Propagation Networks Empirical results demonstrate that RN outperforms the other two ANN models (Back Propagation Networks and Perceptron) Based upon this hybrid AI approach, the integrated futures trading system (IFTS) is established and employed to trade the S&P 500 stock index futures contracts Empirical results also confirm that IFTS outperformed the passive buy-and-hold investment strategy during the 6-year testing period from 1988 to 1993

Differential Valuation Implications of Loan Loss Provisions Across Banks and Fiscal Quarters

Abstract: Prior research has found that loan loss provisions are positively associated with bank stock returns and future cash flows, conditional on less discretionary information about loan default. We find that these positive valuation implications obtain only for loan loss provisions for low regulatory capital banks in the fourth fiscal quarter. Our regulatory capital-based tests are motivated by the idea that increased discretionary loan loss provisions are plausibly good news only for banks which appear to have loan default risk problems based on prior information. Our fiscal quarter tests are motivated by findings in prior literature that suggest that managers have incentives to delay income decreasing accruals until the fourth quarter when the audit occurs, implying that income decreasing accruals are more likely and therefore more expected in the fourth quarter than in other fiscal quarters (Mendenhall and Nichols, 1988 and Boyd, et al., 1994).

Career Trajectories and Older Men's Retirement

Abstract: The idea of a long and stable career rewarded by retirement is a fixture of the American social ethos and political economy. The paradox is that many Americans' careers do not fit this image. Here, we examined how the structure of the career, as compared to only those circumstances proximate to retirement, is important for understanding career endings. Based on labor force histories drawn from the National Longitudinal Survey of Older Men, we observed that the occupational roles held through the mid and late career combine additively to influence retirement and disability experiences, with different conditions of work coming into play depending on the career stage. Occupational roles in the mid career also have long-term, indirect effects, operating through the onset of health problems and the adequacy of pension benefits. Although retirement and disability are not hinged to occupational mobility per se, these career endings are sensitive to major discontinuities in the career and work role in terms of unemployment and labor force mobility.

The Determinants of Foreign Exchange Rate Exposure: Evidence on Japanese Firms

Abstract: This paper characterizes the exchange rate exposures of Japanese firms and their determinants for different return horizons. Japanese firms' equity returns decrease as the yen depreciates. Furthermore, Japanese firms are more adversely affected by yen depreciation if they are in industries with higher imports ratios and in the non-traded industries and less detrimentally affected if they are in industries with higher exports. We also control the effects of hedging on exposure. Firms with high leverage, low liquidity and high cash dividends have high exposures. For the 1 month return horizon smaller firms have smaller exposures, while for the longer-return horizons larger firms have smaller exposures.

Aggregated Needs and the Location Choice of Households in Taipei

Abstract: This paper examines the impact of aggregated needs of household members on the choice of housing location in Taipei, Taiwan, using a sample of 11,191 households and information collected from the 1990 Census of Population and Housing. Our results indicate that the choice of housing location is sig nificantly affected impacted by the age, family origin, past housing location, education and occupation status, and the location of the workplaces of both spouses. We also find that this decision is more significantly influenced by the attributes of the male spouse than the female. However, among the households with a female household head, the female spouse characteristics are more likely to be significant. Our results also offer a snapshot of today’s Taiwanese culture and shows that it is dramatically different from the commonly believed male-dominated traditional Chinese culture.

International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets

Abstract: Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Our results generally indicate that (1) the degree of interdependence among national stock markets has increased substantially after the 1987 stock market crash, (2) the U.S. market plays a dominant role of influencing the Pacific-Basin markets, (3) Japan and Singapore together have a significant persistent impact on the other Asian markets, and (4) the markets in Taiwan and Thailand are not efficient in processing international news.

Incremental 3D collision detection with hierarchical data structures

Abstract: 3D collision detection is the most time-consuming component of many geometric reasoning applications. Any improvements on the efficiency of the collision detection module may have a great impact on the overall performance of these applications. Most efficient collision detection algorithms in the literature use some sort of hierarchical bounding volumes, such as spheres or oriented bounding boxes, to reduce the number of calls to expensive collision checks between polygons. In this paper, we propose an incremental scheme that takes advantage of spatial coherence to improve the performance of this class of algorithms. Experiments have been conducted on a sphere-tree structure for several moving objects. Consistent improvements ranging from 70 to 90 percents were observed. These numbers are actually very close to the theoretical upper bound for such improvements. 1.1 Keywords

Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market

Abstract: The relationship among daily stock return autocorrelation, trading volume, and price limits are investigated in this paper. Twenty-four Taiwan individual stocks are adopted here. We found that increasing the volume reduces the daily autocorrelation for nearly half of the stocks. This negative volume effect is contrary to the positive price-limit effect, which strengthens the autocorrelation. We use OLS, generalized autoregressive conditional heteroscedasticity (GARCH) and generalized method of moment (GMM) to investigate the sensitivity of the estimation results. Our results display robustness across estimation methods.

Retrospective and prospective voting in a one-party- dominant democracy: Taiwan’s 1996 presidential election

Abstract: Several theories of voting behavior suggest that voters evaluate candidates in an election based on the candidates; past performance and future promise. There is a dispute in the theory and ambiguity in empirical evidence about which direction voters look when choosing candidates: do voters weigh past performance or future promise more heavily in the voting booth? This paper contributes empirical support to the prospective voting model by testing both retrospective and prospective voting in a pivotal case: the 1996 Taiwan presidential election. Taiwan's 1996 election represents the first popular election of the president from a field of candidates that included the long-ruling KMT party incumbent, Lee Tent-hui. In the Taiwan presidential election, voter evaluations of Lee's prospects for managing the economy in the future prove statistically significant as a predictor of voter choice. Voter evaluations of recent economic conditions do not appear closely related to voter choice. Voters; perceptions of the candidates; abilities to influence ethnic relations, domestic safety, and international security are better predictors of the vote than past ethnic relations or past security problems, even in the face of Communist China's pre-election aggression toward Taiwan.

Performance Measure and Resource Expenditure Choices in a Teamwork Environment: The Effects of National Cultural

Abstract: The study investigated the effects of individualistic and collectivist cultures (represented by U.S. and Chinese nationals residing in Taiwan, respectively) on individuals' decisions in a team-based working setting. The findings of a laboratory experiment indicated that only the U.S. subjects chose more team-based performance measures when they perceived a higher level of task interdependence. Holding constant the level of perceived task interdependence, the U.S. subject selected more team-based performance measures compared to their Chinese counterparts, contrary to expectations. Holding constant both the performance measure and perceived task interdependence, the U.S. subjects made greater self sacrifices in favor of the team, again contrary to what was expected. Further analysis of subjects' responses revealed that the U.S. subjects were concerned more than Chinese subjects about their own and their teammates' individualistic tendencies. Therefore, they selected performance measures that restricted themselves and their co-workers, and made resource expenditure decisions that promoted team-oriented behavior.

Economic statistical design of S control charts using Taguchi loss function

Abstract: An economic statistical design approach takes statistical properties into account while designing control charts economically. It improves both statistical design and economic design. In this paper, we present a statistically constrained economic model for the optimal design of S control chart for controlling process variability. In the model, the process quality can be affected by an assignable cause resulting in a shift of the variance of the distribution of output when it is operating according to its capability. The parameters are obtained by minimizing a total cost function proposed by Lorenzen and Vance, which is embellished with Taguchi loss function, subject to additional statistical constraints on average run length or average time‐to‐signal (ATS). Sensitivity analysis of the minimum cost will be performed to depict the effect of the choice of ATS bounds.

Dynamics of Taiwan-Mainland China Economic Relations: The Role of Private Firms

Abstract: This article examines Taiwan's economic statecraft toward the People's Republic of China (PRC) and the role of the business community in cross-strait economic interactions. It argues that the realist perspective on economic statecraft cannot fully explain the current political economy between Taiwan and mainland China. The realist school of thought on international political economy argues that states are the only meaningful actors in the world economy. In an anarchic international society, relative gains in wealth and power are the goals of those actors. The structure of bilateral power, either in political or economic terms, determines the "winners" and "losers" in the international arena. Foreign trade and investment policies can thus be utilized as instruments to enhance national interests. The policy implication following from this analysis is that coercive and exchangeoriented "economic statecraft," such as economic aid sanctions, should be based on a careful calculation of foreign policy goals. From this perspective, economic interaction between Taiwan and mainland China would be used to serve political purposes. If the state can effectively control the tempo of and trends in economic interaction, trade and investment can be greatly reduced or expanded according to the policy makers' political judgment. However, research on economic statecraft shows that such coercive tactics as sanctions do not work well after such new actors as non-governmental organizations (NGOs) and multinational corporations (MNCs) have appeared.' A home country government cannot easily influence corporations

QoS routing in multihop packet radio environment

Abstract: We present a method to compute the path bandwidth for the DSDV (destination-sequenced distance-vector) based routing algorithm. The addressed network does not necessarily have a cellular structure and could have no fixed infrastructure. This network can be either stand-alone, or connected to the wired network. Each mobile station has to relay packets for others, thus achieving multihop routing. To calculate the available bandwidth of a path in this environment, it is incorrect to simply compute the minimum bandwidth of the links along the path. There are two crucial steps in the path bandwidth computation process of this multihop environment: (1) intersecting the sets of common free slots of two adjacent links, and (2) dividing the intersection for the adjacent links to share. We present two bandwidth computation rules including the half rule and the floating rule. Numerical results are given to evaluate the performance of applying these rules to the DSDV-based QoS routing algorithm.

Oscillation in Nonlinear Difference Equations

Abstract: In this paper, we shall discuss oscillatory behavior of the solutions of difference equations, including the self-adjoint second-order linear equation and the discrete version of the nonlinear wave equation. Our work is to give sufficient conditions such that every nontrivial solution of the equations oscillates.

Optimal process control for multiple dependent subprocesses

Abstract: A renewal theory approach is proposed to derive the cost model for multiple dependent subprocesses. The optimal individual Y control chart and multiple cause-selecting control chart are thus constructed to monitor the overall product quality and specific product quality contributed by the multiple dependent subprocesses. They can be used to maintain the process with minimum cost and effectively distinguish which component of the subprocesses is out of control. The optimal design parameters of the proposed control charts can be determined by minimizing the cost model using a simple grid search method. An example is given to illustrate the application of the optimal individual Y control chart and multiple cause-selecting control chart. © 1998 John Wiley & Sons, Ltd.

Television coverage of the 1995 legislative election in Taiwan: Rise of cable television as a force for balance in media coverage

Abstract: This research examines how television reported the campaign, parties, and candidates during the 1995 Legislative Election in Taiwan. Results of this study showed that state‐owned broadcast television stations were far more likely than privately owned cable television channels to give greater coverage to the ruling party and its candidates, to use ruling party officials as news sources, and to offer more news coverage favorable to the ruling party than to other parties. We conclude that cable television has become a force for balance in coverage, diluting a pervasive pro‐government party bias. The rise of cable television from virtual “outlaw” status to government‐licensed status appears to have responded to a more liberal society and made a contribution to the development of democracy, as have the expanded elections themselves.

Using Genetic Algorithms to Simulate the Evolution of an Oligopoly Game

Abstract: This paper extends the N-person IPD game into a more interesting game in economics, namely, the oligopoly game. Due to its market share dynamics, the oligopoly game is more complicated and is in general not an exact N-person IPD game. Using genetic algroithms, we simulated the oligopoly games under various settings. It is found that, even in the case of a three-oligopolist (three-player) game, collusive pricing (cooperation) is not the dominating result.

A database application generator for the www

Abstract: This paper describes a database application generator for the WWW called GWB. GWB contains a compact language that adds control structures and database access constructs to HTML, a compiler that translates HTML‐like source templates into ODBC code and utilities for authentication and session management. It is designed to ease the expertise requirement needed for developing Web‐based intranet and internet database applications. This paper surveys the current approaches; describes the language and its support for authentication and session management; and gives an internet application using GWB. This paper also discusses future enhancement in terms of persistent database connections and server‐side client state persistency.

Interface comparisons: SSA versus FC-AL

Abstract: The serial storage architecture and fibre channel-arbitrated loop interfaces offer a simple cabling system, higher bandwidth, the ability to connect more than 100 disks, fault tolerance, and fair accesses on the channel. This article investigates the performance of these two emerging serial storage interfaces for fairness, latency, overhead and aggregate throughput under various traffic loads.

Filtered-Variate Prior Distributions for Histogram Smoothing

Abstract: We develop prior distributions for histogram inference favoring smooth population frequencies; that is, probability vectors with small differences for neighboring categories. We give a theory of prior-random probability vectors representable as a linear transform, or “filter,” of a standard random probability vector, or equivalently, a random weighted average of nonrandom smooth probability vectors. Promising methods of prior assessment are given based on elicitation of a list of typically smooth probability vectors, the empirical moments of which can then be matched by the mean vector and variance matrix of a constructed continuous-type filtered-variate prior distribution.

Petri nets for performance modelling study of client-server systems

Abstract: Client-server computing provides many corporations with the ability to build scalable, adaptive and cost-effective information systems. However, to design and implement an effective client-server system is not an easy job. The complexity due to the inherent heterogeneity in client-server platforms makes the performance evaluation an important issue. The main purpose of this paper is to provide an analytical model to evaluate the performance of a client-server system before it is implemented. It is shown in this paper that the Petri net model is a powerful technique used to study the client-server system performance. Besides using a numerical example to illustrate the solution procedure of the Petri net model, a case study is also given to show the applicability of the developed analytical model. This research concludes that, with the assistance of some software packages, the Petri nets are very useful tools for the information system manager to analyse a client-server system and to decide the appropriate ...

Genetic Programming in the Overlapping Generations Model: An Illustration with the Dynamics of the Inflation Rate

Abstract: In this paper, genetic programming (GP) is employed to model learning and adaptation in the overlapping generations model, one of the most popular dynamic economic models. Using a model of inflation with multiple equilibria as an illustrative example, we show that our GP-based agents are able to coordinate their actions to achieve the Pareto-superior equilibrium (the low-inflation steady state) rather than the Pareto-inferior equilibrium (the high-inflation steady state). We also test the robustness of this result with different initial conditions, economic parameters, and GP control parameters.

Optimal Local Exchange Carrier Size

Abstract: Optimal firm size and patterns of returns to scale among the local exchange companies in the U.S. telecommunications industry are estimated for the years: 1975, 1978, 1981, 1984, 1987 and 1990. The independent companies display increasing returns to scale, while the Baby Bells display constant or decreasing returns to scale. The independent companies operate at a scale smaller than optimal size, while the Baby Bells operate at a scale greater than optimal size. Efficiencies can be gained by industry restructuring, by allowing independents to expand their size while the Baby Bells can be downsized to create smaller units.

Foreign Direct Investment and Tax Competition in Southeast Asia

Abstract: Foreign direct investment (FDI) is a unique form of international capital movement because it finances the construction of plant and equipment and also transfers technology and management skills from one country to another. Most developing countries use a variety of tax policies in an attempt to encourage investment and to Channel this investment into areas that are considered national priorities. The study of the impact of tax policy on FDI can have significant policy relevance. If FDI is not responsive to tax advantages offered by the host country, the foregone tax revenues represent a windfall loss that have to be made up by raising other, likely distortionary, taxes in the host country. If inward FDI is sensitive to the host country’s tax policies then policy design should attempt to strike a balance between foregone revenues and the benefits derived from capital technology and know-how transfers and future increases in tax base and revenues. Whether or not FDI is responsive to host country tax inducements also depends on the tax policies of home countries and may also depend on the tax policies of competing host countries.1 Therefore, the host country’s design of tax policy also has to take into account home country tax policies and may have to take into account the tax policies of competing host countries.