We present an optimization model for analysis of system development for natural gas fields, processing and transport infrastructure. In this paper we present our experience from performing analyses ...for the natural gas industry with the optimization model. We also present a model extension in the form of continuous investment decisions. This extension allows the capacity in pipelines, processing facilities and compressors to be determined within a given range by the model. We also give a partial model description along with a case example that demonstrates the importance of using continuous investment decisions when considering design in natural gas systems.
O presente estudo analisa a interface entre dois campos disciplinares: finanças e pesquisa operacional. Nesse sentido integra duas abordagens de análise de investimentos – técnica e fundamental, bem ...como as preocupações de um investidor no momento de alocação de recursos em uma estratégia de investimento em ações do tipo Buy & Hold. De caráter exploratório e descritivo, o estudo utiliza como instrumento de intervenção a Metodologia Multicritério de Apoio à Decisão (MCDA). Como resultados, ficou evidenciado que o instrumento de intervenção utilizado, aliado à uma estratégia de investimentos pré-definida, foi capaz de suportar o decisor no momento de alocação de recursos, gerando uma rentabilidade de 25.14% no acumulado, contra uma rentabilidade negativa de -13.41% do IBOVESPA no mesmo período. Com o objetivo de conferir a robustez dos resultados, foram realizadas regressões do mode-lo CAPM tanto com dados semanais quanto diários, sendo que o teste t realizado nos coeficientes da regressão se mostrou significativo à 1% para o retorno anormal dos dados semanais e à 0.1% para o retorno anormal dos dados diários, além disso, a estatística t foi positiva nos dois casos, indicando a presença de um retorno anormal positivo, ou seja, a carteira aqui proposta superou o seu benchmark.
The present study analyzes the interface between two disciplinary fields - finance and operational research. In this sense, it integrates two approaches to investment analysis - fundamental and technical, as well as an investor’s concern at the time of resources allocation in a Buy & Hold investment strategy. The study uses the Multicriteria Decision Aid (MCDA) as an instrument of intervention. As for results, it was evident that the instrument of intervention used, together with a pre-defined investment strategy, was able to support the decision maker at the time of allocation of resources, generating an accumulated return of 25.14 % in the period, compared with a negative return -13.41% of the Bovespa index in the same period. In order to check the robustness of results, regressions were performed with both the CAPM model as daily and weekly data, and the t test performed on the coefficients of the regression was significant at 1% for the abnormal return of weekly data and 0.1% for the return of abnormal daily data; in addition, the t-statistic was positive in both cases, indicating the presence of abnormal positive feedback, i.e., the portfolio proposed here outperformed its benchmark.
Este estudio analiza la relación entre dos disciplinas, a saber, las finanzas y la investigación operativa. En consecuencia, integra dos enfoques para el análisis de inversiones - fundamental y técnica-, así como las preocupaciones de un inversionista en el momento de la asignación de los recursos, con el fin de analizar los resultados de una estrategia de inversión en acciones Buy & Hold. El estudio utiliza como herramienta de intervención el MCDA (Ayuda a la Decisión Multicriterio). Como hallazgos, se hizo evidente que el instrumento de intervención utilizado, junto con una estrategia de inversión previamente definidos, fue capaz de apoyar la toma de decisiones en el momento de la asignación de los recursos, generando una rentabilidad del 25.14% en el año, frente a una rentabilidad negativa -13.41% del índice Bovespa en el mismo período. Con el fin de comprobar la solidez de los hallazgos, las regresiones se realizaron con el CAPM tanto como datos de diario y semanal, y la prueba de la t realizada en los coeficientes de la regresión fue significativa al 1% para el rendimiento anormal de los datos semanales y 0.1% para el rendimiento anormal de los datos diarios, además, la estadística t fue positiva en ambos casos, lo que indica la presencia de retroalimentación positiva anormal, es decir, la cartera propuesta aquí batió a su referencia.
The present study analyzes the interface between two disciplinary fields - finance and operational research. In this sense, it integrates two approaches to investment analysis - fundamental and ...technical, as well as an investor's concern at the time of resources allocation in a Buy & Hold investment strategy. The study uses the Multicriteria Decision Aid (MCDA) as an instrument of intervention. As for results, it was evident that the instrument of intervention used, together with a pre-defined investment strategy, was able to support the decision maker at the time of allocation of resources, generating an accumulated return of 25.14 % in the period, compared with a negative return -13.41% of the Bovespa index in the same period. In order to check the robustness of results, regressions were performed with both the CAPM model as daily and weekly data, and the t test performed on the coefficients of the regression was significant at 1% for the abnormal return of weekly data and 0.1% for the return of abnormal daily data; in addition, the t-statistic was positive in both cases, indicating the presence of abnormal positive feedback, i.e., the portfolio proposed here outperformed its benchmark.
O presente estudo analisa a interface entre dois campos disciplinares: finanças e pesquisa operacional. Nesse sentido integra duas abordagens de análise de investimentos - técnica e fundamental, bem como as preocupações de um investidor no momento de alocação de recursos em uma estratégia de investimento em ações do tipo Buy & Hold. De caráter exploratório e descritivo, o estudo utiliza como instrumento de intervenção a Metodologia Multicritério de Apoio à Decisão (MCDA). Como resultados, ficou evidenciado que o instrumento de intervenção utilizado, aliado à uma estratégia de investimentos pré-definida, foi capaz de suportar o decisor no momento de alocação de recursos, gerando uma rentabilidade de 25.14% no acumulado, contra uma rentabilidade negativa de -13.41% do IBOVESPA no mesmo período. Com o objetivo de conferir a robustez dos resultados, foram realizadas regressões do modelo CAPM tanto com dados semanais quanto diários, sendo que o teste t realizado nos coeficientes da regressão se mostrou significativo à 1% para o retorno anormal dos dados semanais e à 0.1% para o retorno anormal dos dados diários, além disso, a estatística t foi positiva nos dois casos, indicando a presença de um retorno anormal positivo, ou seja, a carteira aqui proposta superou o seu benchmark.
Este estudio analiza la relación entre dos disciplinas, a saber, las finanzas y la investigación operativa. En consecuencia, integra dos enfoques para el análisis de inversiones - fundamental y técnica-, así como las preocupaciones de un inversionista en el momento de la asignación de los recursos, con el fin de analizar los resultados de una estrategia de inversión en acciones Buy & Hold. El estudio utiliza como herramienta de intervención el MCDA (Ayuda a la Decisión Multicriterio). Como hallazgos, se hizo evidente que el instrumento de intervención utilizado, junto con una estrategia de inversión previamente definidos, fue capaz de apoyar la toma de decisiones en el momento de la asignación de los recursos, generando una rentabilidad del 25.14% en el año, frente a una rentabilidad negativa -13.41% del índice Bovespa en el mismo período. Con el fin de comprobar la solidez de los hallazgos, las regresiones se realizaron con el CAPM tanto como datos de diario y semanal, y la prueba de la t realizada en los coeficientes de la regresión fue significativa al 1% para el rendimiento anormal de los datos semanales y 0.1% para el rendimiento anormal de los datos diarios, además, la estadística t fue positiva en ambos casos, lo que indica la presencia de retroalimentación positiva anormal, es decir, la cartera propuesta aquí batió a su referencia.
The information and communication technology (ICT) industry is one of the most capital intensive among the high-technology industries. ICT business analysis, especially after the industry ...deregulation, has become a difficult task. Traditional quantitative cost-benefit analysis concerning investment decisions is by no means sufficient for capturing the complexity of the problem in its entirety. This work combines quantitative and qualitative analyses for modeling competitive interactions between players in the ICT business field. The proposed decision analysis model combines real options, game theory, and analytic hierarchy process for analyzing ICT business alternatives under the threat of competition. The proposed model is applied to a real broadband technology business case, showing how it can be formulated and solved.
A passive keyless entry and start (PKES) system is an electronic lock for an automobile that provides the great convenience of opening the door when the user is in proximity. However, the system ...suffers from relay attacks. Recent studies revealed that relayed signals result in valid packets that are sufficient to unlock doors. In particular, the adversary causes proximity errors by injecting a certain time delay before relaying to manipulate the phase rotation in the response signal. To this end, we present a novel relay-resilient proximity detection solution, BackProx, which uses pseudo-random frequency hopping with the assistance of a reference backscattering device. Since the relay adversary transmits the relayed signals from the key fob at long distances, the signals should propagate over longer distances, resulting in inevitable significant phase rotation with different frequencies. Inspired by this finding, BackProx uses an additional backscattering device to ensure the proximity of the key fob using the invariant characteristics of radio frequency signals in the physical layer (i.e., phase rotation). Our evaluation demonstrates the effectiveness of BackProx in resisting three types of relay attacks. The results show that it achieved a 98% true positive rate at close range and a 0.3% false positive rate at long range.
Arbitraging Japan Miyazaki, Hirokazu
2013., 20121202, 2013, 2013-01-01, 20130101
eBook
For many financial market professionals worldwide, the era of high finance is over. The times in which bankers and financiers were the primary movers and shakers of both economy and society have come ...to an abrupt halt. What has this shift meant for the future of capitalism? What has it meant for the future of the financial industry? What about the lives and careers of financial operators who were once driven by utopian visions of economic, social, and personal transformation? And what does it mean for critics of capitalism who have long predicted the end of financial institutions? Hirokazu Miyazaki answers these questions through a close examination of the careers and intellectual trajectories of a group of pioneering derivatives traders in Japan during the 1990s and 2000s.
This paper introduces the global mixed-integer quadratic optimizer, GloMIQO, a numerical solver addressing mixed-integer quadratically-constrained quadratic programs to epsilon-global optimality. The ...algorithmic components are presented for: reformulating user input, detecting special structure including convexity and edge-concavity, generating tight convex relaxations, partitioning the search space, bounding the variables, and finding good feasible solutions. To demonstrate the capacity of GloMIQO, we extensively tested its performance on a test suite of 399 problems of diverse size and structure. The test cases are taken from process networks applications, computational geometry problems, GLOBALLib, MINLPLib, and the Bonmin test set. We compare the performance of GloMIQO with respect to four state-of-the-art global optimization solvers: BARON 10.1.2, Couenne 0.4, LindoGLOBAL 6.1.1.588, and SCIP 2.1.0. Keywords Mixed-integer quadratically-constrained quadratic programs * Numerical optimization software * Mathematical programming reformulations * Branch-and-bound global optimization
In this paper, we construct a new class of convex functions, so-called generalized n-polynomial p-convex functions. We investigate their algebraic properties and provide some relationships between ...these functions and other types of convex functions. We establish Hermite–Hadamard (H–H) inequality for the newly defined class of functions. Additionally, we derive refinements of H–H inequality for functions whose first derivatives in absolute value at certain power are generalized n-polynomial p-convex. When p=−1, our definition evolves into a new definition for the class of convex functions so-called generalized n-polynomial harmonically convex functions. The results obtained in this study generalize regarding those found in the existing literature. By extending these particular types of inequalities, the objective is to unveil fresh mathematical perspectives, attributes and connections that can enhance the evolution of more resilient mathematical methodologies. This study aids in the progression of mathematical instruments across diverse scientific fields.
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