Relativistic time effects in financial dynamics

Financial time series have a complex dynamic nature. Many techniques were adopted having in mind standard paradigms of time flow. This paper explores an alternative route involving relativistic effects. It is observed that the measuring perspective influences the results and that we can have different time textures.

Complex dynamics of financial indices

This paper presents a novel method for the analysis of nonlinear financial and economic systems. The modeling approach integrates the classical concepts of state space representation and time series regression. The analytical and numerical scheme leads to a parameter space representation that constitutes a valid alternative to represent the dynamical behavior. The results reveal that business cycles can be clearly revealed, while the noise effects common in financial indices can elegantly be filtered out of the results.

Analysis of financial indices by means of the windowed Fourier transform

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

Fractional dynamics in financial indexes

The goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists. The methods and algorithms that have been explored for the description of physical phenomena become an effective background in the analysis of economical data. In this perspective are applied the classical concepts of signal analysis, Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional dynamical systems.

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Analysis of the domain of applicability of an algorithm for a resources system selection problem for Distributed/Agile/Virtual Enterprises integration

The process of resources systems selection takes an important part in Distributed/Agile/Virtual Enterprises (D/A/V Es) integration. However, the resources systems selection is still a difficult matter to solve in a D/A/VE, as it is pointed out in this paper. Globally, we can say that the selection problem has been equated from different aspects, originating different kinds of models/algorithms to solve it. In order to assist the development of a web prototype tool (broker tool), intelligent and flexible, that integrates all the selection model activities and tools, and with the capacity to adequate to each D/A/V E project or instance (this is the major goal of our final project), we intend in this paper to show: a formulation of a kind of resources selection problem and the limitations of the algorithms proposed to solve it. We formulate a particular case of the problem as an integer programming, which is solved using simplex and branch and bound algorithms, and identify their performance limitations (in terms of processing time) based on simulation results. These limitations depend on the number of processing tasks and on the number of pre-selected resources per processing tasks, defining the domain of applicability of the algorithms for the problem studied. The limitations detected open the necessity of the application of other kind of algorithms (approximate solution algorithms) outside the domain of applicability founded for the algorithms simulated. However, for a broker tool it is very important the knowledge of algorithms limitations, in order to, based on problem features, develop and select the most suitable algorithm that guarantees a good performance.

Market of resources for virtual enterprise integration

Most definitions of virtual enterprise (VE) incorporate the idea of extended and collaborative outsourcing to suppliers and subcontractors in order to achieve a competitive response to market demands (Webster, Sugden, & Tayles, 2004). As suggested by several authors (Browne & Zhang, 1999; Byrne, 1993; Camarinha-Matos & Afsarmanesh, 1999; Cunha, Putnik, & Ávila, 2000; Davidow & Malone, 1992; Preiss, Goldman, & Nagel, 1996), a VE consists of a network of independent enterprises (resources providers) with reconfiguration capability in useful time, permanently aligned with the market requirements, created to take profit from a specific market opportunity, and where each participant contributes with its best practices and core competencies to the success and competitiveness of the structure as a whole. Even during the operation phase of the VE, the configuration can change, to assure business alignment with the market demands, traduced by the identification of reconfiguration opportunities and continuous readjustment or reconfiguration of the VE network, to meet unexpected situations or to keep permanent competitiveness and maximum performance (Cunha & Putnik, 2002, 2005a, 2005b).

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Integration of e-learning systems with repositories of learning objects

This paper describes a communication model to integrate repositories of programming problems with other e-Learning software components. The motivation for this work comes from the EduJudge project that aims to connect an existing repository of programming problems to learning management systems. When trying to use the existing repositories of learning objects we realized that they are mainly specialized search engines and lack features for integration with other e-Learning systems. With this model we intend to clarify the main features of a programming problem repository, in order to enable the design and development of software components that use it. The two main points of this model are the definition of programming problems as learning objects and the definition of the core functions exposed by the repository. In both cases, this model follows the existing specifications of the IMS standard and proposes extensions to deal with the special requirements of automatic evaluation and grading of programming exercises. In the definition of programming problems as learning objects we introduced a new schema for meta-data. This schema is used to represent meta-data related to automatic evaluation that cannot be conveniently represented using the standard: the type of automatic evaluation; the requirements of the evaluation engine; or the roles of different assets - tests cases, program solutions, etc. In the definition of the core functions we used two different web services flavours - SOAP and REST - and described each function as an operation for each type of interface. We describe also the data types of the arguments of each operation. These data types consist mainly on learning objects and their identifications, but include also usage reports and queries using XQuery.

Integration of repositories in Moodle

Current Learning Management Systems focus on the management of students, keeping track of their progress across all types of training activities. This type of systems lacks integration with other e-Learning systems. For instance, learning objects stored in a centralized repository are unavailable throughout an organization for potential reuse. In this paper we present the interoperability features of crimsonHex - a service oriented repository of learning objects - highlighting the use of XML languages. Its nteroperability features are compliant with the existing standards and we propose extensions to the IMS interoperability recommendation, adding new functions, formalizing an XML message interchange and providing also a REST interface. To validate the proposed extensions and its implementation in crimsonHex we designed two repository plugins for Moodle 2.0, the first of which is already implemented and is expected to be included in the next release of this popular learning management system.

Using the learning tools interoperability framework for LMS integration in service oriented architectures

The LMS plays an indisputable role in the majority of the eLearning environments. This eLearning system type is often used for presenting, solving and grading simple exercises. However, exercises from complex domains, such as computer programming, require heterogeneous systems such as evaluation engines, learning objects repositories and exercise resolution environments. The coordination of networks of such disparate systems is rather complex. This work presents a standard approach for the coordination of a network of eLearning systems supporting the resolution of exercises. The proposed approach use a pivot component embedded in the LMS with two roles: provide an exercise resolution environment and coordinate the communication between the LMS and other systems exposing their functions as web services. The integration of the pivot component with the LMS relies on the Learning Tools Interoperability. The validation of this approach is made through the integration of the component with LMSs from two vendors.

Integration of e-portfolios in learning management systems

The LMS plays a decisive role in most eLearning environments. Although they integrate many useful tools for managing eLearning activities, they must also be effectively integrated with other specialized systems typically found in an educational environment such as Repositories of Learning Objects or ePortfolio Systems. Both types of systems evolved separately but in recent years the trend is to combine them, allowing the LMS to benefit from using the ePortfolio assessment features. This paper details the most common strategies for integrating an ePortfolio system into an LMS: the data, the API and the tool integration strategies. It presents a comparative study of strategies based on the technical skills, degree of coupling, security features, batch integration, development effort, status and standardization. This study is validated through the integration of two of the most representative systems on each category - respectively Mahara and Moodle.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

A fractional perspective to financial indices

The application of mathematical methods and computer algorithms in the analysis of economic and financial data series aims to give empirical descriptions of the hidden relations between many complex or unknown variables and systems. This strategy overcomes the requirement for building models based on a set of ‘fundamental laws’, which is the paradigm for studying phenomena usual in physics and engineering. In spite of this shortcut, the fact is that financial series demonstrate to be hard to tackle, involving complex memory effects and a apparently chaotic behaviour. Several measures for describing these objects were adopted by market agents, but, due to their simplicity, they are not capable to cope with the diversity and complexity embedded in the data. Therefore, it is important to propose new measures that, on one hand, are highly interpretable by standard personal but, on the other hand, are capable of capturing a significant part of the dynamical effects.