Simulating the dynamics of silver market using computational market dynamics

Traditional econometric approaches in modeling the dynamics of equity and commodity markets, have, made great progress in the past decades. However, they assume rationality among the economic agents and and do not capture the dynamics that produce extreme events (black swans), due to deviation from the rationality assumption. The purpose of this study is to simulate the dynamics of silver markets by using the novel computational market dynamics approach. To this end, the daily data from the period of 1st March 2000 to 1st March 2013 of closing prices of spot silver prices has been simulated with the Jabłonska-Capasso-Morale(JCM) model. The Maximum Likelihood approach has been employed to calibrate the acquired data with JCM. Statistical analysis of the simulated series with respect to the actual one has been conducted to evaluate model performance. The model captures the animal spirits dynamics present in the data under evaluation well.

Modeling competencies and capabilities in knowledge intensive business environment

Tämän diplomityön päämääränä oli tutkia Perloksen teknologiaosaamisia. Perloksen tavoitteena on tulevaisuudessa yhdistää ja soveltaa uusia teknologioita ja älykkäitä materiaaleja muovimekaniikkaan.Ideana oli mallintaa Perloksen osaamisia ja osaamisgapeja ottaen huomioon heidän tulevaisuuden visionsa. Projektituotteena osaamisten mallintamisessa oli Perlos Healthcaren asiakkaan analysoiva mittauslaite. Tutkimuksen arvo on huomattava sillä tunnistamalla osaamisensa ja kyvykkyytensä yritys pystyy luomaan paremman tarjooman vastatessaan koko ajan kasvaviin asiakasvaatimuksiin. Tutkimus on osa TEKESin rahoittamaa LIIMA -projektia. Työn ensimmäisessä osassa esitellään osaamiseen ja partneroitumiseen liittyviä teorioita. Osaamisten mallintaminen tehtiin Excel -pohjaisella työkalulla. Se sisältää projektituotteeseen liittyen osaamisriippuvuuksien mallintamisen ja gap -analyysin. Yhtenä tutkimusmetodina käytettiin haastattelututkimusta. Työ ja sen tulokset antavat operatiivista hyötyä teknologioiden ja markkinoiden välisessä kentässä.

Analysis of outliers in electricity spot prices with exampleof New England and New Zealand markets

Electricity spot prices have always been a demanding data set for time series analysis, mostly because of the non-storability of electricity. This feature, making electric power unlike the other commodities, causes outstanding price spikes. Moreover, the last several years in financial world seem to show that ’spiky’ behaviour of time series is no longer an exception, but rather a regular phenomenon. The purpose of this paper is to seek patterns and relations within electricity price outliers and verify how they affect the overall statistics of the data. For the study techniques like classical Box-Jenkins approach, series DFT smoothing and GARCH models are used. The results obtained for two geographically different price series show that patterns in outliers’ occurrence are not straightforward. Additionally, there seems to be no rule that would predict the appearance of a spike from volatility, while the reverse effect is quite prominent. It is concluded that spikes cannot be predicted based only on the price series; probably some geographical and meteorological variables need to be included in modeling.

Stochastic particle models: mean reversion and burgers dynamics. An application to commodity markets

The aim of this study is to propose a stochastic model for commodity markets linked with the Burgers equation from fluid dynamics. We construct a stochastic particles method for commodity markets, in which particles represent market participants. A discontinuity in the model is included through an interacting kernel equal to the Heaviside function and its link with the Burgers equation is given. The Burgers equation and the connection of this model with stochastic differential equations are also studied. Further, based on the law of large numbers, we prove the convergence, for large N, of a system of stochastic differential equations describing the evolution of the prices of N traders to a deterministic partial differential equation of Burgers type. Numerical experiments highlight the success of the new proposal in modeling some commodity markets, and this is confirmed by the ability of the model to reproduce price spikes when their effects occur in a sufficiently long period of time.

Animal Spirits in Financial Markets: Agent-Based Model

In this work an agent based model (ABM) was proposed using the main idea from the Jabłonska-Capasso-Morale (JCM) model and maximized greediness concept. Using a multi-agents simulator, the power of the ABM was assessed by using the historical prices of silver metal dating from the 01.03.2000 to 01.03.2013. The model results, analysed in two different situations, with and without maximized greediness, have proven that the ABM is capable of explaining the silver price dynamics even in utmost events. The ABM without maximal greediness explained the prices with more irrationalities whereas the ABM with maximal greediness tracked the price movements with more rational decisions. In the comparison test, the model without maximal greediness stood as the best to capture the silver market dynamics. Therefore, the proposed ABM confirms the suggested reasons for financial crises or markets failure. It reveals that an economic or financial collapse may be stimulated by irrational and rational decisions, yet irrationalities may dominate the market.

Effects of cage size and obstructed view from cage on use of resting platforms by farmed silver foxes

Selostus: Häkin koon ja häkissä olevien näköesteiden vaikutus tarhattujen hopeakettujen makuuhyllyn käyttöön

Effect of the environment inside and outside the cage on the activity and behaviour test performance of silver foxes

Selostus: Kasvatushäkin ympäristön vaikutus hopeakettujen käyttäytymiseen

A conspectus on estimating function theory and its applicability to recurrent modeling issues in forest biometry

Summary

Seasonal changes in platform use by adult farmbred silver foxes (Vulpes vulpes)

Selostus: Aikuisten hopeakettujen hyllynkäytön vuodenaikaisvaihtelut

Modeling Forest Growth with Management Data: A Matrix Approach for the Italian Alps

Summary

Comparison of two breeding systems for timing of whelpings in farmed silver foxes

Selostus: Vertaileva tutkimus kahden paritusjärjestelmän vaikutuksista tarhattujen hopeakettujen penikoimisten ajoittumiseen