Előszó egy pénzügyi matematika tankönyvhöz = Preface to a textbook on financial mathematics

A szerző a pénzügyi válság kapcsán a pénzügyi matematikát ért kritikai észrevételekre próbál válaszolni. Megítélése szerint a pénzügyi matematika negatív hatása a magyarországi pénzügyi problémák esetében nem mutatható ki, ugyanis Magyarországon a pénzügyi döntések mindenfajta kvantitatív megalapozás nélkül, nagyrészt politikai alapon történtek, így a felelősséget is a politikát körülvevő gazdaságpolitikusoknak kell viselniük. A matematikai modellek legfőbb felhasználási területe nem a konkrét pénzügyi döntések megalapozásában, hanem sokkal inkább az oktatásban található. _____ The author discusses some critical observations about financial mathematics in connection with the financial crisis. In his view no negative effect of financial mathematics on Hungary's financial problems can be observed, since the financial decisions in Hungary were made without any kind of serious quantitative basis. The decisions were made mainly on political ground, so that the blame must go to economic politicians involved in that policy. The main area of application of mathematical models is not its application in specific financial decisions, but far more in the field of education.

A számviteli érdekhordozói elméletek evolúciója és a szabályozás – klasszikus tézisek és új irányok a pénzügyi beszámolásban (Evolution of the financial accounting stakeholder theories and the regulation – classic theses and new ways in the financial report)

A modernkori számvitel egyik alapvető kérdése, hogy a pénzügyi beszámolás címzettjét – az érdekhordozókat – miként lehet azonosítani. Ez a törekvés már a klasszikus, azóta meghaladottá vált elméletekben is központi szerepet töltött be és modern, posztmodern elméletekben kulcsfontosságúvá vált. A tapasztalatok alapján az azonosított érdekhordozók köre módosult, bővült. Ennek a fejlődésnek a vizsgálata során a számvitel számos olyan ismérvét sikerült azonosítani, amely segítségével a vonatkozó szabályok tökéletesíthetők. Emellett az evolúció vizsgálata segítségével közvetlenül is megfigyelhetővé vált az, hogy a számvitelt extern módon szabályozó hatalom szükségessége milyen feltételek teljesítése mellett igazolható. A vizsgálat során azonosíthatóvá váltak olyan helyzetek, amikor a számviteli szabályozó és „kívülről irányított” pénzügyi beszámolás szuboptimális helyzethez vezet. A cikk az érdekhordozói elméletek fejlődését a klasszikus felfogásoktól indulva mutatja be. Feltárja, hogy a modern – jelenleg elfogadott – koalíciós vállalatfelfogás miben hozott újat, elsősorban miként hívta életre az extern szabályozót. _____ One of the key problems of the modern financial accounting is how to define the stakeholders. This problem was already a key issue in the already outdated classical stakeholder theories. Research and experience noted that the group of stakeholders has widened and has been modified. Through this evolution researchers identified many characteristics of financial reporting through which the regulation could have been improved. This advance pointed out which are the situations when the existence of an extern accounting regulator may be justified, since under given circumstances this existence led to suboptimal scenario. This paper deals with the stakeholder theories, starting with the classical ones. The article points out how did the currently accepted theory changed the assertions of the previous one and how was the external regulator created as an inevitable consequence. The paper also highlights the main issues raised by the post-modern theories; those, which try to fit the current questions into the current stakeholder models. The article also produces a Hungarian evidence for the previously mentioned suboptimal scenario, where the not tax-driven regulation proves to be suboptimal.

Növelhető-e a csőd-előrejelző modellek előre jelző képessége az új klasszifikációs módszerek nélkül? (Can the predictive capacity of bankruptcy forecasting models be increased without new classification methods?)

A Bázel–2. tőkeegyezmény bevezetését követően a bankok és hitelintézetek Magyarországon is megkezdték saját belső minősítő rendszereik felépítését, melyek karbantartása és fejlesztése folyamatos feladat. A szerző arra a kérdésre keres választ, hogy lehetséges-e a csőd-előrejelző modellek előre jelző képességét növelni a hagyományos matematikai-statisztikai módszerek alkalmazásával oly módon, hogy a modellekbe a pénzügyi mutatószámok időbeli változásának mértékét is beépítjük. Az empirikus kutatási eredmények arra engednek következtetni, hogy a hazai vállalkozások pénzügyi mutatószámainak időbeli alakulása fontos információt hordoz a vállalkozás jövőbeli fizetőképességéről, mivel azok felhasználása jelentősen növeli a csődmodellek előre jelző képességét. A szerző azt is megvizsgálja, hogy javítja-e a megfigyelések szélsőségesen magas vagy alacsony értékeinek modellezés előtti korrekciója a modellek klasszifikációs teljesítményét. ______ Banks and lenders in Hungary also began, after the introduction of the Basel 2 capital agreement, to build up their internal rating systems, whose maintenance and development are a continuing task. The author explores whether it is possible to increase the predictive capacity of business-failure forecasting models by traditional mathematical-cum-statistical means in such a way that they incorporate the measure of change in the financial indicators over time. Empirical findings suggest that the temporal development of the financial indicators of firms in Hungary carries important information about future ability to pay, since the predictive capacity of bankruptcy forecasting models is greatly increased by using such indicators. The author also examines whether the classification performance of the models can be improved by correcting for extremely high or low values before modelling.

Financial aid and the persistence of associate of arts graduates transferring to a senior university

This study examined the effects of financial aid on the persistence of associate of arts graduates transferring to a senior university in one of four consecutive fall semesters (1998-2001). Situated in an international metropolitan area in the southeastern United States, the institution where the study was conducted is a large public research university identified as a Hispanic Serving Institution. Archival databases served as the source of information on the academic and social background of the 4,669 participants in the study. Data from institutional financial aid records were pooled with the data in the student administrative system.^ For purposes of this study, persistence was defined as ongoing progress until completing the baccalaureate degree. Student social background variables used in the study were gender, ethnicity, age, and income, with GPA and part-time or full-time enrollment status being the academic variables. Amount and type of aid, including grants, loans, scholarships, and work study were incorporated in the models to determine the effect of financial aid on the persistence of these transfer students. Because the dependent variable persistence had three possible outcomes (graduated, still enrolled, dropped out) multinomial logistic regression was the appropriate technique for analyzing the data; four multinomial models were employed in the analysis.^ Findings suggest that grants awarded based on the financial need of students and loans were effective in encouraging the persistence of students, but scholarships and work study were not effective.^

Frameworks for Systemic and Structural Analysis of Financial Innovations in Infrastructure

Financial innovations have emerged globally to close the gap between the rising global demand for infrastructures and the availability of financing sources offered by traditional financing mechanisms such as fuel taxation, tax-exempt bonds, and federal and state funds. The key to sustainable innovative financing mechanisms is effective policymaking. This paper discusses the theoretical framework of a research study whose objective is to structurally and systemically assess financial innovations in global infrastructures. The research aims to create analysis frameworks, taxonomies and constructs, and simulation models pertaining to the dynamics of the innovation process to be used in policy analysis. Structural assessment of innovative financing focuses on the typologies and loci of innovations and evaluates the performance of different types of innovative financing mechanisms. Systemic analysis of innovative financing explores the determinants of the innovation process using the System of Innovation approach. The final deliverables of the research include propositions pertaining to the constituents of System of Innovation for infrastructure finance which include the players, institutions, activities, and networks. These static constructs are used to develop a hybrid Agent-Based/System Dynamics simulation model to derive propositions regarding the emergent dynamics of the system. The initial outcomes of the research study are presented in this paper and include: (a) an archetype for mapping innovative financing mechanisms, (b) a System of Systems-based analysis framework to identify the dimensions of Systems of Innovation analyses, and (c) initial observations regarding the players, institutions, activities, and networks of the System of Innovation in the context of the U.S. transportation infrastructure financing.

Developing brownfields ranking models using decision analytic methods

The redevelopment of Brownfields has taken off in the 1990s, supported by federal and state incentives, and largely accomplished by local initiatives. Brownfields redevelopment has several associated benefits. These include the revitalization of inner-city neighborhoods, creation of jobs, stimulation of tax revenues, greater protection of public health and natural resources, the renewal and reuse existing civil infrastructure and Greenfields protection. While these benefits are numerous, the obstacles to Brownfields redevelopment are also very much alive. Redevelopment issues typically embrace a host of financial and legal liability concerns, technical and economic constraints, competing objectives, and uncertainties arising from inadequate site information. Because the resources for Brownfields redevelopment are usually limited, local programs will require creativity in addressing these existing obstacles in a manner that extends their limited resources for returning Brownfields to productive uses. Such programs may benefit from a structured and defensible decision framework to prioritize sites for redevelopment: one that incorporates the desired objectives, corresponding variables and uncertainties associated with Brownfields redevelopment. This thesis demonstrates the use of a decision analytic tool, Bayesian Influence Diagrams, and related decision analytic tools in developing quantitative decision models to evaluate and rank Brownfields sites on the basis of their redevelopment potential.

Surface velocity fields, digital elevation models, ice front positions and grounding line derived from remote sensing data at Dinsmoor-Bombardier-Edgeworth glacier system, Antarctic Peninsula (1992-2014)

The northern Antarctic Peninsula is one of the fastest changing regions on Earth. The disintegration of the Larsen-A Ice Shelf in 1995 caused tributary glaciers to adjust by speeding up, surface lowering, and overall increased ice-mass discharge. In this study, we investigate the temporal variation of these changes at the Dinsmoor-Bombardier-Edgeworth glacier system by analyzing dense time series from various spaceborne and airborne Earth observation missions. Precollapse ice shelf conditions and subsequent adjustments through 2014 were covered. Our results show a response of the glacier system some months after the breakup, reaching maximum surface velocities at the glacier front of up to 8.8 m/d in 1999 and a subsequent decrease to ~1.5 m/d in 2014. Using a dense time series of interferometrically derived TanDEM-X digital elevation models and photogrammetric data, an exponential function was fitted for the decrease in surface elevation. Elevation changes in areas below 1000 m a.s.l. amounted to at least 130±15 m130±15 m between 1995 and 2014, with change rates of ~3.15 m/a between 2003 and 2008. Current change rates (2010-2014) are in the range of 1.7 m/a. Mass imbalances were computed with different scenarios of boundary conditions. The most plausible results amount to -40.7±3.9 Gt-40.7±3.9 Gt. The contribution to sea level rise was estimated to be 18.8±1.8 Gt18.8±1.8 Gt, corresponding to a 0.052±0.005 mm0.052±0.005 mm sea level equivalent, for the period 1995-2014. Our analysis and scenario considerations revealed that major uncertainties still exist due to insufficiently accurate ice-thickness information. The second largest uncertainty in the computations was the glacier surface mass balance, which is still poorly known. Our time series analysis facilitates an improved comparison with GRACE data and as input to modeling of glacio-isostatic uplift in this region. The study contributed to a better understanding of how glacier systems adjust to ice shelf disintegration.

Synchronised firing patterns in a random network of adaptive exponential integrate-and-fire

Acknowledgements This study was possible by partial financial support from the following Brazilian government agencies: CNPq, CAPES, and FAPESP (2011/19296-1 and 2015/07311-7). We also wish thank Newton Fund and COFAP.

Finance past, finance future: a brief exploration of the evolution of financial practices

As we work our way through the latest financial crisis, politicians seem both powerless to act convincingly and unable to craft from the welter of diverse and antagonistic narratives a coherent and convincing vision of the future. In this article, we argue that a temporal lens brings clarity to such confusion, and that thinking in terms of time and reflecting on privileged temporal structures helps to highlight underlying assumptions and distinguish different narratives from one another. We begin by articulating our understanding of temporality, and we proceed to apply this to the evolution of financial practice during different historical epochs as recently delineated by Gordon (2012). We argue that the principles of finance were effectively in place by the eighteenth century and that consequent developments are best conceptualized as phases in which one particular aspect is intensified. We find that in different historical periods, the temporal intensification associated with specific models of finance shifts, over history, from the past to the present to the future. We argue that a quite idiosyncratic understanding of the future has been intensified in the present phase, what we refer to as proximal future, and we explain how this has come to be. We then consider the ethical consequences of privileging an intensification of proximal future before mapping an alternative model centred on intensifying distal future, highlighting early signs of its potential emergence in the shadows of our present.

Financial sustainability of cooperatives: a case of portuguese olive oil cooperatives

En Portugal, como en otros países, las cooperativas agrícolas tienen un papel económico importante en el sistema alimentario. Similar a otras organizaciones económicas, las cooperativas agrícolas han sido testigos de cambios estructurales en las últimas décadas en términos de modelos de gobernación y gestión. Las cooperativas agrícolas portuguesas se han visto constreñidas por su contexto a adoptar un modelo tradicional de propiedad y control. El objetivo principal de este estudio era analizar cuestiones relacionadas con la estructura de gestión y desempeño financiero de las cooperativas, basada en los datos recogidos de cooperativas de aceite de oliva situadas en la región interior norte de Portugal. La combinación de un análisis cualitativo de la estructura y toma de decisiones, una evaluación financiera y la aplicación de un enfoque en varios criterios (PROMETHEE II), los resultados están en línea con expectativas (por ejemplo, bajos niveles de participación de los miembros, gestión no profesional, ratios de rentabilidad bajos, bajo apalancamiento y una capacidad para cumplir compromisos financieros), excepto la relación entre la gestión profesional y el desempeño financiero. La existencia de gestión profesional no conduce a mejores resultados financieros. Este resultado refuerza la creencia de que las cooperativas que están estructuradas de diferente manera tienen intereses diferentes y contradictorios a las partes interesadas.

Applying Mathematical Models to Study the Role of the Immune System in Chronic Myelogenous Leukemia

Although tyrosine kinase inhibitors (TKIs) such as imatinib have transformed chronic myelogenous leukemia (CML) into a chronic condition, these therapies are not curative in the majority of cases. Most patients must continue TKI therapy indefinitely, a requirement that is both expensive and that compromises a patient's quality of life. While TKIs are known to reduce leukemic cells' proliferative capacity and to induce apoptosis, their effects on leukemic stem cells, the immune system, and the microenvironment are not fully understood. A more complete understanding of their global therapeutic effects would help us to identify any limitations of TKI monotherapy and to address these issues through novel combination therapies. Mathematical models are a complementary tool to experimental and clinical data that can provide valuable insights into the underlying mechanisms of TKI therapy. Previous modeling efforts have focused on CML patients who show biphasic and triphasic exponential declines in BCR-ABL ratio during therapy. However, our patient data indicates that many patients treated with TKIs show fluctuations in BCR-ABL ratio yet are able to achieve durable remissions. To investigate these fluctuations, we construct a mathematical model that integrates CML with a patient's autologous immune response to the disease. In our model, we define an immune window, which is an intermediate range of leukemic concentrations that lead to an effective immune response against CML. While small leukemic concentrations provide insufficient stimulus, large leukemic concentrations actively suppress a patient's immune system, thus limiting it's ability to respond. Our patient data and modeling results suggest that at diagnosis, a patient's high leukemic concentration is able to suppress their immune system. TKI therapy drives the leukemic population into the immune window, allowing the patient's immune cells to expand and eventually mount an efficient response against the residual CML. This response drives the leukemic population below the immune window, causing the immune population to contract and allowing the leukemia to partially recover. The leukemia eventually reenters the immune window, thus stimulating a sequence of weaker immune responses as the two populations approach equilibrium. We hypothesize that a patient's autologous immune response to CML may explain the fluctuations in BCR-ABL ratio that are regularly seen during TKI therapy. These fluctuations may serve as a signature of a patient's individual immune response to CML. By applying our modeling framework to patient data, we are able to construct an immune profile that can then be used to propose patient-specific combination therapies aimed at further reducing a patient's leukemic burden. Our characterization of a patient's anti-leukemia immune response may be especially valuable in the study of drug resistance, treatment cessation, and combination therapy.

Econometric models in foreign exchange market

According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of 1970-2009. The pooled mean group estimation (PMGE) is used for the estimation to investigate the short run coefficients and error variance. In general, the results present that the import prices are affected positively, though incompletely, by the exchange rate. Secondly, the following study addresses the question whether there is a relationship between cross-sectional differences in foreign exchange returns and the sensitivities of the returns to fluctuations in liquidity, known as liquidity beta, by using a unique dataset of weekly order flow. Finally, the last study is in keeping with the study of Lustig, Roussanov and Verdelhan (2011), which shows that the large co-movement among exchange rates of different currencies can explain a risk-based view of exchange rate determination. The exploration on identifying a slope factor in exchange rate changes is brought up. The study initially constructs monthly portfolios of currencies, which are sorted on the basis of their forward discounts. The lowest interest rate currencies are contained in the first portfolio and the highest interest rate currencies are in the last. The results performs that portfolios with higher forward discounts incline to contain higher real interest rates in overall by considering the first portfolio and the last portfolio though the fluctuation occurs.

A rewarding experience? Exploring how crowdfunding is affecting music industry business models.

This paper provides an exploratory study of how rewards-based crowdfunding affects business model development for music industry artists, labels and live sector companies. The empirical methodology incorporated a qualitative, semi-structured, three-stage interview design with fifty seven senior executives from industry crowdfunding platforms and three stakeholder groups. The results and analysis cover new research ground and provide conceptual models to develop theoretical foundations for further research in this field. The findings indicate that the financial model benefits of crowdfunding for independent artists are dependent on fan base demographic variables relating to age group and genre due to sustained apprehension from younger audiences. Furthermore, major labels are now considering a more user-centric financial model as an innovation strategy, and the impact of crowdfunding on their marketing model may already be initiating its development in terms of creativity, strength and artist relations.

Comprehensive economic and financial analysis of the enterprise activity: approaches, methods and implementation

This thesis intends to analyse the performance and the efficiency of companies and to identify the key factors that may explain it. A comprehensive analysis based on a set of economic and financial ratios was studied as an instrument which provides information on enterprise performance and its efficiency. It was selected a sample with 15 enterprises: 7 Portuguese and 8 Ukrainian ones, belonging to several industries. Financial and non-financial data was collected for 6 years, during the period of 2009 to 2014. Research questions that guided this work were: Are the enterprises efficient/profitable? What factors influence enterprises’ efficiency/performance? Is there any difference between Ukrainian and Portuguese enterprises’ efficiency/performance, which factors have more influence? Which industrial sector is represented by more efficient/profitable enterprises? The main results showed that in average enterprises were efficient; comparing by states Ukrainian enterprises are more efficient; industries have similar level of efficiency. Among factors that influence ATR positively are fixed and current assets turnover ratios, ROA; negatively influencing are EBITDA margin and liquidity ratio. There is no significant difference between models by country. Concerning profitability, enterprises have low performance level but in comparison of countries Ukrainian enterprises have better profitability in average. Regarding the industry sector, paper industry is the most profitable. Among factors influencing ROA are profit margin, fixed asset turnover ratio, EBITDA margin, Debt to equity ratio and the country. In case of profitability both countries have different models. For Ukrainian enterprises is suggested to pay attention on factors of Short-term debt to total debt, ROA, Interest coverage ratio in order to be more efficient; Profit margin and EBITDA margin to make their performance better. For Portuguese enterprises for improving efficiency the observation and improvement of fixed assets turnover ratio, current assets turnover ratio, Short-term financial debt to total debt, Leverage Ratio, EBITDA margin is suggested; for improving higher profitability track fixed assets turnover ratio, current assets turnover ratio, Debt to equity ratio, Profit margin and Interest coverage ratio is suggested.

Unemployment, parental distress and youth emotional well-being: The moderation roles of parent-youth relationship and financial deprivation

We investigated, in a sample of 112 unemployed parents of adolescents aged 10-19 years, the links between parental distress and change in youth emotional problems related to parental unemployment, and the moderation roles of parent-youth relationship and financial deprivation. Data were analyzed using descriptive statistics and correlations. Further, simple moderation, additive moderation, and moderated moderation models of regression were performed to analyze the effects of parental distress, parent-youth relationship and financial deprivation in predicting change in youth emotional problems related to parental unemployment. Results show that parental distress moderated by parent-youth relationship predicted levels of change in youth emotional problems related to parental unemployment. This study provides evidence that during job loss, parental distress is linked to youth emotional well-being and that parent-youth relationships play an important moderation role. This raises the importance of further researching parental distress impacts on youth well-being, especially during periods of high unemployment rates.