Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

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342 articles
Proceedings Article

High-Speed and Low-Power Architectures for Forward and Inverse Discrete Wavelet Transform Using 4-ta

Tze-Yun Sung
This paper presents two architectures for 2-D discrete wavelet transform (DWT) and inverse DWT (IDWT). The first consists of transform module, RAM module and address sequencer. The transform module, which takes uniform and regular structure with local communication, offers many advantages, e.g. simple...
Proceedings Article

Using Data Mining to Study Upstream and Downstream Causal Relationship in Stock Market

Don-Lin Yang, Y.L. Hsieh, Jungpin Wu
To understand the causal relationship of stock market is always a top priority for investors. Most investors use some fundamental knowledge and basic analysis techniques to analyze or predict the trends. However, there are always some other factors beyond our control or unexpected events that might affect...
Proceedings Article

Test of the Contrarian Investment Strategy-Evidence from the Taiwan Stock Markets

Hui-Ling Yang, Grant G.L. Yang, Wei-Pang Wu
The study examines whether the contrarian investment strategy, implies simultaneously buying previous losers and selling previous winners, exists in stock market of Taiwan. This study utilizes De Bondt and Thaler (1985) contrarian strategies into listed electronic and informational stocks in Taiwan from...
Proceedings Article

Chaotic Behavior of Real Exchange Rate Model: Perspectives on Lyapunov Exponents

Chung-Ming Ou, C.R. Ou
The behaviors of the real exchange rate corresponding to capital mobility within an open-economy macroeconomic framework are investigated. Chaotic phenomena are reasonable candidates for analyzing the random walk behaviors of the given real exchange rate model similar to the simple logistic map. Method...
Proceedings Article

Applying Genetic Algorithm to Support Index Fund Portfolio Strategy

Jui-Fang Chang, Gi-Yi Lai
Index funds are popular investment tools currently being used in modern portfolio management; moreover, it has been observed that the performances of index funds are better than those of many other actively managed funds Elton, et al. (1996). The strategy is taken by fund managers when their portfolios...
Proceedings Article

A Restricted Genetic Algorithm based on Ascending of Tangent Planes

Jinhua Zheng, Yan Peng
Classical Genetic Algorithms(CGAs)accomplish the global search by selection,crossover and mutation. It has many shortages. Here we proposed a restricted genetic algorithm based on ascending of tangent plane(RGAATP). Our algorithm is simple and effective, which approaches the global solution step by step....
Proceedings Article

The Convergence of Regional House Price: An Application to Taiwan

MeiSe Chien, Shu-Jung Chang Lee
The notion of a ripple effect in the housing market implies stationarity in regional:national house price ratios. The central aim of this study is to investigate whether the ripple effect exists in Taiwan’s regional house price ratio by implementing the Breuer et al. (2001) Panel SURADF unit root tests,...
Proceedings Article

Observations of Market Expectation Behaviour in the Taiwan Stock Market

Chiu Hsiao-Ya, Chen An-Pen, Sheng Chieh-Chung, Huang Yun-Hsuan Huang
This study adopts derivative pricing as an indicator of market expectations, with those results suggesting that general investors can use market expectations to predict the final settlement value of underlying assets. Most investment textbooks note that one of the major functions of futures is price...
Proceedings Article

Theorizing Corruption through Agent-Based Modeling

Hokky Situngkir, Deni Khanafiah
The aim of this paper is to gain the broad explanation of corruption using simple computational model. We elaborated further the model of corruption described previously in [4], with some additions in model’s properties. We performed hundreds of experiments computationally using Swarm and constructed...
Proceedings Article

Inflation Targeting, Learning and Q Volatility in Small Open Economies

Paul McNelis, Guay Lim
This paper examines the welfare implications of managing asset-price with consumer-price inflation targeting by monetary authorities who have to learn the laws of motion for both inflation rates. Our results show that the Central Bank can improve welfare if it targets both consumer and asset-price inflation...
Proceedings Article

A Customer Retention System Based on the Customer Intelligence for A Telecom Company

Tong Li, Peng Lu, Zhilong He, Qiang Wang
Global competition is fierce. Especially, it is in the telecom market. It is a more and more difficult task for retaining profitable customers for a telecom company. In this paper, a retention system based on the customer intelligence is introduced. The system was successfully used for one telecom company...
Proceedings Article

A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management

Christian Daniel Von Lücken, Benjamín Barán, Fabián Laufer, Margarita Rojas, Walter Delgado, Mariano Escurra
This paper describes a decision making support system developed for asset liability management of a Paraguayan pension fund company. The model combines a parallel Multi-objective Evolutionary Algorithm and stochastic scenario generators to find good asset allocations that optimize several conflicting...
Proceedings Article

Effect of price quoting on financial assets price

Tal Shavit, Shosh Shahrabani, Uri Benzion
Stock options are usually sold in bundles of 100 units, and their price can be quoted either per unit or per bundle. In this paper, the effect of different methods of quoting financial asset prices on the subjective value of a contract was examined experimentally. In particular, we examined differences...
Proceedings Article

Piecewise nonlinear goal-directed portfolio insurance strategies under TIPP idea

Jiah-Shing Chen, Benjamin Penyang Liao
Traditional portfolio insurance (PI) strategy, such as CPPI, only considers the floor constraint but not the goal aspect. This paper proposes a goal-directed (GD) strategy to express an investor's goal-directed trading behavior and combines this floor-less GD strategy with the goal-less CPPI strategy...
Proceedings Article

Using Fuzzy Game Theory on IPO's Pricing Behavior

Kuang-Hua Hsu, Jian-Fa Li, Hon-Jenq Fan
The purpose of this research is to explore the IPO pricing behavior in an underwriting system by applying the fuzzy game theory. Results of this study are: (1) The application of the fuzzy game theory is more consistent with the uncertainty relationship of human interference between independent and dependent...
Proceedings Article

Applying Grey Forecasting Model on the Investment Performance of Markowitz Efficiency Frontier: A Case of the MSCI World Index

Alex Kung-Hsiung Chang, Chen Chueh-Chi
This paper uses a grey forecasting model GM(1,1) on improving the investment performance of classical Markowitz efficiency frontier’s investment portfolio using the component markets’ indexes of MSCI World Index from 1999 to 2005 as the samples. Using grey Markowitz efficiency frontier’s investment portfolio...
Proceedings Article

Using Conditional Autoregressive Range Model to Forecast Volatility of the Stock Indices

Heng-Chih Chou, David Wang
This article compares the forecasting performance of the conditional autoregressive range (CARR) model with the commonly adopted GARCH model. Two major stock indices, FTSE 100 and Nikkei 225, are studies using the daily range data and daily close price data over the period 1990 to 2000. Our results suggest...
Proceedings Article

Discovery of multi-spread portfolio strategies for weakly-cointegrated instruments using boosting-based optimization

Valeriy Gavrishchaka
Increasing complexity of the modern market dynamics requires new quantitative frameworks for the discovery of stable portfolio strategies. Important requirements include the ability of the coupled and self-consistent optimization of the dynamic strategies and asset allocations as well as robust built-in...
Proceedings Article

An evolutionary idea of evolution: a Peircean interpretation of hybrid-agent organisazation model

Ana Marostica, Cesar Ariel Briano, Ernesto Chinkes
AN EVOLUTIONARY IDEA OF EVOLUTION: A PEIRCEAN INTERPRETATION OF A HYBRID-AGENT ORGANIZATION MODEL This paper proposes an evolutionary interpretation of a hybrid-agent organization model. Charles S. Peirce’s conception of evolution, a combination in some Darwinian and Lamarckian ideas, is a key component...
Proceedings Article

Neural-Network-based Metamodeling for Financial Time Series Forecasting

Kin Keung Lai, Lean YU, Shouyang Wang, Chengxiong Zhou
In the financial time series forecasting field, the problem that we often encountered is how to increase the predict accuracy as possible using the noisy financial data. In this study, we discuss the use of supervised neural networks as the metamodeling technique to design a financial time series forecasting...
Proceedings Article

Graphical Models for the Identification of Causal Structures in Multivariate Time Series Models

Alessio Moneta, Peter Spirtes
In this paper we present a semi-automated search procedure to deal with the problem of the identification of the contemporaneous causal structure connected to a large class of multivariate time series models. We propose to use graphical causal models for recovering partial information about the contemporaneous...
Proceedings Article

Structural Information in Probabilistic Framework: A Long Term Portfolio Performance Analysis

Chiu-Che Tseng
Based upon the raw S&P 500 portfolio performance in eight consecutive years, this paper gives an overview analysis of the application of influence diagram to portfolio management. Our findings provide a ground for the question: Is the structure information provide by the expert superior to the one generated...
Proceedings Article

Pricing of Reverse Mortgage on Forward House Sale

Kanak Patel, Tobias Baer, Isil Erol, Ricardo Pereira, Sung-Jin Yoo
This paper aims to analyse the risks involved in reverse mortgage on a forward sale of house by elderly homeowner. We provide a practical solution to institutions planning to issue such reverse mortgages. We propose the formation of Senior Citizens Housing Trust for retired homeowners who wish to sell...
Proceedings Article

Identifying Steady State Relationships in a Multidirectional System: A Multivariate Cointegration Analysis

Chandika Gunasinghe
This paper aims at identifying steady state relations (cointegrated relationships) in a system that contains multidirectional nexuses for a hypothetical economic structure. The study discusses various econometric tools needed to identify long run cointegration vectors and employs these tools to derive...
Proceedings Article

A Quantitative-Behavioural Approach to Modelling Stock Market's Microstructure

Michael Huetl, Otto Loistl, Johannes Prix
We present a Markov process that provides an analytical framework for a comprehensive analysis of trading efficiency comprising price and order data. Agents place orders and/or accept already placed orders. Transactions are generated by matching orders. We apply the well known Discrete Choice logit approach...
Proceedings Article

Applying fuzzy multi-criteria decision method to evaluate the credibility ranking for Taiwan banksåÁå_ potential debtors from the viewpoint of default probability-A Taiwan LCD panels industry case

Yang-Cheng Lu, Yaw-Chu Chen
The purpose of this paper is to provide an algorithm for commercial banks in Taiwan to evaluate the credibility of their potential debtors from the default probability viewpoint under fuzzy environment. The fundamental concepts we have adopted include the eigenvector method, fuzzy Delphi method, fuzzy...
Proceedings Article

Inter-Commodity Spread Trading Using Neural Network and Genetic Programming Techniques

Meng-Feng Yen, Tsung-Nan Chou, Ying-Yue Ho
We employ the methods of neural network (hereafter NN) and genetic programming (hereafter GP) in this paper to construct a spread trading system, respectively, to forecast the trend of the price spread between Taiwan Stock Exchange Electronic Index Futures (hereafter TE) and Taiwan Stock Exchange Finance...
Proceedings Article

Applying fuzzy multi-criteria decision method to evaluate key capabilities of Taiwan motion picture companies

Yaw-Chu Chen, Kuei-Lun Chang
The purpose of this paper is to provide an algorithm for the motion picture companies to evaluate the key capabilities from firm viewpoint under fuzzy environment. The fundamental concepts we have adopted include the eigenvector method, fuzzy Delphi method, fuzzy set theory, and multi-criteria decision...
Proceedings Article

Price Formations in Genetic Learning Model of Investor Sentiment

Takashi Yamada, Takao Terano
This paper studies the possibilities that genetic algorithm describes investor sentiment, and time series properties of estimated models. For these purposes, first we identify the conditions for describing investor sentiment by altering parameters of genetic algorithm. Then the auto-correlations and...
Proceedings Article

The Effect of Tax Reform in a Dynamic General Equilibrium Framework - Ramsey vs. Overlapping Generation Model

Liao Ru-min
Based on a thorough comparison of the basic assumptions and economic underpinning of the Ramsey and over lapping generation (OLG) model, this study builds both static and dynamic computable general equilibrium tax policy models to analyze the effect of tax reform on Taiwan’s economy. The new tax structure...
Proceedings Article

Optimal Quantization : Evolutionary Algorithm vs Stochastic Gradient

We propose a new method based on evolutionary optimization for obtaining an optimal Lp-quantizer of a multidimensional random variable. First, we remind briefly the main results about quantization. Then, we present the classical gradient-based approach used up to now to find a “local” optimal Lp-quantizer....
Proceedings Article

A Fuzzy Rule-based Bargaining Model for Online Group Purchasing

Ping-Wen Chen, Yung-Ming Li, Ting-Kai Hwang
Online group purchasing or collective purchasing is the activity in which people who desire to buy the same merchandises join together so that they can negotiate with sellers for a better price through Internet. This paper utilizes fuzzy logic to develop a bargaining model for such activities. The model...
Proceedings Article

Bayesian estimation of GARCH model by hybrid Monte Carlo

Tetsuya Takaishi
The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the generalized autoregressive conditional heteroscedasticity (GARCH) model. The HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it updates all parameters at once. We demonstrate that how the HMC reproduces...
Proceedings Article

An Optimizing Algorithm for Modifying a Goal Graph

Wen-Kui Chang, Shih-Peng Su, Fuw-Yi Yang
This research presents the application of the Goal Graph in the methodology of generating software requirements specification, in order to improve the modifiability of the customization the Goal Graph. We propose an algorithm that optimizes the quality factor of modifiability for the Goal Graph to enhance...
Proceedings Article

Integrating Competition Strategy to QFD for Technical Design

Yai Hsiung, Pao-Yuan Chang
Quality Function Deployment (QFD) is an approach to translate customer requirements into technical requirements for a product or service. The traditional QFD provides a fundamental analysis, but it is still inconvenient when decision making in technical design should address business objection. The competition...
Proceedings Article

Multilevel Stochastic Dynamic Process Models and Possible Applications in Global Financial Market Analysis and Surveillance

Heping Pan
This paper advances Multilevel Stochastic Dynamic Process (MSDP) models as a new framework for modeling nonstationary and nonlinear time series and complex systems, and discuss possible applications of MSDP models in global financial market analysis and surveillance. Under the heterogeneous market hypothesis,...
Proceedings Article

Online Auction - A Study of Auction in Yahoo! Taiwan

Kun-Huang Huarng, Hsin-Yi Cheng
Shopping online has become more and more popular. Many people participate in online auctions. Due to the popularity of online auction, this study intends to study the possible factors that affect the transactions in online auction. This study uses the MP3 in the auction of Yahoo! Taiwan as the target...
Proceedings Article

Multivariate Panel Cointegration Models and Money Demand Function

Chang Chun Ping, Lee Chien-Chiang
Is just only one cointegrating vector among the panel variables? Based on the multivariate maximum likelihood cointegration tests offered by Larsson et al. (2001), the findings here provide solid evidence of the presence of at least two cointegrated vectors for the money demand function in GCC countries.
Proceedings Article

An Innovative Use of Historical Data for Neural Network Based Stock Prediction

Tak-chung Fu, Tsz-leung Cheung, Fu-lai Chung, Chak-man Ng
Using artificial neural network is a common approach for the stock time series prediction problem. Unlike variety of researches that focus on selecting different indicators, network training, network architecture, etc., we are focusing on the selection of appropriate time points from the time sequence...
Proceedings Article

A Study of Improving the Coherence in Multi-Step Ahead Forecasting

Chao-Fu Hong, Yung-Sheng Liao, Mu-Hua Lin, Tsai-Hsia Hong
The traditional multi-step ahead prediction is based on sequential algorithm to run multi-step ahead prediction and it brings error propagation problem. Furthermore, the prediction error of multi-step ahead includes both system and propagation errors. Therefore, how to decrease the propagation error...
Proceedings Article

A Novel Feature Extraction Method for Facial Expression Recognition

Xiaoyi Feng, Baohua Lv, Zhen Li, Jiling Zhang
In this work, a novel facial feature extraction method is proposed for automatic facial expressions recognition, which detecting local texture information, global texture information and shape information of the face automatically to form the facial features. First, Active Appearance Model (AAM) is used...