176 research outputs found
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Equity Forecast: Predicting Long Term Stock Price Movement using Machine Learning
Get PDFAbstract. Long term investment is one of the major investment strategies. However, calculating intrinsic value of some company and evaluating shares for long term investment is not easy, since analyst have to care about a large number of financial indicators and evaluate them in a right manner. So far, little help in predicting the direction of the company value over the longer period of time has been provided from the machines. In this paper we present a machine learning aided approach to evaluate the equity’s future price over the long time. Our method is able to correctly predict whether some company’s value will be 10% higher or not over the period of one year in 76.5% of cases.Keywords. Machine learning, Long term investment, Equity, Stock price prediction.JEL. H54, D92, E20
Unpacking Agrarian and Agri-business Contracts
Get PDFAbstract. Analysis of contracts and contractual relations are among the most topical issues in modern management theories and practices. This paper incorporates the interdisciplinary New Institutional and Transaction Costs Economics (combining Economics, Organization, Law, Sociology, Behavioral and Political Sciences) and suggests a holistic framework for analysis of contracts in farming and agri-business sector. First, it specifies type and importance of different mechanisms of governance of agrarian and agri-business activity. Second, it defines the essence, and classifies types and features of agrarian and agri-business contracts. Next, it identifies technological, institutional, behavioral, dimensional, and transaction costs factors for contractual choice, and specifies effective modes for contractual arrangements in agriculture and agri-business. Finally, it determines the effective boundaries and sustainability of farming and agri-business organizations.Keywords. Contract management, Type of agrarian contracts, Factor and efficiency of contractual choice, Economic boundaries and sustainability of farm.JEL. Q10, Q56, R33
New Result in Consumption Theory:Change in Savings and Income Growth – Nineteen Years Later
Get PDFAbstract. This new version uses the definitions and some of the results found in Sargent’s Macroeconomic Theory. Hall’s (1978) proof of the corollary 4,ct+1 = ct, can be found in Flavin (1981). Writing the same consumption stated in Flavin, for period t+1, in a different way for the summation of the expected future incomes, it is possible to show that changes in savings is a function of income growth. This new result has implications, for instance, in Keynes’ (1936) saving and dissaving.Keywords. Consumption; Martingale; Savings; Growth; Income.JEL. E12, E21, J30, F41, B00
An Alternative Framework for Time Series Decomposition and Forecastingand its Relevance for Portfolio Choice – A Comparative Study of the Indian Consumer Durable and Small Cap Sectors
Get PDFAbstract. One of the challenging research problems in the domain of time series analysis and forecasting is making efficient and robust prediction of stock market prices. With rapid development and evolution of sophisticated algorithms and with the availability of extremely fast computing platforms, it has now become possible to effectively extract, store, process and analyze high volume stock market time series data. Complex algorithms for forecasting are now available for speedy execution over parallel architecture leading to fairly accurate results. In this paper, we have used time series data of the two sectors of the Indian economy - Consumer Durables sector and the Small Cap sector for the period January 2010 - December 2015 and proposed a decomposition approach for better understanding of the behavior of each of the time series. Our contention is that various sectors reveal different time series patterns and understanding them is essential for portfolio formation. Further, based on this structural analysis, we have also proposed several robust forecasting techniques and analyzed their accuracy in prediction using suitably chosen training and test data sets. Extensive results are presented to demonstrate the effectiveness of our propositions.Keywords. Time series, Decomposition, ARIMA, BSE Consumer Durables Index, BSE Small Cap Index.JEL. G11, G14, G17, C63
New Economics Books
Get PDFA wide ranged Editor Selection of economic books published within the last 3 months by the publishers (for now; Cambridge University Press, Edward Elgar, Elsevier, MIT Press, Palgrave MacMillan, Springer, Wiley, and World Scientific) which are reached out “the consensus of no copyright infringement exists” could be found under this title. Afterwards, JEL will continue to publish the economic books published within the last 3 months as listing them in its quarter edition. This is expected to enable the journal readers to follow the related literature and be aware of the new books. The list will continue to expand as accepting the books of new co-operated publishers and personal applications. The list order is organized according to book titles’ alphabetic priority
The Impact of Governance Environment on Economic Growth: The Case of Middle Eastern and North African Countries
Get PDFAbstract. The main goal of this paper is to evaluate the impact of governance on economic growth using a group of 188 countries. Although our main focus is on the 21 Middle Eastern and North African (MENA) countries, our findings can be applied to the other countries as well. There are two main contributions in this paper. The first contribution is we are able to create a “composite governance index” (CGI) that summarizes the existing six governance measurements; the Worldwide Governance Indicators (WGI), using the Principal Components Analysis (PCA) method. The first principal component derived from the WGIs explains as large as 81% of the variations in the original six WGI measurements, which indicates that it can be used as a strong indicator for evaluating government’s managerial ability and effectiveness. Following the creation of CGI, the second contribution is we are able to quantify the marginal contribution of improvement in governance to economic performance using PPP adjusted constant per capita GDP data. We find that the per capita GDP would rise by about 2% if the CGI increases by one unit. Using the Rule of 70, the marginal estimate further indicates a mere five-unit improvement in CGI would double the country’s per capita GDP in seven years. Nonetheless, the effect of improvement of governance can not account for the higher than expected per capita GDP in most of the oil rich MENA countries. In other words, the majority of the MENA countries have achieved fragile levels of economic growth that does not depend on sound governance..Keywords. MENA, Governance, Composite Governance Index, Economic Growth.JEL. O16, O43, N20
Understanding ‘Shared Valued’ and Social Capital Link to Pave the Path of next Generation of Innovation
Get PDFAbstract. The idea “Creating shared value” (CSV) offers a resolute direction to the debate on the link between business and society which can be restored through three distinct actions such as a) reconceiving products and markets; b) redefining productivity in the value chain; and c) building supportive industry clusters. The critical analysis predicts that the path of these actions is progressive in nature and their scope apparently ranges from narrow to wider deliberations. Keeping variant scope of proposed actions, this paper focuses only first course of action as it paves the path of new wave of innovation. For this new wave of innovation, the role of social capital is explored to determine the extent this capital can derive next wave of innovation. In this regard, a model is proposed to predict the link between various dimensions of social capital and innovation that can produce both social and business revenues. The proposed model assumes that narrow conceptualization of social capital to network theory only and ignoring its origins and deep rooted relations with community will lead towards routine innovations that lacking potential benefits of shared value. If organizations emphasize more and invest in developing relationships restricted to network actors, then potential benefits might be unnoticed. Therefore, like defining ‘value’ too narrowly due to strategic myopia, keeping the social circle of small radius also limit the organization’s ability to exploit the embedded potential of social capital necessary to pave the path of new generation of innovation benefiting both business and society.Keywords. Creating shared value (CSV), Social capital, Innovation, Network relationship(s).JEL. O31, O35, Q55
A Comment on Nonextensive Statistical Mechanics
Get PDFAbstract. There is a conception that Boltzmann-Gibbs statistics cannot yield the long tail distribution. This is the justification for the intensive research of nonextensive entropies (i.e. Tsallis entropy and others). Here the error that caused this misconception is explained and it is shown that a long tail distribution exists in equilibrium thermodynamics for more than a century.Keywords. Long-tail distribution, Power Law, Zipf Law, Tsallis Entropy.JEL. C62