scholarly journals An Empirical Research of Futures Program Trading Based on RSI And CCI Indicators

2020 ◽  
Vol 4 (1) ◽  
pp. 22
Author(s):  
Aiquan Li ◽  
Hui Pan ◽  
Weishi Shu ◽  
Qi Ke
Keyword(s):  
Transaction Cost ◽  
Empirical Research ◽  
Return Rate ◽  
Time Varying ◽  
General Applicability ◽  
Oil Futures ◽  
Rate Maximum ◽  
Indicator Analysis ◽  
Technical Indicator ◽  
High Transaction Cost

Over the years, many scholars have conducted a wealth of empirical research on the effectiveness of technical indicator analysis in the financial market, and the conclusions are obviously different. Among them, two program trading models based on RSI and CCI indicators achieve an annual return rate of more than 180% in the empirical research of palm oil futures program trading, but the amount of data used in this study is too small, and the transaction cost is not considered. As the actual trading process has the characteristics that investors pay more attention to the sustainability of the model's profitability, and that investors’ trading varieties are diverse and with high transaction cost, this paper further verifies the sustainability and general applicability of these two models: using the closing price of 1-day and 30-minute K-line of 18 kinds of commodity futures in recent 10 years to investigate the changes of annual return rate, maximum withdrawal ratio etc. under different transaction costs and K-line cycles. The results show that the model’s profitability is time-varying, and the transaction cost has a greater influence on the rate of return of 30-minute K-lines than that of 1-day K-lines.

Governance of supplier-customer relations: An empirical review

2007 ◽  
Vol 158 (12) ◽  
pp. 406-416
Author(s):  
Jon Bingen Sande
Keyword(s):  
Transaction Cost ◽  
Empirical Research ◽  
Customer Relations ◽  
Transaction Cost Economics ◽  
Exchange Theory ◽  
Forest Industry ◽  
Relational Contracts ◽  
Relational Exchange ◽  
Exchange Relationships ◽  
Relational Exchange Theory

The forest industry is riddled with exchange relationships. The parties to exchanges may have diverging goals and interests, but still depend upon each other due to non-redeployable specific assets. Formal and relational contracts may be used to deal with the resulting cooperation problems. This paper proposes a framework based on transaction cost economics and relational exchange theory, and examines to what extent empirical research has found formal and relational contracts to deal with three different governance problems. To that end, I review the results from 32 studies in a range of settings. These studies generally support the view that exchanges characterized by high degrees of specific assets should be supported by formal and relational contracts.

scholarly journals On the existence of earthquake precursors

1999 ◽  
Vol 42 (5) ◽  
Author(s):  
F. Evison
Keyword(s):  
Empirical Research ◽  
Earthquake Prediction ◽  
Power Law ◽  
Earthquake Precursors ◽  
Time Varying ◽  
Formal Testing ◽  
High Degree ◽  
Experimental Stage

Earthquake prediction based on precursors can aim to provide fully quantified, time-varying, synoptic forecasts, which do not depart from physical and geological principles, and are amenable to formal testing. These features are in contrast to the traditional occultist or soothsayer style of prediction. The recently-advanced, pre-emptive hypothesis that earthquakes are intrinsically unpredictable, and precursors non-existent, is also amenable to testing: it is refuted by the well-known relations between mainshocks and aftershocks. These relations show that a set of aftershocks is to a high degree predictable from the mainshock, so that, as a matter of principle, the mainshock is a precursor to its aftershocks. This result is compatible with the power-law property of seismicity, on which the unpredictability hypothesis is based. Empirical research on most precursors is difficult because of the scarcity of data, and is still largely at the anecdotal stage. Additional difficulties at the experimental stage are exemplified by the failure of the Tokai and Parkfield experiments to advance the study of precursors as planned. A comparative abundance of data is available on seismicity anomalies, and research on this type of precursor is progressing towards the operational stage.

scholarly journals DMC: Decentralized Mixer with Channel for Transaction Privacy Protection on Ethereum

2021 ◽  
Author(s):  
Su Liu ◽  
Jian Wang
Keyword(s):  
Transaction Cost ◽  
Privacy Protection ◽  
Batch Processing ◽  
Experimental Results ◽  
Smart Contract ◽  
Mixing Schemes ◽  
High Transaction Cost ◽  
Privacy Issues

Ethereum is a public blockchain platform with smart contract. However, it has transaction privacy issues due to the openness of the underlying ledger. Decentralized mixing schemes are presented to hide transaction relationship and transferred amount, but suffer from high transaction cost and long transaction latency. To overcome the two challenges, we propose the idea of batch accounting, adopting batch processing at the time of accounting. For further realization, we introduce payment channel technology into decentralized mixer. Since intermediate transactions between two parties do not need network consensus, our scheme can reduce both transaction cost and transaction latency. Moreover, we provide informal definitions and proofs of our scheme's security. Finally, our scheme is implemented based on zk-SNARKs and Ganache, and experimental results show that the higher number of transactions in batch, the better our scheme performs.

Strategic Management of International Subcontracting

2010 ◽  
pp. 1924-1934
Author(s):  
Yue Wang
Keyword(s):  
Supply Chain ◽  
Strategic Management ◽  
Transaction Cost ◽  
Empirical Research ◽  
International Business ◽  
Multinational Enterprises ◽  
Cost Model ◽  
Governance Structure ◽  
Complex Nature ◽  
Relational Contract

Research on international subcontracting has been policy-oriented and industry-focused. There is a lack of understanding of the phenomenon from strategic management and international business perspectives. This article conceptualizes international subcontracting as a type of relational contract formed by buyers and suppliers from different countries, aiming to facilitate the sourcing of products or components with buyer-specific requirements. It builds a transaction cost model for studying the strategic choice of international subcontracting as an intermediate governance structure, sitting between arm’s length outsourcing arrangement and vertically integrated multinational enterprises (MNEs). A set of propositions are developed to aid future empirical research and to provide managers with some guidelines for organizing supply chain across borders. The model also allows managers to examine the complex nature of a range of subcontracting relationships and identify the specific mechanisms that can be used to preserve and manage the dyadic principal-subcontractor exchanges.

The Impact of Structural Breaks on Volatility Linkages between Asian Stock and Oil Futures Markets

2016 ◽  
Vol 24 (1) ◽  
pp. 31-64
Author(s):  
Sang Hoon Kang ◽  
Seong-Min Yoon
Keyword(s):  
Futures Markets ◽  
Structural Breaks ◽  
Global Financial Crisis ◽  
Garch Model ◽  
Time Varying ◽  
Oil Futures ◽  
Volatility Spillovers ◽  
Icss Algorithm ◽  
The Global Financial Crisis ◽  
The Impact

This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and Taiwan) and the oil futures market. To this end, we apply the bivariate DCC-GARCH model to weekly spot indices during the period 1998-2015. The results reveal significant volatility transmission for the pairs between the Asian stock and oil futures markets. Moreover, we find a significant variability in the time-varying conditional correlations between the considered markets during both bullish and bearish markets, particularly from early 2007 to the summer of 2008. Using the modified ICSS algorithm, we find several sudden changes in these markets with a common break date centred on September 15, 2008. This date corresponds to the collapse of Lehman Brothers which is considered as our breakpoint to define the global financial crisis. Also, we analyse the optimal portfolio weights and time-varying hedge ratios based on the estimates of the multivariate DCC-GARCH model. The results emphasize the importance of overweighting optimal portfolios between Asian stock and the oil futures markets.

scholarly journals Transaction Cost Economics: An Assessment of Empirical Research in the Social Sciences

2008 ◽  
Vol 10 (1) ◽  
pp. 1-63 ◽  
Author(s):  
Jeffrey T. Macher ◽  
Barak D. Richman
Keyword(s):  
Social Sciences ◽  
Public Policy ◽  
Transaction Cost ◽  
Empirical Research ◽  
Transaction Cost Economics ◽  
Empirical Work ◽  
Empirical Literature ◽  
Comprehensive Review ◽  
The Social ◽  
Considerable Support

This paper provides a comprehensive review of the empirical literature in transaction cost economics (TCE) across multiple social science disciplines and business fields. We show how TCE has branched out from its economic roots to examine empirical phenomena in several other areas. We find TCE is increasingly being applied not only to business-related fields such as accounting, finance, marketing, and organizational theory, but also to areas outside of business including political science, law, public policy, and agriculture and health. With few exceptions, however, the use of TCE reasoning to inform empirical research in these areas is piecemeal. We find that there is considerable support of many of the central tenets of TCE, but we also observe a number of lingering theoretical and empirical issues that need to be addressed. We conclude by discussing the implications of these issues and outlining directions for future theoretical and empirical work.

scholarly journals Research on Time-Varying Two-Way Spillover Effects Between Carbon and Energy Markets: Empirical Evidence From China

2021 ◽  
Vol 9 ◽  
Author(s):  
Sen Qiao ◽  
Chen Xi Zhao ◽  
Kai Quan Zhang ◽  
Zheng Yu Ren
Keyword(s):  
Crude Oil ◽  
Spillover Effect ◽  
Energy Markets ◽  
Carbon Market ◽  
Energy Market ◽  
Time Varying ◽  
Carbon Markets ◽  
Oil Futures ◽  
New Energy ◽  
Crude Oil Futures

With the improvement of China’s carbon emission trading system, the spillover effect between carbon and energy markets is becoming more and more prominent. This paper selects four representative pilot carbon markets, including Beijing (BEA), Guangdong (GDEA), Hubei (HBEA) and Shanghai (SHEA). And three representative energy markets, including Crude Oil Futures (SC), power index (L11655) and China Securities new energy index (NEI). Combining the rolling window technology with DY spillover index, set a 50-weeks rolling window to measure the spillover index, and deeply analyze the time-varying two-way spillover effect between China’s carbon and energy markets. The results show that the spillover effect between China’s carbon and energy markets has significant time variability and two-way asymmetry. The time-varying spillover effect of different carbon pilot markets on the energy market has regional heterogeneity. The volatility spillover effect of Beijing and Shanghai carbon markets mainly comes from the crude oil futures market, Guangdong carbon market mainly comes from the new energy market, and Hubei carbon market mainly comes from crude oil and electricity market. The above research results contribute to the prevention of potential risk spillover between carbon and energy markets, which can promote the establishment of China’s unified carbon market and the prevention of systemic financial risks in energy market.

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