A metaheuristic-based framework for index tracking with practical constraints

Recently, numerous investors have shifted from active strategies to passive strategies because the passive strategy approach affords stable returns over the long term. Index tracking is a popular passive strategy. Over the preceding year, most researchers handled this problem via a two-step procedure. However, such a method is a suboptimal global-local optimization technique that frequently results in uncertainty and poor performance. This paper introduces a framework to address the comprehensive index tracking problem (IPT) with a joint approach based on metaheuristics. The purpose of this approach is to globally optimize this problem, where optimization is measured by the tracking error and excess return. Sparsity, weights, assets under management, transaction fees, the full share restriction, and investment risk diversification are considered in this problem. However, these restrictions increase the complexity of the problem and make it a nondeterministic polynomial-time-hard problem. Metaheuristics compose the principal process of the proposed framework, as they balance a desirable tradeoff between the computational resource utilization and the quality of the obtained solution. This framework enables the constructed model to fit future data and facilitates the application of various metaheuristics. Competitive results are achieved by the proposed metaheuristic-based framework in the presented simulation.

STOCK PRICE PREDICTION USING MARKOV CHAINS ANALYSIS WITH VARYING STATE SPACE ON DATA FROM THE CZECH REPUBLIC

The article describes empirical research that deals with short-term stock price prediction. The aim of this study is to use this prediction to create successful business models. A business model that outperforms the stock market, represented by the Buy and Hold strategy, is considered to be successful. A stochastic model based on Markov chains analysis with varying state space is used for short-term stock price prediction. The varying state spate is defined based on multiples of the moving standard deviation. A total of 80 state space models were calculated for the moving standard deviation with 5-step lengths from 10 to 30 in combination with the standard deviation multiples from 0.5 to 2.0 with the step of 0.1. The efficiency of the business models was verified for 3 long-term, liquid stocks of the Czech stock market, namely the stocks of KB, CEZ, and O2 within a 14-year period – from the beginning of 2006 to the end of 2019. Business models perform best when they use a state space defined on the length of a moving standard deviation between 15 and 30 in combination with multiples of the standard deviation between 1.1 and 1.2. Business models based on these parameters outperform the passive Buy and Hold strategy. In fact, they outperform the Buy and Hold strategy for both the entire period under review and the yielded five-year periods (including transaction fees). The only exception is the five-year periods covering 2015 for O2 stocks. After the end of the uncertainty period caused by unclear intentions of the new majority stockholder, the stock price rose sharply. These results are in conflict with the efficient markets theory and suggest that in the period under review, the Czech stock market was not effective in any form.

Smart collectibles; use case of NFT tokens

Non-Fungible Tokens (NFTs) have garnered remarkable investor attention recently, with some NFTs securing selling prices that may have seemed unthinkable for a non-fungible virtual asset. This raises fascinating questions about “value” and “scarcity” with respect to blockchain technology, through a prism of non-fungibility of a digital asset, and this paper aims to draw attention to these questions insofar as they may shape an alternative space of blockchain development and exchange going forward. We find that NFT submarkets are cointegrated and feature various causal short-run connections between them. The success or adoption of younger NFT projects is influenced by that of more established markets. At the same time, the success of newer markets has an impact on the more established projects. The results contribute to the overall understanding of the NFT phenomenon and suggest that NFT markets are immature or even inefficient. This article will tackle these questions from a UK perspective, specifically looking at cases from England and Wales and Scotland, while also covering a few relevant CJEU decisions. This is a relatively recent technology, which will require a lengthier technical explanation to analyse the legal issues that are raised. In some instances, the public perception will be dealt with as well, as it has become evident that there is considerable misunderstanding not only about what an NFT really is, but about the ownership and copyright issues that surround the technology. While NFTs are not entirely related to copyright, and in some way they’re trying to bypass legal transactions in favour of technical solutions, this paper will concentrate on the copyright questions, but it will also tackle some of the emerging issues about the technology. A quick note about balance. This work will take a generally neutral approach to the study of NFTs, but this is a subject that is not devoid of controversy. There have been concerns raised about the viability of this model from various perspectives, but it is not the remit of the work to tackle these, and the approach will be to view non-fungible tokens at face value. The concerns range from the environmental cost of running blockchain technology,9 to the use of tokens for money laundering,10 to the existence of often crippling transaction fees that could make it difficult for artists to profit from their work.11 It is important to highlight these here, although they will not be the subject of further analysis.

The Dynamics of Remittances Impact: A Mixed-Method Approach to Understand Ghana’s Situation and the Way Forward

Many scholarly articles on remittance have focused on its positive or negative impact on the macro- or microeconomy. Given that trend, remittance is usually analysed without its sociological elements embedded within the migration process. Therefore, this paper employs a bird’s eye view to advance our understanding of the dynamics of remittance within the Ghanaian migration framework. By this, the paper uses a mixed-method approach to shed light on the Ghana case. First, through multiple linear regression, the paper shows that remittance inflow to Ghana is positively related to GDP per capita. Specifically, the evidence indicates that a 1% increase in remittance leads to an approximately 4% increase in the GDP per capita. Second, with the aid of household survey data from Ghana Statistical Service and Ghana’s poverty dimension, the paper shows that while the empirical finding suggests an improvement of the populace’s standard of living, the evidence on the grounds, however, conflicts with such findings. This is because remittance is primarily a private resource and is likely to reach only a few well-off homes in Ghana; hence, it does not consider an effective redistributive dimension. Third, to further elucidate why remittance reaches these few groups, the paper analyses within the Marxist political framework how legal migration to the developed countries has always been an option only for the well-off and middle-class Ghanaians who could afford the cost. With this clear establishment of the remittance dynamics in Ghana, the study proposes plausible suggestions to enhance the redistributive effect of remittance in Ghana. In particular, the study recommends a state-led online app for migrants to send money to Ghana. Notably, the state should champion this agenda because subsidising the transaction fees would make it relatively cheaper for migrants. While this would encourage migrants to use the official means, which undoubtedly is significant for the macroeconomy, the app’s returns could be used in addressing the country’s social inequality gap at the micro-level.

Decentralized Global Copyright System Based on Consortium Blockchain with Proof-of-Authority

Conventional copyright systems are governed nationally, and there is no global ledger to store copyright data. Because copyright laws differ across countries, it is difficult to provide cross-border copyright protection. The differences in national copyright laws, absence of a global copyright monitoring system with a central cloud that can store copyrighted content worldwide, and lack of transparency raise challenges in international copyright management. Copyright information is dispersed across various centralized databases, which are not incentivized to share. It is impossible to bring all centralized servers that store billions of copyright data under a synchronized platform. Due to the lack of a global copyright monitoring system through which people can investigate whether a work is copyrighted by searching copyright catalogs and records, copyrighted works are often downloaded from Google or social media unconsciously and shared with others freely, which may result in huge revenue losses to copyright holders.<div>In this paper, we propose a novel decentralized copyright system based on consortium blockchain, which ensures cross-border copyright protection of individuals’ digital content and solves existing challenges in international copyright management. The proposed system enables a synchronized platform to register and trade copyright globally without using a global cloud. Unlike conventional copyright systems, the proposed system does not require any centralized server to store copyrighted content. Instead, blockchain is used to store the metadata of copyrighted content. Individual countries receive membership from a copyright federation and participate in block creation by executing the energy-saving proof-of-authority consensus algorithm. These countries are regarded as the authorities of the platform and are responsible for proposing new blocks after validating transactions. Anyone, either registered or unregistered, can investigate a copyrighted work, but only registered users can make transactions. A token-based payment system is also proposed for paying copyright charges or transaction fees to the authorities through the federation. A prototype of the system was implemented, and its performance was evaluated. This paper provides direction and guidance towards international copyright management.</div>

Decentralized Global Copyright System Based on Consortium Blockchain with Proof-of-Authority

Conventional copyright systems are governed nationally, and there is no global ledger to store copyright data. Because copyright laws differ across countries, it is difficult to provide cross-border copyright protection. The differences in national copyright laws, absence of a global copyright monitoring system with a central cloud that can store copyrighted content worldwide, and lack of transparency raise challenges in international copyright management. Copyright information is dispersed across various centralized databases, which are not incentivized to share. It is impossible to bring all centralized servers that store billions of copyright data under a synchronized platform. Due to the lack of a global copyright monitoring system through which people can investigate whether a work is copyrighted by searching copyright catalogs and records, copyrighted works are often downloaded from Google or social media unconsciously and shared with others freely, which may result in huge revenue losses to copyright holders.<div>In this paper, we propose a novel decentralized copyright system based on consortium blockchain, which ensures cross-border copyright protection of individuals’ digital content and solves existing challenges in international copyright management. The proposed system enables a synchronized platform to register and trade copyright globally without using a global cloud. Unlike conventional copyright systems, the proposed system does not require any centralized server to store copyrighted content. Instead, blockchain is used to store the metadata of copyrighted content. Individual countries receive membership from a copyright federation and participate in block creation by executing the energy-saving proof-of-authority consensus algorithm. These countries are regarded as the authorities of the platform and are responsible for proposing new blocks after validating transactions. Anyone, either registered or unregistered, can investigate a copyrighted work, but only registered users can make transactions. A token-based payment system is also proposed for paying copyright charges or transaction fees to the authorities through the federation. A prototype of the system was implemented, and its performance was evaluated. This paper provides direction and guidance towards international copyright management.</div>

Overview on the Blockchain-Based Supply Chain Systematics and Their Scalability Tools

Modern IT technologies shaped the shift in economic models with many advantages on cost, optimization, and time to market. This economic shift has increased the need for transparency and traceability in supply chain platforms to achieve trust among partners. Distributed ledger technology (DLT) is proposed to enable supply chains systems with trust requirements. In this paper, we investigate the existing DLT-based supply chain projects to show their technical part and limitations and extract the tools and techniques used to avoid the DLT scalability issue. We then set the requirements for a typical DLT-based supply chain in this context. The analyses are based on the scalability metrics such as computing, data storage, and transaction fees that fit the typical supply chain system. This paper highlights the effects of Blockchain techniques on scalability and their incorporation in supply chains systems. It also presents other existing solutions that can be applied to the supply chain. The investigation shows the necessity of having such tools in supply chains and developing them to achieve an efficient and scalable system. The paper calls for further scalability enhancements throughout introducing new tools and/or reutilize the current ones. Doi: 10.28991/esj-2021-SP1-04 Full Text: PDF

Reinforcement Learning with Self-Attention Networks for Cryptocurrency Trading

This work presents an application of self-attention networks for cryptocurrency trading. Cryptocurrencies are extremely volatile and unpredictable. Thus, cryptocurrency trading is challenging and involves higher risks than trading traditional financial assets such as stocks. To overcome the aforementioned problems, we propose a deep reinforcement learning (DRL) approach for cryptocurrency trading. The proposed trading system contains a self-attention network trained using an actor-critic DRL algorithm. Cryptocurrency markets contain hundreds of assets, allowing greater investment diversification, which can be accomplished if all the assets are analyzed against one another. Self-attention networks are suitable for dealing with the problem because the attention mechanism can process long sequences of data and focus on the most relevant parts of the inputs. Transaction fees are also considered in formulating the studied problem. Systems that perform trades in high frequencies cannot overlook this issue, since, after many trades, small fees can add up to significant expenses. To validate the proposed approach, a DRL environment is built using data from an important cryptocurrency market. We test our method against a state-of-the-art baseline in two different experiments. The experimental results show the proposed approach can obtain higher daily profits and has several advantages over existing methods.

3-of-3 multisignature approach for enabling lightning network micro-payments on IoT devices

Bitcoin's success as a cryptocurrency enabled it to penetrate into many daily life transactions. Its problems regarding the transaction fees and long validation times are addressed through an innovative concept called the Lightning Network (LN) which works on top of Bitcoin by leveraging off-chain transactions. This made Bitcoin an attractive micropayment solution that can also be used within certain IoT applications (e.g., toll payments) since it eliminates the need for traditional centralized payment systems. Nevertheless, it is not possible to run LN and Bitcoin on resource-constrained IoT devices due to their storage, memory, and processing requirements. Therefore, in this paper, we propose an efficient and secure protocol that enables an IoT device to use LN's functions through a gateway LN node even if it is not trusted. The idea is to involve the IoT device only in signing operations, which is possible by replacing LN's original 2-of-2 multisignature channels with 3-of-3 multisignature channels. Once the gateway is delegated to open a channel for the IoT device in a secure manner, our protocol enforces the gateway to request the IoT device's cryptographic signature for all further operations on the channel such as sending payments or closing the channel. LN's Bitcoin transactions are revised to incorporate the 3-of-3 multisignature channels. In addition, we propose other changes to protect the IoT device's funds from getting stolen in possible revoked state broadcast attempts. We evaluated the proposed protocol using a Raspberry Pi considering a toll payment scenario. Our results show that timely payments can be sent and the computational and communication delays associated with the protocol are negligible.

Determining the potential of informal savings groups as a model for formal commitment saving devices

Background: Saving behaviour has attracted research attention over the past 20 years. Typically, individual and household saving rates among low-income groups are inadequate. Research suggests that informal savings groups are effective vehicles for encouraging saving among low-income individuals. Yet little is known about the drivers of positive saving behaviour among informal savings groups, which makes it difficult for formal providers to design interventions that promote higher levels of saving.Aim: This study aimed to explore both the rational and non-rational drivers of saving behaviour among low-income members of informal savings groups, the attributes of informal savings groups that positively influence their collective saving behaviour, and to identify the valued features of savings groups that encourage the adoption of informal commitment saving devices (CSDs).Methods: The study was informed by a literature review followed by field research in which semi-structured interviews were conducted with 10 savings groups and 10 individual members of savings groups. The participants’ perspectives were analysed and compared within the context of behavioural economic theory.Results: The study revealed seven characteristics of informal savings groups that potentially serve as interventions to explain non-rational saving behaviour. It also identified seven features valued by users of informal CSDs (including flexibility, restricted access to savings and no transaction fees) which could be salient to providers of formal CSDs.Conclusion: On the basis of the findings, a behavioural design framework was proposed to inform the design features of formal CSDs that may ensure customer retention and improved saving outcomes.