Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume

The seasonal and trend decomposition of a univariate time-series based on Loess (STL) has several advantages over traditional methods. It deals with any periodicity length, enables seasonality change over time, allows missing values, and is robust to outliers. However, it does not handle trading day variation by default. This study offers how to deal with this drawback. By applying multiple STL decompositions of 15-minute trading volume observations, three seasonal patterns were discovered: hourly, daily, and monthly. The research objective was not only to discover if multi-seasonality exists in trading volume by employing high-frequency data but also to determine which seasonal component is most time-varying, and which seasonal components are the strongest or weakest when comparing the variation in the magnitude between them. The results indicate that hourly seasonality is the strongest, while daily seasonality changes the most. A better understanding of trading volume multiple patterns can be very helpful in improving the performance of trading algorithms.

A Test of the validity of Crowding-out (or- in) hypothesis: A new examination of link between public borrowing and private investment in Emerging Europe

This study seeks to test the existence of the crowding-out (or- in) hypothesis in a sample of 17 Emerging Europe countries divided in two panels. The study employs a panel autoregressive distributed lag (ARDL) model based on three estimators, Mean Group Estimator (MG), Pooled Mean Group (PMG) and Dynamic Fixed Effect (DFE), in order to evaluate the of stability of short run and long run coefficients using consistently compiled public borrowing and private investment data between 2000 and 2019. The empirical findings of the paper generally confirm the existence of a crowding out effect in both long run and short run in European post-transition countries, and in the long run for European transition countries. More specifically, elasticity of private investment with respect to public debt is greater in the European transition countries than in the European post-transition countries. However, the findings on the crowding out (in) effect of government spending and economic growth on private investment are mixed and conflicting in both the long run and the short run. Accordingly, the study recommends that selected countries should reassess their austerity agendas employed for lowering debt levels, and follow new strategies for managing public debt burden.

The Study of Depot Position Effect on Travel Distance in Order Picking Problem

Research of travel distance on single - depot position in warehouse is tremendous. This study focuses more on the effect of two-depot position on travel distance in order picking problem (OPP) by using the concept of traveling salesman problem (TSP) and exact method – Branch and Bound (B\&B) algorithm. The total distance of one-depot position is shorter than two-depot position for single and double block warehouses and the difference is less than 5%. The total distance is also compared with approximate methods – SA and TS which show that the differences are less than 5%. The sequence of location visit for one depot and two depot is similar about two third from the total location visits. For order picking problem that has more than 25 location visits, one need to consider to apply approximate approach to get the solution faster even the difference will be higher from exact approach when the number of location visit or aisle increases.

Patterns of productivity changes in nursing homes by using Malmquist DEA index

Motivation to open a for-profit nursing home is the same as motivation to start any other business, and it seems that, due to various demographic and social changes, the interest in this sector, especially in developed countries, will increase in the future. In that context, this research aims to analyze the efficiency of for-profit nursing homes with a focus on Croatian for-profit nursing homes from 2015 to 2019. In order to estimate different kinds of efficiencies, precisely to estimate technological change, which can’t be estimated through windows DEA, and technical efficiency changes, the Malmquist -- DEA performance measure was chosen for this analysis. The results show that for-profit nursing homes in our sample experienced an increase in the total factor productivity by 12.67 % in the analyzed period, where the decline in technical efficiency (-0.21 %) was compensated by an increase in technological change (13.16 %). Although technological innovation shifted the relative efficient frontier to a higher level, for-profit nursing homes in our sample were far from the best production frontier, highlighting managerial inefficiency.

Iterated Prisoner's Dilemma among mobile agents performing 2D random walk

When Iterated Prisoner's Dilemma takes place on a two-dimensional plane among mobile agents, the course of the game slightly differs from that one in a well-mixed population. In this paper we present a detailed derivation of the expected number of encounters required for Tit-for-tat strategy to get even with Always-Defect strategy in a Brownian-like population. It will be shown that in such an environment Tit-for-Tat can perform better than in a well-mixed population.

Ranking of hydropower projects based on sustainability criteria in India using multicriteria decision making methods

Assessment of hydropower projects with respect to sustainability criteria is a multidimensional and complex issue. It requires considering technical, environmental, and social parameters instead of purely economic ones in decision making for energy planning. The flexibility to consider several criteria and objectives simultaneously leads to the use of multicriteria decision making (MCDM) methods which are well accepted in the field of energy planning. This paper aims at applying MCDM methods in facilitating the decision makers to select the most sustainable hydropower projects in the Indian region by making real and logical choices based on eight important criteria selected from the literature that are compatible with sustainable development. To comprehensively rank hydropower projects three MCDM methods are applied i.e., the technique for order of preference by similarity to ideal solution (TOPSIS), preference ranking organization method for enrichment evaluations (PROMETHEE II), and elimination and choice translating reality (ELECTRE III). Analytic hierarchy process (AHP) is used to calculate the weights of criteria. All three methods are well adapted for sustainability assessment and ranked Sharavathi (A9), Bhakra (A2), and Upper Indravati (A13) to be the most sustainable hydropower projects in India under the selected criteria. The study will be helpful in sustainable energy planning of hydropower projects with similar geographical conditions.

Efficiency of European Airports: Parametric Versus Non-parametric Approach

This paper presents a performance evaluation of European airports, based on the application of both parametric and non-parametric approaches. We have evaluated the 115 busiest airports in Europe according to the number of passengers checked-in in 2018. The four inputs we used were the number of Terminals, Runways, Boarding gates, and Aircraft stands. Three variables were used to describe the outputs, namely, Passengers, Movements, and Cargo. The parametric method we chose to apply was the Stochastic Frontier Analysis (SFA) with the Cobb-Douglas production function, the Half-Normal distribution of inefficiency component, and the Normal distribution of an error term. As a basic SFA model only allows for a single output, we employed different methods to get a single efficiency score for each and every airport. Next, we evaluated the airport performance non-parametrically using several Data Envelope Analysis (DEA) models including the super-efficiency model. We compared the results obtained by individual approaches and discussed their pros and cons. Finally, we applied the program evaluation procedure to explore the effect of the different forms of airports ownership on their performance.

Multicriteria analysis of the quality of teaching process in higher education: how to evaluate implementation of critical thinking

One of the main goals of any higher education system is developing students’ critical thinking. Critical thinking contributes to decision-making and problem-solving skills, whether for professional or personal purposes. Teaching, on the other hand, has been largely influenced by new information technologies which have changed some of the related concepts and tools. The quality of the teaching process is multidimensional which is why no single unit of its measurement has been developed yet, in spite of numerous surveys that have collected massive amounts of information from the existing practice. The aim of this paper is to establish the most appropriate higher education quality measure, which would consist of all relevant indicators from different aspects, including implementation of critical thinking in the teaching process, weighting by two main groups of participants in the process - teachers and students. Multicriteria decision-making has been recognised as a suitable framework for achieving this goal. In fact, the problem of measuring teaching staff performance could be set up as a classical problem of multicriteria decision-making. With this approach the quality of teaching process should be simultaneously estimated by n quality assurance criteria and in accordance with those criteria m alternatives (professors) would be ranked or estimated.

The Curricular Practical Training Rotation Problem Formulation and the Assessment of Rotation Strategies

This study addresses the curricular practical training rotation problem, which is a type of staff assignment problem. Many educational institutions require theoretical knowledge to be complemented by practical training. Although the details of the implementation differ from institution to institution, it is necessary to prepare a rotation plan that determines how long the trainees will practice in which unit in which training period. Because of the complexity of the problem and humanistic reasons, the manual rotation plan can not reach the optimal level that satisfies all stakeholders and takes time. This study defines a general Curricular Practical Training Rotation Planning Problem specific to the curriculum-based trainee assignment process carried out in a university department and proposes an integer mathematical model for its solution. It is one of the important contributions of this study. It also provides a methodological approach to identify the most appropriate rotation strategy that will satisfy stakeholders. The methodological approach followed is a structure that can be adapted to different perspectives. The study has the potential to guide practitioners and researchers in the field and to lead a rich literature that will be formed with different side constraints and purposes to the problem.

A Linear Programming Relaxation DEA Model for Selecting a Single Efficient Unit with Variable RTS Technology

The selection-based problem is a type of decision-making issue which involves opting for a single option among a set of available alternatives. In order to address the selection-based problem in data envelopment analysis (DEA), various integrated mixed binary linear programming (MBLP) models have been developed. Recently, an MBLP model has been proposed to select a unit in DEA with variable returns-to-scale technology. This paper suggests utilizing the linear programming relaxation model rather than the MBLP model. The MBLP model is proved here to be equivalent to its linear programming relaxation problem. To the best of the authors’ knowledge, this is the first linear programming model suggested for selecting a single efficient unit in DEA under the VRS (Variable Returns to Scale) assumption. Two theorems and a numerical example are provided to validate the proposed LP model from both theoretical and practical perspectives.