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OALib Journal期刊

ISSN: 2333-9721

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The Investors’ Behavior towards the Relationship between Bitcoin, Litcoin, Dash Coins, and Gold: A Portfolio Modeling Approach  [PDF]
Asma Maghrebi, Fathi Abid
Journal of Mathematical Finance (JMF) , 2021, DOI: 10.4236/jmf.2021.113028
Abstract: This study considers a market-based economy that is composed of two asset classes: one is a digital, cryptocurrency, and the other is real, gold. We demonstrated that coins like (BTC, LTC, and DASH) can substitute a traditional safe haven “gold” in an intertemporal investment portfolio to become a new form of safe haven. The cryptocurrency follows a Jump-diffusion process. However, gold prices follow an Ornstein-Uhlenbek process to characterize the stochastic nature of the market. The stochastic optimal control approach, combined with the strategic asset allocation and the intertemporal utility theory, are used through the derivation of a Hamilton-Jacobi-Bellman (HJB) equation to determine an explicit solution of the optimal allocation problem for investors with CRRA utility function. We considered the Gamma Lévy process to solve the optimization problem. By using the secant method, we determined numerically the optimal percentage invested in the two asset classes at each time over the holding period. Our results showed that an investor can substitute gold by coins (BTC, LTC, DASH) from an investment portfolio perspective. Although Gold is supposed to be the traditional safe-haven asset, the digital currency seems to emerge as a new form of safe-haven value in a risky environment.
Market Liquidity Behaviour in Futures Markets: Empirical Evidence
Fathi ABID,Lotfi TRABELSI
Asian Economic and Financial Review , 2012,
Abstract: In this study, we examine the relations between the three keys variables of liquidity such as trading volume, bid-ask spread, and intraday price volatility. Hausman’s (1978) tests of specification confirmed that trading volume, bid-ask spread and intraday price volatility are jointly determined. Our study, leaded with a different approach to estimate the three parameters in a three-equation simultaneous structural model, confirm Hausman’s (1978) conclusions. Empirical analysis, based on eight financial futures contracts, the most actively traded futures contracts in the Chicago Board of Trade (CBT) and the Chicago Mercantile Exchange (CME) markets, use the generalized method of moments (GMM) procedure. Empirical results, supporting theoretical developments, indicate the existence of a simultaneous relationship between these three variables of financial markets liquidity.
AN EXAMINATION OF THE NASDAQ 100 FUTURES CONTRACT USING ULTRA HIGH FREQUENCY DATA
Fathi Abid,Lotfi Trabelsi
Journal of Business and Finance , 2013,
Abstract: This paper conducts a study on a high frequency data of futures index contracts after the examination of the Nasdaq 100 to investigate the effects of price duration in trading process. To achieve this prospect, we extend the Engle and Russell (1998) model, which divides the intensity effect into liquidity and information components by including additional microstructural variables. Examining tick by tick data of Nasdaq 100 futures index futures; we find that the time duration between transactions exerts a considerable influence on price changes. Additionally, the time can be modelled in combination with variable microstructure. This evidence suggests that managing both time, trading volume and microstructural variables are important aspects of trading in the index futures markets.
Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming
Wafa Abdelmalek,Sana Ben Hamida,Fathi Abid
Advances in Decision Sciences , 2009, DOI: 10.1155/2009/179230
Abstract: The volatility is a crucial variable in option pricing and hedging strategies. The aim of this paper is to provide some initial evidence of the empirical relevance of genetic programming to volatility's forecasting. By using real data from S&P500 index options, the genetic programming's ability to forecast Black and Scholes-implied volatility is compared between time series samples and moneyness-time to maturity classes. Total and out-of-sample mean squared errors are used as forecasting's performance measures. Comparisons reveal that the time series model seems to be more accurate in forecasting-implied volatility than moneyness time to maturity models. Overall, results are strongly encouraging and suggest that the genetic programming approach works well in solving financial problems.
On the Support of Multimedia Traffic over Optical Burst-Switched Networks
Abid Abdelouahab,Ahmed Mueen,Fathi Taibi
Information Technology Journal , 2006,
Abstract: Optical Burst Switching (OBS) is a promising switching paradigm that is very suitable to be deployed in the next generation internet. OBS combines the benefits of various evolving techniques to economize the network traffic through an optical network. However, OBS lacks mechanisms for congestion control and service differentiation, which impedes its support for the Internet multimedia traffic. In this study, new congestion control and service differentiation mechanisms are presented. These mechanisms are based on a new control packet structure, which provides constant transmission overhead and makes the control packet scalable to higher speeds. The simulation results show that these techniques allow the OBS edge nodes to control the network traffic flows and enable the core nodes to maintain a low burst drop rate and provide different services for different traffic classes.
Mean-Field Solution of the Mixed Spin-2 and Spin-5/2 Ising Ferrimagnetic System with Different Single-Ion Anisotropies  [PDF]
Fathi Abubrig
Open Journal of Applied Sciences (OJAppS) , 2013, DOI: 10.4236/ojapps.2013.33034
Abstract:

The mixed spin-2 and spin-5/2 Ising ferrimagnetic system with different anisotropies (DA/zJ|) for the spin-2 and (DB/zJ|) for the spin-5/2 is studied by the use of the mean-field theory based on the Bogoliubov inequality for the free energy. First, the ground state phase diagram of the system at zero temperature is obtained on the (DA/zJ,DB/zJ|) plane. Topologically, different kinds of phase diagrams are achieved by changing the temperature and the values of the single ion anisotropies DA/zJ and DB/zJ. Besides second-order transition lines, first order phase transition lines terminating at tricritical points, are found. The existence and dependence of a compensation temperature on single-ion anisotropies is also investigated.

Mean-Field Solution of a Mixed Spin-3/2 and Spin-2 Ising Ferrimagnetic System with Different Single-Ion Anisotropies  [PDF]
Fathi Abubrig
Open Journal of Applied Sciences (OJAppS) , 2013, DOI: 10.4236/ojapps.2013.32029
Abstract:

The mixed spin-3/2 and spin-2 Ising ferrimagnetic system with different single-ion anisotropies in the absence of an external magnetic field is studied within the mean-field theory based on Bogoliubov inequality for the Gibbs free energy. Second-order critical lines are obtained in the temperature-anisotropy plane. Tricritical line separating second-order and first-order lines is found. Finally, the existence and dependence of a compensation points on single-ion anisotropies is also investigated for the system. As a result, this mixed-spin model exhibits one, two or three compensation temperature depending on the values of the anisotropies.

Extractive Metallurgy and National Policy  [PDF]
Fathi Habashi
International Journal of Nonferrous Metallurgy (IJNM) , 2013, DOI: 10.4236/ijnm.2013.22004
Abstract:

Hydrometallurgical technology offers a unique possibility for developing countries to exploit their mineral resources locally instead of shipping them as concentrates. Production plants may start on a small scale with small capital investment then increase productivity later when the economy permits without financial penalty. This is in contract to smelting operations which necessitates large scale production from the start with high capital investment that may not be available locally.

Magnetic Properties of a Mixed-Spin-3/2 and Spin-2 Ising Ferrimagnetic System in an Applied Longitudinal Magnetic Field  [PDF]
Fathi Abubrig
World Journal of Condensed Matter Physics (WJCMP) , 2013, DOI: 10.4236/wjcmp.2013.32018
Abstract:

The magnetic properties of a mixed Ising ferrimagnetic system consisting of spin-3/2 and spin-2 with different single ion anisotropies and under the effect of an applied longitudinal magnetic field are investigated within the mean-field theory based on Bogoliubov inequality for the Gibbs free energy. The ground-state phase diagram is constructed. The thermal behaviours of magnetizations and magnetic susceptibilities are examined in detail. Finally, we find some interesting phenomena in these quantities, due to applied longitudinal magnetic field.

Electromagnetic Self-Force Mechanisms and Origin of R-1 Term  [PDF]
Saeed Fathi, Hamed Razavi
Journal of Applied Mathematics and Physics (JAMP) , 2017, DOI: 10.4236/jamp.2017.55096
Abstract: An accelerating charged particle exerts a force upon itself. If we model the particle as a spherical shell of radius R, and calculate the force of one piece of this shell on another and eventually integrate over the whole particle, there will be a net force on the particle due to the breakdown of Newton’s third law. This symmetry breaking mechanism relies on the finite size of the particle; thus, as Feynman has stated, conceptually this mechanism doesn’t make good sense for point particles. Nonetheless, in the point particle limit, two terms survive in the self-force series: R0 and R-1 terms. The R0 term can alternatively be attributed to the well-known radiation reaction but the origin of R-1 term is not clear. In this study, we will show that this new term can be accounted for by an inductive mechanism in which the changing magnetic field induces an inductive force on the particle. Using this inductive mechanism, we derive R-1 term in an extremely easy way.
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