The question of interest in this paper is the estimation of the trend of a financial asset, and t... more The question of interest in this paper is the estimation of the trend of a financial asset, and the impact of its misspecification on investment strategies. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. Motivated by the use of Kalman filtering as a forecasting tool, we address the problem of parameters estimation, and measure the effect of parameters misspecification. Numerical examples illustrate the difficulty of trend forecasting in financial time series.
This paper deals with a fundamental subject that has seldom been addressed in recent years, that ... more This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller pieces before being sent to the market-on one of the main Asian markets. In line with our previous work on the equity market [Said et al., 2018], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well understood equity market: Square-root law, Fair Pricing Condition and Market Impact Dynamics.
International Journal of Hyperconnectivity and the Internet of Things, 2017
This article describes how Blockchain is a technology that has a great potential to change the wa... more This article describes how Blockchain is a technology that has a great potential to change the way business is done in the future, exactly like the internet did in the early nineties. Blockchain offers new opportunities to develop new types of digital services to overcome business problems, and improve business practices by making transaction information a public resource. While research on the topic is still emerging, it has mostly focused on crypto-currencies instead of taking advantage of this novel concept to create new advanced services. This article discusses blockchain and the technology behind it, some of its possible applications, as well as threats targeting the new poorly understood technology.
We discuss the claims that data from Google Trends contain enough information to predict future f... more We discuss the claims that data from Google Trends contain enough information to predict future financial index returns. We first review the many subtle (and less subtle) biases that may affect the backtest of a trading strategy, particularly when based on such data. Expectedly, the choice of keywords is crucial: by using an industry-grade backtest system, we verify that random financerelated keywords do not to contain more exploitable predictive information than random keywords related to illnesses, classic cars and arcade games. However, other keywords applied on suitable assets yield robustly profitable strategies, thereby confirming the intuition of [24].
The question addressed in this paper is the performance of the optimal strategy, and the impact o... more The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. We focus on the optimal strategy with a logarithmic utility function under full or partial information. For both cases, we provide the asymptotic expectation and variance of the logarithmic return as functions of the signal-to-noise ratio and of the trend mean reversion speed. Finally, we compare the asymptotic Sharpe ratios of these strategies in order to quantify the loss of performance due to partial information.
Online programs such as webinars play important role in improving people's knowledge and update t... more Online programs such as webinars play important role in improving people's knowledge and update their skills regarding diseases related to their children's health such as iron deficiency anemia (IDA). Aim: To evaluate the effect of using a webinar educational program on mothers' knowledge and practices regarding iron deficiency anemia among their children. Subjects and Methods: Design: A Quasi-Experimental design (one group pre/post design) was utilized in the current research. Setting: The study was carried out at Sohag City, Egypt. Subjects: This study was applied to a purposive sample of 350 mothers. Tools: A self-administered questionnaire was used; it includes four parts: Demographic data of the mother, mothers' knowledge about iron deficiency anemia, mothers' reported practice about iron deficiency anemia, and webinar characteristics through Zoom link. Results: It was observed that less than three-quarters of the studied mothers aged from 18 to 29 years with a mean age of 27.2±1.3 years. Most of the studied mothers didn't attend any courses before regarding iron deficiency anemia. It was noticed that webinars had a positive and significant effect on improving both knowledge and practices of mothers after implementation. Conclusion: Most of the mothers reported that online webinar educational programs had a positive effect on improving their knowledge and reported practices regarding iron deficiency anemia. Recommendations: A wellplanned educational program regarding other diseases among children could be introduced to their mothers through the webinar.
Pediatric cardiac catheterization is applied for diagnostic and therapeutic procedures to childre... more Pediatric cardiac catheterization is applied for diagnostic and therapeutic procedures to children with congenital and acquired heart diseases. Aim: To evaluate the effect of educational guidelines on mothers' emotional status regarding children undergoing cardiac catheterization. Design: A quasi-experimental research design with a pre-and post-test was used. Setting: The study was conducted at the intensive care, catheterization, and cardiac care unit at Sohag University Hospital. Subjects: A convenient sample of 70 mothers of children who diagnosed with cardiac defects undergoing cardiac catheterization was involved in the current study. Tools for data collection Two tools were used in the current study first tool was mothers' interviewing questionnaire (pre/post), which included demographic characteristics; and mothers' knowledge regarding cardiac catheterization and second tool was Depression, Anxiety, and Stress Scale (DASS). Results: After implementation of the guidelines, significant relationship and improvements were detected between mothers' knowledge about their children's cardiac catheterization than before and mothers' emotional status (stress, depression, and anxiety levels) were severe before implementation of the guidelines while these levels become low after guidelines implementation. Conclusion: The guidelines for mothers of children undergoing cardiac catheterization had a positive effect on improving their knowledge and minimizing mothers' emotional disturbances like depression, anxiety, and stress regarding their children's cardiac catheterization after implementation of the guidelines than before. Recommendations: The guidelines for mothers of children undergoing cardiac catheterization should be conducted to raise their awareness. Psychological support and intervention activities should be carried out to help mothers to become emotionally stable.
Predictive factors of morbidity and mortality after surgical treatment of hepatic hydatid cyst with rupture into thorax
Thoracic Surgery
Background: Hydatid disease remains a serious health problem in Mediterranean countries. Complica... more Background: Hydatid disease remains a serious health problem in Mediterranean countries. Complicated forms are frequent and require a complex management with significant morbidity and mortality rates. Thoracic rupture of hydatid liver cyst is rare and may cause lifethreatening complications. Methods: It is a retrospective study extending over a period of 24 years from 1992 to December 31, 2016 and investigating cases with hydatid cysts of the liver with thoracic rupture, treatment modalities, and factors of morbidity and mortality analyzed by a multivariate analytical study. Results: There were 47 women and 39 men, the mean age was 48 years with the age ranging from 13 to 85 years. Nineteen patients (22. 1%) were admitted in emergency. The most common symptom was the chest pain which occurred in 58 cases (67.4%); the other findings were cough [n:25 (29.06%)], dyspnea [n:37 (43.02%)] and fever [n:47 (54.65%)]. The main procedure was cystectomy and capitonnage with thoracophrenotomy and ‘Lagrot’ on the liver in 50 cases. Two patients underwent segmentectomy, two bilobectomy and 12 underwent lobectomy. Twenty three patients had a decortication. The overall mortality rate was 3.48% while the overall morbidity rate was 23.5%. Predictors of morbidity included advanced age (p=0.03), cysts larger than 7 cm (p=0.04), cysts with bilious contents (p=0.03), type II, III and IV on ultrasound classification (p=0.02)and patients operated lately(p=0.04), patients who underwent decortication or lobectomy(p=0.01). Conclusion: The hepatic hydatid cyst with rupture into thorax is a major complication of the hydatid cyst with a high morbidity and mortality.
Collective incentive plans, organizational justice and commitment
ABSTRACT This study examined the relationships among characteristics of short-term collective inc... more ABSTRACT This study examined the relationships among characteristics of short-term collective incentive plans (i.e., incentive plans that offer performance-based bonuses to employees), organizational justice, and organizational commitment. Based on a literature review, four characteristics of collective incentive plans were identified: 1) perceived instrumentality (perception of a link between performance and pay); 2) bonus paid (the amount paid to employees in the context of the plan); 3) the intensity of organizational communication (sources of information provided to employees); and 4) communication by the supervisor concerning the incentive plan. Our central hypothesis was that these characteristics would relate to employees’affective and continuance commitment through four dimensions of organizational justice, namely distributive, procedural, informational and interpersonal justice. Based on a sample of 313 members of three professional associations, structural equations model analyses revealed that the intensity of organizational communication about the incentive plan was indirectly related to continuance commitment through procedural justice and to affective commitment through informational justice. Similarly, communication by the supervisor about the incentive plan was indirectly related to affective commitment through informational justice and to continuance commitment through procedural justice. Finally, communication by the supervisor was also indirectly related to continuance commitment through interpersonal justice. This study shows that organizational and supervisory communication about the rules and workings of incentive plans plays a critical role in shaping employees’ perceptions of justice (namely procedural, informational and interpersonal justice), which indirectly influences affective and continuance commitment.
The question of interest in this paper is the estimation of the trend of a financial asset, and t... more The question of interest in this paper is the estimation of the trend of a financial asset, and the impact of its misspecification on investment strategies. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. Motivated by the use of Kalman filtering as a forecasting tool, we address the problem of parameters estimation, and measure the effect of parameters misspecification. Numerical examples illustrate the difficulty of trend forecasting in financial time series.
This paper deals with a fundamental subject that has seldom been addressed in recent years, that ... more This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller pieces before being sent to the market-on one of the main Asian markets. In line with our previous work on the equity market [Said et al., 2018], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well understood equity market: Square-root law, Fair Pricing Condition and Market Impact Dynamics.
International Journal of Hyperconnectivity and the Internet of Things, 2017
This article describes how Blockchain is a technology that has a great potential to change the wa... more This article describes how Blockchain is a technology that has a great potential to change the way business is done in the future, exactly like the internet did in the early nineties. Blockchain offers new opportunities to develop new types of digital services to overcome business problems, and improve business practices by making transaction information a public resource. While research on the topic is still emerging, it has mostly focused on crypto-currencies instead of taking advantage of this novel concept to create new advanced services. This article discusses blockchain and the technology behind it, some of its possible applications, as well as threats targeting the new poorly understood technology.
We discuss the claims that data from Google Trends contain enough information to predict future f... more We discuss the claims that data from Google Trends contain enough information to predict future financial index returns. We first review the many subtle (and less subtle) biases that may affect the backtest of a trading strategy, particularly when based on such data. Expectedly, the choice of keywords is crucial: by using an industry-grade backtest system, we verify that random financerelated keywords do not to contain more exploitable predictive information than random keywords related to illnesses, classic cars and arcade games. However, other keywords applied on suitable assets yield robustly profitable strategies, thereby confirming the intuition of [24].
The question addressed in this paper is the performance of the optimal strategy, and the impact o... more The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. We focus on the optimal strategy with a logarithmic utility function under full or partial information. For both cases, we provide the asymptotic expectation and variance of the logarithmic return as functions of the signal-to-noise ratio and of the trend mean reversion speed. Finally, we compare the asymptotic Sharpe ratios of these strategies in order to quantify the loss of performance due to partial information.
Online programs such as webinars play important role in improving people's knowledge and update t... more Online programs such as webinars play important role in improving people's knowledge and update their skills regarding diseases related to their children's health such as iron deficiency anemia (IDA). Aim: To evaluate the effect of using a webinar educational program on mothers' knowledge and practices regarding iron deficiency anemia among their children. Subjects and Methods: Design: A Quasi-Experimental design (one group pre/post design) was utilized in the current research. Setting: The study was carried out at Sohag City, Egypt. Subjects: This study was applied to a purposive sample of 350 mothers. Tools: A self-administered questionnaire was used; it includes four parts: Demographic data of the mother, mothers' knowledge about iron deficiency anemia, mothers' reported practice about iron deficiency anemia, and webinar characteristics through Zoom link. Results: It was observed that less than three-quarters of the studied mothers aged from 18 to 29 years with a mean age of 27.2±1.3 years. Most of the studied mothers didn't attend any courses before regarding iron deficiency anemia. It was noticed that webinars had a positive and significant effect on improving both knowledge and practices of mothers after implementation. Conclusion: Most of the mothers reported that online webinar educational programs had a positive effect on improving their knowledge and reported practices regarding iron deficiency anemia. Recommendations: A wellplanned educational program regarding other diseases among children could be introduced to their mothers through the webinar.
Pediatric cardiac catheterization is applied for diagnostic and therapeutic procedures to childre... more Pediatric cardiac catheterization is applied for diagnostic and therapeutic procedures to children with congenital and acquired heart diseases. Aim: To evaluate the effect of educational guidelines on mothers' emotional status regarding children undergoing cardiac catheterization. Design: A quasi-experimental research design with a pre-and post-test was used. Setting: The study was conducted at the intensive care, catheterization, and cardiac care unit at Sohag University Hospital. Subjects: A convenient sample of 70 mothers of children who diagnosed with cardiac defects undergoing cardiac catheterization was involved in the current study. Tools for data collection Two tools were used in the current study first tool was mothers' interviewing questionnaire (pre/post), which included demographic characteristics; and mothers' knowledge regarding cardiac catheterization and second tool was Depression, Anxiety, and Stress Scale (DASS). Results: After implementation of the guidelines, significant relationship and improvements were detected between mothers' knowledge about their children's cardiac catheterization than before and mothers' emotional status (stress, depression, and anxiety levels) were severe before implementation of the guidelines while these levels become low after guidelines implementation. Conclusion: The guidelines for mothers of children undergoing cardiac catheterization had a positive effect on improving their knowledge and minimizing mothers' emotional disturbances like depression, anxiety, and stress regarding their children's cardiac catheterization after implementation of the guidelines than before. Recommendations: The guidelines for mothers of children undergoing cardiac catheterization should be conducted to raise their awareness. Psychological support and intervention activities should be carried out to help mothers to become emotionally stable.
Predictive factors of morbidity and mortality after surgical treatment of hepatic hydatid cyst with rupture into thorax
Thoracic Surgery
Background: Hydatid disease remains a serious health problem in Mediterranean countries. Complica... more Background: Hydatid disease remains a serious health problem in Mediterranean countries. Complicated forms are frequent and require a complex management with significant morbidity and mortality rates. Thoracic rupture of hydatid liver cyst is rare and may cause lifethreatening complications. Methods: It is a retrospective study extending over a period of 24 years from 1992 to December 31, 2016 and investigating cases with hydatid cysts of the liver with thoracic rupture, treatment modalities, and factors of morbidity and mortality analyzed by a multivariate analytical study. Results: There were 47 women and 39 men, the mean age was 48 years with the age ranging from 13 to 85 years. Nineteen patients (22. 1%) were admitted in emergency. The most common symptom was the chest pain which occurred in 58 cases (67.4%); the other findings were cough [n:25 (29.06%)], dyspnea [n:37 (43.02%)] and fever [n:47 (54.65%)]. The main procedure was cystectomy and capitonnage with thoracophrenotomy and ‘Lagrot’ on the liver in 50 cases. Two patients underwent segmentectomy, two bilobectomy and 12 underwent lobectomy. Twenty three patients had a decortication. The overall mortality rate was 3.48% while the overall morbidity rate was 23.5%. Predictors of morbidity included advanced age (p=0.03), cysts larger than 7 cm (p=0.04), cysts with bilious contents (p=0.03), type II, III and IV on ultrasound classification (p=0.02)and patients operated lately(p=0.04), patients who underwent decortication or lobectomy(p=0.01). Conclusion: The hepatic hydatid cyst with rupture into thorax is a major complication of the hydatid cyst with a high morbidity and mortality.
Collective incentive plans, organizational justice and commitment
ABSTRACT This study examined the relationships among characteristics of short-term collective inc... more ABSTRACT This study examined the relationships among characteristics of short-term collective incentive plans (i.e., incentive plans that offer performance-based bonuses to employees), organizational justice, and organizational commitment. Based on a literature review, four characteristics of collective incentive plans were identified: 1) perceived instrumentality (perception of a link between performance and pay); 2) bonus paid (the amount paid to employees in the context of the plan); 3) the intensity of organizational communication (sources of information provided to employees); and 4) communication by the supervisor concerning the incentive plan. Our central hypothesis was that these characteristics would relate to employees’affective and continuance commitment through four dimensions of organizational justice, namely distributive, procedural, informational and interpersonal justice. Based on a sample of 313 members of three professional associations, structural equations model analyses revealed that the intensity of organizational communication about the incentive plan was indirectly related to continuance commitment through procedural justice and to affective commitment through informational justice. Similarly, communication by the supervisor about the incentive plan was indirectly related to affective commitment through informational justice and to continuance commitment through procedural justice. Finally, communication by the supervisor was also indirectly related to continuance commitment through interpersonal justice. This study shows that organizational and supervisory communication about the rules and workings of incentive plans plays a critical role in shaping employees’ perceptions of justice (namely procedural, informational and interpersonal justice), which indirectly influences affective and continuance commitment.
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Papers by Ahmed Ayed