0dunhwlqj0dqdjhphqw6xssruw lq6odxjkwhu3lj3urgxfwlrq · 2012. 11. 16. ·...

Post on 21-Jan-2021

2 Views

Category:

Documents

0 Downloads

Preview:

Click to see full reader

TRANSCRIPT

0DUNHWLQJ�0DQDJHPHQW�6XSSRUW

LQ�6ODXJKWHU�3LJ�3URGXFWLRQ

3K�'��7KHVLV

+HQULN�.XUH

7KH�5R\DO�9HWHULQDU\�DQG�

$JULFXOWXUDO�8QLYHUVLW\

&RSHQKDJHQ

����

ii

iii

3UHIDFH

7KLV� 3K�'�� WKHVLV� LV� LQWHQGHG� WR� IXOILOO� WKH� UHTXLUHPHQWV� IRU� WKH� 3K�'�� GHJUHH� DW� 7KH�5R\DO

9HWHULQDU\�DQG�$JULFXOWXUDO�8QLYHUVLW\��'HQPDUN��7KH�WKHVLV�LV�WKH�SDUWLDO�UHVXOW�RI�'LQD��'DQLVK

,QIRUPDWLFV�1HWZRUN� LQ�$JULFXOWXUDO�6FLHQFHV��5HVHDUFK�3URMHFW� QR��'66¤$30¤���'HOLYHU\

3ROLFLHV�LQ�WKH�6ODXJKWHU�3LJ�3URGXFWLRQ��7KH�UHVHDUFK�ZDV�FDUULHG�RXW�DW�'HSDUWPHQW�RI�$QLPDO

6FLHQFH�DQG�$QLPDO�+HDOWK��7KH�5R\DO�9HWHULQDU\�DQG�$JULFXOWXUDO�8QLYHUVLW\�DQG�GXULQJ��

PRQWKV� LQ� ����� DW�'HSDUWPHQW� RI�&OLQLFDO� DQG�3RSXODWLRQ� 6FLHQFHV��&ROOHJH� RI� 9HWHULQDU\

0HGLFLQH��8QLYHUVLW\�RI�0LQQHVRWD�

6HYHUDO�SHRSOH�KDYH�LQVSLUHG�DQG�VXSSRUWHG�PH�GXULQJ�WKH�UHVHDUFK�SURJUDP�DQG�WKH�ZRUN�RQ

WKLV� WKHVLV�� )LUVW� RI� DOO� ,� ZRXOG� OLNH� WR� WKDQN�P\� VXSHUYLVRU�� $QGHUV� 5��.ULVWHQVHQ� DQG�P\

FR¤VXSHUYLVRU�(ULN�-�UJHQVHQ�IRU�WKH�LQVSLUDWLRQ�DQG�TXDOLILHG�JXLGDQFH�WKH\�VXSSOLHG�PH��$OVR

,� ZRXOG� OLNH� WR� WKDQN�� -�UJHQ� 6WHQVJDDUG¤0DGVHQ� IRU� KLV� JXLGDQFH� RQ� LQIRUPDWLFV� DQG� IRU

UHYHDOLQJ�WKH�ZRUOG�RI�IXQFWLRQDO�SURJUDPPLQJ�IRU�PH��)LQQ�8GHVHQ�DQG�9HUQHU�5XE\��WKH�'DQLVK

6ODXJKWHU�+RXVHV� IRU�GDWD�PDWHULDO� DQG� IUXLWIXO� GLVFXVVLRQV�RQ� WKH�SUREOHP�RI� VODXJKWHU�SLJ

PDUNHWLQJ��:LOO�0DUVK��3HWHU�%DKQVRQ�DQG�WKH�UHVW�RI�WKH�3LJ&+$03�JURXS�IRU�PDNLQJ�P\�VWD\

LQ�WKH�86�SOHDVDQW�DQG�IUXLWIXO�DQG�WR�P\�FROOHDJXHV�DQG�IHOORZ�3K�'��VWXGHQWV�DW�'HSDUWPHQW�RI

$QLPDO�6FLHQFH�DQG�$QLPDO�+HDOWK�DQG�'HSDUWPHQW�RI�3K\VLFV�DQG�0DWKHPDWLFV�

$�VSHFLDO�DQG�VLQFHUH�WKDQN�LV�RIIHUHG�.DUROLQH�DQG�-HWWH�IRU�WKHLU�SDWLHQFH�DQG�LQYDOXDEOH

VXSSRUW�

&RSHQKDJHQ��-DQXDU\�����

+HQULN�.XUH

iv

v

7DEOH�RI�FRQWHQWV

3UHIDFH � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � LLL

7DEOH�RI�FRQWHQWV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � Y

� *HQHUDO�LQWURGXFWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

��� 2EMHFWLYHV�RI�WKH�SURMHFW � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

��� 2XWOLQH�RI�WKH�WKHVLV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

��� 5HIHUHQFHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

� %DVLF�FRQFHSWV�RI�&RPSXWHU�%DVHG�,QIRUPDWLRQ�6\VWHPV�LQ�VODXJKWHU�SLJ�PDUNHWLQJ �

��� ,QWURGXFWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

��� 7KH�QHHG�RI�LQIRUPDWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

����� 7KH�PDQDJHPHQW�F\FOH � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

����� 7KH�YDOXH�RI�LQIRUPDWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

��� &RPSXWHU¤%DVHG�,QIRUPDWLRQ�6\VWHPV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

����� 7KH�IXQGDPHQWDOV�RI�D�&%,6 � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

��� $�FRPSXWHU�EDVHG�VODXJKWHU�SLJ�PDUNHWLQJ�LQIRUPDWLRQ�V\VWHP � � � � � � � � � � � � � � � � � � �

����� &RSLQJ�ZLWK�ELRORJLFDO�YDULDQFH�DQG�XQFHUWDLQW\ � � � � � � � � � � � � � � � � � � � � � � � �

����� 7KH�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

��� 5HIHUHQFHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � �

� $�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� ,QWURGXFWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7KH�VODXJKWHU�SLJ�ILQLVKLQJ�RSHUDWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� ,QFRPSOHWH��ELDVHG�DQG�LPSUHFLVH�GDWD � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 0RGHOLQJ�DQG�HVWLPDWLQJ�WKH�¦%HOLHI�LQ�WKH�VWDWH�RI�WKH�KHUG§ � � � � � � � � � � � � � ��

��� 0RGHOV�DQG�PHWKRGV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7KH�DQLPDO�JURZWK�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

vi

����� +HUG�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� %HOLHI�XSGDWLQJ�¤�WKH�.DOPDQ�ILOWHU � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� %LDV�UHGXFWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 0RGHOV�DQG�PHWKRGV�WHVWLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 5HVXOWV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 6HQVLWLYLW\�RI�707�DQG�(0� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� $GDSWLRQ�WR�FKDQJHV�LQ�JURZWK�UDWH � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� &RYDULDQFH�HVWLPDWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 'LVFXVVLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 5HIHUHQFHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

$SSHQGL[���$��3DUDPHWHUV�RI�WKH�LQLWLDO�JXHVVHV�RQ�GLVWULEXWLRQV � � � � � � � � � � � � � � � � � � � ��

$SSHQGL[���%��(VWLPDWHG�SDUDPHWHU�YDOXHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

� 2SWLPDO�6ODXJKWHU�3LJ�0DUNHWLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� ,QWURGXFWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 6ODXJKWHU�SLJ�PDUNHWLQJ�GHILQHG � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 2SWLPDO�PDUNHWLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 2EMHFWLYHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 0DWHULDO�DQG�PHWKRGV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� $QLPDO�JURZWK�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� *HQHUDO�DVVXPSWLRQV�RI�RSWLPL]DWLRQV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 6HOHFWLRQ�RI�LQGLYLGXDO�SLJV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7HUPLQDO�PDUNHWLQJ��&RQVWDQW�DQG�LQIOH[LEOH�ZHDQHU�VXSSO\ � � � � � � � � � � � � � ��

����� 7HUPLQDO�PDUNHWLQJ��9DU\LQJ�DQG�IOH[LEOH�ZHDQHU�VXSSO\ � � � � � � � � � � � � � � � ��

����� 3UREDELOLVWLF�2SWLPL]DWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 0RGHO�WHVWLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 5HVXOWV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 6HOHFWLRQ�RI�LQGLYLGXDO�SLJV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7HUPLQDO�PDUNHWLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 'LVFXVVLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 5HIHUHQFHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

$SSHQGL[���$��0RGHO�SDUDPHWHUV�RI�WKH�FDVH�ILQLVKLQJ�RSHUDWLRQ � � � � � � � � � � � � � � � � � � � ��

� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� ,QWURGXFWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7KH�GHWHUPLQLVWLF�GDWD�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7KH�3UREOHP � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� %HOOPDQ©V�3ULQFLSOH�RI�2SWLPDOLW\ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� VROXWLRQ�¤�D�GLUHFW�GHULYDWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 0HPRU\�IXQFWLRQV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� )XQFWLRQ�EDVHG�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� *HQHUDOL]HG�5'3 � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7KH�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 7KH�VROXWLRQ�IXQFWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

vii

����� 'HILQLWLRQV�RI�WKH�W\SH�*DLQ�DQG�RI�WKH�RSHUDWRUV � � � � � � � � � � � � � � � � � � � � � � ��

��� ,PSOLFDWLRQV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� +HXULVWLF�UXOHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� %RXQGLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� 9DOXH�,WHUDWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

����� +LHUDUFKLF�0DUNRY�3URFHVVHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� &RQFOXVLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 5HIHUHQFHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

$SSHQGL[���$� $�60/¤,PSOHPHQWDWLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

� *HQHUDO�GLVFXVVLRQ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� *HQHUDO�OLPLWDWLRQV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ��

��� 7KH�DQLPDO�JURZWK�PRGHO � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ���

��� 2SWLPL]DWLRQ�PHWKRGV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ���

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ���

��� ,PSOHPHQWDWLRQ�DV�D�0DUNHWLQJ�0DQDJHPHQW�6XSSRUW�7RRO � � � � � � � � � � � � � � � � � � � ���

��� 2WKHU�DSSOLFDEOH�LVVXHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ���

��� 5HIHUHQFHV � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ���

� 6XPPDU\ � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ���

� 6DPPHQGUDJ��'DQLVK�VXPPDU\� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � ���

viii

*HQHUDO�LQWURGXFWLRQ

,Q�'HQPDUN�DSSUR[LPDWHO\����PLOOLRQ�SLJV�DUH�PDUNHWHG�IRU�VODXJKWHULQJ�\HDUO\��UHSUHVHQWLQJ�D

WRWDO�YDOXH�RI�DSSUR[LPDWHO\������ELOOLRQ�'..�WR�WKH�SURGXFHUV��DQRQ\PRXV���������7KH�PDMRULW\

RI�WKHVH�SLJV�DUH�HYDOXDWHG�DQG�SULFHG�EDVHG�RQ�FDUFDVV�PHULWV��SULPDULO\�FDUFDVV�ZHLJKW�DQG

FDUFDVV�OHDQQHVV��RI�WKH�LQGLYLGXDO�SLJ��7KH�PDQDJHU�RI�WKH�LQGLYLGXDO�VODXJKWHU�SLJ�RSHUDWLRQ

GHWHUPLQHV�ZKHQ�WR�PDUNHW�LQGLYLGXDO�SLJV�DQG�JURXSV�RI�SLJV��7KH�VSHFLILF�SUREOHP�RI�GHFLGLQJ

ZKHQ� WR�PDUNHW� �JURXSV� RI�� SLJV�ZLOO� LQ� WKH� IROORZLQJ� EH� UHIHUUHG� WR� DV� ¦WKH� VODXJKWHU� SLJ

PDUNHWLQJ� PDQDJHPHQW� SUREOHP§�� +RZ� WKH� LQGLYLGXDO� PDQDJHU� VROYHV� WKLV� SUREOHP� DQG

GHWHUPLQHV�ZKLFK�SLJV�WR�PDUNHW��GLIIHUV�EHWZHHQ�RSHUDWLRQV�DQG�PDQDJHUV��EXW�WKH�GHFLVLRQV�DUH

LQ�JHQHUDO�EDVHG�RQ�D�FRPELQDWLRQ�RI�REVHUYDWLRQV�PDGH�ZLWKLQ�WKH�KHUG��E\�UXOHV�RI�WKXPE��OLNH

¦PDUNHW�WKH�KHDYLHVW�����RI�WKH�SLJV�DW�ILUVW�PDUNHWLQJ�IURP�D�EDWFK§�RU�¦DW�OHDVW�����RI�WKH

PDUNHWHG�SLJV�VKRXOG�EH�ZLWKLQ�D�JLYHQ�ZHLJKW�UDQJH§���WUDGLWLRQ��VLPSOH�FDOFXODWLRQV�DQG�JHQHUDO

UHFRPPHQGDWLRQV� FRQFHUQLQJ� WKUHVKROG� ZHLJKWV� DQG� EDWFK� VL]HV�� ,Q� 'HQPDUN� WKHVH

UHFRPPHQGDWLRQV�DUH�W\SLFDOO\�VXSSOLHG�E\�WKH�'DQLVK�6ODXJKWHU�+RXVHV��VHH�H�J��5DVPXVVHQ�

������)OHPLQ��8GHVHQ�������

7KH�TXDQWLW\�DQG�TXDOLW\�RI�KHUG�DQG�DQLPDO�VSHFLILF�GDWD��H�J��GDWD�IURP�WKH�HYDOXDWLRQ�VKHHWV

IURP�WKH�SDFNHUV��LV�DW�SUHVHQW�KLJK�LQ�PRVW�RSHUDWLRQV�DQG�LV�YHU\�OLNHO\�WR�LQFUHDVH�DV�QHZ�WDVNV�

WHFKQRORJLHV�DQG�WHFKQLTXHV�HYROYH��ZKLOH�WKH�FRVWV�RI�DFTXLULQJ�WKHVH�GDWD�ZLOO�GHFUHDVH��VHH�H�J�

6DDWNDPS��������IRU�DQ�RYHUYLHZ�RI�DXWRPDWLF�LGHQWLILFDWLRQ�V\VWHPV�DQG�D�GHVFULSWLRQ�RI�WKH�WDVN

RI� QDWLRQDO� GLVHDVH� FRQWURO� RU�5DHPDNHUV� HW� DO�� ������ IRU� DQ� H[DPSOH� RI� DXWRPDWLF� EDODQFH

ZHLJKLQJ� RI� SLJV��� +RZHYHU�� RQO\� D�PLQRU� IUDFWLRQ� RI� WKHVH� GDWD� LV� DW� SUHVHQW� XWLOL]HG� LQ� D

IRUPDOL]HG� ZD\� LQ� PDQDJLQJ� WKH� PDUNHWLQJ� RI� VODXJKWHU� SLJV�� 1R� WRROV� IRU� VXSSRUWLQJ� WKH

PDQDJHPHQW�RI�WKH�PDUNHWLQJ�EDVHG�RQ�WKH�DFWXDO�SHUIRUPDQFH�RI�WKH�KHUG�¤�RU�¦WKH�VWDWH�RI�WKH

KHUG§�¤�KDYH��DW�OHDVW�LQ�'HQPDUN��EHHQ�GHYHORSHG�RU�LPSOHPHQWHG��*LYHQ�WKH�FRPSOH[LW\�RI�WKH

PDQDJHPHQW�SUREOHP�FRQFHUQLQJ�SULFLQJ�V\VWHPV�DQG�FRQVWUDLQWV��VHH�EHORZ���JLYHQ�WKH�YDULDWLRQ

ZLWKLQ�DQG�EHWZHHQ�RSHUDWLRQV�DQG�JLYHQ�WKH�VLPSOLFLW\�RI�WKH�PDQDJHPHQW�PHWKRGV�SUHVHQWO\

DSSOLHG��DV�GLVFXVVHG�DERYH��LW�LV�UHDVRQDEOH�WR�DVVXPH�WKDW�DW�OHDVW�VRPH�PDQDJHUV�DUH�DEOH�WR

LPSURYH��L�H��LQFUHDVH�WKH�UHWXUQ�RI��WKHLU�PDUNHWLQJ�PDQDJHPHQW�DQG�FRQVHTXHQWO\�WKHUH�LV�D

SRWHQWLDO�QHHG�RI�PDUNHWLQJ�PDQDJHPHQW�VXSSRUW�WRROV��0067���7KH�DFWXDO�QHHG�ZLOO�GHSHQG

RQ�WKH�YDOXH�RI�WKH�LQIRUPDWLRQ�VXSSOLHG�E\�WKH�WRROV�DQG�WKH�DFWXDO�GHPDQG��ZLOO�DV�GLVFXVVHG

EHORZ��GHSHQG�RQ�WKH�H[SHFWHG�SURILWDELOLW\�RI�XVLQJ�WKH�WRROV�

� &KDSWHU����*HQHUDO�LQWURGXFWLRQ

7KH�SODQQLQJ�RI�0067¤LQYHVWPHQWV�GRHV�LQ�SULQFLSOH�QRW�GLIIHU�IURP�WUDGLWLRQDO�SURGXFWLRQ

LQYHVWPHQW�SODQQLQJ��L�H��LQ�SURGXFWLRQ�IDFLOLWLHV�DQG�HTXLSPHQW���WKH�H[SHFWHG�SURILWDELOLW\��L�H�

EHQHILWV�YV��FRVWV��RI�WKH�LQYHVWPHQW�LV�WKH�PDLQ�FULWHULRQ��-�UJHQVHQ��������9HUVWHJHQ�HW�DO��

�������7KH�H[SHFWHG�FRVWV�RI�SXUFKDVLQJ�DQG�XVLQJ�D�0067��L�H�� WKH�FRVWV�RI�DFTXLULQJ�DQG

SURFHVVLQJ�GDWD�DQG�RI�GLJHVWLQJ�DQG�LQWHUSUHWLQJ�LQIRUPDWLRQ��DUH�LQ�PRVW�VLWXDWLRQV�DVVHVVHG�ZLWK

HDVH�DQG�D�KLJK�FHUWDLQW\��ZKLOH�WKH�H[SHFWHG�EHQHILWV�DUH�PRUH�XQFHUWDLQ�DQG�GLIILFXOW�WR�PHDVXUH

DQG�DVVHVV��VHH�H�J��9HUVWHJHQ���������7KH�RXWSXW�RI�D�0067�LV�LQIRUPDWLRQ�DQG�WKH�YDOXH�RI�WKLV

LQIRUPDWLRQ��L�H��WKH�XWLOLW\�RI�XVLQJ�WKH�0067��GHSHQGV�RQ�D�VHW�RI�IDFWRUV��DOO��PRUH�RI�OHVV�

UHODWHG�WR�WKH�PDQDJHU�DQG�WKH�PDQDJHPHQW�SUREOHP��7KH�UHOHYDQFH��WKH�GHJUHH�RI�QRYHOW\��WKH

DFFXUDF\�DQG�WKH�WLPHOLQHVV�RI�WKH�LQIRUPDWLRQ��%HH��%HH��������.URHQNH��+DWFK���������$OO

IRXU�IDFWRUV�DUH�RI�LPSRUWDQFH�ZKHQ�GHYHORSLQJ�DQG�LPSOHPHQWLQJ�D�0067��EXW�LQ�SDUWLFXODU�WKH

UHTXLUHPHQW�RI�D�¦KLJK§�DFFXUDF\�PLJKW�EH�GLIILFXOW�WR�IXOILO�DQG�PLJKW�SDUWO\�H[SODLQ�WKH�ODFN�RI

LPSOHPHQWHG�0067V��7KH�PDLQ�UHDVRQV�IRU�WKHVH�GLIILFXOWLHV�RULJLQDWH�IURP�D�VHW�RI�VSHFLDO

IHDWXUHV�RI�WKH�VODXJKWHU�SLJ�RSHUDWLRQV�

¤ %LRORJLFDO�YDULDQFH�DQG�XQFHUWDLQW\�FRQFHUQLQJ�WKH�¦WUXH§�VWDWH�RI�WKH�RSHUDWLRQ��%LRORJLFDO

DQG�RU�VWRFKDVWLF�SURFHVVHV�DQG�GLIIHUHQFHV�LQ�JHQHWLF�EDFNJURXQG��KHDOWK�VWDWXV�HWF��UHVXOW

LQ�VLJQLILFDQW�YDULDQFHV�EHWZHHQ�LQGLYLGXDO�SLJV�DQG�EHWZHHQ�RSHUDWLRQV��,Q�PRVW�VLWXDWLRQV

WKH�PDQDJHU�ZLOO��LQ�RUGHU�WR�LQFUHDVH�WKH�ILQDQFLDO�RXWFRPH��WU\�WR�UHGXFH�WKH�YDULDQFH

EHWZHHQ��PDUNHWHG��SLJV�ZLWKLQ� WKH�KHUG��SULPDULO\�E\�VHOHFWLQJ�DQG�JURXSLQJ�SLJV� IRU

PDUNHWLQJ�� &RPELQHG� ZLWK� REVHUYDWLRQDO� HUURUV� DQG� PLVVLQJ� REVHUYDWLRQV�� WKLV

GLVFULPLQDWLRQ�RI�SLJV�UHVXOWV�LQ�GDWD�ZKLFK�DUH�LPSUHFLVH�DQG�ELDVHG�DQG�ZKLFK�LQ�JHQHUDO

FDQ�QRW�GLUHFWO\�EH�XVHG�WR�HVWLPDWH�¦WKH�WUXH�VWDWH�RI�WKH�KHUG§�

¤ 2SHUDWLRQDO�FRQVWUDLQWV��,Q�PRVW�VLWXDWLRQV�WKH�SLJV�DUH�PDQDJHG�DQG�KDQGOHG�LQ�JURXSV�RU

EDWFKHV��WKHUHE\�OLPLWLQJ�WKH�RSWLRQV�RI�PDQDJLQJ�DQG�KDQGOLQJ�LQGLYLGXDO�SLJV��7KH�VXSSO\

RI�QHZ�ZHDQHUV�ZLOO�QRUPDOO\�EH�IL[HG��RU�DW�OHDVW�H[SHQVLYH�WR�FKDQJH��LQ�WKH�VKRUW�UXQ��,Q

DGGLWLRQ�D�VHW�RI�FRQVWUDLQWV�PD\�DSSO\�GLUHFWO\�WR�WKH�PDUNHWLQJ�RI�SLJV��H�J��D�IL[HG�QXPEHU

RI�SLJV�SHU�PDUNHWLQJ���

¤ 7KH� HYDOXDWLRQ� DQG� SULFLQJ� V\VWHP�� ,Q�PRVW� VLWXDWLRQV� DQG� LQ� RUGHU� WR� HQFRXUDJH� WKH

SURGXFWLRQ�RI�VSHFLDO�NLQGV�RI�SLJV��H�J��OHDQ�SLJV���SUHPLXPV�ZLOO�EH�SDLG�RU�GLVFRXQWV

GHGXFWHG�EDVHG�RQ�FDUFDVV�PHULWV��7KH�SULFH�SDLG�LV�QRW�OLQHDU�LQ�WKH�WUDLWV�DQG�WUDGLWLRQDO

VLPSOH�FDOFXODWLRQV�EDVHG�RQ�H[SHFWDWLRQV�RI��DQG�LJQRULQJ�YDULDWLRQV�RQ��WUDLWV�PLJKW�UHVXOW

LQ�VLJQLILFDQW�HUURUV��,Q�'HQPDUN�WKH�VDPH�HYDOXDWLRQ�DQG�SULFLQJ�V\VWHP�LV�XVHG�E\�DOO

SDFNHUV��EXW�LQ�RWKHU�PDUNHWV�WKHUH�PD\�EH�FRQVLGHUDEOH�GLIIHUHQFHV�EHWZHHQ�WKH�V\VWHPV

XVHG�E\�GLIIHUHQW�SDFNHUV��VHH�H�J��6WDKO��������IRU�D�VXUYH\�RI�WKH�86�PDUNHW�VKRZLQJ�D

GLIIHUHQFH�LQ�UHWXUQ�RQ�LGHQWLFDO�SLJV�UDQJLQJ�IURP����WR�������WKH�PDUNHWLQJ�PDQDJHPHQW

SUREOHP�LV�LQ�WKRVH�FDVHV�H[WHQGHG�IURP�¦ZKHQ�WR�PDUNHW��JURXSV�RI��SLJV§�WR�¦ZKHQ�DQG

KRZ�WR�PDUNHW��JURXSV�RI��SLJV§�

,Q�RUGHU�WR�LQFUHDVH�WKH�DFFXUDF\�DQG�H[SHFWHG�EHQHILWV��WKHVH�DVSHFWV�VKRXOG�EH�FRQVLGHUHG��DQG

SUHIHUDEOH� LQFOXGHG�� ZKHQ� H[DPLQLQJ� DQG� GHYHORSLQJ� VROXWLRQ� PHWKRGV� IRU� WKH� VODXJKWHU

PDUNHWLQJ�PDQDJHPHQW�SUREOHP�

��� 2EMHFWLYHV�RI�WKH�SURMHFW

7KH�REMHFWLYH�RI�WKH�UHVHDUFK�SURMHFW�ZDV�WR�LQYHVWLJDWH�DQG�RU�GHYHORS�IXQGDPHQWDO�DQG�JHQHUDO

PRGHOV� DQG� PHWKRGV� IRU� VROYLQJ� ¦WKH� PDUNHWLQJ� PDQDJHPHQW� SUREOHP§� LQ� JHQHUDO� DQG� �LI

��� 2XWOLQH�RI�WKH�WKHVLV �

LPSOHPHQWHG�DQG�XVHG�DV�0067V��IRU�VXSSRUWLQJ�WKH�PDUNHWLQJ�PDQDJHPHQW�LQ�WKH�LQGLYLGXDO

VODXJKWHU� SLJ�RSHUDWLRQ�� ,Q�RUGHU� WR� LQFUHDVH� WKH� DFFXUDF\� DQG� WLPHOLQHVV�RI� WKH� LQIRUPDWLRQ

SURGXFHG�E\�WKH�PRGHOV�DQG�PHWKRGV��KLJK�SULRULW\�ZDV�JLYHQ�WR�WKH�XWLOL]DWLRQ�RI�WKH��LQFUHDVLQJ

TXDQWLW\�DQG�TXDOLW\�RI��KHUG�VSHFLILF�UHJLVWUDWLRQV�DQG�WR�WKH�KDQGOLQJ�RI�WKH�GLIILFXOWLHV�LPSRVHG

E\�WKH�VSHFLDO�IHDWXUHV�RI�WKH�VODXJKWHU�SLJ�RSHUDWLRQV�DV�GLVFXVVHG�DERYH��

,W�ZDV�EH\RQG�WKH�VFRSH�RI� WKH�SURMHFW� WR�GHYHORS�DQG�LPSOHPHQW�DSSOLFDEOH�PDQDJHPHQW

VXSSRUW�WRROV�RU�WR�DVVHVV�WKH�DFWXDO�YDOXH�RI�XVLQJ�VXFK�WRROV�LQ�SUDFWLFH�

��� 2XWOLQH�RI�WKH�WKHVLV

7KH� WKHVLV�FRQVLVWV�RI���PDLQ�FKDSWHUV� �FKDSWHU���¤�����D�JHQHUDO�GLVFXVVLRQ��FKDSWHU����DQG

VXPPDULHV��LQ�(QJOLVK��FKDSWHU���DQG�LQ�'DQLVK��FKDSWHU����

,Q�FKDSWHU���JHQHUDO�FRQFHSWV�RI�,QIRUPDWLRQ�7KHRU\��&RPSXWHU�%DVHG�,QIRUPDWLRQ�6\VWHPV

�&%,6���0DQDJHPHQW� ,QIRUPDWLRQ� 6\VWHPV� �0,6��� %HOLHI�0DQDJHPHQW� 6\VWHPV� �%06�� DQG

'HFLVLRQ�6XSSRUW�6\VWHPV��'66��DUH�SUHVHQWHG�DQG�GLVFXVVHG��,W�LV�GLVFXVVHG�KRZ�WKH�WDVN�RI

VXSSRUWLQJ�PDUNHWLQJ�PDQDJHPHQW�PLJKW�EH�SDUWLWLRQHG� LQWR� D�JHQHUDO� WDVN�RI�KDQGOLQJ� DQG

HVWLPDWLQJ�WKH�EHOLHI�LQ�WKH�FXUUHQW�VWDWH�RI�WKH�KHUG��E\�WKH�XVHG�RI�D�%06��DQG�D�PRUH�VSHFLILF

WDVN�RI�VXSSRUWLQJ�WKH�GHFLVLRQV�DVVRFLDWHG�ZLWK�PDUNHWLQJ�E\�WKH�XVH�RI�D�'66�DQG�EDVHG�RQ�WKH

RXWSXW�RI�WKH�%06��

,Q�FKDSWHU���PRGHOV�DQG�PHWKRGV�RI�D�%06�DUH�GHYHORSHG��SUHVHQWHG�DQG�GLVFXVVHG��7KH

HPSKDVLV� LV� SXW� RQ� XWLOL]LQJ� KHUG� VSHFLILF� UHJLVWUDWLRQV�� UHGXFLQJ� XQFHUWDLQW\� DQG� SURGXFLQJ

DFFXUDWH�PDUNHWLQJ�PDQDJHPHQW�LQIRUPDWLRQ��$�PRGHO�IRU�UHSUHVHQWLQJ�WKH�VWDWH�RI�WKH�KHUG�LV

GHVFULEHG�DQG�XVHG�DV�DQ�LQWHUIDFH�EHWZHHQ�WKH�%06�DQG�WKH�'66�

,Q� FKDSWHU� �� PRGHOV� DQG� PHWKRGV� RI� D� '66� DUH� GHYHORSHG�� SUHVHQWHG� DQG� GLVFXVVHG�

2SWLPL]DWLRQ�PHWKRGV�EDVHG�RQ�EDVLF�SURGXFWLRQ�HFRQRPLFV�DQG�DVVHW�UHSODFHPHQW�WKHRU\�DUH

DSSOLHG�DQG�GLIIHUHQW�DVSHFWV�RI�RSHUDWLRQDO�FRQVWUDLQWV�DUH�H[DPLQHG�DQG�GLVFXVVHG�

,Q�FKDSWHU���D�VSHFLILF�RSWLPL]DWLRQ�PHWKRG�XVHG�LQ�FKDSWHU���LV�SUHVHQWHG��7KH�FRQWHQW�RI�WKH

FKDSWHU� LV�TXLWH� WHFKQLFDO�DQG� WKH�FKDSWHU�PLJKW�EH�RPLWWHG�ZKHQ�UHDGLQJ� WKH� WKHVLV�ZLWKRXW

ORRVLQJ�WKH�RYHUYLHZ��,Q�FKDSWHU���WKH�SURSRVHG�PRGHOV�DQG�PHWKRGV�DUH�GLVFXVVHG�LQ�WKH�OLJKW

RI� WKH� RYHUDOO� DLP� RI� LPSOHPHQWDWLRQ� DV� D� 0067� DQG� JHQHUDO� OLPLWDWLRQV�� LPSOLFDWLRQV�

FRQFOXVLRQV�DQG�IXWXUH�SHUVSHFWLYHV�RI�WKH�UHVHDUFK�DUH�RXWOLQHG�

&KDSWHU������DQG���DUH�SDUWO\�EDVHG�RQ�WKH�SDSHUV�.XUH���������.XUH��������DQG�.XUH�������

UHVSHFWLYHO\��&KDSWHU���DQG���DUH�LQWHQGHG�IRU�MRXUQDO�SXEOLFDWLRQ��

$OO�PRGHOV�DQG�PHWKRGV�SUHVHQWHG�LQ�WKLV�WKHVLV�KDYH�EHHQ�LPSOHPHQWHG�LQ�WKH�2EMHFW�2ULHQWHG

3URJUDPPLQJ�/DQJXDJH��&���DQG�KXQGUHGV�RI�REMHFWV�DQG�WKRXVDQGV�RI�VRXUFH�OLQHV�KDYH�EHHQ

ZULWWHQ�� 1HLWKHU� WKH� SURFHVV� RI� GHVLJQLQJ� WKHVH� SURJUDPV� QRU� WKH� SURJUDPV� WKHPVHOYHV� DUH

SUHVHQWHG�LQ�WKLV�WKHVLV��EXW�FDQ�EH�VXSSOLHG�IURP�WKH�DXWKRU�RQ�UHTXHVW�

$OO�WKH�IRXU�PDLQ�FKDSWHUV�DUH�VHOIFRQWDLQLQJ�H[SRVLWLRQV�WKDW�PLJKW�EH�UHDG�LQGHSHQGHQWO\�RI�HDFK

RWKHU�

� &KDSWHU����*HQHUDO�LQWURGXFWLRQ

��� 5HIHUHQFHV

$QRQ\PRXV���������'DQVNH�6ODJWHULHU�¤�6WDWLVWLN�������'DQLVK�6ODXJWKHU�+RXVHV��&RSHQKDJHQ�

��SS���,Q�'DQLVK��

%HH��5���5��%HH����������0DQDJHPHQW�,QIRUPDWLRQ�6\VWHPV�DQG�6WDWLVWLFV��,QVWLWXWH�RI�3HUVRQQHO

0DQDJHPHQW��/RQGRQ�

)OHPLQ�� .�� � )�� 8GHVHQ�� 9�JWJU�QVHU� JDYQHU� DOOH�� ,V�U� QnU� GX� Y�OJHU� GHQ� ULJWLJH

OHYHULQJVVWUDWHJL��'6�Q\W�QU�����'DQLVK�6ODXJWKHU�+RXVHV��&RSHQKDJHQ����¤�����,Q�'DQLVK��

-�UJHQVHQ��(�� ��������7KH�XWLOLW\� YDOXH�RI� LQIRUPDWLRQ� LQ�SLJ�SURGXFWLRQ�� ,Q��6�0��5LOOR��$�

$XPDLWUH�� /�� GHQ� +DUWRJ�� *�� %DFNXV�� 3�� *ORGHN�� )�� 6DL]� � $�� 6DOHKDU� �HGV���� 6DWHOOLWH

V\PSRVLXP� RQ� 3LJ� 0DQDJHPHQW� ,QIRUPDWLRQ� 6\VWHPV�� ��WK� 6HSWHPEHU� ������ 0DGULG�

���¤�����

.URHQNH��'���5��+DWFK���������0DQDJHPHQW�,QIRUPDWLRQ�6\VWHPV��0F*UDZ¤+LOO��,QF��1HZ

<RUN�

.XUH��+����������5HFXUVLYH�G\QDPLF�SURJUDPPLQJ��+HXUHVWLF�UXOHV��ERXQGLQJ�DQG�VWDWH�VSDFH

UHGXFWLRQ��,Q��$�-��8GLQN�WHQ�&DWH��5��0DUWLQ¤&ORXDLUH��$�$��'LMNKXL]HQ�DQG�&��/RNKRUVW�

HGV���3UHSULQWV�RI�� �,)$&�,),3(XU$J(QG�:RUNVKRS�RQ�$UWLILFLDO�,QWHOOLJHQFH�LQ�$JULFXOWXUH�QG

0D\���¤����������:DJHQLQJHQ��7KH�1HWKHUODQGV����¤����

.XUH��+����������6ODXJKWHU�SLJ�PDUNHWLQJ�VXSSRUW��8WLOL]DWLRQ�RI�VXEMHFWLYH�DV�ZHOO�DV�REMHFWLYH

LQIRUPDWLRQ�� ,Q� �5�%�0�+XLUQH��HG��3UHSULQWV�RI�(81,7$¤6HPLQDU�RQ�5LVN�0DQDJHPHQW

6WUDWHJLHV� LQ� $JULFXOWXUH�� 6WDWH� RI� WKH� $UW� DQG� )XWXUH� 3HUVSHFWLYHV�� -DQXDU\� �¤���� �����

:DJHQLQJHQ��7KH�1HWKHUODQGV�

.XUH��+����������2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ��,Q���$�5��.ULVWHQVHQ��HG��'LQD�1RWDW�1R�����

3URFHHGLQJV�RI�WKH�'XWFK�'DQLVK�6\PSRVLXP�RQ�$QLPDO�+HDOWK�DQG�0DQDJHPHQW�(FRQRPLFV�

-DQXDU\���¤����������&RSHQKDJHQ����¤���

5DHPDNHUV��3�-�/���-�+��+XLVNHV��0�:�$��9HUVWHJHQ��/�$��GHQ�+DUWRJ��3�&��9HVVHXU���-�:�*�0�

6ZLQNHOV���������(VWLPDWLQJ�LQGLYLGXDO�ERG\�ZHLJKWV�RI�JURXS¤KRXVHG�JURZLQJ¤ILQLVKLQJ�SLJV

XVLQJ�D�IRUHOHJV�ZHLJKLQJ�V\VWHP��&RPSXWHUV�DQG�HOHFWURQLFV�LQ�DJULFXOWXUH�������¤���

5DVPXVVHQ�� -�)�� �������� 3URGXNWLRQVVWUDWHJL� L� VODJWHVYLQHEHV�WQLQJHQ�� +\RORJLVN� 7LGVVNULIW

6YLQHW�������¤�����,Q�'DQLVK��

6DDWNDPS��+�:����������6LPXODWLRQ�VWXGLHV�RQ�WKH�SRWHQWLDO�UROH�RI�QDWLRQDO�LGHQWLILFDWLRQ�DQG

UHFRUGLQJ� V\VWHPV� LQ� WKH� FRQWURO� RI� &ODVVLFDO� 6ZLQH� )HYHU�� 3K�'�� WKHVLV�� :DJHQLQJHQ

$JULFXOWXUDO�8QLYHUVLW\��WKH�1HWKHUODQGV�����SS�

6WDKO��-����������:KLFK�SDFNHU�SD\V�PRUH�IRU�\RXU�KRJV"�$�SRUN�©���VSHFLDO�UHSRUW��3RUN�©���

2FWREHU����¤���

9HUVWHJHQ��-�$�$�0���5�%�0��+XLUQH��$�$��'LMNKXL]HQ��-�3�&��.OHLMQHQ���������(FRQRPLF�YDOXH

RI� PDQDJHPHQW� LQIRUPDWLRQ� V\VWHPV� LQ� DJULFXOWXUH�� D� UHYLHZ� RI� HYDOXDWLRQ� DSSURDFKHV�

&RPSXWHUV�DQG�HOHFWURQLFV�LQ�DJULFXOWXUH���������¤����

%DVLF�FRQFHSWV�RI�&RPSXWHU�%DVHG

,QIRUPDWLRQ�6\VWHPV�LQ�VODXJKWHU�SLJ

PDUNHWLQJ

��� ,QWURGXFWLRQ

7KH�FRQFHSW�DQG�VFLHQFH�RI�&RPSXWHU¤%DVHG�,QIRUPDWLRQ�6\VWHPV��&%,6��KDYH�HYROYHG�IURP

EDVLF�DXWRPDWLRQ�DQG�GDWD�SURFHVVLQJ�V\VWHPV�LQ�WKH�GDZQ�LQ�WKH�����V��:DUG��������WR�WRGD\©V

KXJH�DQG�VRSKLVWLFDWHG�'DWD�:DUHKRXVHV�DQG�'DWD�0LQLQJ�V\VWHPV��

,Q�WKLV�FKDSWHU�VRPH�EDVLF�HOHPHQWV�RI�LQIRUPDWLRQ�WKHRU\��PDQDJHPHQW�WKHRU\�DQG�WKH�WKHRU\

RI�&%6�DUH�GHVFULEHG�DQG�GLVFXVVHG�LQ�WKH�FRQWH[W�RI�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJLQJ�

��� 7KH�QHHG�RI�LQIRUPDWLRQ

����� 7KH�PDQDJHPHQW�F\FOH

$URXQG������WKH�)UHQFK�PDQDJHPHQW�WKHRULVW�+HQUL�)D\RO�UHFRJQL]HG�WKDW�DOO�PDQDJHUV�SHUIRUP

ILYH�PDMRU�PDQDJHPHQW�IXQFWLRQV��0F/HRG���������7KH\�

¤ 3ODQ�ZKDW�WR�GR��3ODQQLQJ��

¤ 2UJDQL]H��LQ�RUGHU�WR�PHHW�WKH�SODQV��2UJDQL]LQJ��

¤ 6WDII�WKH�RUJDQL]DWLRQ�ZLWK�QHFHVVDU\�UHVRXUFHV��&RRUGLQDWLQJ��

¤ 'LUHFW�WKH�UHVRXUFHV�WR�H[HFXWH�WKH�SODQV��'HFLGLQJ��

¤ &RQWURO�WKH�UHVRXUFHV��WR�NHHS�WKHP�RQ�FRXUVH��&RQWUROOLQJ��

7KLV�LV�WKH�FODVVLFDO�PRGHO�RI�PDQDJHPHQW��ZKLFK�IRUP�WKH�IXQGDPHQW�RI�WKH�PDQDJHPHQW�F\FOH

DV�GHVFULEHG�E\�H�J��+XLUQH��������DQG�%HH��%HH��������LQ�ZKLFK�WKH���FRPSRQHQWV�DUH�OLQNHG

WRJHWKHU�LQ�RUGHU�WR�GHSLFW�WKH�F\FOLF�DQG�G\QDPLF�QDWXUH�RI�WKH�PDQDJHPHQW�SURFHVV�

'HSHQGLQJ�RQ�WKH�PDQDJHPHQW�OHYHO�WKH�LPSRUWDQFH�RI�WKHVH�IXQFWLRQV�ZLOO�FKDQJH��$W�WKH

VWUDWHJLF� OHYHO� �L�H�� ORQJ� WHUP�PDQDJHPHQW� ¤� IURP�\HDU� WR� \HDU�� WKH� HPSKDVLV� LV� SXW� RQ� WKH

SODQQLQJ��DQG�RUJDQL]LQJ��IXQFWLRQ��ZKLOH�DW�WKH�WDFWLFDO�OHYHO��L�H��PLGGOH�WHUP�PDQDJHPHQW�¤

PRQWK�WR�PRQWK��LW�LV�SXW�RQ�WKH�RUJDQL]LQJ��DQG�SODQQLQJ��IXQFWLRQ�DQG�DW�WKH�RSHUDWLRQDO�OHYHO

� &KDSWHU����%DVLF�FRQFHSWV�RI�&RPSXWHU�%DVHG�,QIRUPDWLRQ�6\VWHPV

�VKRUW�WHUP�PDQDJHPHQW�¤�GD\�WR�GD\��RQ�WKH�FRRUGLQDWLQJ��GHFLGLQJ�DQG�FRQWUROOLQJ�IXQFWLRQV�

+RZ�ZHOO� WKH�PDQDJHU�ZLOO�EH�DEOH� WR�SHUIRUP�H[HFXWH� WKHVH�IXQFWLRQV�WDVNV�ZLOO� WR�VRPH

GHJUHH�GHSHQG�RQ�WKH�YDOXH�RI�WKH�LQIRUPDWLRQ�KH�UHFHLYHV��7KLV�DVSHFW�RI�LQIRUPDWLRQ�LV�GLVFXVVHG

EHORZ�

����� 7KH�YDOXH�RI�LQIRUPDWLRQ

$�YDULHW\�RI�GHILQLWLRQV�RI�LQIRUPDWLRQ�KDYH�EHHQ�JLYHQ��UDQJLQJ�IURP�¦WKH�DPRXQW�RI�XQFHUWDLQW\

WKDW�LV�UHGXFHG�ZKHQ�D�PHVVDJH�LV�UHFHLYHG§�SURSRVHG�E\�6KDQQRQ��:HDYHU��������FI��.URHQNH

�+DWFK��������WR�¦LQIRUPDWLRQ�LV�NQRZOHGJH�GHULYHG�IURP�GDWD§�RU�¦LQIRUPDWLRQ�LV�GDWD�SODFHG

ZLWKLQ�D�FRQWH[W§�DV�SURSRVHG�E\�H�J��.URHQNH��+DWFK���������7KH�ODWHU�RI�WKHVH�GHILQLWLRQV�LV

WKH�PRVW�DSSHDOLQJ�ZKHQ�ORRNLQJ�DW�WKH�FRPPRQ�GHILQLWLRQ�RI�JRRG�RU�YDOXDEOH�LQIRUPDWLRQ��%HH

�%HH��������.URHQNH��+DWFK���������*RRG�LQIRUPDWLRQ�LV�FKDUDFWHUL]HG�E\�

¤ 3HUWLQHQFH��UHOHYDQFH�

¤ 7LPHOLQHVV��ROG�LQIRUPDWLRQ�LV�QR�LQIRUPDWLRQ�

¤ $FFXUDF\

¤ 5HGXFHG�XQFHUWDLQW\�DQG�RU�DQ�HOHPHQW�RI�VXUSULVH�

+RZHYHU�� DOO� WKHVH� FKDUDFWHULVWLFV� UHODWH� WR� WKH� FRQWH[W� DQG� WKH� QHHGV� DQG� REMHFWLYHV� RI� WKH

PDQDJHU��9DOXDEOH�LQIRUPDWLRQ�WR�RQH�PDQDJHU��PLJKW�EH�DQQR\LQJ�QRLVH�WR�DQRWKHU�¤�ZKDW�WR

VRPH�PDQDJHU��V\VWHP�RU�RUJDQL]DWLRQ�PD\�VHUYH�DV�LQIRUPDWLRQ��PLJKW�VHUYH�DV�VLPSOH�GDWD�WR

RWKHU� PDQDJHUV�� V\VWHPV� RU� RUJDQL]DWLRQV�� 7KLV� LOOXVWUDWHV� DQRWKHU� LPSRUWDQW� DVSHFW� RI

LQIRUPDWLRQ��7KH�DPRXQW�RI�LQIRUPDWLRQ�PD\�LQ�LWVHOI�UHGXFH�WKH�YDOXH�RI�WKH�LQIRUPDWLRQ��WRR

OLWWOH�RU�WRR�PXFK�LQIRUPDWLRQ�PLJKW�GHFUHDVH�WKH�YDOXH�

7R�VXPPDUL]H��%HH��%HH��������GHILQH�YDOXDEOH�LQIRUPDWLRQ�DV�

¦7KH� ULJKW� DQG� DFFXUDWH� LQIRUPDWLRQ� LQ� WKH� ULJKW� IRUP�DW� WKH� ULJKW� WLPH�� VR� HQDEOLQJ� WKH

PDQDJHU�HIIHFWLYHO\�DQG�HIILFLHQWO\�WR�GR�KLV�KHU�MRE�§

��� &RPSXWHU¤%DVHG�,QIRUPDWLRQ�6\VWHPV

$Q�,QIRUPDWLRQ�6\VWHP��,6��FDQ�EH�GHILQHG�WHFKQLFDOO\�DV�D�VHW�RI�LQWHUUHODWHG�FRPSRQHQWV�WKDW

FROOHFW� �RU� UHWULHYH��� SURFHVV�� VWRUH� DQG� GLVWULEXWH� LQIRUPDWLRQ� WR� VXSSRUW� GHFLVLRQ� PDNLQJ�

FRRUGLQDWLRQ�DQG�FRQWURO� LQ�DQ�RUJDQL]DWLRQ� �/DXGRQ��/DXGRQ��������� ,Q�DGGLWLRQ� ,6V�PD\

VXSSRUW�PDQDJHUV�DQG�ZRUNHUV�LQ�DQDO\]LQJ�SUREOHPV��YLVXDOL]H�FRPSOH[�VXEMHFWV�DQG�FRKHUHQFH

DQG� FUHDWH� QHZ� SURGXFW� DQG� NQRZOHGJH�� $� &%,6� UHO\� RQ� FRPSXWHUV� IRU� SURFHVVLQJ� DQG

GLVVHPLQDWLQJ�LQIRUPDWLRQ��,W�VKRXOG�EH�QRWHG�WKDW�LQ�VRPH�SUHVHQWDWLRQV�WKH�WHUP�0DQDJHPHQW

,QIRUPDWLRQ�6\VWHPV��0,6��VHH�EHORZ��DUH�XVHG�LQVWHDG�RI�&%,6��/DXGRQ��/DXGRQ��������

����� 7KH�IXQGDPHQWDOV�RI�D�&%,6

,Q�JHQHUDO�D�&%,6�FDQ�EH�PRGHOHG�DV�D�VHW�RI�VXE¤V\VWHPV�DQG�LQIRUPDWLRQ�IORZV�DV�LOOXVWUDWHG

LQ�ILJ�������7KH�ILYH�VXE¤V\VWHPV�WKDW�DOO�SURGXFH�LQIRUPDWLRQ��RXWSXW��EDVHG�RQ�GDWD��LQSXW��WR

VXSSRUW�PDQDJHUV�PLJKW�EH�GHILQHG�DV�IROORZV��/DXGRQ��/DXGRQ��������0F/HRG��������

¤ 736�$,6��7UDQVDFWLRQ�3URFHVVLQJ�6\VWHPV�$FFRXQWLQJ�,QIRUPDWLRQ�6\VWHPV��%DVLF�EXVLQHVV

V\VWHPV�WKDW�VHUYH�WKH�RSHUDWLRQDO�OHYHO�RI�WKH�RUJDQL]DWLRQ��3HUIRUPV�DQG�UHFRUGV�WKH�GDLO\

URXWLQH�WUDQVDFWLRQV�QHFHVVDU\�WR�FRQGXFW�WKH�EXVLQHVV��$�ODUJH�YROXPH�RI�GDWD�SURFHVVLQJ

�JDWKHULQJ�� PDQLSXODWLRQ�� GDWD� VWRUDJH� DQG� GRFXPHQW� SUHSDUDWLRQ�� LV� SHUIRUPHG� LQ� WKHVH

��� &RPSXWHU¤%DVHG�,QIRUPDWLRQ�6\VWHPV �

)LJXUH ���� 7KH &RPSXWHU EDVHG LQIRUPDWLRQ V\VWHP �&%,6�� $UURZV UHSUHVHQW LQIRUPDWLRQ IORZV� ,QIRUPDWLRQ

�RXWSXW� SURGXFHG E\ RQH VXE¤V\VWHP LV GDWD �LQSXW� IRU DQRWKHU VXE¤V\VWHP� 6HH WH[W IRU H[SODQDWLRQ RI

V\PEROV�

�/DXGRQ /DXGRQ� �����

V\VWHPV��%DVLF�LQIRUPDWLRQ��VXPPDUL]HG�GDWD��DUH�SURGXFHG��VFKHGXOHG�RU�DG�KRF��WR�EH�XVHG

E\�PDQDJHUV�DQG�RWKHU�VXE¤V\VWHPV��H[DPSOHV�DUH� LQFRPH�VWDWHPHQWV�DQG�EDODQFH�VKHHWV�

7KHVH�V\VWHPV�DUH�WKH�PDLQ�VXSSOLHUV�RI�LQIRUPDWLRQ�WR�WKH�HQYLURQPHQW�

¤ .:6�2$6��.QRZOHGJH�:RUN�6\VWHPV�2IILFH�$XWRPDWLRQ�6\VWHPV��6\VWHPV�WKDW�SURPRWH

WKH�FUHDWLRQ�RI�QHZ�NQRZOHGJH�DQG�WHFKQLFDO�H[SHUWLVH�DUH�SURSHUO\�LQWHJUDWHG�LQWR�WKH�EXVLQHVV

DQG�IRUPDO�DQG�LQIRUPDO�V\VWHPV�FRQFHUQHG�ZLWK�WKH�FRPPXQLFDWLRQ�RI�LQIRUPDWLRQ�EHWZHHQ

SHRSOH�LQVLGH�DQG�RXWVLGH�WKH�ILUP��([DPSOHV�DUH��IRU�.:6��VFLHQWLILF�RU�HQJLQHHULQJ�GHVLJQ

ZRUNVWDWLRQV�DQG��IRU�2$6��ZRUG�SURFHVVLQJ�DQG�GHVNWRS�SXEOLVKLQJ�

¤ 0,6��0DQDJHPHQW�,QIRUPDWLRQ�6\VWHPV��6\VWHPV�WKDW�VHUYH�WKH�PDQDJHUV�LQ�H[HFXWLQJ�WKH

IXQFWLRQV�RI�SODQQLQJ��GHFLVLRQ�PDNLQJ�DQG�FRQWUROOLQJ�SULPDULO\�DW�WKH�WDFWLFDO�OHYHO�DQG�IRU

SUREOHP�VROYLQJ��7KH�LQIRUPDWLRQ�GHVFULEHV�WKH�ILUP�LQ�WHUPV�RI�ZKDW�KDV�KDSSHQHG�LQ�WKH�SDVW�

ZKDW�LV�KDSSHQLQJ�QRZ�DQG�ZKDW�LV�OLNHO\�WR�KDSSHQ�LQ�WKH�IXWXUH��0RVW�LQIRUPDWLRQ�LV�LQ�WKH

IRUP� RI� VWDQGDUGL]HG� SHULRGLF� UHSRUWV�� EXW� PD\� EH� VSHFLDO� DG� KRF� UHSRUWV�� 2QO\� RQ� UDUH

RFFDVLRQV�WKH�V\VWHPV�ZLOO�FRQWDLQ�XWLOL]H�VRSKLVWLFDWHG�PDWKHPDWLFDO�PRGHOV�RU�VWDWLVWLFDO

WHFKQLTXHV�

¤ '66��'HFLVLRQ�6XSSRUW�6\VWHPV��6\VWHPV��ILUVW�LQWURGXFHG�GHILQHG�E\�*RUU\��0RUWRQ�

������FI��0F/HRG��������DLPHG�DW�VHUYLQJ�PDQDJHUV�LQ�VROYLQJ�SDUWLFXODU��GHFLVLRQ��SUREOHPV

DW�DQ\�PDQDJHPHQW�OHYHO��:KLOH�WKH�0,6V�DUH�GHVLJQHG�IRU�UHJXODU�DQG�UHFXUULQJ�QHHGV��WKH

'66V�DUH�GHVLJQHG�IRU�VSHFLILF�WDVNV�DQG�QHHGV��'66�DUH�DQDO\WLF��G\QDPLF��DGDSWDEOH�DQG

IOH[LEOH��WKH�XVHU�RI�WKH�V\VWHP�FDQ�FKDQJH�DGMXVW�WKH�V\VWHP�DV�SUREOHPV�FKDQJHV��'66�DUH��RU

PLJKW�EH��FRPSOH[�DQG�PD\�FRQWDLQ�VRSKLVWLFDWHG�PDWKHPDWLFDO�PRGHOV��DV�H�J��VLPXODWLRQ�DQG

RSWLPL]DWLRQ�PRGHOV�NQRZQ�IURP�2SHUDWLRQ�5HVHDUFK����

¤ (66��([HFXWLYH�6XSSRUW�6\VWHPV��RU�([HFXWLYH�,QIRUPDWLRQ�6\VWHPV��(,6���6HUYH�H[HFXWLYH

PDQDJHUV�DW�WKH�VWUDWHJLFDO�OHYHO��(66V�XWLOL]H�H[WHUQDO�LQIRUPDWLRQ��RQ�FRPSHWLWRUV��QHZ�ODZV

HWF���DV�ZHOO�DV�VXPPDUL]HG�LQIRUPDWLRQ�IURP�0,6V�DQG�'66V��7KH\�ILOWHU��FRPSUHVV�DQG�WUDFN

FULWLFDO�GDWD�DQG�JLYH�HDV\��TXLFN�DQG�UHDGLO\��DFFHVV�WR�LQIRUPDWLRQ�

,W�VKRXOG�EH�QRWHG�WKDW�LQ�VRPH�SUHVHQWDWLRQV�DQ�DGGLWLRQDO�VXE¤V\VWHP�LV�GHILQHG�DV�SDUW�RI�WKH

&%,6��([SHUW�6\VWHPV��(6��RU�NQRZOHGJH¤EDVHG�V\VWHPV��ZKLFK�JHQHUDOO\�VSHDNLQJ�DUH�$UWLILFLDO

,QWHOOLJHQFH�PRGHOV�FRPSXWHU� SURJUDPV� WKDW� DWWHPSWV� WR� UHSUHVHQW� WKH� NQRZOHGJH� RI� KXPDQ

H[SHUWV��,Q�DGGLWLRQ�WR�WKLV��WZR�QHZ�FDWHJRULHV�RI�V\VWHPV�KDYH�EHHQ�LQWURGXFHG�UHFHQWO\��'DWD

� &KDSWHU����%DVLF�FRQFHSWV�RI�&RPSXWHU�%DVHG�,QIRUPDWLRQ�6\VWHPV

:DUHKRXVHV�DQG�'DWD�0LQLQJ�LQ�ZKLFK�KXJH�DPRXQWV�RI�GDWD�DUH�VWRUHG��RUJDQL]HG�DQG�DQDO\VHG

XVLQJ�DGYDQJHG�VWDWLVWLFDO�PHWKRGV�DQG�DUWLILFLDO�LQWHOOLJHQFH��%UDFNHW��������

��� $�FRPSXWHU�EDVHG�VODXJKWHU�SLJ�PDUNHWLQJ�LQIRUPDWLRQ�V\VWHP

7KH�SUHVHQWHG�PRGHO�RI�D�&%,6�LQ�ILJ������LV�D�JHQHUDO�PRGHO�WKDW�PD\�DSSO\�WR�DQ\�FDWHJRU\�RI

ILUPV��,Q�WKH�IROORZLQJ�WKH�VSHFLDO�IHDWXUHV�RI�WKH�VODXJKWHU�SLJ�RSHUDWLRQV�DQG�LQ�SDUWLFXODU�WKH

PDUNHWLQJ� IXQFWLRQ�ZLOO� EH�GLVFXVVHG� DQG� D�EDVLF�PRGHO�RI� D� FRPSXWHU�EDVHG� VODXJKWHU�SLJ

PDUNHWLQJ�LQIRUPDWLRQ�V\VWHP�SUHVHQWHG�

����� &RSLQJ�ZLWK�ELRORJLFDO�YDULDQFH�DQG�XQFHUWDLQW\

$V�GHPRQVWUDWHG� LQ� FKDSWHU��� DQG���SLJV� DUH�QRW� HTXDO�� HYHQ�ZLWKLQ� WKH� VDPH� VODXJKWHU�SLJ

RSHUDWLRQ�WKH�SLJV�DQG�WKH�WUDLWV�RI�WKH�SLJV�PD\�YDU\�FRQVLGHUDEO\��,Q�DGGLWLRQ��VRPH�WUDLWV�FDQ

EH�GLIILFXOW�RU�HYHQ�LPSRVVLEOH�WR�REVHUYH�DQG�PHDVXUH��LPSO\LQJ�XQFHUWDLQW\�FRQFHUQLQJ�WKH

¦WUXH§�YDOXH�RI�WKH�WUDLWV�¤�WKH�UHFRUGHG�GDWD�¦GR�QRW�WHOO�WKH�ZKROH�WUXWK�GLUHFWO\§��,Q�RUGHU�WR

VXSSRUW�WKH�PDUNHWLQJ�PDQDJHPHQW�GHFLVLRQV��WRROV�IRU�UHSUHVHQWLQJ�DQG�KDQGOLQJ�WKLV�YDULDQFH

DQG�XQFHUWDLQW\�KDYH�WR�EH�DSSOLHG��VHH�FKDSWHU�'66���+RZHYHU��WKH�EDVLF�PRGHO�RI�WKH�&%,6V�DV

GHILQHG�DERYH�GRHV�QRW�GLUHFWO\�LQFOXGH�VXFK�WRRO�DQG�LQ�WKH�IROORZLQJ�D�UHYLVHG�H[WHQGHG�&%,6

PRGHO�LV�SUHVHQWHG�

����� 7KH�PRGHO

7KH�PRGHO�SUHVHQWHG�KHUH�LV�EDVHG�RQ�WKH�FRQFHSWXDO�RXWOLQH�RI�D�VODXJKWHU�SLJ�VLPXODWLRQ�PRGHO

GHYHORSHG�DQG�GHVFULEHG�E\�-�UJHQVHQ��.ULVWHQVHQ���������7KH�VLPXODWLRQ�PRGHO�FRQWDLQV�D

VLPSOH�&%,6�FRQWDLQLQJ�WZR�VXEV\VWHPV��$�'66�DQG�D�%HOLHI�0DQDJHPHQW�6\VWHP��%06���7KH

%06�PRGHOV�WKH�PDQDJHU©V�EHOLHIV�LQ�WKH�VWDWH�RI�WKH�V\VWHP��WKH�SLJV�DQG�WUDLWV�RI�WKH�SLJV��DQG

WKH�V\VWHP�G\QDPLFDOO\�SURFHVV�QHZ�GDWD�LQIRUPDWLRQ� LQWR�FXUUHQW�XSGDWHG�EHOLHIV��7KH� WHUP

%HOLHI� LV� LQVSLUHG�E\�WKH�WHUPLQRORJ\�RI�%D\HVLDQ�1HWZRUNV� �D�VSHFLDO�FODVV�RI�(6�¤�VHH�H�J�

-HQVHQ��������DQG�DQ�LPSOHPHQWDWLRQ�RI�WKH�%06�PLJKW�EH�EDVHG�RQ�D�%D\HVLDQ�1HWZRUN��$V�WKH

%06�FDQ��DQG�QRUPDOO\�ZLOO��EH�EDVHG�RQ�VRSKLVWLFDWHG�VWDWLVWLFDO�PHWKRGV�LW�GRHV�QRW�HDVLO\�ILW

LQWR�WKH�&%,6�DV�GHILQHG�DERYH��+RZHYHU��LW�PLJKW�EH�FKDUDFWHUL]HG�GHILQHG�DV�DQ�DGYDQFHG�$,6

RU�0,6��7KH�SXUSRVH�RI�WKH�V\VWHP�LV�WR�SURGXFH�PDQDJHPHQW�LQIRUPDWLRQ�WR�EH�XVHG�GLUHFWO\�E\

WKH�PDQDJHU�RU�DV�DQ�LQSXW�IRU�D�'66�

��� $�FRPSXWHU�EDVHG�VODXJKWHU�SLJ�PDUNHWLQJ�LQIRUPDWLRQ�V\VWHP �

)LJXUH ���� 7KH &%,6 IRU VODXJKWHU SLJ PDUNHWLQJ� 6HH WH[W IRU H[SODQDWLRQV RI WHUPV DQG V\PEROV�

�0RGLILHG IURP -�UJHQVHQ .ULVWHQVHQ� ������

$� UHYLVHG� YHUVLRQ� RI� WKH� PRGHO� SURSRVHG� E\� -�UJHQVHQ� � .ULVWHQVHQ� ������� LV� VKRZQ

JUDSKLFDOO\�LQ�ILJ�������$�FHQWUDO�HOHPHQW�LQ�WKH�PRGHO�LV�WKH�PDQDJHU�ZKR�UHFHLYH�LQIRUPDWLRQ

IURP���PDMRU�VRXUFHV��'LUHFWO\�IURP�WKH�SURGXFWLRQ�V\VWHP��UDZ�GDWD���IURP�WKH�HQYLURQPHQW

�H[WHUQDO� LQIRUPDWLRQ���IURP�WKH�%06��EHOLHIV�FRPELQHG�ZLWK�RUGLQDU\�LQIRUPDWLRQ�IURP�WKH

$,6�0,6��DQG�IURP�WKH�'66��GHFLVLRQ�DLG���%DVHG�RQ�WKLV�LQIRUPDWLRQ�WKH�PDQDJHU�VXSSOLHV

GHFLVLRQV�SODQV�WR�WKH�SURGXFWLRQ�V\VWHP�DQG�UHYLVHG�REMHFWLYHV��SODQV��NQRZOHGJH�DQG�EHOLHIV�WR

WKH�%06��%HOLHIV�SURGXFHG�E\�WKH�%06�VHUYH�DV�DQ�LQWHUIDFH�EHWZHHQ�WKH�%06�DQG�RQH�RU�VHYHUDO

'66V��WKH�%06�SURGXFHV�JHQHUDO�LQIRUPDWLRQ�WKDW�PD\�EH�XWLOL]HG�E\�GLIIHUHQW�'66V�

7KLV� EDVLF�PRGHO� �DV� LOOXVWUDWHG� LQ� ILJ�� ����� IRUP� WKH� FRQFHSWXDO� IUDPHZRUN� RI� WKH�PRGHOV

SUHVHQWHG�LQ�FKDSWHU���DQG���DQG�WKH�WZR�PDMRU�VXE¤V\VWHPV�¤�WKH�%06�DQG�WKH�'66�¤�FRQVWLWXWH

D�0DUNHWLQJ�0DQDJHPHQW�6XSSRUW�7RRO�DV�GHILQHG�LQ�WKH�JHQHUDO�LQWURGXFWLRQ��FKDSWHU����

��� 5HIHUHQFHV

%HH��5���5��%HH���������0DQDJHPHQW�,QIRUPDWLRQ�6\VWHPV�DQG�6WDWLVWLFV��,QVWLWXWH�RI�3HUVRQQHO

0DQDJHPHQW��/RQGRQ�����S�

%UDFNHW��0�+����������7KH�'DWD�:DUHKRXVH�&KDOOHQJH�¤�WDPLQJ�GDWD�FKDRV��:LOH\��1HZ�<RUN�

���S�

*RUU\��*�$���.�6�6��0RUWRQ���������$�IUDPHZRUN�IRU�0DQDJHPHQW�,QIRUPDWLRQ�6\VWHPV��6ORDQ

0DQDJHPHQW�5HYLHZ��������¤���

+XLUQH��5�%�0����������%DVLF�FRQFHSWV�RI�FRPSXWHUL]HG�VXSSRUW�IRU�IDUP�PDQDJHPHQW�GHFLVLRQV�

(XURSHDQ�5HYLHZ�RI�$JULFXOWXUDO�(FRQRPLFV��������¤���

-HQVHQ��)�9����������$Q�LQWURGXFWLRQ�WR�%D\HVLDQ�QHWZRUNV��8&/�3UHVV��/RQGRQ�����S�

-�UJHQVHQ��(���$�5��.ULVWHQVHQ���������$Q�REMHFW�RULHQWHG�VLPXODWLRQ�PRGHO�RI�D�SLJ�KHUG�ZLWK

�� &KDSWHU����%DVLF�FRQFHSWV�RI�&RPSXWHU�%DVHG�,QIRUPDWLRQ�6\VWHPV

HPSKDVLV�RQ�LQIRUPDWLRQ�IORZ��,Q��)$&7V�����0DUFK����������������2UODQGR��)ORULGD��)DUP

$QLPDO�&RPSXWHU�7HFKQRORJLHV�&RQIHUHQFH�����¤����

0F/HRG�� 5��� -U�� �������� 0DQDJHPHQW� LQIRUPDWLRQ� V\VWHPV�� $� VWXG\� RI� FRPSXWHU¤EDVHG

LQIRUPDWLRQ�V\VWHPV��3UHQWLFH¤+DOO�,QWHUQDWLRQDO��,QF���/RQGRQ�����S�

.URHQNH��'���5��+DWFK���������0DQDJHPHQW�,QIRUPDWLRQ�6\VWHPV��0F*UDZ¤+LOO��,QF��1HZ

<RUN�����S�

/DXGRQ�� .�&�� � -�3�� /DXGRQ� �������� (VVHQWLDOV� RI� 0DQDJHPHQW� ,QIRUPDWLRQ� 6\VWHPV�

2UJDQL]DWLRQ�DQG�7HFKQRORJ\��3UHQWLFH¤+DOO�,QWHUQDWLRQDO��,QF���/RQGRQ�����S�

6KDQQRQ��&�(���:��:HDYHU���������7KH�PDWKHPDWLFDO�WKHRU\�RI�FRPPXQLFDWLRQ��8QLYHUVLW\�RI

,OOLQRLV�3UHVV��8UEDQD�

:DUG��-����������3ULQFLSOHV�RI�,QIRUPDWLRQ�6\VWHPV�0DQDJHPHQW��5RXWOHGJH��/RQGRQ�����S�

$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI

PDQDJHPHQW�V\VWHP

$EVWUDFW��'DWD�IURP�PRVW�VODXJKWHU�SLJ�RSHUDWLRQV�ZLOO�QRUPDOO\�EH�KLJKO\

ELDVHG�GXH�WR�VHOHFWLRQ��FHQVRULQJ��RI�LQGLYLGXDO�SLJV�SULRU�WR�WKH�WHUPLQDWLRQ

RI�WKH�LQGLYLGXDO�EDWFK��$Q�DQLPDO�JURZWK�PRGHO�EDVHG�RQ�PXOWL�YDULDWH�QRUPDO

GLVWULEXWLRQV� LV� LQWURGXFHG�DQG�XVHG�DV� UHSUHVHQWDWLRQ�RI� WKH�¦VWDWH�RI� WKH

KHUG§��0HWKRGV�IRU�UHGXFLQJ�WKH�ELDV�DQG�IRU�XSGDWLQJ�WKH�¦%HOLHI�LQ�WKH�VWDWH

RI�WKH�KHUG§�DUH�SUHVHQWHG��7KH�PHWKRGV�DUH�EDVHG�RQ�WKH�(0¤DOJRULWKP�DQG

RWKHU�PHWKRGV�IRU�ELDV�UHGXFWLRQ�DQG�RQ�WKH�.DOPDQ�ILOWHU�IRU�EHOLHI�XSGDWLQJ�

0RGHOV�DUH�WHVWHG�EDVHG�RQ�VLPXODWHG�GDWD��$VVXPLQJ�WKDW�SLJV�DUH�LGHQWLILHG

E\�EDWFK¤���WKH�UHVXOWV�VKRZ�JRRG�SHUIRUPDQFH�RI�WKH�PHWKRGV�HYHQ�LQ�WKH�FDVH

RI�YHU\�VSDUVH�GDWD¤VHWV��2QH�RI�WKH�PDLQ�IHDWXUHV�RI�WKH�.DOPDQ�ILOWHU�¤�WKH

TXLFN� DGDSWLRQ� WR� FKDQJHV� LQ� WKH� V\VWHP� PRGHOHG� ¤� LV� GHPRQVWUDWHG� E\

H[DPSOHV�

��� ,QWURGXFWLRQ

.QRZOHGJH�RI�RU�D�UHDOLVWLF�%HOLHI�LQ��WKH�FXUUHQW�DQG�H[SHFWHG�IXWXUH�¦VWDWH�RI�WKH�VODXJKWHU�SLJ

ILQLVKLQJ�RSHUDWLRQ§�LV�FUXFLDO�LQ�HIILFLHQW�PDQDJHPHQW�LQ�D�PRGHUQ�VODXJKWHU�SLJ�SURGXFWLRQ��$W

SUHVHQW� D� ODUJH� TXDQWLW\� RI� KHUG� VSHFLILF� GDWD� LV� JHQHUDWHG� LQWHUQDOO\� �L�H�� DW� WKH� IDUP�� DQG

H[WHUQDOO\��H�J��DW�WKH�VODXJKWHU�KRXVH��DQG�WKH�TXDQWLW\�DQG�TXDOLW\�RI�WKHVH�KHUG��DQG�DQLPDO�

VSHFLILF�GDWD�LV�OLNHO\�WR�LQFUHDVH�LQ�WKH�IXWXUH�DV�QHZ�WHFKQRORJLHV�HYROYH��VHH�H�J��*HHUV������

RU�6DDWNDPS��������IRU�D�FXUUHQW�VWDWXV�RQ�LGHQWLILFDWLRQ�DQG�UHFRUGLQJ�V\VWHPV�LQ�SLJ�SURGXFWLRQ

RU� 5DPDHNHUV� HW� DO��� ����� ZKR� SUHVHQW� D� QHZ� HIILFLHQW� PHWKRG� IRU� DXWRPDWLF

HVWLPDWLRQ�UHJLVWUDWLRQ�RI�LQGLYLGXDO�OLYH�ZHLJKWV���+RZHYHU��WRROV�IRU�PDQDJLQJ�DQG�SURFHVVLQJ

WKLV�ZHDOWK�RI�IDUP�VSHFLILF�GDWD� LQWR��IRU� WKH�PDUNHWLQJ�PDQDJHPHQW��YDOXDEOH��L�H��SUHFLVH�

UHOHYDQW�DQG�WRSLFDO��LQIRUPDWLRQ�DUH�QRW�\HW�GHYHORSHG�DQG�RU�LPSOHPHQWHG�LQ�SUDFWLFH�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

$JH��6HOHFWLRQ RQ OLYH ZHLJKW� : 1R VHOHFWLRQ

( �&:� 9 �&:� S�� ( �&:� 9 �&:�

�� ����� ���� ����� ����� �����

�� ����� ���� ����� ����� �����

�� ����� ���� ����� ����� �����

�� ����� ���� ����� ����� �����

�� ����� ����� ����� ����� �����

:HHNV VLQFH HQWHULQJ WKH JURZHU ILQLVKLQJ RSHUDWLRQ �DW D ZHLJKW RI �� NJ����

)UDFWLRQ RI VHOHFWHG SLJV RXW RI WRWDO SLJV���

7DEOH ����0HDQ DQG YDULDQFH RQ FDUFDVV ZHLJKW �&:� ZLWK DQG ZLWKRXW VHOHFWLRQ RQ WKH FRYDULDWH� OLYH ZHLJKW

�: ! �� NJ�� %DVHG RQ ������� VLPXODWHG VDPSOHV�

2QH�RI�WKH�REMHFWLYHV�RI�D�'DQLVK�UHVHDUFK�SURMHFW�LQLWLDWHG�LQ������ZDV�WR�GHYHORS�VXFK�WRROV�DQG

WKH�PDLQ�UHVXOWV�RI�WKDW�SDUW�RI�WKH�SURMHFW�DUH�SUHVHQWHG�LQ�WKLV�SDSHU��VWDUWLQJ�ZLWK�D�VKRUW�JHQHUDO

GHVFULSWLRQ�RI�WKH�VODXJKWHU�SLJ�ILQLVKLQJ�RSHUDWLRQ�DQG�WKH�SUREOHPV�DVVRFLDWHG�ZLWK�KDQGOLQJ�DQG

XWLOL]LQJ�KHUG�VSHFLILF�GDWD�

����� 7KH�VODXJKWHU�SLJ�ILQLVKLQJ�RSHUDWLRQ

7KH�VODXJKWHU�SLJ�ILQLVKLQJ�RSHUDWLRQ�LV�DVVXPHG�ORJLFDO�DQG�RSHUDWLRQDO�SDUWLWLRQHG�DFFRUGLQJ

WR�D�SK\VLFDO�VHFWLRQLQJ�RI�WKH�RSHUDWLRQ�IDFLOLWLHV���H�J��FRQILQHPHQWV���7KH�JURXS�RI�SLJV�LQ�D

VHFWLRQ�LV�GHILQHG�DV�D�EDWFK��DOO�SLJV�LQ�D�EDWFK�PXVW�EH�PDUNHWHG��RU�PRYHG�WR�DQRWKHU�VHFWLRQ�

EHIRUH�LQVHUWLRQ�RI�D�QHZ�EDWFK��JURXS�RI�ZHDQHUV�� LV�SRVVLEOH��EXW�SLJV� LQ�D�EDWFK�PLJKW�EH

PDUNHWHG�LQGLYLGXDOO\��7KH�SHULRG�IURP�WKH�ILUVW�WR�WKH�ODVW�IHDVLEOH�PDUNHWLQJ�IURP�D�EDWFK�LV

SDUWLWLRQHG�LQWR�PDUNHWLQJ�VWDJHV��HDFK�VWDJH�UHSUHVHQWLQJ�WKH�PRPHQW��H�J��D�FHUWDLQ�GD\�RI�WKH

ZHHN��DW�ZKLFK�WKH�PDQDJHU�KDV�WKH�RSWLRQ��EXW�QRW�WKH�REOLJDWLRQ��WR�PDUNHW�SLJV�IURP�WKH�EDWFK�

8VXDOO\�WKH�GXUDWLRQ�RI�WKH�PDUNHWLQJ�RI�DOO�SLJV�LQ�D�EDWFK�ZLOO�EH�QR�PRUH�WKDQ���ZHHNV��L�H���

PDUNHWLQJV���7KH�ODVW�PDUNHWLQJ�IURP�D�EDWFK��L�H��PDUNHWLQJ�RI�DOO�UHPDLQLQJ�SLJV�LQ�WKH�VHFWLRQ�

LV�GHILQHG�DV�WKH�WHUPLQDO�PDUNHWLQJ��WKH�EDWFK�LV�WHUPLQDWHG��DQG�LW�LV�VXFFHHGHG�E\�DQ�LQVHUWLRQ

RI�QHZ�SLJV�RU�ZHDQHUV��7KH�GXUDWLRQ�RI�WKH�LQVHUWLRQ�PD\�UDQJH�IURP�D�VLQJOH�GD\�WR�ZHHNV

UHVXOWLQJ� LQ� GLIIHUHQFHV� LQ� SLJV©� SK\VLRORJLFDO� DJH� ZLWKLQ� D� EDWFK�� ,Q� PRVW� VLWXDWLRQV� WKH

SLJV�ZHDQHUV�ZLOO�DW�WKH�WLPH�RI�LQVHUWLRQ�EH�SUHVHOHFWHG�DQG�JURXSHG�ZLWKLQ�WKH�VHFWLRQ�DFFRUGLQJ

WR�WKHLU�VL]H�LQ�RUGHU�WR�VLPSOLI\�WKH�PDQDJHPHQW��H�J��IHHGLQJ�DQG�PDUNHWLQJ���+RZHYHU��LQ�WKLV

SUHVHQWDWLRQ�WKHUH�ZLOO�EH��QR�FRQFHSWXDOO\�GLVWLQFWLRQ�EHWZHHQ�WKLV�SUH¤VHOHFWLRQ�DW�LQVHUWLRQ�WLPH

DQG�WKH�VHOHFWLRQ�DW�PDUNHWLQJ�WLPH�

3LJV�DUH�PDUNHWHG�WR�RQH�RU�VHYHUDO�SDFNHUV��VODXJKWHU�KRXVHV��DQG�WKH�SULFHV�SDLG�IRU�SLJV�DUH

EDVHG�RQ�D�SDFNHU¤VSHFLILF�SULFLQJ�V\VWHP��7KH�SULFLQJ�V\VWHP�ZLOO�QRUPDOO\�IDYRULWH�SLJV�ZLWKLQ

FHUWDLQ�FDUFDVV�ZHLJKW�DQG�OHDQQHVV�LQWHUYDOV��7KH�UHVXOWV��H�J��OHDQQHVV��FDUFDVV�ZHLJKWV�DQG

ILQDQFLDO�RXWFRPHV��RI�D�PDUNHWLQJ�DUH�UHSRUWHG�RQ�DQ�HYDOXDWLRQ�VKHHW��

%DVHG�RQ�KHU�KLV�EHOLHI�LQ�WKH�KHUG�DQG�LQ�LQGLYLGXDO�SLJV�WKH�PDQDJHU�ZLOO�GHFLGH�ZKHQ�DQG

KRZ��L�H��WR�ZKLFK�SDFNHU��WR�PDUNHW�WKH�SLJV���7KH�PDQDJHU�FDQ�PDUNHW�DOO�WKH�SLJV�LQ�D�EDWFK�DW

WKH�VDPH�WLPH�RU�VKH�KH�FDQ�VHOHFW�LQGLYLGXDO�SLJV�IURP�WKH�EDWFKHV�LQ�RUGHU�WR�UHGXFH�WKH�YDULDQFH

RQ� WKH�SLJV�DQG�FRQVHTXHQWO\� LQFUHDVH� WKH�QXPEHU�RI�SLJV�SDLG� WKH�KLJKHVW�SULFH�SHU�NJ��$V

LOOXVWUDWHG� LQ� WDEOH����� WKH�YDULDQFH� LV�GUDVWLFDOO\� UHGXFHG�IURP����NJ�ZLWKRXW�VHOHFWLRQ�DQG

PDUNHWLQJ�DIWHU����ZHHNV�WR�DSSUR[LPDWHO\���NJ�ZKHQ�VHOHFWLRQ�EDVHG�RQ�REVHUYHG�OLYH�ZHLJKW

DQG�PDUNHWLQJ� DW� DOO� �� DJHV� LV� DSSOLHG��7KH� SUREOHP�RI� VHOHFWLRQ� RI� SLJV� IRU�PDUNHWLQJ� DQG

��� ,QWURGXFWLRQ ��

VHOHFWLRQ�FULWHULD�LQ�JHQHUDO�DUH�GLVFXVVHG�LQ�GHWDLOV�LQ�FKDSWHU���

6HYHUDO�WUDLWV�RI�WKH�SLJV�FDQ�EH�UHOHYDQW�WR�WKH�PDQDJHU�ZKHQ�SODQQLQJ�DQG�H[HFXWLQJ�WKH

PDUNHWLQJ�RI�SLJV�DQG�VKRXOG�WKHUHIRUH�EH�LQFOXGHG�LQ�WKH�UHSUHVHQWDWLRQ�RI�WKH�EHOLHI�LQ�WKH�¦VWDWH

RI�WKH�SLJV�LQ�WKH�KHUG§�RU�MXVW�WKH�EHOLHI�LQ�WKH�KHUG��&DUFDVV�ZHLJKW�DQG�OHDQQHVV�DUH�DV�LQGLFDWHG

DERYH�WKH�HFRQRPLFDOO\�PRVW�LPSRUWDQW�WUDLWV��EXW�DV�WKHVH�WUDLWV�ZLOO�QRW�EH�H[SRVHG�XQWLO�DW

VODXJKWHU��WKH\�DUH�QRW�NQRZQ�SULRU�WR�PDUNHWLQJ�DQG�WKHUHIRUH�FRYDULDWHV��L�H��RWKHU�FRUUHODWHG

WUDLWV��KDYH�WR�EH�REVHUYHG�DQG�XVHG�IRU�WKH�GHFLVLRQ�PDNLQJ��8VXDOO\�OLYH�ZHLJKW�DQG�RU�DJH�DUH

XVHG�IRU� WKLV�SXUSRVH��EXW�RWKHU� WUDLWV� OLNH�EDFN�IDW� WKLFNQHVV��VHH�H�J��6PLWK�HW�DO���������RU

SK\VLFDO� GLPHQVLRQV� �VHH� H�J�� YDQ� GHU� 6W\XIW� HW� DO��� ������PD\� EH� XVHG�� 6HYHUDO�PHDVXULQJ

PHWKRGV� ZLWK� GLIIHUHQW� SUHFLVLRQ� RU� REVHUYDWLRQDO� HUURUV� �VHH� H�J�� -�UJHQVHQ�� ����� IRU� D

FRPSDULVRQ� RI� GLIIHUHQW� PHWKRGV� IRU� PHDVXULQJ� OLYH� ZHLJKW�� OLNH� YLVXDO� RU� EDODQFH� ZHLJKW

DVVHVVPHQW�FDQ�EH�XVHG�IRU�PHDVXULQJ�WKH�YDOXH�RI�WKHVH�WUDLWV��

����� ,QFRPSOHWH��ELDVHG�DQG�LPSUHFLVH�GDWD

)DUP�VSHFLILF�DQG�PDUNHWLQJ�PDQDJHPHQW�UHOHYDQW�GDWD�DUH�VXSSOLHG�IURP�VHYHUDO�H[WHUQDO��H�J�

NLOO�VKHHW�GDWD��DV�ZHOO�DV�LQWHUQDO��H�J��DXWRPDWLF�IHHG�FRQVXPSWLRQ�PHDVXUHPHQWV�RU�OLYH�ZHLJKW

EDODQFH�ZHLJKWV�SHUIRUPHG�E\�WKH�VWDII�DW�WKH�WLPH�RI�PDUNHWLQJ��VRXUFHV��EXW��DV�GLVFXVVHG�EHORZ�

LW�LV�GLIILFXOW�WR�FRPELQH�GDWD�IURP�GLIIHUHQW�VRXUFHV��'DWD�PD\�EH�UHFRUGHG�FRQWLQXRXVO\��H�J�

IHHG�FRQVXPSWLRQ�DQG�LQ�VSHFLDO�VLWXDWLRQV�OLYH�ZHLJKWV���EXW�PRVW�GDWD�DUH�UHFRUGHG�GLVFUHWHO\

�H�J��RQFH�D�ZHHN��

,Q�PDQ\�FDVHV�WKH�SXUSRVH�RI�DFTXLUHULQJ�WKH�GDWD�LV�QRW�GLUHFWO\�WR�VXSSRUW�WKH�PDUNHWLQJ

PDQDJHPHQW��EXW�HYHQ�LQ� WKRVH�FDVHV� WKH�XWLOLW\�RI� WKH�GDWD�PD\�EH�RI�JUHDW�PDJQLWXGH�ZLWK

UHVSHFW�WR�WKH�PDUNHWLQJ�PDQDJHPHQW��$Q�H[DPSOH�RI�WKLV�NLQG�RI�GDWD�DUH�WKH�HYDOXDWLRQ�VKHHW

GDWD�� ZKLFK� DUH� DFTXLUHG� LQ� RUGHU� WR� SULFH� LQGLYLGXDO� SLJV�� EXW� FDQ� EH� YHU\� YDOXDEOH� LQ� WKH

PDQDJHPHQW�RI�WKH�PDUNHWLQJ�

'DWD�FDQ�EH�SDUWLWLRQHG�LQWR�WZR�JURXSV�DFFRUGLQJ�WKH�DJJUHJDWLRQ�OHYHO�

¤ ,QGLYLGXDO�GDWD�ZKLFK�DUH�GDWD�UHJLVWHUHG�RQ�LQGLYLGXDOV��

¤ $JJUHJDWH� GDWD� ZKLFK� DUH� UHJLVWUDWLRQV� RQ� JURXSV� RI� LQGLYLGXDOV� �H�J�� DYHUDJHV�� RU

DJJUHJDWHG�LQGLYLGXDO�GDWD�

,Q�PRVW�VLWXDWLRQV�WKH�GDWD�ZLOO�EH�LQFRPSOHWH��L�H��PLVVLQJ�UHJLVWUDWLRQV�DW�WKH�LQGLYLGXDO�OHYHO��

ELDVHG��L�H��V\VWHPDWLFDOO\�PLVVLQJ�UHJLVWUDWLRQV�DW�WKH�DJJUHJDWH�OHYHO��DQG�RU�LPSUHFLVH��DW�ERWK

OHYHOV���7KHVH�HUURUV�LQ�WKH�GDWD�DUH�LQ�JHQHUDO�FDXVHG�E\�

¤ /DWHQW� WUDLWV��7UDLWV�ZKLFK�DUH�QRW�H[SRVHG�XQWLO�DW�VODXJKWHU��7KHVH�WUDLWV��H�J��FDUFDVV

ZHLJKW�DQG�FDUFDVV�OHDQQHVV��DUH�RQO\�REVHUYHG�DQG�UHJLVWHUHG�RQFH�LQ�WKH�OLIH�WLPH�RI�WKH

LQGLYLGXDO�SLJ�DQG�WKH�YDOXHV�RI�WKH�WUDLWV�DUH�XQNQRZQ��RU�DW�OHDVW�XQFHUWDLQ��DW�WKH�WLPH�RI

VHOHFWLRQ�RI�WKDW�SLJ�IRU�PDUNHWLQJ��'DWD�PDGH�RQ�ODWHQW�WUDLWV�ZLOO�ZKHQ�FRPELQHG�ZLWK

VHOHFWLRQ��VHH�EHORZ��EH�ELDVHG�

¤ 6HOHFWLRQ��RU�FHQVRULQJ���,QGLYLGXDO�SLJV�DUH�VHOHFWHG�IRU�PDUNHWLQJ�SULPDULO\�LQ�RUGHU�WR

UHGXFH� WKH�DYHUDJH�YDULDWLRQ�RQ� ILQDQFLDOO\� LPSRUWDQW� WUDLWV� �DQG� LQFUHDVH� WKH� ILQDQFLDO

RXWFRPH��DQG�VHFRQGDULO\�LQ�RUGHU�WR�IXOILOO�RWKHU�REMHFWLYHV�VXFK�DV�D�FRQVWDQW�QXPEHU�RI

SLJV� PDUNHWHG� SHU� ZHHN� RU� D� UHGXFHG� VWRFNLQJ� GHQVLW\� LQ� WKH� FRQILQHPHQWV�� $V� D

FRQVHTXHQFH� RI� WKLV� VHOHFWLRQ�� DJJUHJDWH� GDWD� DUH� ELDVHG� DQG� LQGLYLGXDO� UHJLVWUDWLRQV

LQFRPSOHWH� �L�H�� PLVVLQJ� ORQJLWXGLQDO� GDWD� ¤� VRPH� LQGLYLGXDOV� ZLOO� EH� REVHUYHG� DQG

UHJLVWHUHG�RYHU�D�VKRUWHU�SHULRG�WKDQ�RWKHUV���3LJV�DUH�VHOHFWHG�EDVHG�RQ�REVHUYDEOH�WUDLWV�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

ZKLFK�QRUPDOO\�DUH�KLJKO\�FRUUHODWHG�ZLWK�WKH�ODWHQW�WUDLWV�

,W� VKRXOG� EH� QRWHG� WKDW� PLVVLQJ� REVHUYDWLRQV� DUH� QRW� RFFXUULQJ� DW� UDQGRP�� WKH

OLNHOLKRRG�RI�PLVVLQJ�REVHUYDWLRQV�RQ�DQ�LQGLYLGXDO�GHSHQGV�KHDYLO\�RQ�WKH�WUDLWV�RI�WKH

LQGLYLGXDO�DQG�FRQVHTXHQWO\�PRVW�JHQHUDO�DSSURDFKHV�WR�KDQGOLQJ�PLVVLQJ�REVHUYDWLRQV�DUH

QRQ¤DSSOLFDEOH��/LWWOH��5XELQ��������

¤ 0LVVLQJ�LGHQWLILFDWLRQ�RI�LQGLYLGXDOV�RU�JURXSV�RI�LQGLYLGXDOV��,Q�PRVW�VLWXDWLRQV�LW�LV�QRW

SRVVLEOH� WR� LGHQWLI\� WKH� LQGLYLGXDO� SLJ�ZLWKLQ� WKH� ILQLVKLQJ�RSHUDWLRQ� �DQG� WKHUHIRUH� LQ

JHQHUDO�LW�GRHV�QRW�VHUYH�DQ\�SXUSRVH�WR�UHJLVWHU�REVHUYDWLRQV�RQ�LQGLYLGXDOV��DQG�FRPELQLQJ

GDWD�IURP�GLIIHUHQW�VRXUFHV��H�J��NLOO�VKHHW�GDWD�DQG�RQ�IDUP�EDODQFH�ZHLJKWV��GLUHFWO\�DUH

QRW�SRVVLEOH��,Q�DGGLWLRQ�SLJV�IURP�GLIIHUHQW�EDWFKHV�PD\�EH�PL[HG�GXULQJ�WKH�VKLSSLQJ�WR

WKH� SDFNHU� ZKLFK� PDNHV� LGHQWLILFDWLRQ� RI� VHSDUDWH� EDWFKHV� GLIILFXOW�� +RZHYHU�� LQ� WKH

UHPDLQLQJ�RI�WKLV�SDSHU�LW�LV�DVVXPHG�WKDW�EDWFKHV�DUH�HYDOXDWHG�VHSDUDWHO\�RU�WKDW�SLJV�DUH

LGHQWLILHG�E\�EDWFK¤��

¤ 2EVHUYDWLRQDO�HUURUV��$OO�WUDLWV�DUH�SRVVLEO\�H[SRVHG�WR�REVHUYDWLRQDO�HUURUV��ZKLFK�DUH

FDXVHG�E\��(UURUV�LQ�WKH�GHILQLWLRQ�DQG�WKH�PHDVXULQJ�RI�WUDLWV��HUURUV�LQ�WKH�LGHQWLILFDWLRQ

RI� LQGLYLGXDOV� RU� JURXSV�� WLPHODJV� DQG� RWKHU� HUURUV� LQFOXGLQJ� ODERU� DQG� PDFKLQHU\

PDOIXQFWLRQ�

¤ 2WKHU�HUURUV��0DFKLQHU\�IDLOXUH��ODERU�VKRUWDJH��HWF�

7KH�WZR�WHUPV�¦REVHUYDWLRQ§�DQG�¦UHJLVWUDWLRQ§�DUH�LQ�WKLV�SUHVHQWDWLRQ�XVHG�LQWHUFKDQJHDEO\�

¦REVHUYDWLRQ§�LV�XVHG�DV�D�SVHXGRQ\P�RI�¦UHJLVWUDWLRQ§�

,Q�PRVW�VODXJKWHU�SLJ�ILQLVKLQJ�RSHUDWLRQV�LW�LV�ILQDQFLDOO\�EHQHILFLDO�WR�VHOHFW�LQGLYLGXDO�SLJV�IRU

PDUNHWLQJ��VHH�FKDSWHU���IRU�FDOFXODWLRQV�RI�WKH�EHQHILW�RI�VHOHFWLRQ�LQ�WKH�PRUH�JHQHUDO�FDVH��DQG

LQ�WKH�UHPDLQGHU�RI�WKLV�SUHVHQWDWLRQ�SLJV�DUH�WKHUHIRUH�DVVXPHG�WR�EH�VHOHFWHG�DQG�KHQFH�GDWD

DVVXPHG�WR�EH�ELDVHG�LQFRPSOHWH��ZLWK�WKH�VLWXDWLRQ�RI�XQELDVHG�GDWD�DV�D�VLPSOH�VSHFLDO�FDVH��,Q

DGGLWLRQ�WKHUH�ZLOO�LQ�PDQ\�RSHUDWLRQV�EH�QR�ORQJLWXGLQDO�GDWD��H�J��HYDOXDWLRQV�VKHHW�GDWD�DUH�WKH

RQO\�GDWD�DYDLODEOH��DQG�KHQFH�WKH�H[LVWHQFH�RI�ORQJLWXGLQDO�GDWD�ZLOO�EH�QR�SUHUHTXLVLWH�LQ�WKLV

SUHVHQWDWLRQ�

����� 0RGHOLQJ�DQG�HVWLPDWLQJ�WKH�¦%HOLHI�LQ�WKH�VWDWH�RI�WKH�KHUG§

7KH�GHILQLWLRQ�DQG�UHSUHVHQWDWLRQ�RI��¦WKH�VWDWH�RI�WKH�KHUG§�ZLOO�GHSHQG�RQ�WKH�DFWXDO�FRQWH[W�DQG

REMHFWLYHV�DQG�KHQFH�LQ�WKLV�SUHVHQWDWLRQ�¦WKH�VWDWH�RI�WKH�KHUG§�LV�GHILQHG�DQG�UHSUHVHQWHG�EDVHG

RQ�WKH�PDLQ�XQGHUO\LQJ�SUREOHP��(IILFLHQW�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW��,Q�FKDSWHU���LW

LV�GHPRQVWUDWHG�WKDW�RSWLPL]DWLRQ�RI�PDUNHWLQJ�PDQDJHPHQW�LV��DW�DQ\�JLYHQ�PDUNHWLQJ�VWDJH�

EDVHG�RQ�NQRZOHGJH�RI��

�L� WKH�YDOXH��RU�VWDWH��RI�WUDLWV�RI�WKH�LQGLYLGXDO�SLJ�DW�WKH�FXUUHQW�VWDJH�DQG�

�LL� WKH�FKDQJH�LQ�WKH�VWDWHV�RI�WKH�WUDLWV��H�J��JURZWK��EHWZHHQ�WKH�FXUUHQW�DQG�WKH�QH[W

VWDJH�V���L�H��FKDQJH� �YDOXH�DW�QH[W�VWDJH���YDOXH�DW�FXUUHQW�VWDJH���,Q�SULQFLSOH�WKHUH

DUH�WZR�UHDVRQV�IRU�WKLV�FKDQJH���D��*URZWK�RI�DQLPDOV�DQG��E��V\VWHP�FKDQJHV��L�H�

LQ�WKH�JHQHWLF�SRWHQWLDO�DQG�LQ�WKH�HQYLURQPHQW��

7KLV�FKDQJH�LQ�VWDWHV�RI�WUDLWV�LV�WUDGLWLRQDOO\�PRGHOHG�E\�VRPH�NLQG�RI�IXQFWLRQDO�UHODWLRQVKLS�DQG

WKHVH�DQLPDO�JURZWK�PRGHOV�FDQ�EH�SDUWLWLRQHG�LQWR�WZR�VHSDUDWH�JURXSV��2OWMHQ��������%ODFN�

�������

¤ ([SODQDWRU\��PHFKDQLVWLF�PRGHOV�DQG�

��� ,QWURGXFWLRQ ��

¤ SUHGLFWLYH��HPSLULFDO�PRGHOV��

0HFKDQLVWLF�PRGHOV�DUH�GHWDLOHG�PRGHOV�EDVHG�RQ�NQRZOHGJH�RI�WKH�XQGHUO\LQJ�SK\VLRORJLFDO

SURFHVVHV�DQG�ODZV�RI�SK\VLFV�DQG�FKHPLVWU\��7KH�PRGHOV�DUH�LQ�PRVW�VLWXDWLRQV�GHWHUPLQLVWLF��L�H�

RQO\�H[SHFWDWLRQV�DUH�UHSUHVHQWHG�LQ�WKH�PRGHOV��DQG�QRUPDOO\�D�ODUJH�VHW�RI�PRGHO�SDUDPHWHUV�DUH

YHU\� GLIILFXOW� WR� LQWHUSUHW� DQG� HVWLPDWH� �VHH� H�J�� %ODFN� HW� DO��� ������0RXJKDQ� HW� DO��� �����

0RXJKDQ�HW�DO���������%ODFN�������IRU�H[DPSOHV�RQ�PHFKDQLVWLF�JURZWK�PRGHOV���0HFKDQLVWLF

PRGHOV� DUH� LQ� JHQHUDO� QRW� ZHOO� VXLWHG� IRU� PDQDJHPHQW� DQG� FRQWURO�� EXW� 2OWMHQ� ������

GHPRQVWUDWHG� D�ZD\� RI� H[WHQGLQJ�PHFKDQLVWLF�PRGHOV�ZLWK� DQ� HPSLULF� HOHPHQW� LQ� RUGHU� WR

FDOLEUDWH� D� PHFKDQLVWLF� PRGHO� DFFRUGLQJ� WR� D� IHZ� HPSLULF� GDWD� �ZKLFK� DUH� LQVXIILFLHQW� LQ

UH¤HVWLPDWLQJ�SDUDPHWHUV�RI�WKH�PHFKDQLVWLF�PRGHO���,Q�JHQHUDO�LW�LV�GLIILFXOW�WR�VHSDUDWH�WKH�WZR

W\SHV�RI�PRGHOV�DQG�VHYHUDO�PRGHOV�FDQ�EH�GHVFULEHG�DV�PL[WXUHV�RI�WKH�WZR��VHH�H�J��-�UJHQVHQ�

����� LQ�ZKLFK� D�PHFKDQLVWLF�PRGHO�EDVHG�RQ� WKH�*RPSHUW]�JURZWK� FXUYH� LV� H[WHQGHG�ZLWK

VWRFKDVWLFLW\���0HFKDQLVWLF�PRGHOV�GR�QRUPDOO\�QRW� LQFOXGH�IHDWXUHV� IRU�PRGHOLQJ�HVWLPDWLQJ

V\VWHP�FKDQJHV�¤�L�H��WKH�VHFRQG�HOHPHQW�RI�FKDQJHV�LQ�WUDLWV�DV�GLVFXVVHG�DERYH��2OWMHQ�������DQG

-�UJHQVHQ�������DUH�H[FHSWLRQV��

(PSLULFDO� JURZWK� PRGHOV� DUH� VWDWLVWLFDO� PRGHOV� GHVFULELQJ� WKH� UHODWLRQVKLSV� EHWZHHQ

WUDLWV�YDULDEOHV�RYHU�WLPH��ZLWKRXW�GHVFULELQJ�XQGHUO\LQJ�SURFHVVHV��7KH�PRGHOV�DUH�VWRFKDVWLF��L�H�

YDULDWLRQ�RQ�WKH�WUDLWV�DV�ZHOO�DV�H[SHFWDWLRQV�DUH�PRGHOHG��DQG�VLQFH�YDULDEOHV�LQ�PRVW�FDVHV�DUH

HDV\�WR�REVHUYH�DQG�VLQFH�WKH�QXPEHU�RI�SDUDPHWHUV�LQ�WKH�PRGHOV�LV�ORZ�LQ�UHODWLRQ�WR�WKH�QXPEHU

RI�REVHUYDWLRQV��SDUDPHWHUV�DUH�PRUH�HDVLO\�HVWLPDWHG�WKDQ�LQ�WKH�FDVH�RI�PHFKDQLVWLF�PRGHOV��$

PDLQ�DQG�YHU\�JHQHUDO�DQG�ZHOO�HVWDEOLVKHG�FODVV�RI�HPSLULFDO�JURZWK�PRGHOV�DUH�EDVHG�RQ�WKH

ZRUN�RI�3RWWKRII��5R\���������*URZWK�&XUYH�0RGHOV�RU�*HQHUDOL]HG�0XOWL�YDULDWH�$QDO\VLV�RI

9DULDQFH�0RGHOV��VHH�H�J��YRQ�5RVHQ�������IRU�D�UHYLHZ���7KHVH�PRGHOV�DUH�YHU\�UREXVW��EXW�LQ

JHQHUDO�WKH\�GR�QRW�DFFHSW�LQFRPSOHWH�GDWD��/LVNL��������.DQGD���������+RZHYHU��/LVNL�DSSOLHG

D�GDWD�DXJPHQWDWLRQ�PHWKRG��WKH�(0�DOJRULWKP��'HPSVWHU�HW�DO���������/LWWOH��5XELQ�������

7DQQHU�� ������ LQ� RUGHU� WR� JHQHUDWH� WKH� �UDQGRPO\��PLVVLQJ� REVHUYDWLRQV�� (PSLULFDO�PRGHOV

QRUPDOO\�LQFOXGH�IHDWXUHV�IRU�PRGHOLQJ�HVWLPDWLQJ�V\VWHP�FKDQJHV�

7KH�JHQHUDO�SUREOHP�RI�VWDWLVWLFDO�LQIHUHQFH�ZLWK�PLVVLQJ�GDWD�LV�D�FODVVLF�VWDWLVWLFDO�SUREOHP

WKDW�KDV�EHHQ�H[DPLQHG�E\�D�ZLGH�UDQJH�RI�VFLHQWLVWV��VHH�H�J��/LWWOH�DQG�5XELQ��������IRU�DQ

LQWURGXFWLRQ�DQG�RYHUYLHZ���,Q�PRVW�FDVHV�WKH�GDWD�DUH�DVVXPHG�WR�EH�PLVVLQJ�DW�UDQGRP��ZKLFK

LV�FHUWDLQO\�QRW�D�UHDVRQDEOH�DVVXPSWLRQ�LQ�WKH�VLWXDWLRQ�RI�VODXJKWHU�SLJ�PDUNHWLQJ���EXW�PHWKRGV

IRU�KDQGOLQJ�VSHFLDO�SDWWHUQV�RU�PHFKDQLVPV�RI�PLVVLQJ�GDWD��H�J��JURXSHG�RU�FHQVRUHG�GDWD��KDYH

EHHQ�GHYHORSHG��/LWWOH��5XELQ��������

$JJUHJDWH�GDWD�DUH�QRW�DV�LQIRUPDWLYH�DV�LQGLYLGXDO�GDWD��L�H��DJJUHJDWH�GDWD�PD\�EH�GHULYHG

IURP�LQGLYLGXDO�GDWD�EXW�QRW�YLFH�YHUVD��DQG�DV�LQGLFDWHG�LQ�WKH�SUHYLRXV�VHFWLRQ�JUHDWHU�SUREOHPV

DVVRFLDWHG�ZLWK�XWLOL]LQJ�WKHVH�GDWD�VKRXOG�EH�H[SHFWHG��+RZHYHU��LQ�VRPH�FDVHV�D�ODUJH�DPRXQW

RI�DJJUHJDWH�GDWD�LV�SURGXFHG�ZLWKLQ�WKH�VODXJKWHU�SLJ�RSHUDWLRQV�DQG�PHWKRGV�IRU�XWLOL]LQJ�WKHVH

GDWD�FDQ�SURYH�EHQHILFLDO�ZKHQ�DSSOLHG�

7KH�REMHFWLYH�RI�WKLV�VWXG\�ZDV�WR�GHYHORS��DQG�H[DPLQH��VLPSOH��JHQHUDO��UHOLDEOH�DQG�DSSOLFDEOH

PHWKRGV��DQG�LQ�SDUWLFXODU�PHWKRGV�EDVHG�RQ�WKH�(0�DOJRULWKP��IRU�G\QDPLFDOO\�WUDQVIRUPLQJ

�DJJUHJDWH�DQG�LQGLYLGXDO��LQFRPSOHWH�DQG�RU�ELDVHG��KHUG�VSHFLILF�GDWD�LQWR�SUHFLVH���WRSLFDO�DQG

PDUNHWLQJ�PDQDJHPHQW�UHOHYDQW�LQIRUPDWLRQ��$V�GHPRQVWUDWHG�LQ�FKDSWHU���FRUUHFW�HVWLPDWHV�RI

H[SHFWHG�JURZWK�DUH�RI�JUHDWHU�LPSRUWDQFH�WKDQ�FRUUHFW�HVWLPDWHV�RI��FR�YDULDQFHV�RQ�JURZWK�DQG

WKHUHIRUH�WKH�HPSKDVLV�LV�SXW�RQ�HVWLPDWLQJ�FRUUHFW�H[SHFWDWLRQV�

;Q�W

� 1�PQ�W�&

Q�W�� Q����1

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

7KH�PHWKRGV�VKRXOG�IRUP�WKH�IXQGDPHQW�RI�D�%HOLHI�0DQDJHPHQW�6\VWHP��%06��DV�GHILQHG

LQ�FKDSWHU���DQG�E\�-�UJHQVHQ��.ULVWHQVHQ���������7KH�%06�LV�LQWHQGHG�IRU�LQWHJUDWLRQ�LQ�D

0DUNHWLQJ�0DQDJHPHQW�6XSSRUW�7RRO��VHH�FKDSWHU����DV�SDUW�RI�D�ODUJHU�0DQDJHPHQW�,QIRUPDWLRQ

6\VWHP��VHH�FKDSWHU����DQG�LW�LV�LQWHQGHG�WR�VHUYH�DV�D�GLUHFW�SUHSURFHVVRU�RI�WKH�'HFLVLRQ�6XSSRUW

6\VWHP�VSHFLILHG�LQ�FKDSWHU���DQG�GHILQHG�LQ�FKDSWHU���

7KH�LVVXH�RI�DFTXLULQJ�DGGLWLRQDO�LQIRUPDWLRQ��L�H��WHFKQLTXHV�VRXUFHV�DQG�FRVWV�EHQHILWV��LV�QRW

H[DPLQHG�LQ�WKLV�FRQWH[W�

7KH�SXUSRVH�RI�WKLV�SDSHU�LV�WR�SUHVHQW�DQG�GLVFXVV�WKH�PHWKRGV�GHYHORSHG�DQG�RU�XVHG�

��� 0RGHOV�DQG�PHWKRGV

7KH�XSGDWLQJ�RI�WKH�EHOLHI�LQ�WKH�¦VWDWH�RI�WKH�KHUG§�LV�LQ�WKLV�SUHVHQWDWLRQ�SDUWLWLRQHG�LQWR�WZR

VWHSV�

¤ $��GDWD�DXJPHQWDWLRQ�DQG�ELDV�UHGXFWLRQ�VWHS�DQG

¤ D�EHOLHI�XSGDWLQJ�VWHS�

'LIIHUHQW�PHWKRGV�IRU�UHGXFLQJ�WKH�ELDV�DUH�SUHVHQWHG�KHUH��ZKLOH�VDPH�UHSUHVHQWDWLRQ��PXOWL

YDULDWH�QRUPDO�GLVWULEXWLRQV��DQG�VDPH�EHOLHI�XSGDWLQJ�PHWKRG��'\QDPLF�/LQHDU�0RGHOV��'/0

RU�.DOPDQ�ILOWHULQJ��RI�WKH�¦VWDWH�RI�WKH�KHUG§�LV�XVHG�IRU�DOO�ELDV�UHGXFWLRQ�PHWKRGV�

����� 7KH�DQLPDO�JURZWK�PRGHO

$V�GHPRQVWUDWHG�LQ�WKH�LQWURGXFWLRQ�DQG�LQ�FKDSWHU���WKH�PDUNHWLQJ�RI�SLJV�LV�RQO\�SRVVLEOH�DW

FHUWDLQ�WLPHV��H�J��DW�D�FHUWDLQ�GD\�RI�WKH�ZHHN��DQG�RQO\�WKH�EHOLHI�LQ�WKH�YDOXH�RI�WKH�WUDLWV�DW�WKH

WLPH�RI�PDUNHWLQJ�DQG�IRU�VRPH�WUDLWV�DW�WKH�WLPH�RI�GHFLGLQJ�ZKLFK�SLJV�WR�PDUNHW�LV�RI�LQWHUHVW

WR�WKH�PDUNHWLQJ�PDQDJHPHQW�SUREOHP�DQG�VKRXOG�EH�UHSUHVHQWHG�LQ�WKH�PRGHO��&RQVHTXHQWO\

�DQG�LQ�FRQWUDVW�WR�WUDGLWLRQDO�JURZWK�PRGHOV�DV�GLVFXVVHG�LQ�WKH�LQWURGXFWLRQ��WKHUH�LV�QR�QHHG�IRU

D�FRQWLQXRXV�UHSUHVHQWDWLRQ�RI�WKH�WUDLWV�RI�WKH�SLJV�DQG�LQ�WKLV�SUHVHQWDWLRQ�D�GLVFUHWH�DQG�UDWKHU

VLPSOH�UHSUHVHQWDWLRQ�RI�JURZWK�LV�XVHG��7UDLWV��DQG�JURZWK��RI�SLJV�DW�GLIIHUHQW�PDUNHWLQJ�VWDJHV

DUH�PRGHOHG�GLUHFWO\�E\�D�PXOWL�YDULDWH�QRUPDO�GLVWULEXWLRQ�DV�GHILQHG�EHORZ��,Q�WKH�IROORZLQJ�LW

DVVXPHG� WKDW� WKH�EDWFK¤��RI�HDFK�SLJ� LV�NQRZQ�DW�DQ\� WLPH� LQ� WKH�SURFHVV� IURP�LQVHUWLRQ� WR

VODXJKWHU�

/HW�0� EH� WKH� QXPEHU� RI� � DQLPDO� WUDLWV� LQFOXGHG� LQ� WKH�PRGHO� DQG�1� EH� WKH� ODVW� IHDVLEOH

PDUNHWLQJ�VWDJH�RI�D�EDWFK��:LWK�WKH�RSWLRQ�RI�PDUNHWLQJ�RQFH�RU�QRW�DW�DOO�LQ�D�ZHHN�DQG�ZLWK�D

��ZHHNV�GXUDWLRQ�RI�WKH�PDUNHWLQJ�RI�D�EDWFK��1� ���

/HW�WKH�WUXH�WUDLWV��L�H��YDOXHV�QRW�LQIOXHQFHG�E\�PHDVXULQJ�RU�REVHUYDWLRQDO�HUURUV��RI�D�SLJ�DW

D� JLYHQ� PDUNHWLQJ� VWDJH� �RU� PDUNHWLQJ� DJH��� Q� DQG� DW� D� JLYHQ� WLPH�� W� EH� UHSUHVHQWHG� E\� D

0¤GLPHQVLRQDO�YHFWRU��; ��7KH�WUDLWV�DUH�DVVXPHG�PXOWL�YDULDWH�QRUPDOO\�GLVWULEXWHG�Q�W

ZKHUH P � LV�D��0���YHFWRU�RI�PHDQV�DQGQ�W

& � LV�D��0Ó0��PDWUL[�RI�YDULDQFHV�DQG�FRYDULDQFHV�Q�W

7KH�WLPH��W��ZLOO�ODWHU�EH�UHIHUUHG�WR�DV�WKH�XSGDWLQJ�VWHS��VHH�VHFWLRQ��������%HOLHI�XSGDWLQJ�¤�WKH

;W� 1�P

W�&

W�

;W

;��W

;��W

;1�W

� PW

P��W

P��W

P1�W

� &W

&��W

V\P

&����W

&��W

� � �

&1���W

&1���W

à &1�W

��� 0RGHOV�DQG�PHWKRGV ��

�����

)LJXUH ���� 7KH DQLPDO JURZWK PRGHO� 0HDQ JURZWK �DW D GHFUHDVLQJ UDWH� DQG GLVWULEXWLRQ RI OLYH ZHLJKW DW

� GLIIHUHQW PDUNHWLQJ VWDJHV� 3LJV ZLWK D ZHLJKW DERYH WKH WKUHVKROG ZHLJKW DUH �H[FHSW IRU WKH ODVW VWDJH

DW ZKLFK DOO UHPDLQLQJ SLJV DUH PDUNHWHG� VHOHFWHG IRU PDUNHWLQJ� $EUXSWHG VWUDLW OLQHV KDYH EHHQ DSSOLHG

WR LOOXVWUDWH WKH EOXUUHG WUXQFDWLRQV RI WKH OHIW WDLO RI WKHVH FRQGLWLRQDO GLVWULEXWLRQV� L�H� WUXQFDWLRQ DW

SUHYLRXV VWDJH LV� XQOHVV ���� GHSHQGHQFH EHWZHHQ SUHYLRXV DQG FXUUHQW VWDJH� EOXUUHG DW FXUUHQW VWDJH�

.DOPDQ�ILOWHU�

7KH�VHW�RI�YDULDEOHV�; ��Q� �����1�DUH�PHUJHG�LQWR�D�VLQJOH�YDULDEOH�; ��UHSUHVHQWLQJ�D�SLJ©VQ�W W

WUDLWV�DW�DOO�1�PDUNHWLQJ�VWDJHV�DW�D�JLYHQ�WLPH�W�

ZKHUH�

7KH�FRYDULDQFH��EHWZHHQ�WKH�SDUWLDO�GLVWULEXWLRQV��& ��LgM��H[SUHVV�WKH�FRUUHODWLRQ�EHWZHHQ�WUDLWVL�M�W

RYHU�PDUNHWLQJ�VWDJHV��Q��,Q�WKH�UHPDLQGHU�RI�WKLV�SUHVHQWDWLRQ�WKH�WLPH�VXIIL[��W�� LV�DVVXPHG

LPSOLFLWO\�JLYHQ�DQG�WKHUHIRUH�LQ�PRVW�FDVHV�RPLWWHG�LQ�WKH�QRWDWLRQ�XVHG��

7ZR�WUDLWV�DUH�LQFOXGHG�LQ�WKH�PRGHO�XVHG�LQ�WKLV�SUHVHQWDWLRQ��L�H��0� �����/LYH�ZHLJKW��: �Q

DQG�FDUFDVV�ZHLJKW��&: ��L�H��; � �>: ��&: @ ��H[DPSOHV�DUH�VKRZQ�LQ�WKH�DSSHQGL[��,W�LV�DVVXPHGQ Q Q Q

7

WKDW�SLJV�DUH�LQGLYLGXDOO\�LGHQWLILHG�ZLWKLQ�WKH�VODXJKWHU�SLJ�RSHUDWLRQ�DV�ZHOO�DV�DW�WKH�SDFNHU�DQG

WKDW�WKHUH�H[LVWV�D�PDSSLQJ�EHWZHHQ�WKHVH�WR�LGHQWLILFDWLRQV��7KLV�DVVXPSWLRQ�ZLOO�ODWHU�EH�UHOD[HG�

*UDSKLFDOO\�WKH�DQLPDO�PRGHO�FDQ�EH��SDUWLDOO\��L�H��IRU�D�VLQJOH�WUDLW��UHSUHVHQWHG�DV�VKRZQ�LQ�ILJ�

;

;�

;�

� 1P

P�

�&��

&��

&��

&��

;�©

;�©

;�

;�

J�

� 1P

P�

�&��

&��

&��

&���(

; ;�©[

�©�J

�� 1

P©�

P©�

�&©

��&©

��

&©��

&©��

&( &

��� (

��D�

P©L P

L� &

L�&��

( �[©��P��� L��� �E�

&©LM &

LM� &

L�&��

( &�M� L� M��� �F�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

�����

�����7KH�PHDQ�JURZWK�FXUYH�KDV�DW�HDFK�PDUNHWLQJ�VWDJH�EHHQ�H[WHQGHG�ZLWK�D�JUDSK�UHSUHVHQWLQJ

WKH�GLVWULEXWLRQ�RI�ZHLJKW�DW�WKDW�SDUWLFXODU�VWDJH��7KH�VKDGHG�DUHDV�RI�WKH�GLVWULEXWLRQV�LOOXVWUDWH�

DV� WKH� VLPXODWHG� GDWD� LQ� WDEOH� ����� WKH� HIIHFW� RI� VHOHFWLQJ� SLJV� IRU�PDUNHWLQJ�� 5HGXFWLRQ� RI

YDULDQFH�

7KH�FRQGLWLRQDO�GLVWULEXWLRQ��RU�WKH�SRVWHULRU�GLVWULEXWLRQ��RI�WKH�WUXH�WUDLWV�;�JLYHQ�D�VSHFLILF

REVHUYDWLRQ��RQ�DQ\�VXEVHW�RI�WKH�WUDLWV��DQG�JLYHQ�D�PHDVXULQJ�RU�REVHUYDWLRQDO�HUURU�LV�GHULYHG

DV� IROORZV��/HW�; � UHSUHVHQW� WKH�REVHUYHG� VXEVHW� RI� WUDLWV� RI�;�� DQG� OHW�; � UHSUHVHQW� WKH�QRW� �

REVHUYHG�WUDLWV��7KHQ�;�LV�SDUWLWLRQHG�LQWR�UHSUHVHQWHG�DV��

7KH�REVHUYDWLRQDO�HUURUV�RQ�WKH�REVHUYHG�WUDLWV��; �DUH�UHSUHVHQWHG�E\�D�YHFWRU��J ��RI�UDQGRP� �

YDULDEOHV�ZKLFK�DUH�DVVXPHG� LQGHSHQGHQW�RI�; ��PXWXDOO\� LQGHSHQGHQW�DQG� LGHQWLFDOO\�PXOWL�

YDULDWH�QRUPDOO\�GLVWULEXWHG�ZLWK�]HUR�PHDQ��J �a�1�����( ��� �

� 7KH�REVHUYHG�WUDLWV��H�J��WKH�REVHUYHG�OLYH�ZHLJKW��DUH�WKHQ�QRUPDOO\�GLVWULEXWHG�DQG�GHILQHG

E\�WKH�PRGHO�

7KH�GLVWULEXWLRQ�RI�;�JLYHQ�DQ�REVHUYDWLRQ�[ ©�RI�; ©�DQG�JLYHQ�WKH�REVHUYDWLRQDO�HUURU�J �LV� � �

WKHQ�JLYHQ�E\�

ZKHUH�

����� +HUG�PRGHO

,I�WKH�WUDLWV�RI�DOO�SLJV�LQ�D�KHUG�DUH�LGHQWLFDOO\�QRUPDOO\�GLVWULEXWHG�WKH�¦VWDWH�RI�WKH�KHUG§��RU�WKH

EHOLHI�LQ�WKH�KHUG��FDQ�EH�GHVFULEHG�E\�WKH�DQLPDO�PRGHO�SUHVHQWHG�DERYH��+RZHYHU��LQ�PRVW�FDVHV

(O &

O� (

\OW �

OW� Y

OW� Y

OW�1���9

OW� �D�

�OW �

OW��� Z

OW� Z

OW�1���:

OW� �E�

��� 0RGHOV�DQG�PHWKRGV ��

�����

�����

WKH�WUDLWV�DUH�QRW�LGHQWLFDOO\�QRUPDOO\�GLVWULEXWHG��WKH�SLJV�GLIIHU�GXH�WR�GLIIHUHQFHV�LQ�JHQHWLF�OLQH�

JHQGHU��IHHG�GLHW�HWF��RU�GXH�WR�VHOHFWLRQ�EDVHG�RQ�H�J��DJH�RU�VL]H��,Q�WKHVH�VLWXDWLRQV�LW�LV�SRVVLEOH

WR�FDWHJRUL]H�RU�SDUWLWLRQ�WKH�SLJV�LQ�D�JLYHQ�KHUG�LQWR�D�VHW�RI�ORJLFDO�JURXSV�LQ�VXFK�D�ZD\�WKDW

IRU�HDFK�ORJLFDO�JURXS�WKH�WUDLWV�RI�WKH��XQVHOHFWHG��SLJV�LQ�WKDW�JURXS�ZLOO�EH��DSSUR[LPDWHO\�

LGHQWLFDOO\�QRUPDOO\�GLVWULEXWHG��7KH�SDUWLWLRQLQJ�FDQ�EH�EDVHG�RQ�JHQGHU��JHQHWLF�OLQH�RU�IHHG�GLHW�

EXW�VHYHUDO�RWKHU�FULWHULD�PLJKW�EH�DSSOLHG�LQ�RUGHU�WR�VDWLVI\�WKLV�QRUPDOLW\�UHVWULFWLRQ��

7KH�KHUG�LV�UHSUHVHQWHG�RU�PRGHOHG�DV�D�VHW��RI�VL]H�/��RI�VXE¤PRGHOV��HDFK�UHSUHVHQWLQJ�D

ORJLFDO�JURXS��$Q\�SLJ�LV�PHPEHU�RI�RQH�DQG�RQO\�RQH�ORJLFDO�JURXS��EXW�WKH�SLJV�LQ�D�EDWFK�FDQ

EH�PHPEHU�RI�GLIIHUHQW�ORJLFDO�JURXSV�

7KH�QXPEHU�RI�ORJLFDO�JURXSV�LQ�D�KHUG�FDQ�YDU\�RYHU�WLPH�DQG�LQ�JHQHUDO�WKHUH�LV�QR�XSSHU

OLPLW�RQ�WKH�QXPEHU�RI�ORJLFDO�JURXSV��,Q�WKH�FDVH�RI�D�YHU\�KRPRJHQHRXV�KHUG�ZLWK�QR�VLJQLILFDQW

GLIIHUHQFHV�EHWZHHQ�VHFWLRQV��RU�JURXSV�RU�SHQV�RU�SLJV��D�PRGHO�ZLWK�RQH��RU�WKUHH�¤�RQH�IRU

IHPDOHV��RQH�IRU�FDVWUDWHV�DQG�RQH�IRU�PDOHV��ORJLFDO�JURXSV�PLJKW�DSSHDU�VXIILFLHQW��

(DFK�LQGLYLGXDO�ORJLFDO�JURXS��O��LV�UHSUHVHQWHG�E\�DQ�LQVWDQFH��; ���1��P ��& ��RI�WKH�DQLPDOO O O

PRGHO�SUHVHQWHG�DERYH�DQG�WKH�PDLQ�REMHFWLYH�SUHVHQWHG�LQ�WKH�LQWURGXFWLRQ��L�H��WR�JHQHUDWH

PDUNHWLQJ�PDQDJHPHQW� LQIRUPDWLRQ��UHIRUPXODWHG�DV��)RU�HDFK�ORJLFDO�JURXS�� O��HVWLPDWH�WKH

SDUDPHWHUV�RI��WKH�GLVWULEXWLRQ��; �EDVHG�RQ�WKH�FXUUHQW�NQRZOHGJH�RI�WKH�ORJLFDO�JURXS�DQG�RQO�

REVHUYDWLRQV�PDGH�RQ�LQGLYLGXDOV�EHORQJLQJ�WR�WKH�JURXS�

7KH�YDULDQFH�( ��RQ�VDPSOHV�IURP�D�ORJLFDO�JURXS�O�LV�JLYHQ�E\�O

ZKHUH� & LV�WKH�ZLWKLQ¤JURXS�YDULDQFH�DQGO

( LV�WKH�YDULDQFH�RQ�WKH�REVHUYDWLRQDO�HUURU��ZLWK�]HUR�PHDQ��RI�DQ�LQGLYLGXDO��L�H�

WKH�PHDVXULQJ�HUURU��

7KH�LQLWLDO�SULRU�GLVWULEXWLRQ��; ���1��P ��& ��RI�WKH�DQLPDO�JURZWK�PRGHO�LV�GHILQHG�DV�WKHO� O� O�

GLVWULEXWLRQ�SULRU�WR�DQ\�REVHUYDWLRQV�

����� %HOLHI�XSGDWLQJ�¤�WKH�.DOPDQ�ILOWHU

$�VWHDG\�'\QDPLF�/LQHDU�0RGHO��'/0��VHH�H�J��+DUULVRQ�DQG�6WHYHQV���������:HVW�DQG�+DUULVRQ�

�������DOVR�NQRZQ�DV�.DOPDQ�ILOWHULQJ��.DOPDQ��������LV�XVHG�IRU�GDWD�ILOWHULQJ�XSGDWLQJ�WKH

EHOLHIV�LQ�WKH�ORJLFDO�JURXSV�RI�WKH�KHUG�¤�WKH�EHOLHI�LQ�WKH�¦JURXS�HIIHFWV§�RI�WKH�ORJLFDO�JURXSV�

7KH�6WHDG\�'/0�LV�D�VLPSOH�SRO\QRPLDO�'/0�RI�]HUR�GHJUHHV�

ZKHUH��D��LV�WKH�REVHUYDWLRQ�HTXDWLRQ�DQG��E��WKH�V\VWHP�HTXDWLRQ���: �LV�WKH�V\VWHP�YDULDQFH��RUOW

GLVWXUEDQFH�YDULDQFH��ZKLOH�9 � LV� WKH�REVHUYDWLRQDO�YDULDQFH��RU�REVHUYDWLRQ�QRLVH���/RJLFDOOW

JURXSV�DUH�DVVXPHG�LQGHSHQGHQW�DQG�WKH\�DUH�KDQGOHG�XSGDWHG�LQGHSHQGHQWO\�

*LYHQ�DQ�LQLWLDO�SULRU�GLVWULEXWLRQ�� ���1��P ��0 ���ZKHUH�0 � �%& �DQG�%�LV�D�SUHGHILQHGO� O� O� O� O�

FRQVWDQW��RI�WKH�H[SHFWDWLRQ�RI�WKH�ORJLFDO�JURXS��O��DQG�D�VHW�RI�SULRU�LQIRUPDWLRQ�' � �^\ ��' `�OW OW OW��

ZKHUH�\ �LV�WKH�REVHUYDWLRQ�DW�WLPH��RU�XSGDWLQJ�VWHS��W�DQG�' �LV�WKH�LQLWLDO�LQIRUPDWLRQ��WKHOW O�

SRVWHULRU�GLVWULEXWLRQ�RI� WKH�SURFHVV�SDUDPHWHUV�DW�VWHS�W�� �� ' ��1�P �0 ��PD\�EH�GHULYHGOW OW OW OW

:OW 0

OW��

��� W�

W

ÅPOW��

POW

Å0OW��

0OW� :

OW��

9DU�ZOW�N

'OW� :

OW���N� :

OW��

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

/HW � �POW��

H� �\ ���ÏOW

5� �0 ���:OW�� OW

� �5���9OW

$� �5����

7KHQ P � �P ���$HOW OW��

0 � �5���$Î$OW

7

7DEOH ���� 8SGDWLQJ UHFXUUHQFH HTXDWLRQV RI WKH 6WHDG\ '/0� �+DUULVRQ 6WHYHQV� �����

UHFXUVLYHO\�XVLQJ�D�%D\HVLDQ�RU�.DOPDQ�ILOWHU�DSSURDFK��.DOPDQ��������+DUULVRQ�DQG�6WHYHQV�

������DV�GHILQHG�E\�WKH�XSGDWLQJ�UHFXUUHQFH�UHODWLRQVKLSV�LQ�WDEOH�����

,Q�WKH�PRGHO�XVHG�LQ�WKLV�SDSHU�\ �LV�WKH�¦XQELDVHG�FRPSOHWH§�VDPSOH�PHDQ�RI�WKH�Q �LQGLYLGXDOVOW OW

REVHUYHG�DW�WLPH�RU�XSGDWLQJ�VWHS�W�ZKLOH�9 �LV�WKH�YDULDQFH�RQ�WKH�REVHUYDWLRQDO�HUURU�RQ�WKLVOW

VDPSOH�PHDQ��+RZ�WR�HOLPLQDWH�ELDV�DQG�DXJPHQW�GDWD��L�H��JHQHUDWH�PLVVLQJ�GDWD��LQ�RUGHU�WR

DVVHVV�\ �DQG�9 �EDVHG�RQ�DFWXDO�GDWD�LV�GLVFXVVHG�EHORZ�LQ�WKH�VHFWLRQ��%LDV�UHGXFWLRQ��,W�VKRXOGOW OW

EH�QRWHG�WKDW�LQ�PDQ\�SUDFWLFDO�DSSOLFDWLRQV�RI�WKH�.DOPDQ�ILOWHU��9 ��DQG�: ��DUH�QRW�HVWLPDWHGOW OW

EDVHG�RQ�HPSLULFDO�GDWD��EXW�VHW�H[SOLFLWO\�E\�WKH�PRGHO�XVHU�EDVHG�RQ�PRGHO�H[SHULPHQWV�DQG�WKH

LQWHQGHG�XVH�RI�WKH�PRGHO��:HVW��+DUULVRQ��������

7KH�.DOPDQ�ILOWHU�LV�XVHG�WR�G\QDPLFDOO\�XSGDWH�WKH�EHOLHI�LQ�WKH�H[SHFWDWLRQV��ZKLOH�RWKHU��DQG

PRUH�VLPSOH��PHWKRGV�DUH�DSSOLHG�LQ�RUGHU�WR�HVWLPDWH�XSGDWH�WKH�EHOLHI�LQ�WKH�YDULDQFHV��L�H�

HVWLPDWHV�RI��& �LQ�WKH�DQLPDO�PRGHO��O

,Q�WKLV�SUHVHQWDWLRQ�D�FRQVWDQW�GHFD\�RI�LQIRUPDWLRQ�LV�DVVXPHG�DQG�PRGHOHG�DV��

ZKHUH� �LV�WKH�YDULDQFH�GLVFRXQW�IDFWRU���� �����$�ODUJH�YDOXH��H�J�������RI� �ZLOO�OHDG�WR�D�OLWWOHW W W

V\VWHP�YDULDQFH��: �DQG�OLWWOH�DGDSWLRQ�WR�REVHUYDWLRQV��ZKLOH�D�VPDOO�YDOXH��H�J���������ZLOO�OHDGW

WR�D�ODUJH�V\VWHP�YDULDQFH�DQG�KHQFH�UDSLG�DGDSWLRQ�WR�QHZ�REVHUYDWLRQV�

0HDQ�DQG�YDULDQFH�RQ�WKH�RQH¤VWHS�DKHDG�SURFHVV�SDUDPHWHU�IRUHFDVW�LV�JLYHQ�E\�

$V�VXJJHVWHG�E\�:HVW�DQG�+DUULVRQ��������WKLV���VWHS¤DKHDG�HVWLPDWH�FDQ�EH�XVHG�IRU�VLPSOH

H[WUDSRODWLRQ�LQWR�WKH�IXWXUH��GHWHUPLQLQJ�D�FRQVWDQW�VWHS¤DKHDG�HYROXWLRQ�YDULDQFH�PDWUL[�

Å0OW�N

0OW� N:

OW��

Å\OW�N

ÅPOW�N

Å<OW�N

Å0OW�N

� 9ON

��� 0RGHOV�DQG�PHWKRGV ��

LPSO\LQJ�WKDW��

0HDQ�DQG�YDULDQFH�RI�WKH�N�VWHS¤DKHDG�REVHUYDWLRQ�IRUHFDVW�DUH�JLYHQ�E\�

������� 0RGHO�LQWHUYHQWLRQ

([WHUQDO� LQIRUPDWLRQ�RU�REVHUYDWLRQ�RQ�RWKHU� WUDLWV�YDULDEOHV� WKDQ�WKRVH�UHSUHVHQWHG�LQ� WKH

PRGHO� FDQ� �SULRU� WR� DFWXDOO\� REVHUYLQJ� FKDQJHV� LQ� WKH� WUDLWV�PRGHOHG�� FDXVH� FKDQJHV� LQ� WKH

PDQDJHUV�EHOLHI�LQ�WKH�¦VWDWH�RI�WKH�KHUG§��7KHVH�FKDQJHV�DUH�LQ�WKH�PRGHO�KDQGOHG�VLPSO\�E\

FKDQJLQJ�WKH�SULRU�GLVWULEXWLRQV��7KH�PHDQ�P �LV�FKDQJHG�DFFRUGLQJ�WR�WKH�QHZ�H[SHFWDWLRQV��LIOW

DQ\���ZKLOH�WKH�FRYDULDQFH�0 �LV�FKDQJHG�DFFRUGLQJ�WR�WKH�XQFHUWDLQW\�RI�WKH�EHOLHI�DQG�RU�WKHOW

GHVLUHG�DGDSWLRQ�UDWH�WR�QHZ�REVHUYDWLRQ�¤�D�ODUJHU��FR�YDULDQFH�LPSOLHV�D�TXLFNHU�DGDSWLRQ�WR�QHZ

REVHUYDWLRQ�

����� %LDV�UHGXFWLRQ

)RU� HDFK� RI� WKH� WZR� DJJUHJDWLRQ� OHYHO� RI� REVHUYDWLRQV� GLIIHUHQW� ELDV� UHGXFWLRQ�PHWKRGV� DUH

DSSOLHG�

¤ 7UXQFDWHG�PHDQ�WUDQVIRUPDWLRQ��ZKLFK�DSSO\�LQ�WKH�VLWXDWLRQ�RI�DJJUHJDWH�GDWD��L�H��VDPSOH

PHDQV��DQG

¤ 'DWD�DXJPHQWDWLRQ��ZKLFK�DSSO\�LQ�WKH�VLWXDWLRQ�RI�REVHUYDWLRQV�RQ�LQGLYLGXDOV�

������� $JJUHJDWH�GDWD�¤�WUXQFDWHG�PHDQ�WUDQVIRUPDWLRQ��707

7KH�KLJKO\�ELDVHG�DJJUHJDWH�REVHUYDWLRQV��H�J��WKH�PHDQV�LQ�WDEOH������PDGH�LQ�WKH�ILQLVKLQJ

RSHUDWLRQ�DUH�LQ�JHQHUDO�GLIILFXOW�WR�XWLOL]H�LQ�HVWLPDWLQJ�WKH�¦VWDWH�RI�WKH�KHUG§��,Q�PRVW�VLWXDWLRQV

WKH�PDQDJHU�ZLOO�WU\�WR�PDUNHW�DV�PDQ\�SLJV�DV�SRVVLEOH�ZLWKLQ�D�QDUURZ�WDUJHW�LQWHUYDO��LPSO\LQJ

WKDW�WKH�PHDQ�RQ�VHOHFWHG�SLJV�ZLOO�EH�TXLWH�XQDIIHFWHG�E\�WKH�DFWXDO�¦VWDWH�RI�WKH�KHUG§��+RZHYHU�

WKH� DFWXDO� QXPEHU� RI� VHOHFWHG� DQG� PDUNHWHG� SLJV� FDQ� UHYHDO� YDOXDEOH� LQIRUPDWLRQ�� ZKLFK

FRPELQHG�ZLWK�NQRZOHGJH�RI�WKH�VHOHFWLRQ�FULWHULRQ�DQG�DVVXPSWLRQV�FRQFHUQLQJ�YDULDQFHV�DQG

FRUUHODWLRQV�FDQ�EH�XWLOL]HG��3LJV�DUH�LQ�WKH�IROORZLQJ�DVVXPHG�VHOHFWHG�EDVHG�RQ�D�WKUHVKROG

ZHLJKW�7 �RQ�WUDLW�;�DW�WKH�SUHYLRXV�VWDJH�DQG�EDVHG�RQ�D�WKUHVKROG�ZHLJKW�7 �RQ�WUDLW�<��VDPH�WUDLW; <

DV�;��EXW�DW�WKH�VXFFHHGLQJ�VWDJH��DW�WKH�FXUUHQW�VWDJH��1HLWKHU�;�QRU�<�DUH�QHFHVVDULO\�UHJLVWHUHG�

7KH�H[SHFWDWLRQ�RI�D�FRUUHODWHG�DQG�REVHUYHG�WUDLW�=��ZKLFK��ZKHQ�REVHUYLQJ�<�FDQ�EH�WKH�VDPH

WUDLW�DV�<��LV�DSSUR[LPDWHG�EDVHG�RQ�WKH�FRUUHODWLRQV�EHWZHHQ�=�DQG�;��' ��DQG�EHWZHHQ�=�DQG=;

<��' ���6RPH�H[SHULPHQWDWLRQ�KDV�UHVXOWHG�LQ�WKH�IROORZLQJ�DSSUR[LPDWH�UHODWLRQVKLS�=<

(�= <!7<Y ;�7

;� �

'=<'

=;(�= 7

��=�7

�� � '

=<���'

=;�(�= =!7

��

� ���'=<� ���'

=;�(�=� � ���'

=<�'

=;(�= =�7

��

\OW (�;

OW \©

OW� (

OW�

9OW 9�;

OW \©

OW� (

OW�

(LMOW

(LMO

�QLOW#Q

MOW�� L� M����0

W

FRUU �=�;� ����

6DPSOH VL]H �������

����

����

����

����

����

����

��

���� ���� ���� �

FRUU �=�<�

:HLJKW�NJ�

(�=_<!7B<� ;�7B;�� (VWLPDWHG

(�=_<!7B<� ;�7B;�� $SSUR[LPDWHG

\OW

\©OW

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

�����

�����

)LJXUH ���� &RPSDULVRQ RI HVWLPDWHG �WUXH� FRQGLWLRQDO PHDQV DQG PHDQV DSSUR[LPDWHG E\ WKH ¦WUXQFDWHG

PHDQ WUDQVIRUPDWLRQ PHWKRG§ EDVHG RQ DJJUHJDWH GDWD�

ZKHUH ) ��7 �� �) ��7 ���) ��7 �� �) ��7 ��DQG�)�LV�WKH�GHQVLW\�PDVV�IXQFWLRQ�= � ; ; = � < <

(��=��LV�WKHQ�IRXQG�LWHUDWLYHO\�E\�FRPSDULQJ�WKH�DSSUR[LPDWHG�YDOXH�IURP�������DQG�WKH�DFWXDO

REVHUYHG�YDOXH�

$W�WKH�ILUVW�VWDJH�WKHUH�ZLOO�EH�QR�VHOHFWLRQ�SULRU�WR�FXUUHQW�VWDJH�DQG�DW�WKH�ODVW�PDUNHWLQJ�VWDJH

QR�SLJV�ZLOO�EH�VHOHFWHG�DW�FXUUHQW�VWDJH��,Q�WKRVH�VSHFLDO�FDVHV�������LV�VLPSO\�UHGXFHG�WR�QRW

LQFOXGH�DQ\�HOHPHQWV�FRQWDLQLQJ�;�DQG�<�UHVSHFWLYHO\�

1RZ�OHW� UHSUHVHQW�WKH�YHFWRU�RI�WKH�0 ©�REVHUYHG�WUDLWV�DW�WLPH�W��L�H��0 ©���1#=��DQG�OHW�W W

UHSUHVHQW�WKH�FRUUHVSRQGLQJ�XQELDVHG�REVHUYDWLRQV��L�H��������DSSOLHG�LQGLYLGXDOO\�WR�HDFK�WUDLW��

7KHQ�\ �DQG�9 �LQ�������DUH�JLYHQ�E\�WKH�FRQGLWLRQDO��L�H���������OW OW

ZKHUH (��; �� �P �OW OW¤�

9��; �� �& ��WKH��FR�YDULDQFH�RI�WKH�LQLWLDO�SULRU�OW O�

r �DUH�WKH�HOHPHQWV�RI�r ��WKH�YDULDQFH�RQ�WKH�REVHUYHG�PHDQV�LMOW OW

( �DUH�WKH�HOHPHQWV�RI�( �LQ�������DQG�LMO O

Q ��Q �DUH�WKH�QXPEHU�RI�REVHUYDWLRQV�RQ�WUDLW�L�DQG�M�UHVSHFWLYHO\�LOW MOW

,Q�ILJ������DSSUR[LPDWHG�YDOXHV��L�H��IURP��������KDYH�EHHQ�FRPSDUHG�ZLWK�HVWLPDWHG��WUXH�

;L©�N� ;©�N��� \

LOW� J

O� L����Q

OW

�[L]! � I

;L©�N��[

L� � ]����= �N�

��� 0RGHOV�DQG�PHWKRGV ��

�����

YDOXHV� IRU� GLIIHUHQW� YDOXHV� RI� WKH� XQNQRZQ� FRUUHODWLRQ� EHWZHHQ�=� DQG� <� DQG� ZLWK� SHUIHFW

LQIRUPDWLRQ�RQ�DOO�RWKHU�PRGHO�SDUDPHWHUV�H[FHSW�PHDQV��SDUDPHWHUV�IURP�¦WKH�SHUIHFW�LQLWLDO

JXHVV§�DQG�ZLWK�;� �: ��<� �: �DQG��=� �&: �DV�GHILQHG�LQ�$SSHQGL[���$��L�H��0� ����1� �����$V� � �

GHPRQVWUDWHG�LQ�ILJ�������QRW�DOO�ELDV�KDV�EHHQ�HOLPLQDWHG��EXW�IRU�' ���' ���ZKLFK�VKRXOG�EH=; =<

H[SHFWHG�LQ�PRVW�VLWXDWLRQV��WKH�PHWKRG�DSSHDUV�WR�EH�TXLWH�SUHFLVH��7KH�SUHGLFWLQJ�FDSDELOLWLHV�

WKH� SUHFLVLRQ� RI� WKH� PHWKRG� DQG� WKH� VHQVLWLYLW\� WR� HUURUV� LQ� DVVXPSWLRQV� �YDULDQFHV� DQG

FRUUHODWLRQV��ZLOO�EH�H[DPLQHG�LQ�PRUH�GHWDLOV�LQ�WKH�UHVXOWV�VHFWLRQ�

7KH�¦WUXQFDWHG�PHDQ�WUDQVIRUPDWLRQ§�XSGDWLQJ�PHWKRG�LV�VXPPDUL]HG�DV�IROORZV��$IWHU�HDFK

PDUNHWLQJ��L�H��DW�HDFK�XSGDWLQJ�VWHS�RI�WKH�.DOPDQ�ILOWHU��H�J��RQFH�D�ZHHN���FDOFXODWH�IRU�HDFK

ORJLFDO�JURXS�WKH�XQELDVHG�PHDQV�RI�WKH�WUDLWV�RI�WKH�PDUNHWHG�SLJV��EDVHG�RQ�WKH�REVHUYHG�ELDVHG

PHDQV�DQG�E\�DSSO\LQJ�������LWHUDWLYHO\��7KHVH�XQELDVHG�PHDQV�DUH�FDOFXODWHG�IRU�HDFK�PDUNHWLQJ

VWDJH�VHSDUDWHO\�EDVHG�RQ�DOO�SLJV��EHORQJLQJ�WR�WKDW�ORJLFDO�JURXS��PDUNHWHG�DW�WKDW�VWDJH��7KH

¦XQELDVHG�H[SHFWHG�REVHUYHG�PHDQ§��L�H��RI�DOO�YDULDEOHV�¤�REVHUYHG�DV�ZHOO�DV�QRW�REVHUYHG��DQG

WKH�FRUUHVSRQGLQJ�YDULDQFH�WR�EH�XVHG�LQ�WKH�.DOPDQ�ILOWHU�������DUH�WKHQ�JLYHQ�E\�WKH�FRQGLWLRQDO

������

������� ,QGLYLGXDO�GDWD�¤�WKH�EDVLF�(0�DOJRULWKP��(0�

7KH�(0�DOJRULWKP�LV�D�PHWKRG�IRU�HVWLPDWLQJ�PRGHO�SDUDPHWHUV�IURP�LQFRPSOHWH�REVHUYDWLRQV

�VHH�H�J��'HPSVWHU�HW�DO��������/LWWOH��5XELQ��������7DQQHU���������7KH�EDVLF�LGHD�RI�WKH�PHWKRG

LV�WR�DXJPHQW�WKH�GDWD�E\�JHQHUDWLQJ�WKH�PLVVLQJ��QRW�REVHUYHG��GDWD�EDVHG�RQ�WKH�FXUUHQW�¦JXHVV§

RQ�WKH�YDOXH�RI�WKH�PRGHO�SDUDPHWHUV�DQG�WKH�REVHUYHG�GDWD��L�H��WKH�H[SHFWDWLRQV�RI�PLVVLQJ�GDWD

JLYHQ� WKH� REVHUYHG� GDWD� DQG� WKH� FXUUHQW� JXHVV� RI� PRGHO� SDUDPHWHUV� ¤� WKH� (¤VWHS��� 0RGHO

SDUDPHWHU�HVWLPDWHV�DUH�WKHQ��UH�FDOFXODWHG��SDUDPHWHU�OLNHOLKRRG�PD[LPL]DWLRQ�¤�WKH�0¤VWHS�

EDVHG�RQ�WKLV�¦FRPSOHWH§�GDWD�VHW�DQG�WKH�WZR�VWHSV�DUH�UHSHDWHG�XQWLO�FRQYHUJHQFH��,Q�WKH�PHWKRG

LPSOHPHQWHG�KHUH�WKH�(¤VWHS�KDV�EHHQ�H[WHQGHG�ZLWK�0RQWH�&DUOR�VLPXODWLRQV�LQ�RUGHU�WR�LQFOXGH

FRQGLWLRQDO�YDULDQFHV�DQG�DYRLG�QXPHULFDO�LQVWDELOLW\�ZKHQ�FDOFXODWLQJ�0D[LPXP�/LNHOLKRRG

HVWLPDWHV��VHH�EHORZ��

7KH�(0�DOJRULWKP�ZLWK�VLPXODWLRQV�LV�DSSOLHG�DV�IROORZV�

)RU�HDFK�WHUPLQDWHG�EDWFK�DQG�HDFK�ORJLFDO�JURXS��O�FDOFXODWH�WKH�REVHUYHG�PHDQ��\ �DQG�WKHOW

YDULDQFH�RQ�WKH�PHDQ�9 �DV�IROORZV�OW

D� 7KH�(¤VWHS�

)RU�HDFK�LQGLYLGXDO�� L��FDOFXODWH� WKH�FRQGLWLRQDO�GLVWULEXWLRQ�������RI� WUDLWV��; © �DW� WKH�NWKL

�N�

LWHUDWLRQ�JLYHQ�WKH�REVHUYDWLRQV��\ ��WKH�REVHUYDWLRQDO�HUURUV��J �DQG�WKH�SULRU��;© �LOW OW

�N���

DQG�JHQHUDWH�= �LQGHSHQGHQW�DQG�LGHQWLFDOO\�GLVWULEXWHG�VDPSOHV�IURP�WKDW�FRQGLWLRQDO��N�

E� 7KH�0¤VWHS�

7KH�PHDQ�DQG�FRYDULDQFH�RI�WKH�SRVWHULRU��;© � �;© [ ��L� ����Q ��]� �����= ��DUH�WKHQ�N� �N��� �N�L] OW

P©�N� 6�N�Q �N�

&©�N� �0�N��6�N�#6�N� 7Q �N��Q �N�

Q �N� Q

OW#= �N�

0�N� M

QOW

L�M=

�N�

]�

[L]#[

7

L]

6�N� M

QOW

L�M=

�N�

]�

[L]

9�;©���� �

WMW��

V�

&©�.

V��ZKHUH &©

�.��

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

�����

JLYHQ�E\�WKH�0D[LPXP�/LNHOLKRRG��0/��HVWLPDWHV�P© �DQG�&© ��N� �N�

ZKHUH�

6WHS�D��DQG�E��DUH�UHSHDWHG�ZLWK�;© �DV�WKH�QHZ�SULRU�DQG�N� �N�����XQWLO��P© ��P© � ������N� �N� �N����

ZKHUH���LV�D�SUHGHILQHG�ORZHU�VFDODU�OLPLW��7KH�¦REVHUYHG�XQELDVHG�PHDQ§��\ �ZKLFK�LV�XVHG�LQOW

WKH�.DOPDQ�)LOWHU�������LV�WKHQ�JLYHQ�E\�P© �DQG�WKH�YDULDQFH�RQ�WKH�PHDQ��9 ��E\�&© Q ��ZKHUH�.� �.�OW OW

.�LV�WKH�ODVW�LWHUDWLRQ�VWHS��,Q�WKH�ILUVW�LWHUDWLRQ��L�H��N� ����WKH�H[SHFWDWLRQ�RI�WKH�LQLWLDO�JXHVV�;©���

LV�JLYHQ�E\�WKH�FXUUHQW�EHOLHI�LQ�WKH�SDUDPHWHUV��(��;© �� �(��� ��DQG�WKH�YDULDQFH�E\�WKH�DYHUDJH���OW¤�

RI� WKH� SUHYLRXVO\� (0¤HVWLPDWHG� YDULDQFHV� � �& �� WKHO�

YDULDQFH�RI�WKH�LQLWLDO�JXHVV��; ���O�

7KH�SUHFLVLRQ�RI�WKH�FDOFXODWLRQV�ZLOO�GHSHQG�RQ�WKH�QXPEHU�RI�VDPSOHV�LQ�WKH�VLPXODWLRQV��= ��N�

DQG�LW�PD\�EH�EHQHILFLDO�WR�UDLVH�WKLV�QXPEHU�ZLWK�WKH�LWHUDWLRQ�QXPEHU��N��VR�WKDW�WKH�SUHFLVLRQ

ZLOO�LQFUHDVH�DV�WKH�SDUDPHWHU�YDOXHV�FRQYHUJH�

7KH�(0��DOJRULWKP�LV�VXPPDUL]HG�DV�IROORZV��

¤ &ROOHFW� DOO� GDWD� RQ� DOO� SLJV� LQ� DOO� EDWFKHV� WHUPLQDWHG� DW� WKH� FXUUHQW� XSGDWLQJ� VWHS��1R

FDOFXODWLRQV�XSGDWHV�ZLOO�EH�SHUIRUPHG�LI�QR�EDWFKHV�DUH�WHUPLQDWHG�

¤ )RU� HDFK� ORJLFDO� JURXS� HVWLPDWH� WKH� ¦XQELDVHG� REVHUYHG� PHDQ§� E\� DSSO\LQJ� WKH� (0

DOJRULWKP�

¤ )RU�HDFK�ORJLFDO�JURXS�XSGDWH�WKH�EHOLHI�LQ�H[SHFWDWLRQ�E\�DSSO\LQJ�WKH�.DOPDQ�ILOWHU�

: �� OLYH ZHLJKW DW VWDJH �

��

����

��

����

��

����

��

����

��

� �� �� �� �� �� �� �� �� �� ���

,WHUDWLRQ �

:HLJKW�NJ�

:DQG &:REVHUYHG RQFH : REVHUYHG WZLFH $OO : REVHUYHG

$OO : REVHUYHG� EDG SULRU 2EVHUYHG PHDQ� SHUI� LQIR�

��� 0RGHOV�DQG�PHWKRGV ��

)LJXUH ���� &RQYHUJHQFH RI WKH (0 DOJRULWKP� JLYHQ GLIIHUHQW OHYHOV RI LQIRUPDWLRQ� 5HVXOWV IRU WKH �VW EDWFK

��� SLJV��

6RPH�EDVLF�UHVXOWV�IURP�DSSO\LQJ�WKH�PHWKRG�WR�D�VLPXODWHG�GDWD�VHW�DUH�VKRZQ�LQ�ILJ�������7KH

VLPXODWLRQ�VHWWLQJV�DQG�WKH�GDWD�VHW�XVHG�DUH�GHVFULEHG�LQ�GHWDLOV�EHORZ�LQ�WKH�PRGHO�WHVWLQJ�DQG

UHVXOWV�VHFWLRQV��EXW�LW�VKRXOG�EH�QRWHG�WKDW�EDWFKHV�FRQWDLQ�DQ�DYHUDJH�RI�DSSUR[LPDWHO\������SLJV

DQG�WKDW�SLJV�DUH�VHOHFWHG��DV�GHPRQVWUDWHG�LQ�WDEOH�����DERYH��DW�D�OLYH�ZHLJKW�RI����NJ�DQG�RYHU

��ZHHNV���VWDJHV�DV�LOOXVWUDWHG�LQ�ILJ����������0RQWH�&DUOR�VLPXODWLRQ�KDV�EHHQ�DSSOLHG�LQ�RUGHU�WR

JHQHUDWH�DSSUR[LPDWHO\�����VDPSOHV�SHU�SLJ�SHU�LWHUDWLRQ��5HVXOWV��OLYH�ZHLJKW�DW�VWDJH����: ��RI�

���LWHUDWLRQV�DUH�VKRZQ�IRU�WKH�ILUVW�EDWFK�JLYHQ���GLIIHUHQW�OHYHOV�RI�LQIRUPDWLRQ���L��/LYH�ZHLJKW

�:��DQG�FDUFDVV�ZHLJKW��&:��REVHUYHG�RQO\�RQFH��L�H��RQO\�����RI�WKH�YDULDEOHV�DUH�REVHUYHG�RQ

HDFK�LQGLYLGXDO���¤�DW�VODXJKWHU�¤�DQG�SHUIHFW�LQLWLDO�JXHVV��VHH�WKH�PRGHOV�DQG�PHWKRGV�WHVWLQJ

VHFWLRQ�EHORZ�DQG�$SSHQGL[���$����LL��$V��L���EXW�LQ�DGGLWLRQ�:�DOVR�REVHUYHG�DW�VWDJH����L�H��LQ

DYHUDJH�OHVV�WKDQ�����RI�WKH�YDULDEOHV�REVHUYHG����LLL��$V��L��EXW�LQ�DGGLWLRQ�:�REVHUYHG�DW�DOO

VWDJHV�SULRU�WR�PDUNHWLQJ��L�H��DSSUR[LPDWHO\�����RI�WKH�YDULDEOHV�REVHUYHG����LY��$V��LLL���EXW�D

SRRU�LQLWLDO�JXHVV��; ���H[SHFWDWLRQV��FRUUHODWLRQV�DQG�9��:��KDYH�EHHQ�UHGXFHG�E\�����ZKLOH�9�

�&:�� KDV� EHHQ� LQFUHDVHG� E\� ������ �Y�� ¦SHUIHFW� LQIRUPDWLRQ§� �VHH� WKH�PRGHO� WHVWLQJ� VHFWLRQ

EHORZ���ZKLFK�PLJKW�EH�XVHG�DV�D�UHIHUHQFH�SRLQW��7KH�REVHUYDWLRQV�DUH�GXH�WR�VHOHFWLRQ�KLJKO\

ELDVHG�DQG�DV�VKRZQ�LQ�WKH�ILJ������WKH�YDOXH�RI�: �FRQYHUJHV�WRZDUGV�D�YDOXH�FORVH�WR�WKH�WUXH�

PHDQ��FDVH��Y���RQO\�LQ�WKH�VLWXDWLRQV�RI�KLJK�OHYHOV�RI�LQIRUPDWLRQ��FDVH��LLL��DQG��LY����,W�VKRXOG

EH�QRWHG�WKDW�WKLV�YHU\�UDSLG�DQG�SUHFLVH�FRQYHUJHQFH�GRHV�QRW�DSSO\�WR�DOO�YDULDEOHV��H�J��WKH�OLYH

ZHLJKW�DW�VWDJH���FRQYHUJHV�WR�D�VWDWLRQDU\�YDOXH��ZKLFK�GLIIHUV�IURP�WKH�WUXH�YDOXH�E\�������NJ�

DIWHU�PRUH�WKDQ����LWHUDWLRQV�

,Q� WKH� FDVHV�RI� VPDOO� OHYHOV�RI� LQIRUPDWLRQ� �FDVH� �L�� DQG� �LL��� WKH� VWDWLRQDU\�YDOXHV�RI� WKH

HVWLPDWHV��DIWHU����LWHUDWLRQV��DUH�KLJKO\�ELDVHG�DQG�IDU�IURP�WKH�PHDQ�JLYHQ�SHUIHFW�LQIRUPDWLRQ�

7ZR�GLIIHUHQW�DSSURDFKHV�EDVHG�RQ�GLIIHUHQW�DVVXPSWLRQV�KDYH�EHHQ�DSSOLHG�LQ�RUGHU�WR�UHGXFH

WKLV�ELDV�

¤ 6HOHFWLRQ�FULWHULRQ�DVVXPHG�NQRZQ�

¤ 6KDSH�RI�JURZWK�IXQFWLRQ�DVVXPHG�NQRZQ�

7KHVH�WZR�DSSURDFKHV�DUH�SUHVHQWHG�EHORZ�

/Q�[�

�+Q�[� Y /

Q���[�� Q��

758(� Q�-Q�[� +

Q�[� � /

Q���[�

+Q�[�

�ZQ! Z ��� Q����1��

758(� Q1

�[L]! � I

;L©�N��[

L -

Q�[

L�� � ]����= �N�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

�����

������� 6HOHFWLRQ�FULWHULD�NQRZQ�¤�WKH�(0��DOJRULWKP�

$V�GLVFXVVHG�LQ�WKH�LQWURGXFWLRQ��PHWKRGV�H[LVW�IRU�WKH�VSHFLDO�FDVHV�LQ�ZKLFK�GDWD�DUH�PLVVLQJ

EHFDXVH�RI�JURXSLQJ�FHQVRULQJ�VHOHFWLRQ�RI�LQGLYLGXDOV�GDWD��,Q�WKH�IROORZLQJ�LW�LV�DVVXPHG�WKDW

SLJV� DUH� VHOHFWHG� EDVHG� RQ� OLYH� ZHLJKW� �L�H�� WKH\� DUH� VHOHFWHG� LI� WKH� OLYH� ZHLJKW� H[FHHGV� D

SUHGHILQHG� WKUHVKROG� ZHLJKW�� DQG� DQ� H[WHQVLRQ� RI� WKH� (0�� DOJRULWKP� DV� GHILQHG� DERYH� LV

LQWURGXFHG�LQ�RUGHU�WR�XWLOL]H�WKLV�DVVXPSWLRQ�ZKLFK�FDQ�EH�UHJDUGHG�DV�DGGLWLRQDO�LQIRUPDWLRQ�

$VVXPLQJ�WKDW�WKH�VHOHFWLRQ�FULWHULRQ�LV�EDVHG�VROHO\�RQ�REVHUYDEOH�WUDLWV�ZKLFK�DUH�UHSUHVHQWHG

LQ�WKH�PRGHO��WKH�FULWHULRQ�FDQ�EH�PRGHOHG�E\�D�VHW�RI�WUXWK�YDOXHG��L�H��%RROHDQ��IXQFWLRQV�ZLWK

WKH�WUDLWV��[��DV�DUJXPHQW�

ZKHUH / LV�D�WUXWK�YDOXHG�IXQFWLRQ�UHWXUQLQJ�758(�LI�D�SLJ�ZLWK�REVHUYHG�WUDLWV�[�KDV�QRWQ

EHHQ�VHOHFWHG�DW�VWDJH�Q�RU�D�SUHYLRXV�VWDJH�DQG�RWKHUZLVH�)$/6(�

+ LV� D� WUXWK� YDOXHG� IXQFWLRQ� UHWXUQLQJ�758(� LI� D� SLJ� ZLWK� REVHUYHG� WUDLWV� [Q

VDWLVILHV�WKH�VHOHFWLRQ�FULWHULRQ�DW�VWDJH�Q�DQG�RWKHUZLVH�)$/6(�DQG

- LV�D� WUXWK�YDOXHG�IXQFWLRQ�UHWXUQLQJ�758(� LI�D�SLJ�ZLWK�REVHUYHG�WUDLWV�[� LVQ

VHOHFWHG� DW� VWDJH� Q� DQG� LW� KDV� QRW� SUHYLRXVO\� EHHQ� VHOHFWHG� DQG� RWKHUZLVH

)$/6(�

,Q�WKH�FDVH�RI�VHOHFWLRQ�EDVHG�RQ�REVHUYHG�OLYH�ZHLJKW��: ��WKH�IXQFWLRQ�+ �LV�GHILQHG�E\�Q Q

ZKHUH Z LV�WKH�REVHUYHG�OLYH�ZHLJKW��L�H��DQ�HOHPHQW�RI�WKH�FRPSOHWH�REVHUYDEOH�YHFWRUQ

[��DQG

Z LV�D�JLYHQ�WKUHVKROG�ZHLJKW��VDPH�DW�DOO�VWDJHV�DQG�H[SOLFLWO\�JLYHQ��

7KH�GLVWULEXWLRQ�LQ�������LQ�WKH�(¤VWHS�RI�WKH�(0��DOJRULWKP�LV�FRQGLWLRQHG�RQ�WKH�VHOHFWLRQ

FULWHULRQ�DQG�LW�LV�UHGHILQHG�DV�

ZKHUH Q�LV�WKH�DFWXDO�PDUNHWLQJ�VWDJH�RI�WKH�LQGLYLGXDO��L�

: �� OLYH ZHLJKW DW VWDJH �

��

��

��

��

��

���

���

���

� �� �� �� �� ��� ��� ���

,WHUDWLRQ �

:HLJKW�NJ�

2EVHUYHG PHDQ� SHUI� LQIR� : DQG &:REVHUYHG RQFH� WKUHVKROG XQNQRZQ

: DQG &:REVHUYHG RQFH� WKUHVKROG NQRZQ : DQG &:REVHUYHG RQFH� WK� NQRZQ� SHUI� SULRU

��� 0RGHOV�DQG�PHWKRGV ��

)LJXUH ���� &RQYHUJHQFH RI WKH (0 DOJRULWKP� ZLWK DQG ZLWKRXW WKH DVVXPSWLRQ WKDW WKH VHOHFWLRQ FULWHULRQ

LV NQRZQ DQG JLYHQ GLIIHUHQW LQLWLDO JXHVVHV� 5HVXOWV RI WKH �VW EDWFK ��� SLJV��

,Q�FRQWUDU\�WR�WKH�VDPSOHV�LQ��������DOO�VDPSOHV�LQ�������VDWLVI\�WKH�VHOHFWLRQ�FULWHULRQ�DQG�WKH�0/

HVWLPDWHV�JLYHQ�E\�������DUH�FRQVHTXHQWO\�FRQGLWLRQHG�RQ�WKH�DFWXDO�REVHUYDWLRQV�DV�ZHOO�DV�WKH

VHOHFWLRQ�FULWHULRQ��,W�VKRXOG�EH�QRWHG�WKDW�LQ�VRPH�UDUH�FDVHV��L�H��ZKHQ�WKH�LQLWLDO�JXHVV�RQ�WKH

GLVWULEXWLRQ�LV�YHU\�GLYHUJHQW�IURP�WKH�WUXH�XQGHUO\LQJ�GLVWULEXWLRQ��LW�PLJKW��IURP�D�QXPHULFDO

SRLQW�RI�YLHZ��EH�GLIILFXOW�RU�HYHQ�LPSRVVLEOH�WR�VDPSOH�IURP�WKH�GLVWULEXWLRQ�JLYHQ�E\��������,Q

WKRVH�FDVHV�������LV�DSSOLHG�LQ�WKH�LWHUDWLRQV�XQWLO�VDPSOLQJ�IURP�WKH�FRQGLWLRQDO�GLVWULEXWLRQ������

LV�SRVVLEOH�

%DVLF�UHVXOWV�RI�WKLV�UHYLVHG�(0�DOJRULWKP��WKH�(0��DOJRULWKP��DSSOLHG�WR�WKH�VDPH�GDWD�VHW

DQG�FRQGLWLRQV��L�H��LQLWLDO�JXHVVHV��DV�LQ�ILJ������DUH�VKRZQ�LQ�ILJ�������7KH�FRQGLWLRQDO�VDPSOLQJ

�ZLWK�SHUIHFW�LQLWLDO�JXHVV��UHGXFHV�WKH�HUURU��L�H��WKH�GLIIHUHQFH�EHWZHHQ�WKH�WUXH�REVHUYHG�PHDQ

ZLWK�SHUIHFW�LQIRUPDWLRQ�DQG�WKH�HVWLPDWHG�PHDQ��RQ�WKH�HVWLPDWHV�LQ�WKH�ILJXUH�IURP�������WR

�����NJ�DQG�WKH�HUURUV�RQ�WKH�RWKHU���YDULDEOHV�DUH�HYHQ�ORZHU�������NJ�LQ�DYHUDJH���,Q�WKH�VLWXDWLRQ

RI� D� ¦SRRU� LQLWLDO� JXHVV§� �DV� GHILQHG� LQ� WKH� (0�� DOJRULWKP� DERYH�� WKH� FRQYHUJHQFH� RI� WKH

DOJRULWKP�LV�ZRUVH�¤�WKH�FRQYHUJHQFH�LV�VORZHU�DQG�WKH�VWDWLRQDU\�YDOXHV�RQ�WKH�RWKHU�YDULDEOHV

WKDQ�: � DUH�PRUH�GLYHUJHQW� IURP� WKH� WUXH�YDOXHV��7KH�SHUIRUPDQFH�RI� WKH�DOJRULWKP�ZLOO�EH�

H[DPLQHG�LQ�PRUH�GHWDLOV�LQ�WKH�UHVXOWV�VHFWLRQ�EHORZ�

������� 6KDSH�RI�JURZWK�IXQFWLRQ�NQRZQ�¤�WKH�(0��DOJRULWKP

6WXGLHV�RI�WKH�JURZWK�RI�SLJV���VHH�WKH�LQWURGXFWLRQ�IRU�UHIHUHQFHV��KDYH�VKRZQ�WKDW�JURZWK�RI�SLJV

JHQHUDOO\�IROORZ�FRPPRQO\�VKDSHG�JURZWK�FXUYHV�DQG�WKDW�WKH�UHODWLRQ�EHWZHHQ�WUDLWV��H�J��OLYH

ZHLJKWV�DQG�FDUFDVV�ZHLJKWV��DQG�RYHU�WLPH��H�J��OLYH�ZHLJKW�IURP�ZHHN�WR�ZHHN���EHFDXVH�RI�WKH

XQGHUO\LQJ�ELRORJLFDO�KRPRJHQHLW\��GRHV�QRW�GLIIHU�PXFK�EHWZHHQ�FRPSDUDEOH��PRGHUQ�VODXJKWHU

SLJ�ILQLVKLQJ�RSHUDWLRQV��7KLV�LPSOLHV�WKDW�SULRU�WR�REVHUYLQJ�DQ\�RI�WKH�SLJV�LQ�D�JLYHQ�RSHUDWLRQ

WKH�PDQDJHU�ZLOO�KDYH�D�YHU\�JRRG��L�H��FORVH�WR�WKH�WUXH��EHOLHI�LQ�WKH�WUDLWV�RI�WKH�SLJV�RU�DW�OHDVW

LQ�WKH�¦VKDSH��EXW�QRW�WKH�OHYHO��RI�WKH�PHDQ�JURZWK�FXUYHV§�DQG�WKH�UHODWLRQV�EHWZHHQ�WUDLWV�

,Q�WKH�H[DPSOHV�LQ�ILJ������DQG�ILJ������LW�ZDV�GHPRQVWUDWHG�KRZ�WKH�SDUDPHWHU�HVWLPDWHV�RI�WKH

(0�DOJRULWKP�FRQYHUJHV�WR�VWDWLRQDU\�YDOXHV�IDU�IURP�WKH�WUXH�YDOXHV�ZKHQ�WKH�LQIRUPDWLRQDO�OHYHO

LV�ORZ��L�H��HDFK�LQGLYLGXDO�REVHUYHG�RQO\�RQFH�DQG�QR�LQIRUPDWLRQ�RI�WKH�VHOHFWLRQ�FULWHULRQ��

+RZHYHU��LW�ZDV�DOVR�GHPRQVWUDWHG�WKDW�LQ�WKH�FDVHV�RI�D�¦SHUIHFW�LQLWLDO�JXHVV�RQ�WKH�GLVWULEXWLRQ§

WKHVH�HUURUV�DIWHU�D�VLQJOH�LWHUDWLRQ�ZHUH�RI�YHU\�OLWWOH�PDJQLWXGHV��ZLWK�D�JRRG�LQLWLDO�JXHVV�RQ

\OW 6

OQ

OW�D�

9OW ��0

O�6

O67

OQ

OW�Q

OW�Q

OW�

QOW

MQ

OW

L�

&L© �E�

(�;©� P�� 9�;©� &

��

PL© (�;© \

LOW� J

O� DQG &

L© 9�;© \

LOW� J

O�� L����Q

OW

0O M

QOW

L�

PL© #P

L©7 DQG 6

O M

QOW

L�

PL©

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

������

¦VKDSH�RI�WKH�PHDQ�JURZWK�FXUYH§��L�H��UHODWLRQ�EHWZHHQ�WKH�H[SHFWDWLRQV�RI�WKH�LQLWLDO�JXHVV��DQG

WKH�¦UHODWLRQV�EHWZHHQ�WKH�YDULDEOHV§��L�H��YDULDQFHV�DQG�FRUUHODWLRQV�RI�WKH�LQLWLDO�JXHVV���D�VLQJOH

LWHUDWLRQ�DSSHDUV� WR�UHWXUQ�HVWLPDWHV�RI� WKH�H[SHFWDWLRQV�WKDW�HYHQ�LQ� WKH�FDVH�RI�D�YHU\�SRRU

LQIRUPDWLRQDO�OHYHO�DUH�FORVH�WR�WKH�VWDWLRQDU\�YDOXHV�ZLWK�¦SHUIHFW�LQIRUPDWLRQ§�

7KHVH�WZR�IHDWXUHV��WKH�FRPPRQ�NQRZOHGJH�RI�JURZWK�RI�SLJV�DQG�WKH�EHKDYLRU�RI�WKH�(0

DOJRULWKP�ZLWK�D�¦JRRG�LQLWLDO�JXHVV§��FDQ�EH�XWLOL]HG�LQ�RUGHU�WR�VLPSOLI\�WKH�FDOFXODWLRQV��WR�UHOD[

WKH�DVVXPSWLRQ�RI�NQRZQ�VHOHFWLRQ�FULWHULRQ�DQG�WR�HVWLPDWH�SDUDPHWHU�YDOXHV�LQ�FDVHV�RI�YHU\

OLWWOH�LQIRUPDWLRQDO�OHYHOV��L�H��SLJV�RQO\�REVHUYHG�DW�VODXJKWHU���7KH�UHYLVHG�(0�DOJRULWKP�LV�DV

IROORZV�

/HW�\ �DQG�9 �LQ�WKH�.DOPDQ�ILOWHU�������EH�JLYHQ�E\�OW OW

ZKHUH�

DQG�

,W�VKRXOG�EH�QRWHG�WKDW�WKH�LQLWLDO�JXHVV��; ��LV�XVHG�LQ�DOO�XSGDWLQJ�VWHSV��

7KH� REVHUYDWLRQDO� YDULDQFH�9 � GHSHQGV� RQ� WKH� YDULDQFH� RQ� WKH� PHDQ� RI� WKH� FRQGLWLRQDOOW

H[SHFWDWLRQV�RI�WKH�LQGLYLGXDOV��P ©��DV�ZHOO�DV�RQ�WKH�FRQGLWLRQDO�YDULDQFHV�RQ�LQGLYLGXDOV��& ©�L L

7KLV�GHSHQGHQFH�RQ� WKH�FRQGLWLRQDO�YDULDQFHV� LV� LQ� WKH�EDVLF�(0�DOJRULWKP�DFKLHYHG�E\� WKH

VDPSOLQJ�LQ�������¤�D�VDPSOLQJ�WKDW�PLJKW�EH�DYRLG�E\�H[WHQGLQJ�������ZLWK�WKH�VHFRQG�WHUP�LQ

������E��

)URP��������LW�IROORZV�WKDW�RQO\�LQ�WKH�VLWXDWLRQ�RI�VPDOO�FRQGLWLRQDO�YDULDQFH�RQ�WKH�LQGLYLGXDOV

�L�H��& ©�¦OLWWOH§��DQG�D�ODUJH�VDPSOH�VL]H��Q ��WKH�REVHUYDWLRQDO�YDULDQFH��9 �ZLOO�EH�VPDOO�DQG�WKHL OW OW

ILOWHU�������ZLOO�¦FRPSOHWHO\§�DGMXVW�WR�WKH�REVHUYDWLRQ��\ ��,W�VKRXOG�EH�QRWHG�WKDW�HYHQ�ZLWK�DOW

¦SHUIHFW�LQLWLDO�JXHVV§�WKH�HVWLPDWHV�ZLOO�EH�VHYHUHO\�ELDVHG�LI�WKH�UHODWLRQV�EHWZHHQ�WUDLWV�DUH�ORZ

¤�L�H��FRUUHODWLRQV�DUH�FORVH�WR����+RZHYHU��DV�ZLOO�ODWHU�EH�GHPRQVWUDWHG��WKH�FRUUHODWLRQV�LQ�WKH

DQLPDO�JURZWK�PRGHOV�DSSOLHG�HVWLPDWHG�KHUH�DUH�LQ�PRVW�VLWXDWLRQ�KLJK��DERYH�����

7KLV�PHWKRG�ZLOO�EH�UHIHUUHG�WR�DV�WKH�(0��DOJRULWKP�

����� 0RGHOV�DQG�PHWKRGV�WHVWLQJ

7KH�PRGHOV�DQG�PHWKRGV�DUH�WHVWHG�RQ�VLPXODWHG�GDWD�XVLQJ�WKH�PRGHO�GHYHORSHG�DQG�GHVFULEHG

E\�-�UJHQVHQ��������DQG�-�UJHQVHQ��.ULVWHQVHQ���������6LPXODWHG�GDWD�KDYH�EHHQ�FKRVHQ�IRU

��� 0RGHOV�DQG�PHWKRGV ��

WKH�WHVWLQJ�LQ�RUGHU�WR�JHW�IXOO�LQIRUPDWLRQ�RI�DOO�WUDLWV�DW�DOO�PDUNHWLQJ�VWDJHV��,Q�WKH�VLPXODWLRQ

PRGHO�LW�LV�SRVVLEOH�WR�JHQHUDWH�GDWD�RQ�DOO�WUDLWV��HYHQ�ODWHQW�WUDLWV��RI�DOO�SLJV�DW�DOO�VWDJHV�DQG�WKH

¦WUXH�GLVWULEXWLRQ§�RI�WUDLWV�RU�WKH�¦WUXH�DQLPDO�JURZWK�PRGHO§�FDQ�EH�HVWLPDWHG�GLUHFWO\�EDVHG�RQ

GDWD�DQG�XVHG�DV�D�UHIHUHQFH�LQ�WKH�FDOFXODWLRQV�

7KH�VLPXODWHG�SURGXFWLRQ�V\VWHP�LV�SDUWLWLRQHG�LQWR���PDUNHWLQJ�VHFWLRQV��HDFK�FRQWDLQLQJ����

SLJV��3LJV�UHPDLQ�LQ�WKH�SURGXFWLRQV�V\VWHP�IRU�D�PD[LPXP�RI����ZHHNV��LQFOXGLQJ���ZHHN�IRU

FOHDQLQJ�HWF����(YHU\��QG�ZHHN�D�QHZ�EDWFK�LV�LQLWLDWHG��3LJV�DUH�PDUNHWHG�RYHU�QR�PRUH�WKDQ��

ZHHNV�ZLWK���PDUNHWLQJ�ZHHN�DQG�LQ�DYHUDJH����SLJV�DUH�PDUNHWHG�HYHU\�ZHHN��2QO\�OLYH�ZHLJKW

>: ���: @�DQG�FDUFDVV�ZHLJKW�>&: ���&: @�KDYH�EHHQ�VLPXODWHG�DQG�PHDVXUHG�LPSO\LQJ�WKDW�W �W �W �W

WKH�VWDWH�RI�D�SLJ©V�WUDLWV�DW�DOO���PDUNHWLQJ�VWDJHV�LV�UHSUHVHQWHG�E\�

; � �>: ��&: ��: ���: ��&: @W �W �W �W �W �W

7

7KH�VWDWH�RI�WKH�KHUG�LV�UHSUHVHQWHG�E\�D�VLQJOH�ORJLFDO�JURXS�

$�VDPSOH�GDWD�VHW�ZDV�JHQHUDWHG�E\�VLPXODWLQJ�����GD\V�RI�SURGXFWLRQ��7KH�VLPXODWLRQ�PRGHO

ZDV�FDOLEUDWHG�DFFRUGLQJ�WR�SDUDPHWHU�HVWLPDWHV�EDVHG�RQ�D�GDWD�VHW�IURP�7KH�'DQLVK�6ODXJKWHU

+RXVHV�������VDPSOHV�IURP�DQ�H[SHULPHQW�ILUVW�SXEOLVKHG�E\�8GHVHQ��������LQ�ZKLFK�RQO\��¤���

RI�WKH�SLJV�KDYH�EHHQ�VHOHFWHG�IRU�PDUNHWLQJ�DQG�RQ�D�FRPSUHKHQVLYH��L�H��PDQ\�ORQJLWXGLQDO

REVHUYDWLRQV�� GDWD� VHW� ����� VDPSOHV�� IURP� D� FXUUHQWO\� XQSXEOLVKHG� H[SHULPHQW� DW� WKH�5R\DO

$JULFXOWXUDO�DQG�9HWHULQDU\�8QLYHUVLW\��&RSHQKDJHQ��6WDXQ���������$OO�WUDLWV�RI�DOO��VXUYLYLQJ�

SLJV�ZHUH� JHQHUDWHG� DQG� REVHUYHG� DW� DOO� VWDJHV� �L�H�� D� ¦SHUIHFW� LQIRUPDWLRQ§� GDWD� VHW�� LQ� WKH

VLPXODWLRQV��DQG�GDWD�VHWV�ZLWK�ORZHU�OHYHOV�RI�LQIRUPDWLRQ�ZHUH�JHQHUDWHG�E\�H[WUDFWLQJ�VXE¤VHWV

RI� WKLV� ¦SHUIHFW� LQIRUPDWLRQ§� GDWD� VHW�� DOO� GDWD� VHWV�ZHUH� VXE¤VHWV� RI� WKH� RXWSXW� RI� D� VLQJOH

VLPXODWLRQ�UXQ��0RGHO�SDUDPHWHUV�RI� WKH�¦SHUIHFW� LQLWLDO�JXHVV§�ZHUH�HVWLPDWHG�EDVHG�RQ�WKH

¦SHUIHFW�LQIRUPDWLRQ§�GDWD�VHW��7KH�YDOXH�RI�WKH�SDUDPHWHUV�DUH�VKRZQ�LQ�$SSHQGL[���$��,Q�RUGHU

WR�WHVW�WKH�VHQVLWLYLW\�RI�WKH�PRGHOV�FRQFHUQLQJ�WKH�LQLWLDO�JXHVV�D�VHFRQG�LQLWLDO�JXHVV�ZLWK�SRRU

�L�H��YHU\�GLYHUJHQW�IURP�WUXH��SDUDPHWHU�YDOXHV�ZDV�DSSOLHG��7KH�SDUDPHWHUV�RI�WKLV�¦SRRU�LQLWLDO

JXHVV§�DUH�VKRZQ�LQ�$SSHQGL[���$�,,�

%HOLHIV�ZHUH�XSGDWHG�ZHHNO\��L�H��D���ZHHN�LQWHUYDO�EHWZHHQ�XSGDWH�VWHSV��W��DQG�SDUDPHWHU

YDOXHV�DQG�EDVLF�VWDWLVWLFV�ZHUH�FDOFXODWHG�DQG�UHFRUGHG��0DMRU�PRGHO�SDUDPHWHUV�ZHUH�FKDQJHG

DQG�PRGHOV��ELDV�HOLPLQDWLRQ�DQG�EHOLHI�XSGDWLQJ��UHUDQ�WR�WHVW�WKH�VHQVLWLYLW\�RI�WKH�PHWKRGV�ZLWK

UHVSHFW�WR�HUURUV�LQ�PRGHO�SDUDPHWHUV�DQG�DVVXPSWLRQV��7KH�W\SH�DQG�PDJQLWXGH�RI�WKHVH�FKDQJHV

ZLOO�EH�GHVFULEHG�DQG�GLVFXVVHG�LQ�WKH�5HVXOWV�VHFWLRQ��

,Q� RUGHU� WR� LQFUHDVH� VDPSOH� VL]H� DQG� LPSURYH� �FR�YDULDQFH� HVWLPDWHV� WKH� (0�� DQG� (0�

DOJRULWKPV�ZHUH�DSSOLHG�WR�DOO��������SLJV�RI�WKH�ILUVW����PDUNHWLQJV�GLUHFWO\�ZLWKRXW�LQWHUPHGLDWH

.DOPDQ�ILOWHULQJ��L�H��QR�G\QDPLF�XSGDWLQJ���

7R�WHVW�WKH�PHWKRGV©�DELOLW\�WR�FDSWXUH�DQG�DGMXVW��WR�FKDQJHV�LQ�WKH�VWDWH�RI�WKH�KHUG�D�VHFRQG

GDWD�VHW�KDV�EHHQ�JHQHUDWHG��7KH�JURZWK�UDWH�RI�SLJV�ZDV�LQ�WKLV�VLPXODWLRQ�UXQ�LQFUHDVHG�DIWHU����

GD\V��LPSO\LQJ�D�VLJQLILFDQW�LQFUHDVH�LQ�H[SHFWDWLRQV��H�J��D�FKDQJH�LQ�(��&: ��IURP������WR�������W

NJ��DQG�D�VOLJKW�GHFUHDVH�LQ�YDULDWLRQ��$V�WKH�JURZWK�UDWH�ZDV�FKDQJHG�IRU�DOO�SLJV�LQ�WKH�V\VWHP

DW�WKH�WLPH�RI�WKH�FKDQJH��WKH�HIIHFW�RI�WKH�FKDQJH�ZRXOG�QRW�EH�IXOO\�HIIHFWLYH�XQWLO����������

����GD\V�����ZHHNV��DIWHU�WKH�FKDQJH�

7KH�YDULDQFH�GLVFRXQW� IDFWRU� � ��ZDV�VHW� WR����� �L�H��D� OLWWOH�DGDSWLRQ� WR�REVHUYDWLRQV�¤�QR

FKDQJHV�LQ�WKH�SURGXFWLRQ�V\VWHP�DUH�H[SHFWHG�LQ�WKH�GHIDXOW�VLWXDWLRQ��DQG�WKH�LQLWLDO�SULRU�RI�WKH

.DOPDQ�ILOWHU�ZDV�VHW�WR�����RI�WKH�LQLWLDO�JXHVV�RI�WKH�DQLPDO�JURZWK�PRGHO��0 � �����#�& �� �

��

��

��

��

��

��

��

��

� �� �� �� �� �� �� ��

8SGDWH �

:��&:��NJ�

\B:�

\B&:�

PAB:�

PAB&:�

���

PB:�

PB&:�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

)LJXUH ���� 0RGHO RXWSXW� 7UXQFDWHG PHDQ WUDQVIRUPDWLRQ �707� ZLWK SHUIHFW LQLWLDO SULRU DQG SHUIHFW

LQIRUPDWLRQ �L�H� DOO WUDLWV RI DOO SLJV REVHUYHG DW DOO VWDJHV�� ¦8QELDVHG§ REVHUYDWLRQV �\B:�� \B&:���

WUXH H[SHFWDWLRQV �PB:�� PB&:��� HVWLPDWHG H[SHFWDWLRQV �PAB:�� PAB&:�� DQG �� � FRQILGHQFH

LQWHUYDOV RQ HVWLPDWHV�

��� 5HVXOWV

3DUWV�RI�WKH�UHVXOWV��OLYH�ZHLJKW�DW�VWDJH����L�H��DW�WKH�ILUVW�PDUNHWLQJ���: �DQG�FDUFDVV�ZHLJKW�DW�

VWDJH����&: ��IURP�WKH�¦WUXQFDWHG�PHDQ�WUDQVIRUPDWLRQ�PHWKRG§��LQ�WKH�IROORZLQJ�GHQRWHG�DV�WKH�

707�PHWKRG��ZLWK�SHUIHFW�LQIRUPDWLRQ��L�H��DOO�WUDLWV�RI�DOO�SLJV�REVHUYHG�DW�DOO�PDUNHWLQJ�VWDJHV�

DQG�DIWHU�.DOPDQ�ILOWHULQJ�DUH�VKRZQ�JUDSKLFDOO\�LQ�ILJXUH������2EVHUYDWLRQV�DUH�LQ�JHQHUDO�VLPSOH

VDPSOH�PHDQV�RI� LQ�DYHUDJH����VXUYLYLQJ�SLJV��EXW�EHFDXVH�RI� WKH�GHVLJQ�RI� WKH�H[SHULPHQW

�LQVHUWLRQ�RI�ZHDQHUV�HYHU\�VHFRQG�ZHHN��WKHUH�ZLOO�HYHU\�VHFRQG�ZHHN�EH�QR�REVHUYDWLRQV�RQ�D

JLYHQ�WUDLW�DQG�REVHUYDWLRQV�DV�VKRZQ�LQ�WKH�ILJXUH�DUH�LQ�WKRVH�VLWXDWLRQV�EDVHG�RQ�REVHUYDWLRQV

RQ�RWKHU�WUDLWV��L�H��WKH�FRQGLWLRQDO���������7KLV�H[SODLQV�WKH�WHQGHQF\�RI�SDLUZLVH�REVHUYDWLRQV�RQ

SDUWLFXODUO\�: ��ILUVW�REVHUYDWLRQ�LV�WKH�WUXH�REVHUYDWLRQ��ZKLOH�VHFRQG�REVHUYDWLRQ�LV�FRQGLWLRQHG�

RQ�REVHUYDWLRQV�RQ�WKH�VDPH�DQLPDOV�D�ZHHN�ODWHU�

7KH�XSGDWHG�EHOLHIV�LQ�H[SHFWDWLRQV�RI�WKH�VWDWH�RI�WKH�SLJV�DUH�XQGHUHVWLPDWHG�LQ�WKH�EHJLQQLQJ�

EXW�WKH\�DUH�VWDELOL]HG�DURXQG�WKH�WUXH�H[SHFWDWLRQ�DIWHU�DSSUR[LPDWHO\����XSGDWHV��RU�PDUNHWLQJV��

7KH�ILOWHU�LV�VHW�WR�EH�D�OLWWOH�PRUH�DGDSWLYH�LQ�WKH�EHJLQQLQJ��L�H��D�YDJXH�LQLWLDO�SULRU�EHOLHI��WKDQ

DW�VXFFHHGLQJ�VWDJHV�DQG�FRQVHTXHQWO\�LW�DGMXVWV�PRUH�WKRURXJKO\�WR�WKH�ILUVW�REVHUYDWLRQV�WKDQ

VXFFHHGLQJ�REVHUYDWLRQV��+RZHYHU��LQ�WKH�H[SHULPHQW�WKH�ILUVW�REVHUYDWLRQV�KDSSHQV�WR�EH�EHORZ

WKH�WUXH�H[SHFWDWLRQ�DQG�LW�WDNHV�WLPH��RU�XSGDWHV��IRU�WKH�ILOWHU�WR�DGMXVW�IRU�WKLV�LQLWLDO�IODZ��7KH

�����FRQILGHQFH�LQWHUYDOV�DUH�EDVHG�RQ�WKH�EHOLHI�LQ�YDULDQFHV��L�H��0 �LQ��������DQG�UHSUHVHQWV�WKHOW

FRQILGHQFH�LQ�WKH�HVWLPDWHV�RI�H[SHFWDWLRQV�JLYHQ�WKH�REVHUYDWLRQV�DQG�WKH�REVHUYDWLRQDO��L�H��YOW

LQ��������DQG�V\VWHP�HUURUV��L�H��Z �LQ���������OW

7KH�UHVXOWV�EDVHG�RQ�SHUIHFW�LQIRUPDWLRQ�FDQ�EH�XVHG�DV�D�UHIHUHQFH�RU�D�XSSHU�FRPPRQ�OLPLW

RQ�PRGHO�SHUIRUPDQFH�ZKHQ� LQWHUSUHWLQJ� UHVXOWV� EDVHG�RQ� LPSHUIHFW� LQIRUPDWLRQ�� QR� UHVXOWV

VKRXOG�EH�H[SHFWHG�WR�EH�EHWWHU�WKDQ�WKH�UHVXOWV�EDVHG�RQ�SHUIHFW�LQIRUPDWLRQ��,Q�RUGHU�WR�FRPSDUH

WKH�GLIIHUHQW�PHWKRGV��WKH�PHDQ�RI�WKH�DEVROXWH�PHDQ�HUURUV��0$0(��LV�LQ�DOO�FDVHV�FDOFXODWHG

��

��

��

��

��

��

��

��

� �� �� �� �� �� �� ��

8SGDWH �

:��&:��NJ�

\B:�

\B&:�

PAB:�

PAB&:�

���

PB:�

PB&:�

��� 5HVXOWV ��

)LJXUH ����0RGHO RXWSXW� 707� ZLWK SHUIHFW LQLWLDO SULRU EHOLHI� ¦8QELDVHG§ REVHUYDWLRQV �<B:�� <B&:���

WUXH H[SHFWDWLRQV �PB:�� PB&:��� HVWLPDWHG H[SHFWDWLRQV �PAB:�� PAB&:�� DQG �� � FRQILGHQFH

LQWHUYDOV RQ HVWLPDWHV�

DV� IROORZV��)RU�HDFK�RI� WKH����YDULDEOHV�FDOFXODWH� WKH�PHDQ�RI�HUURUV��0(��IURP�WKH�WLPH�RI

VWDELOL]DWLRQ�RI� WKH�ILOWHU��PHDQ�RI�GLIIHUHQFHV�EHWZHHQ�HVWLPDWHG�DQG�WUXH�H[SHFWDWLRQV�IURP

XSGDWH������WR�XSGDWH�������¤�RQO\�WKH�ILUVW����XSGDWHV�DUH�VKRZQ�LQ�WKH�ILJXUH���0$0(�LV�WKHQ

JLYHQ�DV�WKH�PHDQ�RI�DEVROXWH�0(�RI�WKH����YDULDEOHV��7KH�0$0(�RQ�WKH�UHVXOWV�SUHVHQWHG�LQ�ILJ�

����LV������NJ�

,Q�ILJXUH�����WKH�UHVXOWV�RI�WKH�707�PHWKRG�EDVHG�RQ�LQFRPSOHWH��DQG�ELDVHG��REVHUYDWLRQV�DUH

VKRZQ��7KH�¦XQELDVHG�REVHUYDWLRQV§�DUH�PRUH�VFDWWHUHG�WKDQ�LQ�WKH�FDVH�RI�SHUIHFW�LQIRUPDWLRQ

DQG�WKH�EHOLHIV�LQ�H[SHFWDWLRQV�DUH�LQ�JHQHUDO��DQG�V\VWHPDWLFDOO\��RYHUHVWLPDWHG��DSSUR[LPDWHO\

�����NJ�IRU�: �DQG������NJ�IRU�&: ��VHH�WDEOH�����EHORZ���7KH������FRQILGHQFH�LQWHUYDOV�KDYH� �

EHHQ�H[WHQGHG�GXH�WR�UHGXFHG�VDPSOH�VL]HV��SLJV�DUH�RQO\�REVHUYHG�RQFH�LQ�WKHLU�OLIHWLPH�DQG

FRQVHTXHQWO\�WKH�REVHUYDWLRQDO�HUURUV��L�H��WKH�YDULDQFHV�RQ�VDPSOH�PHDQV��DUH�LQFUHDVHG��0$0(

LV������NJ�

5HVXOWV�RI�WKH�EDVLF�(0�DOJRULWKP��(0���ZLWK�OLYH�ZHLJKW�REVHUYHG�SULRU�WR�DQG�DW�WKH�WLPH�RI

PDUNHWLQJ�DQG�FDUFDVV�ZHLJKW�REVHUYHG�DW�PDUNHWLQJ��DUH�VKRZQ�LQ�ILJ�������3LJV�DUH�FRQWLQXRXVO\

REVHUYHG��L�H��ZKHQ�PDUNHWHG���EXW�DV�REVHUYDWLRQV�DUH�DFFXPXODWHG�XQWLO�WKH�ODVW�PDUNHWLQJ�IURP

D�EDWFK��ZKLFK�KDSSHQV�HYHU\�VHFRQG�ZHHN�LQ�WKH�VLPXODWHG�VODXJKWHU�SLJ�RSHUDWLRQ��WKH�QXPEHU

RI�XSGDWHV�KDYH�EHHQ�UHGXFHG�WR�DSSUR[LPDWHO\�WKH�KDOI�FRPSDUHG�WR�DSSO\LQJ�WKH�707�PHWKRG

RQ�WKH�VDPH�GDWD�VHW��,Q�DYHUDJH�DSSUR[LPDWHO\����VDPSOHV�SHU�SLJ�ZDV�JHQHUDWHG�LQ�WKH�0RQWH

&DUOR� VLPXODWLRQV� LQ� WKH� (¤VWHS� RI� WKH� DOJRULWKP� DQG� FRQYHUJHQFH� ��� � ����� NJ�� ZDV� �DV

GHPRQVWUDWHG�LQ�ILJ�������UHDFKHG�DIWHU����LWHUDWLRQV�DW�VWHS���DQG�OHVV�WKDQ����DW�VXFFHHGLQJ�VWHSV�

7KH�¦SRRU�LQLWLDO�JXHVV§�XVHG�LQ�WKH�H[DPSOH�LV�GHVFULEHG�LQ�WKH�PRGHOV�DQG�PHWKRGV�VHFWLRQ

DERYH��$V�GHPRQVWUDWHG�E\�WKH�H[DPSOH�WKH�PHWKRG�TXLFNO\�FRUUHFWV�WKLV�EDG�LQLWLDO�JXHVV�DQG�WKH

0$0(��EDVHG�RQ�XSGDWH����WR����¤�RQO\�WKH�ILUVW����XSGDWHV�DUH�VKRZQ�LQ�WKH�ILJXUH��LV�DV�OLWWOH

��

��

��

��

��

��

��

��

� � �� �� �� �� �� �� �� ��

8SGDWH �

:��&:��NJ�

<B:�

<B&:�

PAB:�

PAB&:�

���

PB:�

PB&:�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

)LJXUH ����0RGHO RXWSXW� (0� ZLWK ¦SRRU LQLWLDO JXHVV§� ¦8QELDVHG§ REVHUYDWLRQV �<B:�� <B&:��� WUXH

H[SHFWDWLRQV �PB:�� PB&:��� HVWLPDWHG H[SHFWDWLRQV �PAB:�� PAB&:�� DQG �� � FRQILGHQFH LQWHUYDOV

RQ HVWLPDWHV�

DV������NJ��7KH�HVWLPDWHG�FRYDULDQFH�PDWUL[�DQG�FRUUHODWLRQ�PDWUL[�DIWHU����XSGDWHV�DUH�VKRZQ

LQ�$SSHQGL[���%�,�DV�GLYHUJHQFHV�IURP�WKH�¦WUXH§�YDOXHV�LQ�DSSHQGL[���$��'HVSLWH�WKH�YHU\�VLPSOH

XSGDWLQJ�PHWKRG�IRU�YDULDQFHV��L�H��VLPSO\�WKH�PHDQ�RI�YDULDQFHV�RYHU�DOO�XSGDWLQJ�VWHSV��WKH

HVWLPDWHV�DUH��ZLWK�UHVSHFW�WR�WKH�RYHUDOO�REMHFWLYH�RI�WKH�PRGHO�DV�D�SUHSURFHVVRU�IRU�D�PDUNHWLQJ

PDQDJHPHQW�'66�V\VWHP��FORVH�WR�WKH�WUXH�YDOXHV��ZLWK�D�WHQGHQF\�WR�RYHUHVWLPDWH�YDULDQFHV��EXW

ZLWK�JRRG�HVWLPDWHV�RI�FRUUHODWLRQV��$V�EHLQJ�GHPRQVWUDWHG�EHORZ��RWKHU�XSGDWLQJ�PHWKRGV��H�J�

0/�HVWLPDWHV�EDVHG�RQ�DOO�SLJV�PDUNHWHG�SULRU�WR�D�JLYHQ�XSGDWLQJ�VWHS��PD\�UHVXOW�LQ�HYHQ�EHWWHU

HVWLPDWHV��,W�VKRXOG�EH�QRWHG�WKDW�LQ�WKH�FDVH�RI�QR�ORQJLWXGLQDO�GDWD��L�H��SLJV�RQO\�REVHUYHG�DQG

UHJLVWHUHG�DW�PDUNHWLQJ��WKH�0$0(�LV������NJ��ZLWK�D�PD[��0(�RQ�: ��������NJ���

7KH�VHFRQG�(0�DOJRULWKP�ZKLFK�LV�EDVHG�RQ�WKH�DVVXPSWLRQ�WKDW�WKH�VHOHFWLRQ�FULWHULRQ�LV�NQRZQ

�(0���KDV�EHHQ�DSSOLHG�ZLWK�WKH�VDPH�¦EDG�LQLWLDO�JXHVV§�DV�LQ�(0���EXW�ZLWK�D�ORZHU�OHYHO�RI

LQIRUPDWLRQ��OLYH�ZHLJKW�DV�ZHOO�DV�FDUFDVV�ZHLJKW�DUH�REVHUYHG�DW�WKH�WLPH�RI�PDUNHWLQJ�RQO\��7KH

0$0(�LV������NJ�ZLWK�D�PD[LPXP�DEVROXWH�0(�RQ�: ��¤�����NJ��DQG�DV�LV�WKH�FDVH�ZLWK�(0��

DFFHSWDEOH�HVWLPDWHV�RI�FRYDULDQFHV�KDYH�EHHQ�DFKLHYHG�DIWHU����XSGDWHV��VHH�DSSHQGL[���%��

��

��

��

��

��

��

��

��

� � �� �� �� �� �� �� ��

8SGDWH �

:��&:��NJ�

\B:�

\B&:�

PAB:�

PAB&:�

���

PB:�

PB&:�

��� 5HVXOWV ��

)LJXUH ���� 0RGHO RXWSXW� (0� ZLWK ¦SHUIHFW LQLWLDO SULRU EHOLHI§� ¦8QELDVHG§ REVHUYDWLRQV �<B:��

<B&:��� WUXH H[SHFWDWLRQV �PB:��PB&:��� HVWLPDWHG PHDQV �PAB:��PAB&:�� DQG �� � FRQILGHQFH

LQWHUYDOV RQ HVWLPDWHV�

5HVXOWV�RI�WKH�WKLUG�(0�DOJRULWKP��(0���ZLWK�SHUIHFW�LQLWLDO�JXHVV�DQG�WZR�REVHUYDWLRQV�SHU

LQGLYLGXDO��OLYH�ZHLJKW�DQG�FDUFDVV�ZHLJKW��DW�VODXJKWHU��DUH�VKRZQ�LQ�ILJ�������%HFDXVH�RI�WKH

SHUIHFW�LQLWLDO�SULRU�WKH�HUURU�RQ�HVWLPDWHV�LV�OLWWOH�DW�WKH�ILUVW�XSGDWHV�DQG�WKH�0$0(�LV�������VHH

DOVR�URZ����LQ�WDEOH������

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

0RGHO

SDUDPHWHU�V�

FKDQJHG

0HDQ (UURU �VWG�� NJ

:� &:� 0$0(

707 (0� 707 (0� 707 (0�

� 3HUIHFW LQIRUPDWLRQ��

��� ��������� ����� ��� ����� ��� ����� ���� ����

� 1R FKDQJH ��� ����� ��� ����� ��� ����� ��� ����� ���� ����

� 9 �:�� 9 �&:�� ���� ���� ����� ��� ����� ��� ����� ��� ����� ���� ����

� 9 �:�� 9 �&:�� ���� ��� ����� ��� ����� ��� ����� ��� ����� ���� ����

� ' �#� #�� ���� ���� ����� ��� ����� ��� ����� ��� ����� ���� ����

�' �: � : �� �����L M

' �#� #�� �������� ����� ��� ����� ��� ����� ��� ����� ���� ����

�DV URZ ��� EXW 9 �:��

����� 9 �&:�� �������� ����� ��� ����� ��� ����� ��� ����� ���� ����

� 3RRU LQLWLDO JXHVV ���� ����� ¤��� ����� ��� ����� ¤��� ����� ��� ���

� N � �������

��� ����� ��� ����� ��� ��������� ����� ���� ����

�� N � �������

��� ����� ��� ����� ��� ����� ��� ����� ���� ����

�� 1R FKDQJH� : QRW REVHUYHG ��� ����� ��� ����� ��� ����� ��� ����� ���� ����

�� N � ���� � : QRW REVHUYHG���

��� ��������� ����� ��� �����

���� ����� ���� ����

$OO YDULDEOHV RI DOO �OLYLQJ� SLJV REVHUYHG DW DOO VWDJHV���

N LV D SDUDPHWHU LQ WKH VLPXODWLRQ PRGHO� 3DUDPHWHUV RI LQLWLDO JXHVV GLVWULEXWLRQV DQG DQLPDO JURZWK PRGHOV DUH��

LQGLUHFWO\ FKDQJHG �H�J� ( �: � LV UHGXFHG E\ ���� DQG ( �&: � E\ ��� � ZKHQ N LV UHGXFHG E\ �� ���� � �

7DEOH ����0HDQ (UURUV �0(� DQG VWDQGDUG GHYLDWLRQV RQ HUURUV LQ EUDFNHWV� DQG 0$0( JLYHQ SDUWLDO FKDQJHV

LQ PDMRU PRGHO SDUDPHWHUV� 5HVXOWV IRU OLYH ZHLJKW DW VWDJH � �: � DQG IRU FDUFDVV ZHLJKW DW VWDJH � �&: �� �

JLYHQ WKH WZR GLIIHUHQW ELDV UHGXFWLRQV PHWKRGV� 707 �VDPSOH VL]H� ��� DQG (0� �VDPSOH VL]H� ��� ¤ VHH

WH[W IRU H[SODQDWLRQ� ( ���Õ DQG ( ���Õ�: &:

����� 6HQVLWLYLW\�RI�707�DQG�(0�

7KH� 707� DQG� WKH� (0�� PHWKRGV� DUH� ERWK� EDVHG� RQ� DVVXPSWLRQV� FRQFHUQLQJ� WKRVH� PRGHO

SDUDPHWHUV�QRW�HVWLPDWHG�XSGDWHG�E\�WKH�PHWKRGV��,Q�WDEOH�����WKH�UHVXOWV�RI�WKH�WZR�PHWKRGV

JLYHQ�SDUWLDO�FKDQJHV�HUURUV�LQ�PDMRU�PRGHO�SDUDPHWHUV��LQLWLDO�JXHVV�RQ�GLVWULEXWLRQV�DQG�DQLPDO

JURZWK�PRGHOV���DUH�VXPPDUL]HG��0HDQ�HUURUV�DQG�VWDQGDUG�GHYLDWLRQ�RQ�HUURUV�DV�ZHOO�DV�0$0(

DUH�VKRZQ�

7KH�WZR�EDVLF�VLWXDWLRQV�SUHVHQWHG�DERYH��L�H��SHUIHFW�LQIRUPDWLRQ�DQG�SHUIHFW�LQLWLDO�JXHVV��DUH

UHSUHVHQWHG�E\�URZ�����DQG���UHVSHFWLYHO\��&KDQJHV�HUURUV�LQ�YDULDQFHV��URZ����¤���GRHV�QRW�DIIHFW

WKH�UHVXOWV�RI�(0���ZKLOH�WKH�707�PHWKRG�LV�PRUH�VHQVLWLYH��D������GHFUHDVH�LQ�YDULDQFHV�UHVXOWV

LQ� D� PHDQ� HUURU� RQ�: � �L�H�� WKH� OLYH� ZHLJKW� DW� PDUNHWLQJ� VWDJH� ��� RI� ����� NJ�� &KDQJHV� LQ�

FRUUHODWLRQV��URZ�����DQG����DQG�FKDQJHV�LQ�YDULDQFHV�DV�ZHOO�DV�LQ�FRUUHODWLRQV��URZ������KDYH

DOPRVW�WKH�VDPH�HIIHFW��WKH�(0��PHWKRG�DSSHDUV�WR�EH�YHU\�UREXVW��ZKLOH�WKH�707�PHWKRG�LV

TXLWH�VHQVLWLYH��

,Q�URZ�����DQG����WKH�SDUDPHWHUV��PDLQO\�WKH�H[SHFWDWLRQV��KDYH�EHHQ�FKDQJHG�LQGLUHFWO\�E\

FKDQJLQJ�WKH�JURZWK�UDWH�LQ�WKH�XQGHUO\LQJ�VLPXODWLRQ�PRGHO��IURP�ZKLFK�VDPSOHV�DUH�JHQHUDWHG

DQG�PRGHO�SDUDPHWHUV�HVWLPDWHG���,Q�QHLWKHU�FDVHV�WKH�0(�RU�0$0(�RQ�WKH�WZR�PHWKRGV�KDYH

��

��

��

��

��

� � �� �� �� �� �� �� ��

8SGDWH �

:��&:��NJ�

<B:�

<B&:�

PAB:�

PAB&:�

���

PB:�

PB&:�

��� 5HVXOWV ��

)LJXUH ���� *URZWK FKDQJH DQG (0�� ¦8QELDVHG§ REVHUYDWLRQV �<B:�� <B&:��� WUXH �PB:�� PB&:��

DQG HVWLPDWHG �PAB:�� PAB&:�� PHDQV DQG �� � FRQILGHQFH LQWHUYDOV RQ HVWLPDWHV�

EHHQ�LQFUHDVHG��RU�GHFUHDVHG��VLJQLILFDQWO\��WKH�DEVROXWH�OHYHOV�RI�WKH�H[SHFWDWLRQV�RI�WKH�LQLWLDO

JXHVVHV�DUH�RI�OHVV�LPSRUWDQFH�DV�ORQJ�DV�WKH�UHODWLRQV�EHWZHHQ�WUDLWV��DQG�H[SHFWDWLRQV��DQG�WKH

¦VKDSHV�RI�PHDQ�JURZWK�FXUYHV§�DUH�PDLQWDLQHG��

,Q�WKH�ILQDO���URZV�������DQG�����RQO\�WKH�FDUFDVV�ZHLJKWV�KDYH�EHHQ�REVHUYHG��7KLV�LV�WKH

QRUPDO�VLWXDWLRQ�LQ�PRVW�VODXJKWHU�SLJ�RSHUDWLRQV�DQG�DV�VKRZQ�LQ�WDEOH�����WKH�0(�RQ�ERWK

PHWKRGV�LV�RQO\�VOLJKWO\�FKDQJHG�FRPSDUHG�WR�WKH�VLWXDWLRQV�RI�REVHUYDWLRQV�RQ�FDUFDVV�ZHLJKW

DV�ZHOO�DV�OLYH�ZHLJKW��L�H��URZ�����DQG���UHVSHFWLYHO\���,Q�WKH�FDVH�RI�HUURUV�LQ�H[SHFWDWLRQV��L�H�

LQLWLDO�JXHVV�IRU�717�DQG�WKH�DQLPDO�JURZWK�PRGHO�IRU�(0���RQ�HLWKHU�RI�WKH�WUDLWV��WKH�JDLQ��L�H�

WKH�UHGXFWLRQ�LQ�0(��RI�REVHUYLQJ�ERWK�WUDLWV�PD\�EH�LQFUHDVHG��+RZHYHU��EHFDXVH�RI�D�YHU\�FORVH

UHODWLRQVKLS��ZKLFK�FDQ�EH�HVWLPDWHG�EDVHG�RQ�D�IHZ�VDPSOHV��EHWZHHQ�FDUFDVV�ZHLJKW�DQG�OLYH

ZHLJKW�WKH�JDLQ�RI�WKLV�DGGLWLRQDO�LQIRUPDWLRQ��RQ�OLYH�ZHLJKW��ZLOO�LQ�PRVW�VLWXDWLRQV�EH�RI�YHU\

OLWWOH�PDJQLWXGH�

����� $GDSWLRQ�WR�FKDQJHV�LQ�JURZWK�UDWH

7R�LOOXVWUDWH�DQG�WHVW�WKH�DELOLWLHV�RI�WKH�.DOPDQ�ILOWHU��RU�WKH�'/0��WKH�(0��PHWKRG�KDYH�EHHQ

DSSOLHG�WR�WKH�VHFRQG�GDWD�VHW�LQ�ZKLFK�DQ�LQWHUPHGLDWH�V\VWHP�FKDQJH�KDYH�EHHQ�VLPXODWHG��L�H�

D� ���� LQFUHDVH� LQ� JURZWK� UDWH� DIWHU� ���� GD\V��� 7KH� UHVXOWV� DUH� VKRZQ� LQ� ILJXUH� ����� 7KH

H[SHFWDWLRQ�RI�WKH�LQLWLDO�SULRU�LV�XQGHUHVWLPDWHG�E\������EXW�D�KLJK�LQLWLDO�DGDSWLRQ�UDWH��L�H��D

KLJK�LQLWLDO�YDULDQFH�RQ��RU�XQFHUWDLQW\�LQ��WKH�EHOLHI��0 �LQ��������UHVXOWV�LQ�D�TXLFN�DGMXVWPHQWO�

RI�WKH�EHOLHI�LQ�H[SHFWDWLRQ�WRZDUGV�WKH�WUXH�H[SHFWDWLRQ��,W�VKRXOG�EH�QRWHG�WKDW�WKH�¦VORZ§�JURZWK

PRGHO��LQ�ZKLFK�H�J��(��: ��LV�����RI�(��: ��DIWHU�WKH�V\VWHP�FKDQJH��SUHVHQWHG�DERYH��L�H��URZ� �

����LQ�WDEOH������KDV�EHHQ�XVHG�LQ�WKH�(0��DOJRULWKP�

7KH�PDQDJHU�RI�WKH�VODXJKWHU�SLJ�RSHUDWLRQ�LV�DVVXPHG�WR�NQRZ�WKDW�WKH�VWDWH�RI�WKH�V\VWHP�LV

JRLQJ�WR�FKDQJH��WKH�FKDQJH�PLJKW�HYHQ�EH�LQGXFHG�E\�WKH�PDQDJHU���EXW�WKH�H[SHFWHG�PDJQLWXGH

RI�WKH�FKDQJH�LV�XQNQRZQ��,Q�WKH�ILOWHULQJ�WKLV�NQRZOHGJH�LV�PRGHOHG�DV�DQ�LQVWDQW�LQFUHDVH�LQ

XQFHUWDLQW\��L�H��LQ�0 ��DW�WKH�WLPH�RI�WKH�H[SHFWHG�IXOO�HIIHFW�RI�WKH�V\VWHP�FKDQJH��UHVXOWLQJ�LQOW

DQ�LQVWDQW�LQFUHDVH�LQ�WKH�DGDSWLRQ�UDWH�DV�LOOXVWUDWHG�LQ�ILJXUH�������&RQVHTXHQWO\�WKH�ILOWHU�DGMXVWV

��

��

��

��

��

� � �� �� �� �� �� �� ��

8SGDWH �

:��&:��NJ�

<B:�

<B&:�

PAB:�

PAB&:�

���

PB:�

PB&:�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

)LJXUH ����� 0RGHO RXWSXW� *URZWK FKDQJH DQG (0� ZLWK LQWHUYHQWLRQ� ¦8QELDVHG§ REVHUYDWLRQV �<B:��

<B&:��� WUXH �PB:�� PB&:�� DQG HVWLPDWHG �PAB:�� PAB&:�� PHDQV DQG �� � FRQILGHQFH LQWHUYDOV

RQ HVWLPDWHV�

YHU\�UDSLGO\�WR�WKH�ILUVW�QHZ�REVHUYDWLRQV��L�H��DW�XSGDWH������DQG�DIWHU�D�IHZ�XSGDWHV�WKH�ILOWHU�KDV

UH¤VWDELOL]HG�DQG�WKH�YDULDQFHV��FRQILGHQFH�LQWHUYDOV�LQ�ILJXUH�������RQ�HVWLPDWHV�KDYH�GHFUHDVHG

WR�WKH�VDPH�OHYHO�DV�EHIRUH�WKH�V\VWHP�FKDQJH�

����� &RYDULDQFH�HVWLPDWLRQ

7KH�UHVXOWV�RI�HVWLPDWLQJ�PRGHO�SDUDPHWHUV��DQG�LQ�SDUWLFXODU��FR�YDULDQFHV��EDVHG�RQ�WKH�ILUVW���

EDWFKHV� ������ SLJV�� DUH� VKRZQ� �DV� GLYHUJHQFHV� IURP� WKH� VLWXDWLRQ� RI� SHUIHFW� LQIRUPDWLRQ�

$SSHQGL[���%�,,,��LQ�$SSHQGL[���%�,9�DQG���%�9��2QO\�LQ�WKH�FDVH�RI�(0��WKH�LQFUHDVHG�VDPSOH

VL]H��L�H��IURP�DSSUR[LPDWHO\����WR������LQGLYLGXDOV��UHVXOWV�LQ�EHWWHU�HVWLPDWHV�FRPSDUHG�WR�WKH

EDVLF�.DOPDQ�ILOWHU�HVWLPDWHV�SUHVHQWHG�DERYH�DQG�LQ�$SSHQGL[���%�,,��,Q�SDUWLFXODU�WKH�ODUJH

HUURUV�RQ�YDULDQFHV�KDV�EHHQ�UHGXFHG��H�J��IURP�������NJ�WR������NJ�RQ�&: ���EXW�QRW�HOLPLQDWHG��

$SSO\LQJ�DGGLWLRQDO�LQIRUPDWLRQ�DVVXPSWLRQV��OLNH�H�J��WKH�DVVXPSWLRQ�RI�D�FRQVWDQW�LQFUHDVH�LQ

YDULDQFHV�RYHU�WLPH��VHH�DOVR�WKH�'LVFXVVLRQ�EHORZ��PD\�UHYHDO�HYHQ�EHWWHU�UHVXOWV�

��� 'LVFXVVLRQ

,Q�WKH�0RGHOV�DQG�PHWKRGV�DQG�5HVXOWV�VHFWLRQV�LW�ZDV�GHPRQVWUDWHG�KRZ�GLIIHUHQW�OHYHOV�RI

LQIRUPDWLRQ�FDQ�EH�KDQGOHG�DQG�SDUDPHWHUV�HVWLPDWHG�E\�DSSO\LQJ�GLIIHUHQW�DVVXPSWLRQV�DQG

PHWKRGV��,Q�WKH�FDVH�RI�D�KLJK�OHYHO�RI�LQIRUPDWLRQ��OLYH�ZHLJKW�REVHUYHG�DW�DOO�VWDJHV�SULRU�WR

PDUNHWLQJ��WKH�¦EHOLHI�LQ�WKH�KHUG§�FDQ�EH�HVWLPDWHG�ZLWK�KLJK�DFFXUDF\�GLUHFWO\�EDVHG�RQ�GDWD�

ZKLOH�LQ�WKH�FDVH�RI�WKH�ORZHVW�OHYHO�RI�LQIRUPDWLRQ��DJJUHJDWH�GDWD��QR�LGHQWLILFDWLRQ�EHWZHHQ

IDUP�DQG�SDFNHU���DVVXPSWLRQV�RQ��FR�YDULDQFHV�DV�ZHOO�DV�VHOHFWLRQ�FULWHULRQ�ZHUH�DSSOLHG�LQ

RUGHU�WR�JHW�VDWLVIDFWRU\�HVWLPDWHV��7KH�VHQVLWLYLW\�RI�WKH�PHWKRGV�ZLWK�UHVSHFW�WR�HUURUV�LQ�WKH

VSHFLILF� DVVXPSWLRQV� KDV� EHHQ� DQDO\]HG� LQ� WKH� UHVXOWV� VHFWLRQ�� EXW� HUURUV� LQ� WKH� JHQHUDO

DVVXPSWLRQV�FRQFHUQLQJ�LGHQWLILFDWLRQ�RI�LQGLYLGXDOV�DQG�QRUPDOO\�GLVWULEXWHG�YDULDEOHV�KDYH�QRW

EHHQ�DQDO\]HG�QRU�GLVFXVVHG��

��� 'LVFXVVLRQ ��

$V�GLVFXVVHG�LQ�WKH�LQWURGXFWLRQ�SLJV�DUH�QRUPDOO\�QRW�LQGLYLGXDOO\�LGHQWLILHG��SLJV�DUH�VLPSO\

PHPEHUV�RI�D�JURXS��H�J��D�EDWFK���EXW�HYHQ�WKLV�JURXS�LGHQWLILFDWLRQ�PLJKW�EH�EOXUUHG�RU�HYHQ

PLVVLQJ��H�J��GXULQJ�PDUNHWLQJ��7KH�PHWKRGV�SUHVHQWHG�KHUH�UHO\�KHDYLO\�RQ�WKH�DVVXPSWLRQ�WKDW

WKH�JURXS�PHPEHUVKLS�RI�HDFK�LQGLYLGXDO�FDQ�EH�LGHQWLILHG�DQG�PLVVLQJ�JURXS�LGHQWLILFDWLRQ�PD\

EH�WKH�ELJJHVW�SUREOHP�LQ�DSSO\LQJ�LPSOHPHQWLQJ�WKH�SURSRVHG�PHWKRGV�LQ�SUDFWLFDO�VODXJKWHU�SLJ

PDUNHWLQJ�PDQDJHPHQW��$QRWKHU��PLQRU��SUREOHP�PD\�EH�LPSRVHG�E\�QRQ¤QRUPDO�GLVWULEXWLRQV

RI�WUDLWV��,Q�JHQHUDO�PDQDJHUV�PD\�WUHDW�GLIIHUHQW�SLJV�GLIIHUHQWO\��H�J��¦SRRU§�SHUIRUPLQJ�SLJV�DUH

¦KHOSHG§�WR�FDWFK�XS�ZLWK�EHWWHU�SHUIRUPLQJ�VHFWLRQ¤PDWHV��LQ�RUGHU�WR�LQFUHDVH�SURILWDELOLW\��$V

D�FRQVHTXHQFH�RI�WKLV�GLVFULPLQDWLRQ��DQG�VHOHFWLRQ��WKH�H[SHFWHG�QDWXUDO�QRUPDO�GLVWULEXWLRQ�RI

WUDLWV�DUH�GLVWXUEHG��+RZHYHU��EDVHG�RQ�DQ�DQDO\VLV�RI�WKH�HPSLULF�GDWD�PDWHULDO�SUHVHQWHG�LQ�WKH

0RGHOV� DQG�PHWKRGV� VHFWLRQ� DERYH�� WKH� DVVXPSWLRQ� RI� QRUPDOO\� GLVWULEXWHG� WUDLWV� FDQQRW� LQ

JHQHUDO�EH�UHMHFWHG�DQG�PRVW�HUURUV�UHVXOWLQJ�IURP�QRQ¤QRUPDO�GLVWULEXWLRQV�FDQ�EH�HOLPLQDWHG�E\

FKRRVLQJ�DSSURSULDWH�ORJLFDO�JURXSV�

$OO�WKUHH�(0�EDVHG�PHWKRGV�DUH�TXLWH�LQVHQVLEOH�WR�HUURUV�LQ�DVVXPSWLRQV�LQLWLDO�JXHVVHV�DQG

LQ�PRVW�FDVHV�UHWXUQ�DFFHSWDEOH�HVWLPDWHV��7KH�DFWXDO�FKRLFH�RI�D�PHWKRG��707��(0���(0��

(0���LQ�D�SDUWLFXODU�VLWXDWLRQ�GHSHQGV�PDLQO\�RQ�WKH�LQIRUPDWLRQDO�OHYHO��EXW�WKH�NQRZOHGJH

RI�FRQILGHQFH� LQ�D�JHQHUDO�RU�KHUG�VSHFLILF�DQLPDO�JURZWK�PRGHO�PLJKW� LQIOXHQFH� WKH�FKRLFH

EHWZHHQ�(0�� DQG�(0���707� DQG�(0�� DUH� IURP� D� FRPSXWDWLRQDO� SRLQW� RI� YLHZ� WKH�PRVW

DSSHDOLQJ�PHWKRGV�DV�WKH�VLPXODWLRQV�DQG�LWHUDWLRQV�RI�WKH�EDVLF�(0�DOJRULWKP��ZKLFK�FDQ�EH�YHU\

SURFHVVRU�FRQVXPLQJ�¤�KRXUV�RI�SURFHVVLQJ�WLPH�RQ�D�3HQWLXP�EDVHG�3HUVRQDO�&RPSXWHU��DUH

DYRLGHG��EXW�WKH�WZR�PHWKRGV�GR�QRW�UHWXUQ�HVWLPDWHV�RI��FR�YDULDQFHV�

7KH�RXWSXW�RI�WKH�PHWKRGV��L�H��SDUDPHWHU�HVWLPDWHV��LV�SULPDULO\�LQWHQGHG�IRU�LQSXW�LQ�D�'66

�VHH�WKH�LQWURGXFWLRQ���EXW�DV�LW�UHSUHVHQWV�WKH�FXUUHQW��XSGDWHG��EHOLHI�LQ�WKH�KHUG�LW�PD\�DV�ZHOO

VHUYH�RWKHU�PDQDJHPHQW�SXUSRVHV��LQFOXGLQJ�D�JHQHUDO�PRQLWRULQJ�RI�DQLPDO�SHUIRUPDQFH�

7KH�SURSRVHG�DQLPDO�JURZWK�PRGHO�ZDV�IRUPXODWHG�DV�D�VWULFWO\�HPSLULF�PRGHO�VSHFLILFDOO\�IRU

WKH�SXUSRVH�RI�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW�VXSSRUW��EXW�LW�PD\�YHU\�ZHOO�SURYH�XVHIXO

DV�D�VWRFKDVWLF�H[WHQVLRQ�RI�WUDGLWLRQDO�GHWHUPLQLVWLF��PHFKDQLVWLF�DQG�FRQWLQXRXV�JURZWK�PRGHOV

�VHH�WKH�LQWURGXFWLRQ���,Q�WKH�VLPSOHVW�FDVH��SUHGLFWLRQV�RI�H[SHFWDWLRQV�RI�WKH�SURSRVHG�DQLPDO

JURZWK�PRGHO�FDQ�EH�DVVHVVHG�E\�DSSO\LQJ�DQ�HPSLULF�DQG�GHWHUPLQLVWLF�JURZWK�PRGHO�LQ�D�PRUH

WUDGLWLRQDO�IDVKLRQ��L�H��JLYHQ�VRPH�FKDQJHV�LQ�WKH�V\VWHP��H�J��IHHGLQJ���,Q�WKH�PRUH�JHQHUDO

VLWXDWLRQ�WKH�VSHFLDO�VWUXFWXUH�RI�YDULDQFHV�DQG�FRUUHODWLRQV�LQ�WKH�DQLPDO�JURZWK�PRGHO�DQG�DV

H[HPSOLILHG�LQ�ILJ�������FDQ�EH�XWLOL]HG��9DULDQFHV�DQG�FRUUHODWLRQV�RI�WKH�PRGHO�FDQ�EH�PRGHOHG

E\�IXQFWLRQDO�UHODWLRQV��DV�LQGLFDWHG�E\�WKH�OLQHV�FRQQHFWLQJ�WKH�SRLQWV�LQ�WKH�ILJXUH���9DULDQFHV

DUH� WKHQ� JLYHQ� DV� D� IXQFWLRQ� RI� WLPH� �VWDJH� LQ� WKH� GLVFUHWH� DQLPDO� JURZWK�PRGHO� ������� DQG

FRUUHODWLRQV�DV�D�IXQFWLRQ�RI�WZR�WLPHV��WZR�VWDJHV���$Q�H[DPSOH�WR�LOOXVWUDWH�WKLV��8VLQJ�WKH

IXQFWLRQDO�UHODWLRQVKLSV�LQ�ILJ�������WKH�FRUUHODWLRQ�EHWZHHQ�OLYH�ZHLJKW�DW�VWDJH���DQG�FDUFDVV

ZHLJKW�DW�VWDJH�����ZRXOG�EH�DSSUR[LPDWHO\��������LQGLFDWHG�E\�D�¦�§�LQ�WKH�ILJXUH���

���

����

����

����

����

����

����

� � � � �

6 WDJH� &:

FRUU

�:�&:

� 6 WDJH �� :

6 WDJH �� :

6 WDJH �� :

6 WDJH �� :

6 WDJH �� :

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

)LJXUH ����� &RUUHODWLRQV EHWZHHQ : DQG &:� 'DWD IURP WKH ¦SHUIHFW LQLWLDO JXHVV§ RI DSSHQGL[ ��$�,�

7KH�.DOPDQ�ILOWHU�SURYHG�WR�EH�XVHIXO�LQ�G\QDPLFDOO\�XSGDWLQJ�SDUDPHWHU�HVWLPDWHV��,Q�WKH

VLWXDWLRQV�RI�D�VWHDG\�SURGXFWLRQ��L�H��QR�FKDQJH�LQ�JURZWK�UDWHV��PRUH�VLPSOH�PHWKRGV�OLNH�D

PRYLQJ�DYHUDJH�RU�WKH�(0�DOJRULWKP�DSSOLHG�WR�DOO�SLJV�RI�WKH�ODVW���RU����PDUNHWLQJV�PD\�UHWXUQ

WKH�VDPH�RU�HYHQ�EHWWHU�UHVXOWV��EXW�LQ�WKH�FDVH�RI�D�V\VWHP�FKDQJH�WKH�WUXH�SRZHU�RI�WKH�ILOWHU�ZDV

UHYHDOHG��7KH�DELOLW\�WR�TXLFNO\�DGMXVW�WR�VXGGHQ�FKDQJHV�DQG�WKH�RSWLRQ�RI�WKH�PRGHO�EXLOGHU�XVHU

WR�LQWHUYHQH�DQG�VXSSO\�DGGLWLRQDO�LQIRUPDWLRQ��7KH�VLPSOHVW�ILOWHU��WKH�VWHDG\�'/0��ZDV�FKRVHQ

IRU�WKH�SXUSRVH��EXW�RWKHU�PRUH�VRSKLVWLFDWHG�PRGHOV��LQFOXGLQJ�PXOWL�OHYHO�PRGHOV�DQG�VHDVRQDO

PRGHOV��VHH�H�J��+DUULVRQ��:HVW��������FDQ�EH�DSSOLHG�LQ�RUGHU�WR�LPSURYH�PRGHO�SHUIRUPDQFH

DQG�ORQJHU�WHUP�SUHGLFWLRQV��H�J��IURP�PRQWK�WR�PRQWK�RU�TXDUWHU�WR�TXDUWHU��

6LPXODWHG�GDWD�ZHUH�XVHG�IRU�PRGHO�WHVWLQJ�SULPDULO\�LQ�RUGHU�WR�JHW�IXOO�LQIRUPDWLRQ�RQ�DOO�WUDLWV

¤�LQIRUPDWLRQ�WKDW�GXH�WR�WKH�ODWHQW�WUDLWV�GRHV�QRW�H[LVW�LQ�WKH�¦UHDO�ZRUOG§��7KH�SHUIRUPDQFH�RI

WKH�PHWKRGV�ZDV�HYDOXDWHG�ZLWK�UHVSHFW�WR�WKH��NQRZQ��¦ZRUOG�RI�WKH�VLPXODWLRQ�PRGHO§�DQG

VKRXOG�QRW�EH�LQWHUSUHWHG�DV�WKH�¦WUXH§�SHUIRUPDQFH�RI�WKH�PHWKRGV�ZLWKRXW�SUHFDXWLRQV��ILQDO

FRQFOXVLRQV� VKRXOG� EH� EDVHG� RQ� HPSLULF� GDWD� DQG� WHVWLQJV�YDOLGDWLRQV� LQ� ¦WKH� UHDO� ZRUOG§�

+RZHYHU��DVVXPLQJ�WKDW�WKH�DSSOLHG�VLPXODWLRQ�PRGHO�LV�DSSUR[LPDWHO\�UHSUHVHQWLQJ�¦WKH�UHDO

ZRUOG§�WKH�SURSRVHG�PRGHOV�DQG�PHWKRGV�FDQ�IRUP�WKH�EDVLV�RI�D�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI

PDQDJHPHQW�V\VWHP��ZKLFK�PLJKW�VHUYH�DV�D�GLUHFW�SUHSURFHVVRU�RI�WKH�'66�SUHVHQWHG�LQ�FKDSWHU

���ZLWK�WKH�DQLPDO�JURZWK�PRGHO�DV�DQ�LQWHUIDFH���DV�D�PRUH�JHQHUDO�PRQLWRULQJ�DQG�PDQDJHPHQW

VXSSRUW�V\VWHP�DQG�DV�D�JHQHUDO�PHWKRG�IRU�HVWLPDWLQJ�PRGHO�SDUDPHWHUV�EDVHG�RQ�KLJKO\�ELDVHG

GDWD�

��� 5HIHUHQFHV ��

��� 5HIHUHQFHV

%ODFN��-�/����������3ULQFLSOHV�RI�PRGHOLQJ�DQG�QXWULHQW�SDUWLWLRQLQJ��,Q��0RXJKDQ��3�-���0�:�$�

9HUVWHJHQ��0�,��9LVVHU¤5H\QHYHOG��HG����0RGHOLQJ�JURZWK�LQ�WKH�SLJ��:DJHQLQJHQ�3HUV��1/�

�¤��

%ODFN��-�/���5�*��&DPSEHOO��,�+��:LOOLDPV��.�-��-DPHV��*�7��'DYLHV���������6LPXODWLRQ�RI

HQHUJ\�DQG�DPLQR�DFLG�XWLOL]DWLRQ�LQ�WKH�SLJ��5HVHDUFK�DQG�'HYHORSPHQW�LQ�$JULFXOWXUH��������

���¤����

'HPSVWHU��$�3���1�0��/DLUG��'�%��5XELQ���������0D[LPXP�/LNHOLKRRG�IURP�LQFRPSOHWH�GDWD

YLD�WKH�(0�DOJRULWKP��ZLWK�GLVFXVVLRQ���-��RI�WKH�5R\DO�6WDW��6RFLHW\��6HULHV�%�������¤���

*HHUV��5����������(OHFWURQLF�PRQLWRULQJ�RI�IDUP�DQLPDOV��D�UHYLHZ�RI�UHVHDUFK�DQG�GHYHORSPHQW

UHTXLUHPHQWV�DQG�H[SHFWHG�EHQHILWV��&RPSXWHUV�DQG�(OHFWURQLFV�LQ�$JULFXOWXUH�������¤��

+DUULVRQ��3��-���&�)��6WHYHQV���������%D\HVLDQ�)RUHFDVWLQJ��ZLWK�GLVFXVVLRQ���-RXUQDO�RI�WKH

5R\DO�6WDWLVWLFDO�6RFLHW\��6HULHV�%���������¤����

-�UJHQVHQ��(����������7KH�LQIOXHQFH�RI�ZHLJKLQJ�SUHFLVLRQ�RQ�GHOLYHU\�GHFLVLRQV�LQ�VODXJKWHU�SLJ

SURGXFWLRQ��$FWD�$JUL��6FDQG���6HFWLRQ�$�������������¤����

-�UJHQVHQ��(���$�5��.ULVWHQVHQ���������$Q�2EMHFW�2ULHQWHG�6LPXODWLRQ�0RGHO�RI�D�3LJ�+HUG

ZLWK�(PSKDVLV�RQ�,QIRUPDWLRQ�)ORZ��'LQD�5HVHDUFK�5HSRUW�1R������'LQD��&RSHQKDJHQ����SS�

.DOPDQ��5��(���������$�QHZ�DSSURDFK�WR�OLQHDU�ILOWHULQJ�DQG�SUHGLFWLRQ�SUREOHPV��-��%DVLF�(QJ��

6HULHV�'��������¤���

.DQGD��7�� ��������*URZWK�FXUYH�PRGHO�ZLWK�FRYDULDQFH� VWUXFWXUHV��+LURVKLPD�0DWK��-������

���¤����

/LVNL��(�3����������(VWLPDWLRQ�IURP�LQFRPSOHWH�GDWD�LQ�JURZWK�FXUYHV�PRGHOV��&RPPXQ��6WDWLVW�

¤�6LPXODWLRQ�&RPSXW���������¤���

/LWWOH��5�-�$���'�%��5XELQ���������6WDWLVWLFDO�DQDO\VLV�ZLWK�PLVVLQJ�GDWD��-RKQ�:LOH\��6RQV�

1HZ�<RUN�����SS�

0RXJKDQ�� 3�-��� :�&�� 6PLWK� � *�� 3HDUVRQ� �������� 'HVFULSWLRQ� DQG� YDOLGDWLRQ� RI� D� PRGHO

VLPXODWLQJ�JURZWK�LQ�WKH�SLJ����¤���NJ�OLYH�ZHLJKW���1HZ�=HDODQG�-RXUQDO�RI�$JUL��5HVHDUFK�

�������¤����

0RXJKDQ��3�-���0�:�$��9HUVWHJHQ��0�,��9LVVHU¤5H\QHYHOG��HG�����������0RGHOLQJ�JURZWK�LQ

WKH�SLJ��:DJHQLQJHQ�3HUV��1/�����SS�

2OWMHQ��-�:����������$GDSWLYH�FRQWURO��,Q��$GYDQFHG�FRPSXWHU�DSSOLFDWLRQV�LQ�DQLPDO�DJULFXOWXUH�

,QIRPDUW��'DOODV��7H[DV��)HEUXDU\���¤�������¤����

3RWWKRII��5�)���6�1��5R\���������$�JHQHUDOL]HG�PXOWL�YDULDWH�DQDO\VLV�RI�YDULDQFH�PRGHO�XVHIXO

HVSHFLDOO\�IRU�JURZWK�FXUYH�SUREOHPV��%LRPHWULND���������¤����

5DHPDNHUV��3�-�/���-�+��+XLVNHV��0�:�$��9HUVWHJHQ��/�$��GHQ�+DUWRJ��3�&��9HVVHXU���-�:�*�0�

6ZLQNHOV���������(VWLPDWLQJ�LQGLYLGXDO�ERG\�ZHLJKWV�RI�JURXS¤KRXVHG�JURZLQJ¤ILQLVKLQJ�SLJV

XVLQJ�D�IRUHOHJV�ZHLJKLQJ�V\VWHP��&RPSXWHUV�DQG�HOHFWURQLFV�LQ�DJULFXOWXUH�������¤���

YRQ�5RVHQ��'����������7KH�JURZWK�FXUYH�PRGHO��D�UHYLHZ��&RPPXQ��6WDWLVW��¤�7KHRU\�0HWK�����

���������¤�����

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

6DDWNDPS��+�:����������6LPXODWLRQ�VWXGLHV�RQ�WKH�SRWHQWLDO�UROH�RI�QDWLRQDO�LGHQWLILFDWLRQ�DQG

UHFRUGLQJ� V\VWHPV� LQ� WKH� FRQWURO� RI� &ODVVLFDO� 6ZLQH� )HYHU�� 3K�'�� WKHVLV�� :DJHQLQJHQ

$JULFXOWXUDO�8QLYHUVLW\��WKH�1HWKHUODQGV�����SS�

6PLWK��%��6���:��5��-RQHV��-�'��+RXJK��'�/��+XIIPDQ��:�%��0LNHO��'�5��0XOYDQH\��������

3UHGLFWLRQ�RI�FDUFDVV�FKDUDFWHULVWLFV�E\�UHDO¤WLPH�XOWUDVRXQG�LQ�EDUURZV�DQG�JLOWV�VODXJKWHUHG

DW�WKUHH�ZHLJKWV��-��$QLP��6FL�����������¤�����

6WDXQ��+����������3HUVRQDO�FRPPXQLFDWLRQ�

7DQQHU��0�$����������7RROV�IRU�VWDWLVWLFDO�LQIHUHQFH��0HWKRGV�IRU�WKH�H[SORUDWLRQ�RI�SRVWHULRU

GLVWULEXWLRQV�DQG�OLNHOLKRRG�IXQFWLRQV��6SULQJHU¤9HUODJ��1HZ�<RUN�����SS�

8GHVHQ��)����������6WLYLV�OHYHULQJ��0HGGHOHOVH�QU�������/DQGVXGYDOJHW�IRU�VYLQ���,Q�'DQLVK��

YDQ� GHU� 6W\XIW�� (��� &�3�� 6FKRILHOG�� -�0�� 5DQGDOO�� 3�� :DPEDFT� � 9�� *RHGVHHOV� �������

'HYHORSPHQW�DQG�DSSOLFDWLRQ�RI�FRPSXWHU�YLVLRQ�V\VWHPV�IRU�XVHV�LQ�OLYHVWRFN�SURGXFWLRQ�

&RPSXWHUV�DQG�(OHFWURQLFV�LQ�$JULFXOWXUH�������¤����

:HVW��0���-��+DUULVRQ���������%D\HVLDQ�IRUHFDVWLQJ�DQG�'\QDPLF�0RGHOV��6SULQJHU¤9HUODJ�

1HZ�<RUN�����SS�

��$ 3DUDPHWHUV�RI�WKH�LQLWLDO�JXHVVHV ��

����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ����� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ���� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ���� ���� ����� ����� �����

������ ���� ���� ���� ���� ���� ���� ���� ���� ����� �����

����� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ����� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ���� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ���� ���� ����� ����� �����

����� ���� ���� ���� ���� ���� ���� ���� ���� ����� �����

����� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

$SSHQGL[���$��3DUDPHWHUV�RI�WKH�LQLWLDO�JXHVVHV�RQ�GLVWULEXWLRQV

��$�, ¦3HUIHFW�LQLWLDO�JXHVV§

0/�HVWLPDWHV�EDVHG�RQ�WKH�ILUVW������VLPXODWHG�SLJV��DSSUR[LPDWHO\�WKH�VDPH�QXPEHU�RI�SLJV�DV

LQ� WKH� ILUVW����.DOPDQ�ILOWHU�XSGDWHV��ZLWK�DOO� WUDLWV�REVHUYHG�DW�DOO� VWDJHV� �L�H��ZLWK�¦SHUIHFW

LQIRUPDWLRQ§��� ([SHFWDWLRQV� �LQ� ILUVW� FROXPQ��� YDULDQFHV� �LQ� GLDJRQDO��� FRYDULDQFHV� �DERYH

GLDJRQDO��DQG�FRUUHODWLRQV��EHORZ�GLDJRQDO�DQG�LQ�LWDOLF�IRQW���

��$�,, ¦3RRU�LQLWLDO�JXHVV§

([SHFWDWLRQV�DQG�FRUUHODWLRQV�UHGXFHG�E\�DSSUR[LPDWHO\�����DQG�YDULDQFHV�E\�DSSUR[LPDWHO\

����FRPSDUHG�WR�WKH�SDUDPHWHUV�RI�WKH�¦SHUIHFW�LQLWLDO�JXHVV�RQ�GLVWULEXWLRQ§�DERYH��([SHFWDWLRQV

�LQ�ILUVW�FROXPQ���YDULDQFHV��LQ�GLDJRQDO���FRYDULDQFHV��DERYH�GLDJRQDO��DQG�FRUUHODWLRQV��EHORZ

GLDJRQDO�DQG�LQ�LWDOLF�IRQW���

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

���� ����� ���� ����� ���� ����� ���� ���� ���� ����� ����

����� ����� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ����� ���� ����� ���� ���� ���� ���� ����

����� ���� ���� ����� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ����� ���� ���� ���� ���� ����

����� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

����� ���� ���� ���� ���� ���� ���� ���� ����� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ����� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ����� ���� ����

����� ���� ���� ���� ���� ���� ���� ���� ����� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ����� ���� ����

����� ���� ���� ���� ���� ���� ���� ���� ����� ���� ����

����� ���� ���� ����� ���� ���� ���� ���� ����� ���� ����

����� ���� ���� ���� ���� ���� ���� ���� ����� ���� ����

����� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

����� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

$SSHQGL[���%��(VWLPDWHG�SDUDPHWHU�YDOXHV

��%�, (VWLPDWHG�YDOXHV�IRU�(0�

(VWLPDWHV�DIWHU����.DOPDQ�ILOWHU�XSGDWHV��ZLWK�(0�LWHUDWLRQV�LQ�HDFK�XSGDWH���ZLWK�WKH�¦SRRU

LQLWLDO�JXHVV§�DQG�ZLWK�DOO�OLYH�ZHLJKWV�REVHUYHG�SULRU�WR�PDUNHWLQJ�DQG�OLYH�ZHLJKW�DQG�FDUFDVV

ZHLJKW�REVHUYHG�DW�PDUNHWLQJ��VHH�DOVR�ILJ������LQ�WKH�UHVXOWV�VHFWLRQ���'HYLDWLRQV�IURP�WKH�¦WUXH§

YDOXHV�LQ���$�,�

��%�,, (VWLPDWHG�YDOXHV�IRU�(0�

(VWLPDWHV�DIWHU����.DOPDQ�ILOWHU�XSGDWHV��ZLWK�D�¦SRRU�LQLWLDO�JXHVV§�DQG�OLYH�ZHLJKW�DQG�FDUFDVV

ZHLJKW�REVHUYHG�DW�PDUNHWLQJ��'HYLDWLRQV�IURP�WKH�¦WUXH§�YDOXHV�LQ���$�,�

��% (VWLPDWHG�SDUDPHWHU�YDOXHV ��

����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ����� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ����� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ����� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ����� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ����� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ���� ����� ����� ����� �����

����� ���� ���� ���� ���� ���� ���� ���� ����� ����� �����

������ ���� ���� ���� ���� ���� ���� ���� ���� ����� �����

����� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

���� ���� ���� ���� ���� ����� ���� ���� ���� ���� ����

����� ����� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ����� ���� ���� ���� ���� ����

����� ����� ���� ����� ���� ���� ���� ���� ���� ���� ����

����� ����� ���� ���� ���� ����� ���� ���� ���� ���� ����

����� ����� ���� ����� ���� ����� ���� ���� ���� ���� ����

���� ����� ���� ���� ���� ����� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ����� ���� ���� ���� ����� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

��%�,,, (VWLPDWHG�YDOXHV�IRU�(0���QR�.DOPDQ�ILOWHULQJ�DQG�SHUIHFW�LQIRUPDWLRQ

(VWLPDWHG�SDUDPHWHU�YDOXHV�DIWHU���LWHUDWLRQV��EDVHG�RQ�WKH�ILUVW����EDWFKHV�������SLJV��ZLWK�WKH

¦SHUIHFW� LQLWLDO� JXHVV§�� ¦SHUIHFW� LQIRUPDWLRQ§� DQG� ZLWKRXW� LQWHUPHGLDWH� .DOPDQ� ILOWHULQJ�

([SHFWDWLRQV� �LQ� ILUVW� FROXPQ��� YDULDQFHV� �LQ� GLDJRQDO��� FRYDULDQFHV� �DERYH� GLDJRQDO�� DQG

FRUUHODWLRQV��EHORZ�GLDJRQDO�DQG�LQ�LWDOLF�IRQW��

��%�,9 (VWLPDWHG�YDOXHV�IRU�(0���QR�.DOPDQ�ILOWHULQJ

(VWLPDWHG�SDUDPHWHU�YDOXHV�DIWHU�����LWHUDWLRQV��EDVHG�RQ�WKH�ILUVW����EDWFKHV�������SLJV��ZLWK�WKH

¦SRRU�LQLWLDO�JXHVV§�DQG�ZLWKRXW�LQWHUPHGLDWH�.DOPDQ�ILOWHULQJ��'HYLDWLRQV�IURP�WKH�YDOXHV�LQ

��%�,,,�

�� &KDSWHU����$�VODXJKWHU�SLJ�PDUNHWLQJ�EHOLHI�PDQDJHPHQW�V\VWHP

���� ����� ����� ����� ����� ����� ���� ����� ���� ���� ����

����� ����� ���� ����� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ����� ����� ����� ���� ����� ����� ����� �����

���� ����� ���� ����� ���� ���� ���� ����� ���� ���� ����

���� ���� ���� ����� ����� ���� ���� ����� ���� ���� ����

����� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ����� ���� ����� ���� ����� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

��%�9 (VWLPDWHG�YDOXHV�IRU�(0���QR�.DOPDQ�ILOWHULQJ

(VWLPDWHG�SDUDPHWHU�YDOXHV�DIWHU�����LWHUDWLRQV��EDVHG�RQ�WKH�ILUVW����EDWFKHV�������SLJV��ZLWK�WKH

¦SRRU�LQLWLDO�JXHVV§�DQG�ZLWKRXW�LQWHUPHGLDWH�.DOPDQ�ILOWHULQJ��'HYLDWLRQV�IURP�WKH�YDOXHV�LQ

��%�,�

2SWLPDO�6ODXJKWHU�3LJ�0DUNHWLQJ

$EVWUDFW��¦7KH�SUREOHP�RI�RSWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW§�FDQ

EH�SDUWLWLRQHG�LQWR�WZR�VXESUREOHPV�RI���L��+RZ�WR�VHOHFW�DQG�ZKHQ�WR�PDUNHW

LQGLYLGXDO�SLJV�IURP�EDWFKHV�DQG��LL��ZKHQ�WR�WHUPLQDWH��PDUNHW�WKH�UHPDLQGHU

RI��WKH�EDWFK�DQG�LQVHUW�D�QHZ�EDWFK�RI�ZHDQHUV��7KH�WZR�SUREOHPV�FDQ�EH

VROYHG�LQGHSHQGHQWO\�RI�HDFK�RWKHU�DQG�EDVHG�RQ�EDVLF�SURGXFWLRQ�HFRQRPLFV

DQG�DVVHW�UHSODFHPHQW�WKHRU\��2SWLPL]DWLRQ�PHWKRGV�IRU�VROYLQJ�WKH�PDUNHWLQJ

PDQDJHPHQW�SUREOHP�DUH�SUHVHQWHG�DQG�VSHFLDO�PHWKRGV�DUH�DSSOLHG�LQ�RUGHU

WR�FRSH�ZLWK�GLIIHUHQW�VHOHFWLRQ�FULWHULD��ZLWK�WKH�XQFHUWDLQW\�DQG�YDULDWLRQ�WKDW

H[LVWV� LQ� ELRORJLFDO� V\VWHPV� DV� WKH� VODXJKWHU� SLJ� RSHUDWLRQ� DQG� ZLWK� WKH

RSHUDWLRQDO�FRQVWUDLQWV�WKDW�DSSO\�WR�WKH�VODXJKWHU�SLJ�RSHUDWLRQ��7KH�UHVXOWV

VKRZ�WKDW�VHOHFWLRQ�RQ�FDUFDVV�OHDQQHVV�DV�ZHOO�DV�OLYH�ZHLJKW�LV�RQO\�VOLJKWO\

VXSHULRU�WR�VHOHFWLRQ�RQ�OLYH�ZHLJKW�RQO\�DQG�YHU\�OLWWOH�ILQDQFLDO�URRP�LV�OHIW

IRU�SHUIRUPLQJ�WKH�RQ¤IDUP�OHDQQHVV�PHDVXULQJ��7KH�VHOHFWLRQ�FULWHULD�LV�TXLWH

XQDIIHFWHG�E\�FKDQJHV�LQ�PRGHO�SDUDPHWHUV��H�J��SULFHV�DQG�JURZWK�UDWHV��

ZKLOH�WKH�RSWLPDO�WHUPLQDO�PDUNHWLQJ�VWDJH�LV�PRUH�DIIHFWHG�E\�VXFK�FKDQJHV�

5HVXOWV�DUH�EDVHG�RQ�VLPXODWHG�GDWD�DQG�VKRXOG�QRW�EH�LQWHUSUHWHG�ZLWKRXW

SUHFDXWLRQV�

��� ,QWURGXFWLRQ

7KH�SUREOHP�RI�RSWLPDO�PDUNHWLQJ�RI�VODXJKWHU�SLJV�KDV�EHHQ�H[DPLQHG�E\�D�ZLGH�UDQJH�RI

DXWKRUV��H�J��5DVPXVVHQ��������%XGGH��������:HQGW��������-ROO\�HW�DO���������&KDYDV�HW�DO��������

6XQGHUPHLHU�HW�DO���������*LHVHQ�HW�DO���������%URHNPDQV��������-�UJHQVHQ��������%RODQG�HW�DO��

������GH�/DQJH��6FKUHXUV��������EDVHG�RQ�WKH�PRGHO�RI�%ODFN�HW�DO�����������0DQ\�GLIIHUHQW

DSSURDFKHV�KDYH�EHHQ�WDNHQ��EXW�LQ�JHQHUDO�PRVW�WHQG�QRW�WR�

¤ FOHDUO\�GHILQH�WKH�SUREOHP�RI�PDUNHWLQJ�PDQDJHPHQW�DQG�WR�VHSDUDWH�DQG�KDQGOH�GLIIHUHQW

DVSHFWV�RI�WKH�SUREOHP�

¤ GLVFXVV�DQG�KDQGOH�WKH��LQ�PRVW�VLWXDWLRQV��VWURQJ�GHSHQGHQFH�EHWZHHQ�WKH��LQWHUQDO��VXSSO\

����

����

����

����

����

�����

�����

�� �� �� �� ��

&DUFDVVZHLJKW �NJ�

3ULFH�'

..�NJ�

�����

�����

����

����

�� �� �� ��

&DUFDVV OHDQQHVV ���

3ULFHSUHPLXP

�'..�NJFDUFDVV�

�D� �E�

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

)LJXUH ���� 7KH SULFLQJ V\VWHP� �D� 6ODXJKWHU SLJ EDVH SULFHV SDLG E\ 'DQLVK SDFNHUV �DV RI ������� DQG

LQFOXGLQJ D GHOD\HG SD\PHQW RI ���� '..�NJ FDUFDVV ZHLJKW�� �E� 3ULFH SUHPLXPV SDLG E\ 'DQLVK SDFNHUV

�DV RI ���������

RI�ZHDQHUV��IURP�WKH�IDUURZLQJ�RSHUDWLRQ��DQG�WKH�ILQLVKLQJ�RSHUDWLRQ�

¤ KDQGOH�WKH�VWRFKDVWLF�YDULDQFH�DQG�XQFHUWDLQW\�RI�ELRORJLFDO�SURFHVVHV�

%DVHG� RQ� D� FORVH� H[DPLQDWLRQ� RI� WKH� IHHGHU� SLJ� ILQLVKLQJ� RSHUDWLRQ� DV� D� V\VWHP�� D� SUHFLVH

GHILQLWLRQ�RI�WKH�SUREOHP�RI�VODXJKWHU�SLJ�PDUNHWLQJ�PD\�EH�UHYHDOHG�DQG�PRGHOV�DQG�PHWKRGV

IRU�VROYLQJ�WKH�SUREOHP�ZLWK�WKH�DLP�RI�D�GHFLVLRQ�VXSSRUW�V\VWHP�DQG�ZLWK�UHVSHFW�WR�WKH��

DVSHFWV�PHQWLRQHG�DERYH�GHYHORSHG�

����� 6ODXJKWHU�SLJ�PDUNHWLQJ�GHILQHG

7KH�IHHGHU��RU�VODXJKWHU��SLJ�ILQLVKLQJ�RSHUDWLRQ�LV�DVVXPHG�ORJLFDO�DQG�RSHUDWLRQDO�SDUWLWLRQHG

DFFRUGLQJ�WR�D�SK\VLFDO�VHFWLRQLQJ�RI�WKH�RSHUDWLRQ�IDFLOLWLHV��H�J��FRQILQHPHQWV���7KH�JURXS�RI

SLJV�LQ�D�VHFWLRQ�LV�GHILQHG�DV�D�EDWFK��DOO�SLJV�LQ�D�EDWFK�PXVW�EH�PDUNHWHG��RU�PRYHG�WR�DQRWKHU

VHFWLRQ��EHIRUH�LQVHUWLRQ�RI�D�QHZ�EDWFK��JURXS�RI�ZHDQHUV��LV�SRVVLEOH��EXW�SLJV�LQ�D�EDWFK�PLJKW

EH�PDUNHWHG�LQGLYLGXDOO\��7KH�SHULRG�IURP�WKH�ILUVW�WR�WKH�ODVW�IHDVLEOH�PDUNHWLQJ�IURP�D�EDWFK�LV

SDUWLWLRQHG�LQWR�PDUNHWLQJ�VWDJHV��HDFK�VWDJH�UHSUHVHQWLQJ�WKH�PRPHQW��H�J��D�FHUWDLQ�GD\�RI�WKH

ZHHN��DW�ZKLFK�WKH�PDQDJHU�KDV�WKH�RSWLRQ��EXW�QRW�WKH�REOLJDWLRQ��WR�PDUNHW�SLJV�IURP�WKH�EDWFK�

8VXDOO\�WKH�GXUDWLRQ�RI�WKH�PDUNHWLQJ�RI�DOO�SLJV�LQ�D�EDWFK�ZLOO�EH�QR�PRUH�WKDQ���ZHHNV��L�H���

PDUNHWLQJV���7KH�ODVW�PDUNHWLQJ�IURP�D�EDWFK��L�H��PDUNHWLQJ�RI�DOO�UHPDLQLQJ�SLJV�LQ�WKH�VHFWLRQ�

LV�GHILQHG�DV�WKH�WHUPLQDO�PDUNHWLQJ��WKH�EDWFK�LV�WHUPLQDWHG��DQG�LW�LV�VXFFHHGHG�E\�DQ�LQVHUWLRQ

RI�QHZ�SLJV�RU�ZHDQHUV�

3LJV�DUH�PDUNHWHG�WR�RQH�RU�PRUH�SDFNHUV��VODXJKWHU�KRXVHV��DQG�WKH�SULFHV�SDLG�IRU�SLJV�DUH

EDVHG�RQ�D�SDFNHU¤VSHFLILF�SULFLQJ�V\VWHP��7KH�SULFLQJ�V\VWHP�ZLOO�QRUPDOO\�IDYRULWH�SLJV�ZLWKLQ

FHUWDLQ�FDUFDVV�ZHLJKW�DQG�OHDQQHVV�LQWHUYDOV�DV�VKRZQ�LQ�ILJXUH������7KH�UHVXOWV��H�J��OHDQQHVV©�

FDUFDVV�ZHLJKWV�DQG�ILQDQFLDO�RXWFRPHV��RI�D�PDUNHWLQJ�DUH�UHSRUWHG�RQ�DQ�HYDOXDWLRQ�VKHHW��

)HHGHU�SLJ�ILQLVKLQJ�RSHUDWLRQV�DUH�LQ�JHQHUDO�SDUWLWLRQHG�LQWR�WZR�JURXSV��

¤ %DWFK�RSHUDWLRQV��LQ�ZKLFK�SLJV�DUH�KRXVHG�LQ�SK\VLFDOO\�VHSDUDWHG�VHFWLRQV�PDLQO\�LQ�RUGHU

WR�UHGXFH�WUDQVPLVVLRQV�RI�FRQWDJLRXV�GLVHDVHV�EHWZHHQ�VHFWLRQV�DQG�IURP�SLJV�WR�ZHDQHUV�

$OO�SLJV��WKH�EDWFK�� LQ�D�VHFWLRQ�PXVW�EH�PDUNHWHG�EHIRUH�LQVHUWLRQ�RI�D�QHZ�JURXS�RI

ZHDQHUV��D�QHZ�EDWFK��DQG�UHSODFHPHQW�RI�LQGLYLGXDOV��L�H��UHSODFLQJ�D�VLQJOH�SLJ�RU�D�JURXS

RI�SLJV�E\�D�QHZ�SLJ�JURXS�RI�SLJV��ZLWKRXW�UHSODFLQJ�WKH�UHVW�RI�WKH�EDWFK��LV�QRW�SRVVLEOH

DW�DOO��+RZHYHU�� LQ�VRPH�VLWXDWLRQV� WKH�VPDOO� UHPDLQLQJ�RI�EDWFK� LV�PRYHG� WR�DQRWKHU

VHFWLRQ�IURP�ZKHUH�PDUNHWLQJ�KDV�VWDUWHG�LQ�RUGHU�WR�HPSW\�WKH�VHFWLRQ�D�ZHHN�HDUOLHU�

��� ,QWURGXFWLRQ ��

)LJXUH ���� 7KH IORZ RI ZHDQHUV IURP WKH IDUURZLQJ RSHUDWLRQ �YLD WKH ZHDQHU PDUNHW� WR WKH ILQLVKLQJ

RSHUDWLRQ�

1RUPDOO\�WKH�QXPEHU�RI�VHFWLRQV�LV��DW�OHDVW�DW�WKH�RSHUDWLRQDO�DQG�WDFWLFDO�SODQQLQJ�OHYHO�

IL[HG�DQG�LW�LV�GHULYHG�IURP�WKH�H[SHFWHG�RSWLPDO�GXUDWLRQ�RI�D�EDWFK�DQG�WKH�SODQQHG�WLPH

EHWZHHQ�EDWFKHV���L�H��QXPEHU�RI�VHFWLRQV� �GXUDWLRQ�RI�D�EDWFK�WLPH�EHWZHHQ�WHUPLQDWLRQ

RI�EDWFKHV��H�J������� ���VHFWLRQV���6HFWLRQV�DUH�GLPHQVLRQHG�DFFRUGLQJ�WR�WKH�H[SHFWHG

VXSSO\�RI�ZHDQHUV��VHH�EHORZ��DQG�WKH�RSHUDWLRQ�LV�UXQ�RQ�D�YHU\�WLJKW�VFKHGXOH��WKH�WLPH

RI�WKH�WHUPLQDO�PDUNHWLQJ�RI�D�EDWFK�LV�LPSOLFLWO\�JLYHQ�

¤ &RQWLQXRXV�IORZ�RSHUDWLRQV��LQ�ZKLFK�QR�VWULFW�VHFWLRQLQJ��H[FHSW�WKH�VHSDUDWLRQ�RI�SLJV

LQ�SHQV��DQG�FRQVHTXHQWO\�QR�VWULFW�JURXSLQJ�RI�SLJV�LQ�EDWFKHV�H[LVWV��3LJV�RI�GLIIHUHQW�DJHV

DUH�KRXVHG�WRJHWKHU�DQG�EHFDXVH�RI�WKH�VPDOOHU�XQLWV��SHQV�LQVWHDG�RI�VHFWLRQV��DQG�EHFDXVH

PRYLQJ�DQG�PL[LQJ�SLJV�IURP�GLIIHUHQW�SHQV�PD\�EH�D�IHDVLEOH�RSWLRQ��WKHVH�RSHUDWLRQV�DUH

LQ�JHQHUDO�PRUH�IOH[LEOH�DQG�PRUH�VSDFH�HIILFLHQW�WKDQ�EDWFK�RSHUDWLRQV��3LJV�DUH�QRUPDOO\

VRUWHG�DW�LQVHUWLRQ�WLPH�LQ�RUGHU�WR�LQFUHDVH�WKH�KRPRJHQHLW\�RI�PDLQO\�ZHLJKW�DQG�JURZWK

SRWHQWLDO�ZLWKLQ�SHQV��/LNH�LQ�WKH�EDWFK�RSHUDWLRQV�UHSODFHPHQW�RI�LQGLYLGXDOV�LQ�SHQV�LV

QRW� SRVVLEOH�� EXW� EHFDXVH� RI� WKH� IOH[LELOLW\� RI� WKH� V\VWHP�� UHJURXSLQJ� DQG�PRYLQJ� RI

LQGLYLGXDOV�RU�JURXSV�RI�DQLPDOV�LV�WR�VRPH�H[WHQG�SRVVLEOH�

� 'HVSLWH�WKH�GLIIHUHQFHV�EHWZHHQ�WKH�V\VWHPV�WKHUH�ZLOO�LQ�WKLV�SUHVHQWDWLRQ�EH�QR�FRQFHSWXDO

GLVWLQFWLRQ�EHWZHHQ�VHFWLRQV�DQG�SHQV��SHQV�DUH�VLPSO\�GHILQHG�DV�VPDOO�VHFWLRQV���

$IWHU� WKH� WHUPLQDO�PDUNHWLQJ� RI� D� EDWFK�� D� QHZ� JURXS� RI�ZHDQHUV� �L�H�� D� QHZ� EDWFK�� LV

LPPHGLDWHO\�RU�GXULQJ�VRPH�SHULRG�RI�WLPH��H�J����ZHHNV���LQVHUWHG�LQWR�WKH�VHFWLRQ��7KH�QHZ

ZHDQHUV�DUH��DV�LOOXVWUDWHG�LQ�ILJ�������VXSSOLHG�IURP�HLWKHU�RU�ERWK�RI�WZR�VRXUFHV�

¤ ,QWHUQDOO\�SURGXFHG�ZHDQHUV��:HDQHUV�DUH�SURGXFHG�ZLWKLQ�WKH�IDUP�HQWHUSULVH��L�H��LQ�WKH

IDUURZLQJ�RSHUDWLRQ��DQG�XVXDOO\�WKH�SURGXFWLRQ�RI�ZHDQHUV�LV�PDQDJHG��DQG�RSWLPL]HG�

LQGHSHQGHQWO\�RI�WKH�ILQLVKLQJ�RSHUDWLRQ��1RUPDOO\�WKH�VXSSO\�RU�SURGXFWLRQ�RI�ZHDQHUV�FDQ

EH�FKDQJHG�DW�WKH�VWUDWHJLFDO�OHYHO��L�H��IURP�\HDU�WR�\HDU��RQO\��7KH�PDQDJHU�PD\�EX\�RU

VHOO�ZHDQHUV��EXW�QRW�ZLWKRXW�FRVWV�DQG�ULVNV��H�J��RI�SRXU�ZHDQHUV�RU�RI�WUDQVPLVVLRQ�RI

FRQWDJLRXV�GLVHDVHV���7KH�VL]HV�RI�QHZ�EDWFKHV�PD\�YDU\�

¤ ([WHUQDOO\�SURGXFHG�ZHDQHUV��:HDQHUV�DUH�ERXJKW�DW� WKH�PDUNHW�IURP�D�GHDOHU�RU� WKH

ZHDQHU�VXSSO\�LV�EDVHG�RQ�D�FRQWUDFW��7KH�VXSSO\�PD\�EH�FKDQJHG�DW�WKH�WDFWLFDO�OHYHO��L�H�

IURP�PRQWK�WR�PRQWK��DQG�LQ�VRPH�VLWXDWLRQV�HYHQ�DW�WKH�RSHUDWLRQDO�OHYHO��L�H��IURP�GD\

WR�GD\�RU�ZHHN�WR�ZHHN���

,Q�JHQHUDO�WKH�VXSSO\��L�H��RI�EDWFKHV�WR�WKH�ILQLVKLQJ�RSHUDWLRQ��LV�PDQDJHG�E\�FKDQJLQJ�HLWKHU�RU

ERWK�RI�WKH�YDULDEOHV�

¤ 7KH�RXWSXW�RI�WKH�IDUURZLQJ�RSHUDWLRQ�

¤ 7UDGH�DW�WKH�ZHDQHU�PDUNHW�

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

,Q�'HQPDUN�DOO�SDFNHUV�LQ�JHQHUDO�XVH�WKH�VDPH�VWDQGDUGL]HG�SULFLQJ�V\VWHP��L�H��WKH�V\VWHP�

LOOXVWUDWHG�LQ�ILJ�������

DQG�WKH�GHPDQG�E\�FKDQJLQJ�

¤ 7KH�VL]H�VHFWLRQLQJ��L�H��VL]H�RI�EDWFKHV��VWRFNLQJ�GHQVLW\�RI�WKH�ILQLVKLQJ�RSHUDWLRQ�

¤ 7KH�ILQLVKLQJ�WLPH�IRU�SLJV��L�H��WKH�WHUPLQDO�PDUNHWLQJ�VWDJHV�RI�EDWFKHV��

$OO�IRXU�YDULDEOHV�DUH�PXWXDOO\�GHSHQGHQW�DQG�VXEMHFW�WR�WKH�FRQGLWLRQV��FRQFHUQLQJ�WKH�W\SH�RI

RSHUDWLRQ�DQG�WKH�ZHDQHU�VXSSO\��GHVFULEHG�DERYH��7KH�WHUPLQDO�PDUNHWLQJ�VWDJHV�RI�EDWFKHV�DUH�

H[FHSW�LQ�WKH�VLWXDWLRQ�RI�D�YHU\�IOH[LEOH�H[WHUQDO�ZHDQHU�VXSSO\��IL[HG�DW�WKH�RSHUDWLRQDO�OHYHO�

+RZHYHU��FDOFXODWLRQV�RI�WKH�RSHUDWLRQDO�DQG�ILQDQFLDO�FRQVHTXHQFHV�RI�FKDQJLQJ�WKH�WHUPLQDWLRQ

WLPH�RI�EDWFKHV�FDQ�UHYHDO�YDOXDEOH�LQIRUPDWLRQ�RQ�GLVKDUPRQLHV�EHWZHHQ�WKH�IDUURZLQJ�DQG

ILQLVKLQJ�RSHUDWLRQ�DQG�LQIRUPDWLRQ�IRU�WDFWLFDO�DQG�RU�VWUDWHJLFDO�SODQQLQJ�RI�WKH�ZHDQHU�VXSSO\

�L�H��WKH�IDUURZLQJ�RSHUDWLRQ��DQG�GHPDQG��L�H��VL]H��VHFWLRQLQJ�DQG�RU�VWRFNLQJ�GHQVLW\�RI�WKH

ILQLVKLQJ�RSHUDWLRQ��

'XH�WR�WKH�ELRORJLFDO�YDULDWLRQ��WKH�SLJV�ZLOO�JURZ�DQG�GHSRVLW�IDW�DW�GLIIHUHQW�UDWHV��+HDY\�DQG

IDW�SLJV�DUH��DV�LQGLFDWHG�E\�ILJ�������GLVFULPLQDWHG�RQ�SULFH�DQG�WKHUHIRUH�LW�PLJKW�EH�EHQHILFLDO

WR�VHOHFW�DQG�PDUNHW�LQGLYLGXDO�SLJV�IURP�D�EDWFK�SULRU�WR�WKH�WHUPLQDWLRQ�RI�WKH�EDWFK��,Q�PRVW

VLWXDWLRQV�WKH�PDQDJHU�GR�KDYH�WKLV�RSWLRQ�DQG�DW�OHDVW�LQ�'HQPDUN�WKLV�RSWLRQ�LV�ZLGHO\�XVHG��,Q

PRVW�VWXGLHV�WKH�PDQDJHU�LV�DVVXPHG�WR�VHOHFW�SLJV�EDVHG�RQ�WKH�REVHUYHG�OLYH�ZHLJKW��VHH�H�J�

&KDYDV�HW�DO��������-�UJHQVHQ���������EXW�RWKHU�WUDLWV�OLNH�EDFN¤IDW�WKLFNQHVV�DUH�XVHG�DV�VHOHFWLRQ

FULWHULD� LQ� SUDFWLFH� DQG� VKRXOG� EH� WDNHQ� LQWR� FRQVLGHUDWLRQ� ZKHQ� H[DPLQLQJ� VODXJKWHU� SLJ

PDUNHWLQJ��7KH�WUDLWV�PD\�EH�GLIILFXOW�WR�GHILQH�DQG�PHDVXUH�DQG�LQ�VRPH�VLWXDWLRQV�WKH\�PD\�YDU\

UDQGRPO\��IRU�WKH�VDPH�LQGLYLGXDO�RYHU�WLPH��7KH�REVHUYHG�WUDLWV��L�H��WKH�YDOXHV�RI�WKH�WUDLWV�DV

REVHUYHG�E\�H�J�� WKH�PDQDJHU��PD\�GLIIHU�IURP�WKH� WUXH�WUDLWV�DQG�WKHVH�REVHUYDWLRQDO�HUURUV

VKRXOG�EH�LQFOXGHG�LQ�WKH�DQDO\VLV�RI�WKH�PDUNHWLQJ�SUREOHP�DV�GRQH�E\�-�UJHQVHQ��������LQ�WKH

FDVH�RI�VHOHFWLRQ�RQ�OLYH�ZHLJKW�

3ULFLQJ�V\VWHPV�PD\�GLIIHU�FRQVLGHUDEO\�EHWZHHQ�SDFNHUV �DQG�WKH�VDPH�SDFNHU�PD\�KDYH�

PRUH�WKDQ�RQH�SULFLQJ�V\VWHP��,Q�WKDW�VLWXDWLRQ�WKH�PDQDJHU�RI�WKH�ILQLVKLQJ�RSHUDWLRQ�KDYH�WKH

RSWLRQ�RI�FKRRVLQJ�D�VSHFLILF�SULFLQJ�V\VWHP�IRU�KLV�PDUNHWLQJV�DQG�LQ�VRPH�VLWXDWLRQV�LW�PD\�HYHQ

EH�EHQHILFLDO�WR�FKRRVH�PRUH�WKDQ�RQH�SULFLQJ�V\VWHP�RU�WR�PDUNHW�SLJV�WR�VHYHUDO�SDFNHUV�

����� 2SWLPDO�PDUNHWLQJ

7KH� VODXJKWHU� SLJ� PDUNHWLQJ� RSWLRQV� �RU� VODXJKWHU� SLJ� PDUNHWLQJ� PDQDJHPHQW� SUREOHPV�

GHVFULEHG�LQ�WKH�SUHYLRXV�VHFWLRQ�DUH�VXPPDUL]HG�DV�IROORZV�

7KH�PDQDJHU�LQ�JHQHUDO�KDYH�WKH�RSWLRQV��RU�LV�IDFHG�ZLWK�WKH�SUREOHPV��RI�

¤ +RZ�WR�VHOHFW�DQG�ZKHQ�WR�PDUNHW�LQGLYLGXDO�SLJV�

¤ +RZ�WR�PDQDJH�WKH�ZHDQHU�VXSSO\�DQG�GHPDQG��LQ�SDUWLFXODU�ZKHQ�WR�WHUPLQDWH�D

EDWFK�RU�LQ�RWKHU�ZRUGV��ZKHQ�WR�LQVHUW�D�QHZ�EDWFK�RI�ZHDQHUV��DQG�KRZ�WR�PDUNHW

�WKH�UHPDLQGHU�RI��D�EDWFK�

,Q�DGGLWLRQ�WR�WKHVH�RSWLRQV��WKH�PDQDJHU�PD\�LQ�WKH�FDVH�RI�D�FRQWLQXRXV�IORZ�RSHUDWLRQ�KDYH�WKH

RSWLRQ�RI�UHJURXSLQJ��L�H��VSOLWWLQJ�DQG�RU�MRLQLQJ�JURXSV��DQG�PRYLQJ�SLJV�LQ�RUGHU�WR�LQFUHDVH

VSDFH�XWLOL]DWLRQ�DQG�KRPRJHQHLW\�DPRQJ�PDUNHWHG�SLJV��

��� ,QWURGXFWLRQ ��

,Q�WKLV�SUHVHQWDWLRQ�WKH�SUREOHP�RI�PDUNHWLQJ�PDQDJHPHQW�LV�UHVWULFWHG�WR�

�L� +RZ�WR�VHOHFW�DQG�ZKHQ�WR�PDUNHW�LQGLYLGXDO�SLJV�DQG

�LL� ZKHQ��LUUHVSHFWLYHO\�RI�RWKHU�DVSHFWV�RI�WKH�PDQDJLQJ�RI�WKH�ZHDQHU�VXSSO\�GHPDQG�

WR�WHUPLQDWH�DQG�PDUNHW�EDWFKHV��

7KH�SUREOHP�RI�KRZ�WR�DGMXVW�WKH�ZHDQHU�VXSSO\�GHPDQG�DV�ZHOO�DV�WKH�SUREOHPV�RI�UHJURXSLQJ

SLJV�DQG�RI�KRZ��L�H��WR�ZKLFK�SDFNHU��WR�PDUNHW�SLJV�ZLOO�QRW�EH�H[DPLQHG��+RZHYHU��WKH�SUREOHP

RI�FKRRVLQJ�RQH�DPRQJ�VHYHUDO�SDFNHUV�IRU�DOO�PDUNHWLQJV�FDQ�EH�VROYHG�VLPSO\�E\�H[DPLQLQJ��L�

DQG��LL��IRU�HDFK�LQGLYLGXDO�SDFNHU��ZKLOH�VSHFLDO�PHWKRGV�PXVW�EH�DSSOLHG�WR�VROYH�WKH�SUREOHP

RI�PDUNHWLQJ� WR�PRUH� WKDQ�RQH�SDFNHU�� ,Q�SDUWLFXODU� LW� LV� D�SUREOHP� WR�KDQGOH�GLIIHUHQFHV� LQ

PHDVXULQJ�DQG�JUDGLQJ�V\VWHPV�EHWZHHQ�SDFNHUV�

$VVXPLQJ� LQGHSHQGHQFH� EHWZHHQ� WKH� SLJV� LQ� D� VHFWLRQ�� DVVXPLQJ� WKH�PDLQ� REMHFWLYH� RI� WKH

HQWHUSULVH�RZQHU� WR�EH�SURILW�PD[LPL]DWLRQ�DQG�DVVXPLQJ� WKDW� UHSODFHPHQW�RI� LQGLYLGXDOV� LV

LPSRVVLEOH��SUREOHP��L��LV�D�EDVLF�SURILW�PD[LPL]DWLRQ�SUREOHP��VHH�H�J��'ROO��2UD]HP�������

RI�DOORFDWLQJ�WKH�WZR�LQSXW�YDULDEOHV��WLPH�DQG�SULFLQJ�V\VWHP�DQG�WKH�SUREOHP�PLJKW�EH�VROYHG

LQGHSHQGHQWO\�RI��LL���7KH�RSWLPL]DWLRQ�FULWHULRQ�LQ�LWVHOI�LV�VLPSOH�DQG�VWUDLJKW�IRUZDUG��EXW�WKH

VSHFLDO�QDWXUH�RI�WKH�VODXJKWHU�SLJ�ILQLVKLQJ�RSHUDWLRQV��DQG�SULFLQJ�V\VWHPV��FRPSOLFDWHV�WKH

SUREOHP�

�D� %LRORJLFDO�YDULDQFH��

�E� ODWHQW�DQLPDO�WUDLWV��RQ�ZKLFK�SLJV�DUH�HYDOXDWHG�DQG�SULFHG�DQG�ZKLFK�DUH�QRW�UHYHDOHG

XQWLO�DIWHU�PDUNHWLQJ��L�H��WUDLWV�RI�WKH�FDUFDVV��

�F� VHOHFWLRQ�PHWKRG�DQG

�G� REVHUYDWLRQDO�HUURUV�

7KHVH�VSHFLDO�FRQGLWLRQV�FRQWULEXWH�WR�VWRFKDVWLF�SURFHVVHV�DQG�XQFHUWDLQW\�LQ�WKH�V\VWHP�DQG

VSHFLDO�PHWKRGV�PXVW�EH�DSSOLHG� WR�KDQGOH� WKHVH�DVSHFWV��7KH�VROXWLRQ�PHWKRG�RI� WKH�SURILW

PD[LPL]DWLRQ�SUREOHP�LV�EDVHG�RQ�FDOFXODWLRQV�RI�PDUJLQDO�UHWXUQV�DQG�IRU�WKLV�DQ�DQLPDO�JURZWK

PRGHO��UHSUHVHQWLQJ�WKH�VWDWH�RI��DQG�PDUJLQDO�FKDQJH�LQ��WKH�WUDLWV�RI�DQLPDOV��LV�QHHGHG�

)LQGLQJ�WKH�EHVW�RSWLRQ�RU�WKH�RSWLPDO�GHFLVLRQ�SROLF\�LQ��LL��LV�EDVLFDOO\�D�UHSODFHPHQW�SUREOHP

�VHH�H�J��5DVPXVVHQ�������DQG�-�UJHQVHQ��������ZLWK�WKH�EDWFK�UHSUHVHQWLQJ�WKH�DVVHW�DQG�ZLWK

DQ�LQILQLWH�WLPH�KRUL]RQ��7KH�JHQHUDO�PHWKRGRORJ\�RI�UHSODFHPHQW�SUREOHPV�ILUVW�SUHVHQWHG�E\

7D\ORU��������FI��3UHLQULFK��������DQG�WKH�0DUNRY�GHFLVLRQ�SURJUDPPLQJ�WHFKQLTXHV�LQWURGXFHG

E\�+RZDUG��������DQG�H[WHQGHG�WR�+LHUDUFKLF�0DUNRY�SURFHVVHV�E\�.ULVWHQVHQ��������FDQ�EH

DSSOLHG�LQ�RUGHU�WR�VROYH�DQG�VWXG\�WKLV�SUREOHP��+RZHYHU��D�VHW�RI�VSHFLDO�FRQGLWLRQV�FRQQHFWHG

WR�WKH�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW�SUREOHP��DV�ZHOO�DV�RWKHU�ELRORJLFDO�UHSODFHPHQW

SUREOHPV��FDQ�H[WHQG�RU�FRPSOLFDWH�WKLV�SUREOHP�

�H� 7KH�ELDV�LQ�GLVWULEXWLRQV�DQG�ILQDQFLDO�RXWFRPHV�FDXVHG�E\�WKH�VHOHFWLRQ�LQ��L��

�I� WKH�VKRUW�WHUP�LQIOH[LEOH��L�H��QRQ¤DGMXVWDEOH��ZHDQHU�VXSSO\�

�J� WKH�W\SH�RI�RSHUDWLRQ�DQG�WKH�VL]H�RI�EDWFKHV��L�H��VHFWLRQV�YV��SHQV��DQG�

�K� 7KH�VWRFKDVWLF�YDULDWLRQ�RI�WKH�ZHDQHU�VXSSO\��L�H��YDULDWLRQ�LQ�VL]HV�RI�QHZ�EDWFKHV��

DQG�DV�IRU�SUREOHP��L��VSHFLDO�PHWKRGV�PXVW�EH�DSSOLHG�WR�KDQGOH�DQG�H[DPLQH�WKHVH�DVSHFWV�RI

PDUNHWLQJ�PDQDJHPHQW�

,W� VKRXOG�EH�QRWHG� WKDW�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW� LV�SDUW�RI�D� ODUJHU�PDQDJHPHQW

V\VWHP�RI�WKH�HQWLUH�HQWHUSULVH��7KHUHIRUH�DQG�DV�HPSKDVL]HG�E\�&KDYDV�HW�DO���������DQG�-ROO\

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

HW�DO���������WKH�PDUNHWLQJ�PDQDJHPHQW�FDQQRW��DW�OHDVW�LQ�SULQFLSOH��EH�RSWLPL]HG�LQGHSHQGHQWO\

RI�WKH�UHVW�RI�WKH�V\VWHP�DQG�RIWHQ�D�VLPXOWDQHRXV�RSWLPL]DWLRQ�RI�PDUNHWLQJ�DQG�SURGXFWLRQ��H�J�

IHHGLQJ�� PLJKW� UHVXOW� LQ� EHWWHU� VROXWLRQV� WKDQ� RSWLPL]LQJ� HDFK� VHSDUDWHO\�� 'HVSLWH� WKHVH

FRQVLGHUDWLRQV�WKH�PDUNHWLQJ�DQG�SURGXFWLRQ�PDQDJHPHQW�DUH��H[FHSW�IRU�WKH�ZHDQHU�VXSSO\�

DVVXPHG�LQGHSHQGHQW�

����� 2EMHFWLYHV

7KH�REMHFWLYH�RI�WKH�VWXG\�ZDV�WR�GHYHORS�D�EDVLF�PDWKHPDWLFDO�HFRQRPLFDO�RSWLPL]DWLRQ�PRGHO

IRU� VROYLQJ� WKH� VODXJKWHU�SLJ�PDUNHWLQJ�SUREOHP�DV�GHILQHG�DERYH�E\� �L�� DQG� �LL�� DQG�E\� WKH

FRQGLWLRQV��D��¤��K��

7KH�LQWHQGHG�XVH�RI�WKH�PRGHO�LV�WZR¤IROG�

¤ $V�WKH�EDVLV�RI�D�6ODXJKWHU�SLJ�PDUNHWLQJ�'HFLVLRQ�6XSSRUW�6\VWHP�WR�EH�LQWHJUDWHG�LQ�D

0DUNHWLQJ�0DQDJHPHQW�6XSSRUW�7RRO��VHH�WKH�*HQHUDO�,QWURGXFWLRQ��FKDSWHU����DV�SDUW�RI

D�ODUJHU�0DQDJHPHQW�,QIRUPDWLRQ�6\VWHP��VHH�FKDSWHU�����7KH�V\VWHP�VKRXOG�XWLOL]H�IDUP

VSHFLILF� GDWD� WR� SURGXFH� UHDO� WLPH� PDUNHWLQJ� PDQDJHPHQW� VXSSRUW� IRU� VHOHFWLQJ� DQG

PDUNHWLQJ�LQGLYLGXDO�SLJV�DQG�IRU�PDQDJLQJ�WKH�VXSSO\�DQG�GHPDQG�RI�ZHDQHU�

¤ $V�D�JHQHUDO��UHVHDUFK¤��WRRO�IRU�RSWLPL]DWLRQ�DQG�DQDO\VLV�RI�VODXJKWHU�SLJ�PDUNHWLQJ

PDQDJHPHQW��LQFOXGLQJ�WKH�FRQGLWLRQV��D��¤��K��

7KH�REMHFWLYH�RI�WKLV�SDSHU�LV�WR�SUHVHQW�WKH�PRGHO�DQG�WR�GHPRQVWUDWH�DQG�GLVFXVV�WKH�WZR¤IROG

LQWHQGHG�XVH��

��� 0DWHULDO�DQG�PHWKRGV

����� $QLPDO�JURZWK�PRGHO

,Q�JHQHUDO�DQLPDO�JURZWK�PRGHOV�FDQ�EH�SDUWLWLRQHG�LQWR�WZR�JURXSV��2OWMHQ��������%ODFN��������

¤ ([SODQDWRU\��PHFKDQLVWLF�PRGHOV�DQG�

¤ SUHGLFWLYH��HPSLULFDO�PRGHOV��

0HFKDQLVWLF�JURZWK�PRGHOV�DUH�GHWDLOHG�DQG�LQ�PRVW�VLWXDWLRQV�GHWHUPLQLVWLF�PRGHOV��ZKLFK

DUH� EDVHG� RQ�NQRZOHGJH�RI� WKH�XQGHUO\LQJ�SK\VLRORJLFDO� SURFHVVHV� DQG� ODZV�RI�SK\VLFV� DQG

FKHPLVWU\�DQG�RQ�QRUPDOO\�D�ODUJH�VHW�RI�PRGHO�SDUDPHWHUV�ZKLFK�DUH�YHU\�GLIILFXOW�WR�LQWHUSUHW

DQG� HVWLPDWH� �VHH� H�J��%ODFN� HW� DO��� ������0RXJKDQ� HW� DO��� ������0RXJKDQ� HW� DO��� ����� IRU

H[DPSOHV�RQ�PHFKDQLVWLF�JURZWK�PRGHOV���,Q�JHQHUDO�PHFKDQLVWLF�PRGHOV�DUH�QRW�ZHOO�VXLWHG�IRU

PDQDJHPHQW�DQG�FRQWURO�

(PSLULFDO�JURZWK�PRGHOV�DUH�VWDWLVWLFDO�PRGHOV�WKDW�GHVFULEH�UHODWLRQV�EHWZHHQ�YDULDEOHV�RYHU

WLPH��ZLWKRXW�GHVFULELQJ�XQGHUO\LQJ�SURFHVVHV��7KH�PRGHOV�DUH�VWRFKDVWLF��L�H��YDULDWLRQV�RQ�WKH

WUDLWV�DV�ZHOO�DV�H[SHFWDWLRQV�DUH�PRGHOHG��DQG�DV�YDULDEOHV�LQ�PRVW�FDVHV�DUH�HDV\�WR�REVHUYH�DQG

DV�WKH�QXPEHU�RI�SDUDPHWHUV�LQ�WKH�PRGHOV�LV�ORZ�LQ�UHODWLRQ�WR�WKH�QXPEHU�RI�REVHUYDWLRQV�

SDUDPHWHUV�DUH�PRUH�HDVLO\�HVWLPDWHG�WKDQ�LQ�WKH�FDVH�RI�PHFKDQLVWLF�PRGHOV��$�PDLQ�DQG�YHU\

JHQHUDO�DQG�ZHOO�HVWDEOLVKHG�FODVV�RI�HPSLULFDO�JURZWK�PRGHOV�DUH�EDVHG�RQ�WKH�ZRUN�E\�3RWWKRII

�5R\���������*URZWK�&XUYH�0RGHOV�RU�*HQHUDOL]HG�0XOWL�YDULDWH�$QDO\VLV�RI�9DULDQFH�0RGHOV

�VHH�H�J��YRQ�5RVHQ�������IRU�D�UHYLHZ��

,Q�WKLV�SDSHU�DQ�HPSLULF�DSSURDFK�LV�WDNHQ��EXW�DV�GLVFXVVHG�LQ�WKH�LQWURGXFWLRQ�SLJV�DUH�LQ

;Q�W

� 1�PQ�W�&

Q�W�� Q����1

;W

;��W

;��W

;1�W

� PW

P��W

P��W

P1�W

� &W

&��W

V\P

&����W

&��W

� � �

&1���W

&1���W

à &1�W

��� 0DWHULDO�DQG�PHWKRGV ��

)LJXUH ���� 7KH DQLPDO JURZWK PRGHO� 0HDQ JURZWK DQG GLVWULEXWLRQ RI OLYH ZHLJKW DW � GLIIHUHQW PDUNHWLQJ

VWDJHV� 7KH JURZWK UDWH LV VHHQ WR GHFUHDVH DQG WKH YDULDQFH WR LQFUHDVH RYHU VWDJHV�

PRVW� VLWXDWLRQV� PDUNHWHG� DW� FHUWDLQ� SUHGHILQHG� PRPHQWV� DQG� KHQFH� WKHUH� LV� QR� QHHG� IRU� D

UHSUHVHQWDWLRQ�RI�WUDLWV�DV�FRQWLQXRXV�YDULDEOHV�DV�LQ�WKH�JHQHUDO�HPSLULFDO�JURZWK�FXUYH�PRGHOV�

RQO\�WKH�VWDWH�RI�WKH�WUDLWV�DW�WKH�WLPH�RI�PDUNHWLQJ��RU�WKH�WLPH�RI�FKRRVLQJ�SLJV�IRU�PDUNHWLQJ�

LV�RI�SRWHQWLDO�LQWHUHVW��+HQFH��LQ�WKLV�SDSHU�WUDLWV�DQG�JURZWK�RI�SLJV�DUH�PRGHOHG�GLUHFWO\�E\�D

PXOWL�YDULDWH�QRUPDO�GLVWULEXWLRQ�DV�GHILQHG�EHORZ�

/HW�0�EH�WKH�QXPEHU�RI�DQLPDO�WUDLWV�LQFOXGHG�LQ�WKH�PRGHO�DQG�1�WKH�ODVW�IHDVLEOH�PDUNHWLQJ

VWDJH�RI�DQ\�EDWFK��H�J��:LWK�WKH�RSWLRQ�RI�PDUNHWLQJ�RQFH�RU�QRW�DW�DOO�LQ�D�ZHHN�DQG�ZLWK�D��

ZHHNV�GXUDWLRQ�RI�WKH�PDUNHWLQJ�RI�D�EDWFK��1�LV�����/HW�WKH�WUXH�WUDLWV��L�H��YDOXHV�QRW�LQIOXHQFHG

E\�PHDVXULQJ�RU�REVHUYDWLRQDO�HUURUV��RI�D�SLJ�DW�D�JLYHQ�PDUNHWLQJ�VWDJH��RU�PDUNHWLQJ�DJH���Q

DQG�DW�D�JLYHQ�WLPH��W�EH�UHSUHVHQWHG�E\�D�0¤GLPHQVLRQDO�YHFWRU��; ��7KH�WUDLWV�DUH�DVVXPHG�PXOWLQ�W

YDULDWH�QRUPDO�GLVWULEXWHG�

ZKHUH P � LV�D��0���YHFWRU�RI�PHDQV�DQGQ�W

& � LV�D��0Ó0��PDWUL[�RI�YDULDQFHV�DQG�FRYDULDQFH�Q�W

7KH�VHW�RI�YDULDEOHV�; ��Q� �����1�DUH�PHUJHG�LQWR�D�VLQJOH�YDULDEOH�; ��UHSUHVHQWLQJ�D�SLJ©V�WUDLWVQ�W W

DW�DOO�1�PDUNHWLQJ�VWDJHV�DW�D�JLYHQ�WLPH�W�

; ���1��P ��& ��W W W

ZKHUH�

;

;�

;�

� 1P

P�

�&��

&��

&��

&��

;�©

;�©

;�

;�

J�

� 1P

P�

�&��

&��

&��

&���(

; ;�©[

�©�J

�� 1

P©�

P©�

�&©

��&©

��

&©��

&©��

&( &

��� J

��D�

P©L P

L� &

L�&��

( �[�©�P��� L��� �E�

&©LM &

LM� &

L�&��

( &�M� L� M��� �F�

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

�����

7KH�FRYDULDQFH��EHWZHHQ�WKH�SDUWLDO�GLVWULEXWLRQV��& ��LgM��H[SUHVV�WKH�FRUUHODWLRQ�EHWZHHQ�WUDLWVL�M�W

RYHU�WLPH��*UDSKLFDOO\�WKH�DQLPDO�PRGHO�FDQ�EH�SDUWLDOO\��L�H��IRU�D�VLQJOH�WUDLW��UHSUHVHQWHG�DV

VKRZQ�LQ�ILJ�������7KH�PHDQ�JURZWK�FXUYH�KDV�DW�HDFK�PDUNHWLQJ�VWDJH�EHHQ�H[WHQGHG�ZLWK�D�JUDSK

UHSUHVHQWLQJ�WKH�GLVWULEXWLRQ��DQG�QRW�RQO\�WKH�FRQILGHQFH�LQWHUYDO��RI�ZHLJKW�DW�WKDW�SDUWLFXODU

VWDJH�

7KUHH�WUDLWV�DUH�LQFOXGHG�LQ�WKH�PRGHO�XVHG�LQ�WKLV�SUHVHQWDWLRQ��/LYH�ZHLJKW��: ���FDUFDVVQ�W

ZHLJKW��&: ��DQG�FDUFDVV�OHDQQHVV��&/ ��WKH�IUDFWLRQ�RI�PHDW�LQ�WKH�FDUFDVV��LPSO\LQJ�WKDW�;Q�W Q�W Q�W

�>: ��&: ��&/ @ �Q�W Q�W Q�W7

,Q� WKH� UHPDLQGHU� RI� WKLV� SUHVHQWDWLRQ� WKH� WLPH� VXIIL[� W� LV� DVVXPHG� LPSOLFLWO\� JLYHQ� DQG

WKHUHIRUH�RPLWWHG�LQ�WKH�QRWDWLRQ�XVHG�

7KH�FRQGLWLRQDO�GLVWULEXWLRQ��RU�WKH�SRVWHULRU�GLVWULEXWLRQ��RI�WKH�WUXH�WUDLWV�;�JLYHQ�D�VSHFLILF

REVHUYDWLRQ��RQ�DQ\�VXEVHW�RI�WKH�WUDLWV��DQG�JLYHQ�D�PHDVXULQJ�RU�REVHUYDWLRQDO�HUURU�LV�GHULYHG

DV� IROORZV��/HW�; � UHSUHVHQW� WKH�REVHUYHG� VXEVHW� RI� WUDLWV� RI�;�� DQG� OHW�; � UHSUHVHQW� WKH�QRW� �

REVHUYHG�WUDLWV��7KHQ�;�PLJKW�EH��SDUWLWLRQHG�LQWR�DQG��UHSUHVHQWHG�DV��

7KH�REVHUYDWLRQDO�HUURUV�RQ�WKH�REVHUYHG�WUDLWV��; �DUH�UHSUHVHQWHG�E\�D�YHFWRU��J ��RI�UDQGRP� �

YDULDEOHV�ZKLFK�DUH�DVVXPHG�LQGHSHQGHQW�RI�; ��PXWXDOO\�LQGHSHQGHQW�DQG�PXOWL�YDULDWH�QRUPDO�

GLVWULEXWHG�ZLWK�]HUR�PHDQ��J �a�1�����( ��� �

� 7KH�REVHUYHG�WUDLWV��H�J��WKH�REVHUYHG�OLYH�ZHLJKW��DUH�WKHQ�QRUPDOO\�GLVWULEXWHG�DQG�GHILQHG

E\�WKH�PRGHO�

7KH�GLVWULEXWLRQ�RI�;�JLYHQ�DQ�REVHUYDWLRQ�[ �RI�; �DQG�JLYHQ�WKH�REVHUYDWLRQDO�HUURU�J �LV� � �

WKHQ�

ZKHUH�

)& �Z� N�#N

�# �N

�� OQ �Z�� #Z � N

�#Z Ù

015Q�P� U P #(5,

Q�P� � (9&,

Q�P� � (5,

Q��� �D�

015Q��� � � �E�

��� 0DWHULDO�DQG�PHWKRGV ��

�����

7KH�ZHHNO\�IHHG�FRQVXPSWLRQ��)&��RI�WKH�SLJV�LV�RQO\�XVHG�IRU�FDOFXODWLQJ�WKH�IHHGLQJ�FRVWV�DQG

LV� WKHUHIRUH�QRW� LQFOXGHG� DV� D� WUDLW� LQ� WKH�JHQHUDO� DQLPDO�PRGHO�� ,QVWHDG� WKH� FRQVXPSWLRQ� LV

H[SOLFLWO\�PRGHOHG�E\�D�*RPSHUW]�JURZWK�PRGHO��VHH�H�J��:KLWWHPRUH��������-�UJHQVHQ��������

ZKHUH Z LV�WKH�OLYH�ZHLJKW�

N LV�WKH�HQHUJ\�FRQVXPSWLRQ�SHU�NJ�PHWDEROLF�ZHLJKW��)8 ��� 3

N LV�WKH�HQHUJ\�FRQVXPSWLRQ�SHU�NJ�JDLQ��)8 ����������������������� 3

N LV�WKH�ORJDULWKP�RI�RXWJURZQ�ZHLJKW��OQ��NJ���DQG�

N LV�D�JURZWK�UDWH�SDUDPHWHU�RI�WKH�*RPSHUW]�JURZWK�FXUYH��

����� *HQHUDO�DVVXPSWLRQV�RI�RSWLPL]DWLRQV

$�VHW�RI�JHQHUDO�VLPSOLILFDWLRQV�DQG�DVVXPSWLRQV�DSSO\�WR�DOO�FRQVLGHUDWLRQV��GHGXFWLRQV�DQG

UHVXOWV�SUHVHQWHG�EHORZ�

¤ 7KH��VROH��REMHFWLYH�RI�WKH�PDQDJHU�LV�DVVXPHG�WR�EH�SURILW�PD[LPL]DWLRQ��

¤ 3LJV�DUH�DVVXPHG�LQGHSHQGHQW��DOVR�ZLWKLQ�SHQV���

¤ 3ULFHV�DQG�WKH�LQWHUHVW�UDWH�XVHG�IRU�GLVFRXQWLQJ�PRQHWDU\�YDOXHV�DUH�DVVXPHG�NQRZQ�DQG

FRQVWDQW�RYHU�WLPH��

¤ 7D[�DQG�KHDOWK�LVVXHV��LQFOXGLQJ�HYDOXDWLRQV�VKHHWV�GHGXFWLRQV��ZLOO�QRW�EH�FRQVLGHUHG�

¤ 0DUNHWLQJ� FRVWV� SHU� SLJ� DUH� DVVXPHG� WR� EH� LQGHSHQGHQW� RI� WKH� DFWXDO� PDUNHWLQJ

PDQDJHPHQW��WKHUH�LV�QR��SK\VLFDO�QRU�ILQDQFLDO��UHVWULFWLRQV�RQ�WKH�QXPEHU�RI�SLJV�SHU

PDUNHWLQJ�

¤ 1R�UHJURXSLQJ�RI�SLJV�EHWZHHQ�VHFWLRQV�LV�SRVVLEOH�

����� 6HOHFWLRQ�RI�LQGLYLGXDO�SLJV

,Q�JHQHUDO�DQ�LQGLYLGXDO�SLJ�VKRXOG�EH�VHOHFWHG�IRU�PDUNHWLQJ��DQG�PDUNHWHG��DW�VWDJH�Q�ZKHQ�WKH

H[SHFWHG�PDUJLQDO��RU�H[WUD��QHW�UHWXUQ�DW�VWDJH�Q��015 ��RI�SRVWSRQLQJ�WKH�PDUNHWLQJ���VWDJH�LVQ

OHVV�WKDQ����VHH�H�J��'ROO��2UD]HP��������5DVPXVVHQ��������RU�LQ�PRUH�IRUPDO�WHUPV��

ZKHUH Q LV�WKH�PDUNHWLQJ�VWDJH��Q� ����1�

U LV�WKH�GLVFRXQW�IDFWRU�� ����L� ����

L� LV�WKH�GLVFRXQW�UDWH��L�H��RQ�D�ZHHNO\�EDVLV��

(5, ��P� LV�WKH�H[SHFWHG�UHWXUQ�RI�DQ�LQGLYLGXDO�DW�PDUNHWLQJ�VWDJH�Q�P�JLYHQ�VHOHFWLRQQ

DW�VWDJH�Q

(5, ���� LV�WKH�H[SHFWHG�UHWXUQ�RI�DQ�LQGLYLGXDO�DW�PDUNHWLQJ�VWDJH�Q�JLYHQ�VHOHFWLRQ�DWQ

VWDJH�Q�DQG

(9&, DUH�WKH�H[SHFWHG�YDULDEOH�FRVWV�IURP�VWDJH�Q�WR�Q�P�Q

,W�LV�LPSRUWDQW�WR�QRWH�WKDW�������RQO\�LV�YDOLG�DV�SURILW�RSWLPL]DWLRQ�FULWHULD�ZKHQ���L��UHSODFHPHQW

/Q�[©�

�+Q�[©� Y /

Q���[©�� Q��

758(� Q�-Q�[©� +

Q�[©� � /

Q���[©�

*Q P

��

����

P��

����

I;�(

�[�H -Q�[�H�� G[ GH P

��

����

I;©�[© -

Q�[©�� G[© �D�

+Q P

��

����

P��

����

I;�(

�[�H /Q��

�[�H�� G[ GH P��

����

I;©�[© /

Q���[©�� G[© �E�

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

�����

RI� LQGLYLGXDOV� LV� HFRQRPLFDO� RU� WHFKQLFDO� LPSRVVLEOH� DQG� �LL�� WKH�PDUJLQDO� QHW� UHWXUQ� LV� QRW

LQFUHDVLQJ�RYHU�WLPH��L�H��WKH�PDUJLQDO�QHW�UHWXUQ�RI�SRVWSRQLQJ�WKH�PDUNHWLQJ�PRUH�WKDQ���VWDJH

GRHV�QRW�H[FHHG�015 ���,Q�WKLV�SDSHU��L��LV�DVVXPHG�WR�EH�VDWLVILHG��&RQVWUDLQW��LL��ZLOO�QRW�DOZD\VQ

EH�VDWLVILHG��H�J��ZKHQ�SLJV�DUH�YHU\�\RXQJ�WKH�PDUJLQDO�QHW�UHWXUQ�RI�NHHSLQJ�WKHP���ZHHN�PRUH

ZLOO�EH�QHJDWLYH��EXW�LW�LV�YHU\�OLNHO\�WR�LQFUHDVH�LQWR�D�VXUSOXV�EHIRUH�PDWXULW\��DQG�WKHUHIRUH�DQ

H[DPLQDWLRQ�RI��LL��EDVHG�RQ�HPSLULF��RU�DW�OHDVW�UHDOLVWLF��GDWD�LV�QHHGHG�

������� *HQHUDO�VHOHFWLRQ�FULWHULD

,Q�JHQHUDO�WKH�VHOHFWLRQ�FULWHULRQ�LV�PRGHOHG�E\�D�VHW�RI�WUXWK�YDOXHG��L�H��%RROHDQ��IXQFWLRQV�

ZKHUH / LV�D�WUXWK�YDOXHG�IXQFWLRQ�UHWXUQLQJ�758(�LI�D�SLJ�ZLWK�REVHUYHG�WUDLWV�[©�KDV�QRW�EHHQQ

VHOHFWHG�DW�VWDJH�Q�RU�D�SUHYLRXV�VWDJH�DQG�RWKHUZLVH�)$/6(�

+ LV�D�WUXWK�YDOXHG�IXQFWLRQ�UHWXUQLQJ�758(�LI�D�SLJ�ZLWK�REVHUYHG�WUDLWV�[©�VDWLVILHV�WKHQ

VHOHFWLRQ�FULWHULRQ�DW�VWDJH�Q�DQG�RWKHUZLVH�)$/6(�DQG

- LV�D�WUXWK�YDOXHG�IXQFWLRQ�UHWXUQLQJ�758(�LI�D�SLJ�ZLWK�REVHUYHG�WUDLWV�[©�LV�VHOHFWHGQ

DW�VWDJH�Q�DQG�LW�KDV�QRW�SUHYLRXVO\�EHHQ�VHOHFWHG�DQG�RWKHUZLVH�)$/6(

7KH�VHOHFWLRQ�QR�VHOHFWLRQ�SUREDELOLWLHV�DUH�WKHQ�JLYHQ�E\�

ZKHUH I LV� WKH� MRLQW� GHQVLW\� IXQFWLRQ�RI�;� �WKH� WUXH� WUDLWV�� DQG�(� �WKH�REVHUYDWLRQDO;�(

HUURUV��

I LV�WKH�GHQVLW\�IXQFWLRQ�RI�;©��WKH�REVHUYHG�WUDLWV�DV�GHILQHG�DERYH�LQ�WKH�DQLPDO;©

PRGHO�

* LV�WKH�SUREDELOLW\�RI�VHOHFWLRQ�DW�VWDJH�Q��DQG�QR�VHOHFWLRQ�SULRU�WR�VWDJH�Q��DQGQ

+ LV�WKH�SUREDELOLW\�RI�QR�VHOHFWLRQ�SULRU�WR�VWDJH�Q�Q

7KH�LQWHJUDOV�LQ�������PD\�EH�FDOFXODWHG�E\�QXPHULFDO�LQWHJUDWLRQ��DQG�LQ�FHUWDLQ�VLWXDWLRQV�WKH\

FDQ�EH�VROYHG�DQDO\WLFDOO\��DQG�LQ�WKLV�SUHVHQWDWLRQ�VLPXODWLRQV�KDYH�EHHQ�XVHG�WR�DSSUR[LPDWH

WKH�YDOXHV��WKH�QXPEHU�RI�VLPXODWHG�SLJV�SHU�LQWHJUDWLRQ�¤�WKH�VDPSOLQJ�VL]H�¤�LV�GHQRWHG�=���7KLV

PHWKRG�LV�VORZ�DQG�LPSUHFLVH��EXW�LW�LV�HDVLO\�DSSOLFDEOH�DQG�DV�GHWDLOHG�GHVFULSWLYH�VWDWLVWLFV�DUH

HDVLO\�H[WUDFWHG�LW�KDV�EHHQ�FKRVHQ�IRU�WKLV�SUHVHQWDWLRQ�

7KH�SUREDELOLW\�RI�QR�VHOHFWLRQ�SULRU�WR�VWDJH�Q�HTXDOV�WKH�SUREDELOLW\�RI�QR�VHOHFWLRQ�SULRU�WR�VWDJH

+Q

� Q�

+Q��

� *Q��

Q����1

,Q S�-

Q�;©� /

Q���;©��

S�-Q�;©�Y/

Q���;©��

S�/Q��

�;©��

*Q

+Q

� Q����1

+Q +

Q���+

Q��# ,

Q�� +

Q��# ��� ,

Q��� N

Q��

P�

��� ,P�� Q����1

+Q�[©� )$/6(

+Q�[©�

�ZQ© ! Z

Q�� Q����1��

758(� Q1

��� 0DWHULDO�DQG�PHWKRGV ��

�����

�����

�����

Q���VXEWUDFWHG�WKH�SUREDELOLW\�RI�VHOHFWLRQ�DW�VWDJH�Q���

$SSO\LQJ�%D\HV�UXOH��WKH�FRQGLWLRQDO�SUREDELOLW\��, ��RI�VHOHFWLRQ�DW�VWDJH�Q�JLYHQ�QR�VHOHFWLRQQ

SULRU�WR�VWDJH�Q�LV�JLYHQ�E\�

7KHQ�IURP�������DQG�������LW�IROORZV�WKDW�

������� 1R�VHOHFWLRQ

,I�QR�SLJV�DUH�VHOHFWHG�IRU�PDUNHWLQJ�SULRU�WR�WKH�WHUPLQDO�PDUNHWLQJ�WKH�VHOHFWLRQ�FULWHULRQ�ZLOO

IRU�DQ\�Q� ������1�EH�

������� 6HOHFWLRQ�EDVHG�RQ�OLYH�ZHLJKW

,I�SLJV�DUH�VHOHFWHG�IRU�PDUNHWLQJ�ZKHQ�WKH�REVHUYHG�OLYH�ZHLJKW�DW�D�JLYHQ�VWDJH�Q�H[FHHGV�WKH

RSWLPDO�OLYH�ZHLJKW�RI�DQ�LQGLYLGXDO�DV�FDOFXODWHG�EHORZ�LQ�������WKH�VHOHFWLRQ�FULWHULRQ�LV�GHILQHG

DV�

ZKHUH Z © LV�WKH�REVHUYHG�OLYH�ZHLJKW��L�H��DQ�HOHPHQW�RI�WKH�YHFWRU�[©��DQGQ

Z LV�WKH�RSWLPDO�OLYH�ZHLJKW�DV�GHILQHG�DQG�FDOFXODWHG�EHORZ�Q

7KH�H[SHFWHG�UHWXUQ�RI�DQ�LQGLYLGXDO�SLJ�PDUNHWHG�DW�VWDJH�Q�P�DQG�JLYHQ�D�VSHFLILF�REVHUYHG�OLYH

ZHLJKW��Z©��DW�VWDJH�Q�LV�FDOFXODWHG�DV�

(5,Q�Z©�P� P

��

����

I;�[ :

Q©Z©�J

:�Q� #X �FZ

Q�P�FO

Q�P� #FZ

Q�PG[

015Q�Z©�P� U P #(5,

Q�Z©�P� � M

P

O�

>U O #9& �(�:Q�O :

Q©Z©��@ � (5,

Q�Z©��� �D�

9& �Z©� )3 #)& �Z©� �E�

015Q�Z©��� � � �F�

(5,Q�Z©�FO©�P� P

��

����

I;�[ :

Q©Z©�&/

QFO©�J

:�Q�J&/�Q

� #X �FZQ�P

�FOQ�P

� #FZQ�P

G[

015Q�Z©�FO©�P� U P #(5,

Q�Z©�FO©�P�

�MP

O�

>U O #9& �(�:Q�O :

Q©Z©�&/

Q©FO©��@�(5,

Q�Z©�FO©���

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

�����

�����

ZKHUH� I LV�WKH�GHQVLW\�IXQFWLRQ�RI�;��FRQGLWLRQHG�RQ�WKH�REVHUYHG�OLYH�ZHLJKW�Z©�DQG�WKH;

REVHUYDWLRQ�HUURU�J �DW�VWDJH�Q��L�H��������LQ�WKH�DQLPDO�PRGHO�DERYH��DQG:�Q

X LV�WKH�SULFH�IXQFWLRQ��L�H��ILJXUH������

7KH�RSWLPDO�OLYH�ZHLJKW��RU�WKUHVKROG�YDOXH��Z ��DW�D�JLYHQ�VWDJH�Q�LV�GHILQHG�DV�WKH�ORZHVWQ

ZHLJKW�Z©�IRU�ZKLFK�WKH�PDUJLQDO�QHW�UHWXUQ��015 ��RI�SRVWSRQLQJ�WKH�PDUNHWLQJ���ZHHN�LV�OHVVQ

WKDQ���

ZKHUH 9& DUH� WKH�H[SHFWHG�YDULDEOH��IHHGLQJ��FRVWV�DV�D�IXQFWLRQ�RI� WKH�REVHUYHG�OLYH

ZHLJKW��Z��

)3 LV�WKH�SULFH��'..�)8 ����)8 ���0-��RI�WKH�IHHG�GLHW�DQG3 3

)& LV�WKH�IHHG�FRQVXPSWLRQ�DV�D�IXQFWLRQ�RI�WKH�OLYH�ZHLJKW��Z��DV�GHILQHG�LQ�WKH

DQLPDO�PRGHO�

,I�QR�VXFK�ZHLJKW�H[LVWV�DQG�WKH�PDUJLQDO�UHWXUQ�LV�QHJDWLYH�IRU�DQ\�REVHUYHG�OLYH�ZHLJKW��ZQ

����L�H��DOZD\V�PDUNHW���������LV�VROYHG�DQG�WKH�RSWLPDO�OLYH�ZHLJKW��Z ��LV�FDOFXODWHG�XVLQJQ

VLPXODWLRQV�DV�GHVFULEHG�EHORZ�DQG�DQ�LWHUDWLYH�SURFHGXUH�ZLWK�IDVW�FRQYHUJHQFH��WKH�3HJDVXV

DOJRULWKP��%DUNHU��7LQJOHII��������

������� 6HOHFWLRQ�EDVHG�RQ�OLYH�ZHLJKW�DQG�FDUFDVV�OHDQQHVV

2WKHU� VHOHFWLRQ�FULWHULD�FDQ�EH� UHSUHVHQWHG�DQG�GHULYHG� LQ�D� VLPLODU�PDQQHU��$Q�H[DPSOH�RI

VHOHFWLRQ�EDVHG�RQ�OLYH�ZHLJKW�DQG�FDUFDVV�OHDQQHVV�LV�SUHVHQWHG�EHORZ�LQ�WKH�5HVXOWV�VHFWLRQ��ZLWK

WKH�H[SHFWHG�UHWXUQ�RI�DQ�LQGLYLGXDO�SLJ�DQG�WKH�PDUJLQDO�QHW�UHWXUQ�JLYHQ�E\�

+Q�[©�

�U # >X �FZQ���FO

Q��� #FZ

Q���9& �Z

Q�@�X �FZ

Q�FO

Q� #FZ

Q@ � ��� Q����1��

758(� Q1

SO�Q N

NN�O

# ,Q

N�O # ���,Q�O

NO

# ,Q

O # ���,Q�N�O

��� 0DWHULDO�DQG�PHWKRGV ��

6HOHFWLRQ FULWHULRQ �6&� 'HVFULSWLRQ

, 1R VHOHFWLRQ

,, 6HOHFWLRQ RQ REVHUYHG OLYH ZHLJKW

,,, 6HOHFWLRQ RQ REVHUYHG OLYH ZHLJKW DQG REVHUYHG FDUFDVV OHDQQHVV

,9 3HUIHFW LQIRUPDWLRQ� 6HOHFWLRQ RQ DFWXDO 015

7DEOH ���� 7KH IRXU VHOHFWLRQ FULWHULD�

�����

������

������� 3HUIHFW�LQIRUPDWLRQ�DQG�VXPPDU\�RI�VHOHFWLRQ�FULWHULD

,Q�DGGLWLRQ�WR�WKH���FULWHULD�GHVFULEHG�DERYH��D�IRXUWK�FULWHULRQ�EDVHG�RQ�SHUIHFW�LQIRUPDWLRQ�RQ

DOO�WUDLWV�RI�DOO�SLJV�LV�LQWURGXFHG��3LJV�DUH�VHOHFWHG�EDVHG�RQ�WKH�DFWXDO��L�H��QRW�WKH�H[SHFWHG�

PDUJLQDO�QHW�UHWXUQ�RI�WKH�SLJ�DV�VKRZQ�LQ��������

7KH� FULWHULRQ� LV� RQO\� DSSOLFDEOH� LI� �DV� LQ� WKLV� SUHVHQWDWLRQ�� WKH� WUXH� YDOXH� �L�H�� ZLWKRXW

REVHUYDWLRQDO� HUURUV�� RI� WUDLWV� XVHG� IRU� FDOFXODWLQJ� WKH� QHW� UHWXUQ� DW� FXUUHQW� DQG� VXFFHGLQJ

PDUNHWLQJ�VWDJH�DUH�NQRZQ�DW�WKH�WLPH�RI�VHOHFWLRQ��9DOXHV�FDOFXODWHG�EDVHG�RQ�WKLV��XQUHDOLVWLF�

SHUIHFW�LQIRUPDWLRQ�VHOHFWLRQ�FULWHULRQ�UHSUHVHQW�WKH�EHVW�RU�KLJKHVW�DFKLHYDEOH�UHVXOWV�DQG�PLJKW

EH�YDOXDEOH�LQ�DVVHVVLQJ�WKH�HIILFLHQF\�DQG�H[SHFWHG�XWLOLW\�RI�RWKHU�FULWHULD��7KH�IRXU�VHOHFWLRQ

FULWHULD�DUH�VXPPDUL]HG�LQ�WDEOH�����

����� 7HUPLQDO�PDUNHWLQJ��&RQVWDQW�DQG�LQIOH[LEOH�ZHDQHU�VXSSO\

7KH�FRQGLWLRQDO�SUREDELOLW\�RI�VHOHFWLRQ�RI�D�VLQJOH�SLJ�DW�DQ\�VWDJH�Q�JLYHQ�QR�SULRU�VHOHFWLRQ�LV

, ��L�H����������$VVXPLQJ�WKDW�DOO�SLJV�LQ�D�EDWFK�DUH�HTXDO�DQG�PXWXDOO\�LQGHSHQGHQW��WKH�QXPEHUQQ

RI� VHOHFWHG�SLJV� LQ�D�EDWFK�DW� D�JLYHQ�VWDJH�Q�JLYHQ�N� UHPDLQLQJ�SLJV�DW� VWDJH�Q� LV�ELQRPLDO

GLVWULEXWHG��%��N��, ���7KH�QXPEHU�RI�UHPDLQLQJ�SLJV�DW�VWDJH�Q���LV�WKHQ�ELQRPLDO�GLVWULEXWHG��%Q

�N�����, ��DQG�WKH�SUREDELOLW\�RI�O�UHPDLQLQJ�SLJV�DW�VWDJH�Q���JLYHQ�N�UHPDLQLQJ�SLJV�DW�VWDJH�QQ

LV�JLYHQ�E\�

$VVXPLQJ�DQ� LQILQLWH�XQLQWHUUXSWHG� VHTXHQFH�RI�EDWFKHV� �L�H�� DQ� LQILQLWH� WLPH�KRUL]RQ�RI� WKH

SUREOHP�DQG�LQILQLWH�GXUDWLRQ�RI�WKH�SURGXFWLRQ�V\VWHP��WKH�QHW�SUHVHQW�YDOXH��139��RI�D�VHFWLRQ

FRQWDLQLQJ�N�SLJV�DW�VWDJH�Q�LV�

139P�Q�N� �. #3&

Q� 5139

P�Q�N� �D�

5139P�Q�N�

MN

O�

SO�Q N

# >(615Q�N� O��U #139

P�Q��� O�@ Q�P

(7615P�N� � U0 #139

P���.� QP

�E�

3&Q

3&� Q�

�� Q����1�F�

(560Q

*Q

# P��

����

P��

����

I;�(

�[�H -Q�[�H�� #X �FZ

Q�FO

Q� #FZ

QG[ GH

(570P

+P

# P��

����

P��

����

I;�(

�[�H /P�� �[�H�� #X �FZP

�FOP� #FZ

PG[ GH

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

������

������

ZKHUH P LV�WKH�WHUPLQDO�PDUNHWLQJ�VWDJH��P� ����1�

Q LV�WKH�FXUUHQW�PDUNHWLQJ�VWDJH��DQG�D�FRXQWHU�XVHG�LQ�WKH�UHFXUVLRQ��

N LV�WKH�UHPDLQLQJ�QXPEHU�RI�SLJV��L�H��WKH�EDWFK�VL]H��DW�VWDJH�Q�

(615 ��N�O�� ��N�O��#�(560 ���N�#�(9& �LV�WKH�H[SHFWHG�VWDJH�UHWXUQ�RI�WKH�N�O�VHOHFWHGQ Q Q

SLJV�VXEWUDFWHG�WKH�YDULDEOH�FRVWV�RI�DOO�N�UHPDLQLQJ�SLJV�

(7615 � �N�� � N� #�(570 ���N� #�(9& � LV� WKH� H[SHFWHG� VWDJH� UHWXUQ� RI�PDUNHWLQJ� DOOP P P

UHPDLQLQJ�SLJV��L�H��DW�WHUPLQDO�PDUNHWLQJ�VWDJH�P��

(560 LV�WKH�H[SHFWHG�UHWXUQ�SHU�SLJ�SODFH�JLYHQ�VHOHFWLRQ�Q

(9& DUH�WKH�H[SHFWHG�YDULDEOH�FRVWV�IURP�VWDJH�Q���WR�Q��(9& � ���DQG�(9& � �9&Q � Q

�(��Z / ��;©�����Q� ������1��Q Q��

(570 LV�WKH�H[SHFWHG�UHWXUQ�JLYHQ�WHUPLQDWLRQ�Q

3& DUH�WKH�UHSODFHPHQW�FRVWV�WKH�SXUFKDVH�FRVWV�RI�D�QHZ�EDWFK�

. LV�WKH�VWDQGDUG��DQG�IL[HG��VL]H�RI�WKH�FXUUHQW�DQG�RU�D�QHZ�EDWFK�DQG

0� LV�WKH�WLPH��PHDVXUHG�LQ�VWDJHV��IURP�LQVHUWLRQ�WR�ILUVW�PDUNHWLQJ�VWDJH�

7KH�SXUFKDVH�FRVWV��3&��LQFOXGH�DOO�YDULDEOH�FRVWV�DVVRFLDWHG�ZLWK�WKH�PDUNHWLQJ�RI�D�EDWFK

DQG�LQVHUWLRQ��DQG�SURGXFWLRQ��RI�D�QHZ�EDWFK��OLNH�WKH�FRVW�RI�QHZ�ZHDQHUV��IHHGLQJ�FRVWV�IURP

LQVHUWLRQ� WR� ILUVW�PDUNHWLQJ�VWDJH��L�H��0�ZHHNV��DQG� ODERU�FRVWV�GLUHFWO\�DVVRFLDWHG�ZLWK� WKH

UHSODFHPHQW�RI�EDWFKHV�

7KH�FRQGLWLRQDO�H[SHFWHG�VWDJH�UHWXUQ�RI�D�SLJ�JLYHQ�VHOHFWLRQ�DW�FXUUHQW�VWDJH��DQG�LPSOLFLWO\

JLYHQ�QR�VHOHFWLRQV�DW�SUHYLRXV�VWDJHV��LV�JLYHQ�E\�

ZKHUH FZ �DQG�FO �DUH�VFDODU�HOHPHQWV�RI�[�Q Q

7KH�FRQGLWLRQDO�VWDJH�UHWXUQ�RI�D�SLJ�JLYHQ�WHUPLQDWLRQ�DW�FXUUHQW�VWDJH��DQG�LPSOLFLWO\�JLYHQ�QR

VHOHFWLRQV�DW�SUHYLRXV�VWDJHV��LV�

8VLQJ�WKH�VROXWLRQ�PHWKRGV��L�H��'\QDPLF�3URJUDPPLQJ��RI�SUREDELOLVWLF�SUREOHPV�GHVFULEHG

139P 139%

P� U P�0�� #139

P�D�

139%P �. #3& � . #M

P��

Q�

U Q�� #:615Q� . #U P�� #:7615

P�E�

139P 139

P���.�

139P���.�

139©P �. #3& � M

.

N��

SN��� .

# >(615��.�N

�� � U #M

N�

N��

SN��� N

# >(615 �N��N

��� U #�

� U # M

NP��

NP��

SNP��

�P�� NP��

# >(615 �NP��

�NP��

� � U # >(7615 �NP��

� � U0 #139©P@@�@@

��� 0DWHULDO�DQG�PHWKRGV ��

������

������

EHORZ��HTXDWLRQ��������FDQ�EH�RSWLPL]HG�GLUHFWO\��L�H��ZLWK�UHVSHFW�WR�WKH�WHUPLQDO�PDUNHWLQJ�VWDJH

P���EXW�D�PRUH�VLPSOH�DQG�FRPSXWDWLRQDO�HIILFLHQW��L�H��SUHFLVLRQ�DQG�WLPH��PHWKRG�LV�DSSOLHG�DV

IROORZV���

7KH� WZR� IXQFWLRQV�(7615� DQG�(615� DUH� VHHQ� WR�EH� OLQHDU� LQ� WKH� DUJXPHQW�V��N� �DQG� O�

LPSO\LQJ�WKDW�

7KHRUHP����/HW�WKH�139 �EH�JLYHQ�E\�P

ZKHUH 139 � LV�WKH�QHW�SUHVHQW�YDOXH�RI�WKH�LQILQLWH�FKDLQ�RI�EDWFKHVP

� 139% � LV�WKH�QHW�SUHVHQW�YDOXH�RI�D�VLQJOH�EDWFK�P

:615 �* �#�(560 ���+ �#�(9& �LV�WKH�H[SHFWHG�VWDJH�QHW�UHWXUQ�SHU�SLJ�SODFH�RIQ

VHOHFWLQJ� DQG� PDUNHWLQJ� SLJV� DW� VWDJH� Q�� ZHLJKWHG� ZLWK� WKH� SUREDELOLW\� RI

VHOHFWLRQ�DW��DQG�WKH�SUREDELOLW\�RI�QR�VHOHFWLRQ�SULRU�WR��VWDJH�Q�DQG

:7615 �+ �#��(570 ���(9& ��LV�WKH�H[SHFWHG�WHUPLQDO�VWDJH�QHW�UHWXUQ�SHU�SLJ�SODFHP P P P

RI� WKH� WHUPLQDO�PDUNHWLQJ� DW� VWDJH�P��ZHLJKWHG�ZLWK� WKH� SUREDELOLW\� RI� QR

VHOHFWLRQ�SULRU�WR�VWDJH�P�

7KHQ��IRU�DQ\�P� �����1��.���

3URRI��

([SDQGLQJ�WKH�UHFXUVLRQV�LQ���������139 ����.��LV�P

1RZ�OHW�WKH�WZR�IXQFWLRQV�Q �DQG�� �EH�JLYHQ�E\�Q Q

QQ�N� M

N

O�

SO�Q N #(615 �N� O� �D�

�Q�R�

M.

N��

>SN��� .

#M

N�

N��

>SN��� N

#� # M

NQ��

NQ���

>SNQ��

�Q�� NQ��

#R �NQ���@�@@� Q����1

R �.�� Q�

�E�

MN

O�

SO�Q N #R �O� ��� ,

Q�#R �N� �D�

MN

O�

SO�Q N

#R �N� O� ,Q#R �N� �E�

�Q�R� M

.

N��

>SN��� . #M

N�

N��

>SN��� N

#� # M

NQ��

NQ���

>SNQ��

�Q�� NQ��

# ���,Q��� #R �N

Q���@�@@

NQ��

O�

���,O� #R �.� +

Q#R �.�

QQ�N� N # ,

Q#(560

Q�N #(9&

Q N # �,

Q#(560

Q�(9&

Q�

139P© �. #3& � �

��Q

�� � U #�

��Q

�� � U � #�

��Q

�� ��

� U P�� #�P��

�QP��

� � U P�� # >�P�(7615

P� � U 0 #139

P©@

�. #3& � +�#Q

��.� � U #+

�#Q

��.� � U � #+

�#Q

��.� ��

� U P�� #+P��

#QP��

�.� � U P�� # >+P#(7615

P�.� � U 0 #139

P©@

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

������

������

������

������

������

6WDQGDUG�UHVXOWV�RI��H[SHFWDWLRQV�RI��ELQRPLDO�GLVWULEXWLRQV�JLYH��WKDW�IRU�DQ\�OLQHDU�IXQFWLRQ�R�

IRU�DQ\�N� �����.�DQG�IRU�DQ\�Q� �����1�

7KHQ�E\�DVVXPLQJ�WKDW�WKH�DUJXPHQW��L�H��WKH�IXQFWLRQ�R��RI���LQ��������LV�D�OLQHDU�IXQFWLRQ�LQ�LWV

RZQ�DUJXPHQW��E\�DSSO\LQJ���������E\�LQGXFWLRQ�RYHU�Q�DQG�E\�DSSO\LQJ����������LV�JLYHQ�E\�

DQG�Q�LV�JLYHQ�E\�

Q� LV� VHHQ� WR� EH� OLQHDU� LQ� LWV� DUJXPHQW� �N�� DQG� WKHQ� E\� UHPRYLQJ� SDUHQWKHVHV� LQ� ������� DQG

VXEVWLWXWLQJ�������D��DQG��������LQ���������139 ©�LV�JLYHQ�E\�P

6XEVWLWXWLQJ��������LQ���������DSSO\LQJ��������DGGLQJ�D�VXPPDWLRQ�VLJQ�DQG�VSOLWWLQJ�WKH�HTXDWLRQ

LQWR�WZR�WKHQ�JLYHV��������

4�(�'�

$15 �

PD[P������1!

139%P

.#

L

�� ��� L���P�0����D�

139 �

. #$15 �

L�E�

$15 �

PD[P������1!

�3&�MP��

Q�

U Q�� # >*Q#(560

Q�+

Q#9&

Q�(�:

Q /Q��

�;���@

� U P�� #+P# >(570

P�9&

P�(�:

P /P��

�;���@ #L

�� ��� L���P�0���

��� 0DWHULDO�DQG�PHWKRGV ��

������

������

2SWLPL]LQJ��������ZLWK�UHVSHFW�WR�P�JLYHV�WKH�RSWLPDO�WHUPLQDO�PDUNHWLQJ�VWDJH�JLYHQ�FRQVWDQW

DQG�LQIOH[LEOH��L�H��VDPH�WHUPLQDO�PDUNHWLQJ�VWDJH�IRU�DOO�EDWFKHV��ZHDQHU�VXSSO\��7KH�FULWHULRQ

DSSHDUV�WR�EH�WKH�EDVLF�RSWLPL]DWLRQ�FULWHULRQ�RI�WKH�WUDGLWLRQDO�UHSODFHPHQW�WKHRU\�DV�GHVFULEHG

E\�H�J��-��6��7D\ORU�LQ��������FI��3UHLQULFK����3UHLQULFK��������DQG�5DVPXVVHQ���������ZLWK�WKH

EDWFK� UHSUHVHQWLQJ� WKH� DVVHW�� .#3&� UHSUHVHQWLQJ� WKH� SXUFKDVH� FRVWV� RI� WKH� DVVHW�� .#:615

UHSUHVHQWLQJ�WKH�QHW�UHWXUQ�SHU�WLPH�VWHS�DQG�:7615�UHSUHVHQWLQJ�WKH�WHUPLQDO�YDOXH�RI�WKH�DVVHW�

$VVXPLQJ�WKDW�FXUUHQW�DQG�IXWXUH�EDWFKHV�DUH�HTXDO��ZKLFK�LV�D�VSHFLDO�FDVH�RI�WKH�JHQHUDO

UHSODFHPHQW�SUREOHP��VHH�H�J��5DVPXVVHQ���������139 �PD\�DV�ZHOO�EH�RSWLPL]HG�E\�PD[LPL]LQJP

WKH�DYHUDJH�QHW�UHWXUQ�SHU�SLJ�SODFH�SHU�ZHHN�

ZKHUH $15 LV� WKH� RSWLPDO� DYHUDJH� QHW� UHWXUQ� SHU� SLJ� SODFH� SHU�ZHHN�� FDOFXODWHG� DV� DQ

DQQXLW\�DQG

139 LV� WKH� RSWLPDO� QHW� SUHVHQW� YDOXH� RI� D� VHFWLRQ� �RU� WKH� LQILQLWH� VHTXHQFH� RI

EDWFKHV��

,QVHUWLQJ��������DQG��������LQ��������WKHQ�JLYHV�WKH�RSWLPL]DWLRQ�FULWHULD�IRU�WKH�RSWLPDO�PDUNHWLQJ

VWDJH�JLYHQ�FRQVWDQW�DQG�LQIOH[LEOH�ZHDQHU�VXSSO\�

�������DSSHDUV�WR�EH�LQGHSHQGHQW�RI�WKH�DFWXDO�EDWFK�VL]H��.��RU�WKH�GLVWULEXWLRQ�RI�WKH�EDWFK�VL]H�

DW�D�JLYHQ�VWDJH��7KH�HTXDWLRQ�FRQWDLQV�QR�UHFXUVLYH�HOHPHQWV�DQG�FRPSDUHG�WR���������VROYHG�E\

3UREDELOLVWLF�2SWLPL]DWLRQ��VHH�EHORZ��WKH�FRPSXWDWLRQDO�EXUGHQV�DUH�LQ�PRVW�FDVHV��L�H��ZKHQ�.

LV�ODUJH��GUDVWLFDOO\�UHGXFHG��

2SWLPL]DWLRQ� FULWHULD� ������� DQG� ������� DUH� LQ� WKH� IROORZLQJ� UHIHUUHG� WR� DV�'HWHUPLQLVWLF

2SWLPL]DWLRQ��'2��DV�WKH�FDOFXODWLRQV�DUH�EDVHG�RQ�H[SHFWDWLRQV�RI�GLVWULEXWLRQV��RI�EDWFK�VL]HV

DW�GLIIHUHQW�VWDJHV��UDWKHU�WKDQ�GLUHFWO\�RQ�WKH�GLVWULEXWLRQV�DV�LQ��������

,W�VKRXOG�EH�QRWHG�WKDW�LI�D�EDWFK�LV�QRW��LPPHGLDWHO\��UHSODFHG�E\�D�QHZ�EDWFK�WKH�VDPH

FULWHULD�DV�RI�LQGLYLGXDO�SLJV��L�H���������DSSO\��7KH�EDWFK�VKRXOG�EH�WHUPLQDWHG�LI�WKH�PDUJLQDO�QHW

UHWXUQ�RI�SRVWSRQLQJ�WKH�PDUNHWLQJ���VWDJH�LV�QHJDWLYH�

����� 7HUPLQDO�PDUNHWLQJ��&RQVWDQW��EXW�IOH[LEOH�ZHDQHU�VXSSO\�

/HW�WKH�VHW�RI�IHDVLEOH�PDUNHWLQJ�GHFLVLRQV�EH�JLYHQ�E\�� � �^¦.§��¦0§`��ZKHUH�¦.§�LV�LQWHUSUHWHG

'Q

�¦.§�¦0§!� Q����1��

�¦0§!� Q1

139Q�N�3� �. #3&

Q� Y

Q�N�3 �Q�N�� �D�

YQ�N�G�

MN

O�

SO�Q N

# >(615Q�N� O��U #139

Q���O�3�@ G¦.§

(7615Q�N� � U0�� #139

��.�3� G¦0§

�E�

139�

Q�N� �. #3&

Q� PD[

3�.

�YQ�N�3 �Q�N��!

4Q�N� �. #3&

Q� PD[

G�'Q

�7Q�N�G�! �D�

7Q�N�G�

MN

O�

SNOQ# >(615

Q�N� O��U #4

Q���O�@ G¦.§

(7615Q�N� � U0�� #4

��.� G¦0§

�E�

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

������

DV�¦NHHS�WKH�UHPDLQGHU�RI�WKH�EDWFK�RQH�PRUH�ZHHN§�DQG�¦0§�DV�¦PDUNHW�WKH�UHPDLQGHU�RI�WKH

EDWFK�QRZ§��$�PDUNHWLQJ�VWDWH�LV�GHILQHG�DV�WKH�WXSOH�RI�D�PDUNHWLQJ�VWDJH�×�DQG�D�EDWFK�VL]H�Ø�

7KHQ��������H[SUHVVHV�WKH�SUREDELOLW\�RI�WKH�WUDQVLWLRQ��L�H��WKH�WUDQVLWLRQ�SUREDELOLW\��IURP�VWDWH

�Q��N��WR�VWDWH��Q����O���IRU�Q� �����1����N� �����.�DQG�O� �����N��$�SROLF\�LV�VSHFLILHG�DV�D�ILQLWH

PDSSLQJ�IURP�D�PDUNHWLQJ�VWDWH�LQWR�D�GHFLVLRQ��.������� ��)LQDOO\�D�GHFLVLRQ�VHW�LV�VSHFLILHG

DV�D�ILQLWH�PDSSLQJ�IURP�D�PDUNHWLQJ�VWDJH�LQWR�D�VHW�RI�GHFLVLRQV�DQG�LV�GHILQHG�DV�

,Q��������WKH�DUJXPHQW�P�PD\�EH�LQWHUSUHWHG�DV�D�YHU\�LQIOH[LEOH�SROLF\��¦$OZD\V�SHUIRUP�WKH

WHUPLQDO�PDUNHWLQJ�DW�VWDJH�P§��$OORZLQJ�WKH�WHUPLQDO�PDUNHWLQJ�VWDJH�WR�GLIIHU�IURP�EDWFK�WR

EDWFK��L�H��IOH[LEOH�WHUPLQDO�PDUNHWLQJ�VWDJH���������PLJKW�EH�UHGHILQHG�DV�

ZKHUH 3 LV�DQ\�IHDVLEOH�SROLF\��3�.�

DQG�ZLWK�WKH�RSWLPL]DWLRQ�FULWHULRQ�

$SSO\LQJ�%HOOPDQ©V�3ULQFLSOH�RI�2SWLPDOLW\��%HOOPDQ��������.XUH��������WKH�JOREDO�SUREOHP��LH

RI�RSWLPL]LQJ�SROLFLHV��LV�GHFRPSRVHG�LQWR�D�KLHUDUFK\�RI�ORFDO��VXE¤�SUREOHPV��RI�RSWLPL]LQJ

GHFLVLRQV��

7KH� FRPSXWDWLRQDO� EHQHILWV� RI� DSSO\LQJ� WKH� GHFRPSRVHG� FULWHULRQ� �DOVR� NQRZQ� DV�'\QDPLF

3URJUDPPLQJ��DUH�LQ�PRVW�FDVHV�RI�KXJH�GLPHQVLRQV�DQG�LQ�PDQ\�VLWXDWLRQV�LW�ZLOO�WXUQ��UHDO�WLPH�

XQVROYDEOH�SUREOHPV�LQWR�VROYDEOH�SUREOHPV��

7KH�RSWLPDO�DYHUDJH�QHW�UHWXUQ�SHU�SLJ�SODFH�SHU�ZHHN�LV�JLYHQ�E\�

$15 �

4��.�

.# L

SO�Q

.

O# ���+

Q�Q #+

�.�O�

Q

SO

):HDQHU

�O��� O�

):HDQHU

�O�� � ):HDQHU

�O��� O����.

� � ):HDQHU

�O��� O.

.© ���)3LJOHW

�.��� # >(�3LJOHW 3LJOHW!.�� � �.��@

.§ M.

O�

SO# O

139%P �. #)3& � .©#/(3 � .§ # >�93& � M

P��

Q�

U Q�� #(615Q� U P�� #(7615

P@

3& )3& � 93&

��� 0DWHULDO�DQG�PHWKRGV ��

������

2SWLPL]DWLRQ�FULWHULRQ��������ZLOO�EH�UHIHUUHG�WR�DV�3UREDELOLVWLF�2SWLPL]DWLRQ��32��

)RU�D�JLYHQ�SROLF\�LW�PD\�EH�LQWHUHVWLQJ�WR�NQRZ�WKH�GLVWULEXWLRQ�RI�VWDWHV�JLYHQ�WKDW�SROLF\��7KLV

GLVWULEXWLRQ�FDQ�LQ�JHQHUDO�EH�FDOFXODWHG�E\�XVH�RI�,QIOXHQFH�'LDJUDPV�RU�E\�DQ�DGMXVWHG�YHUVLRQ

RI�5'3�DV�GHILQHG�E\�.XUH���������EXW�LQ�DW�OHDVW�RQH�VSHFLDO�VLWXDWLRQ�D�PRUH�VLPSOH�PHWKRG�PD\

EH�DSSOLHG��,I�WKH�SROLF\�LV�WR�NHHS�WKH�EDWFK�DW�DOO�VWDJHV��WKH�QXPEHU�RI�SLJV�UHPDLQLQJ�DW�VWDJH

Q�ZLOO�EH�ELQRPLDO�GLVWULEXWHG��%��.����+ ��DQG�WKH�SUREDELOLW\�RI�O�UHPDLQLQJ�SLJV�DW�VWDJH�Q�LV�Q

����� 7HUPLQDO�PDUNHWLQJ��9DU\LQJ�DQG�IOH[LEOH�ZHDQHU�VXSSO\

/HW�D�VWRFKDVWLF�IOH[LEOH�ZHDQHU�VXSSO\�EH�UHSUHVHQWHG�E\�WKH�VWRFKDVWLF�YDULDEOH�:HDQHU�DQG�OHW

WKH�GLVWULEXWLRQ�RI�:HDQHU�EH�DSSUR[LPDWHG�E\�D�QRUPDO�GLVWULEXWLRQ�

ZKHUH S LV�WKH�DSSUR[LPDWHG�SUREDELOLW\�IXQFWLRQ�DQGO

) LV�WKH�GHQVLW\�PDVV�IXQFWLRQ�RI�:HDQHU�a�1�����) ��ZHDQHU

DQG�OHW�WKH�H[SHFWHG�EDWFK�VL]H��.§��DQG�WKH�H[SHFWHG�VXUSOXV�RI�ZHDQHUV��.©��EH�JLYHQ�E\�

7KH�GHWHUPLQLVWLF�RSWLPL]DWLRQ�FULWHULRQ��LH�JLYHQ�FRQVWDQW�WHUPLQDO�PDUNHWLQJ�VWDJH��LV�WKHQ�JLYHQ

E\��������ZLWK�139% �UHGHILQHG�DV�P

ZKHUH )3& DUH�WKH�IL[HG�SXUFKDVH�FRVWV��L�H��LQGHSHQGHQW�RQ�EDWFK�VL]H��

4Q�N�

�. #)&3 � .© #/(3 � M.

O�

SO# O # >�93& � PD[

G�'Q

�7Q�O�G�!@� Q�

PD[G�'

Q

�7Q�N�G�! Q����1

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

������

)LJXUH ���� 3UREDELOLVWLF RSWLPL]DWLRQ� &RQVWDQW ZHDQHU VXSSO\� 1RGHV UHSUHVHQW VWDWHV�

/(3 LV�WKH�ORVV�SHU�ZHDQHU�LQ�H[FHVV�DQG

93& DUH�WKH�YDULDEOH�SXUFKDVH�FRVWV��L�H��GHSHQGHQW�RQ�WKH�EDWFK�VL]H��

DQG� LQ� WKH�FDVH�RI�SUREDELOLVWLF�RSWLPL]DWLRQ��L�H��FKDQJHDEOH�ZHDQHU�VXSSO\��4 � LQ� ������� LVQ

UHGHILQHG�DV�

����� 3UREDELOLVWLF�2SWLPL]DWLRQ

7KH�IXQFWLRQDO�HTXDWLRQV��������DQG��������FDQ�EH�VROYHG�E\�D�QXPEHU�RI�'\QDPLF�3URJUDPPLQJ

�'3��VROXWLRQ�PHWKRGV��%HOOPDQ��������ILUVW�LQWURGXFHG�DQG�IRUPDOL]HG�WKH�FRQFHSW�RI�'3�DV�D

EDFNZDUG�PXOWLVWDJH�SUREOHP�VROYLQJ�WHFKQLTXH�RI�VHTXHQWLDO�GHFLVLRQ�SUREOHPV��1HPKDXVHU�

�������+RZDUG� ������� QDPHG� WKLV� WHFKQLTXH� DV�9DOXH� ,WHUDWLRQ� �9,�� DQG� LQWURGXFHG� D� QHZ

WHFKQLTXH��3ROLF\�,WHUDWLRQ��3,���ZKLFK�LQ�VSHFLDO�VLWXDWLRQV��LQILQLWH�WLPH�KRUL]RQ�DQG�¦VPDOO§

VWDWH�VSDFHV��SURYHG�WR�EH�YHU\�HIILFLHQW��QXPHULFDOO\��FRQFHUQLQJ�SUHFLVLRQ�DQG�FRPSXWLQJ�WLPH�

FRPSDUHG�WR�9,��.ULVWHQVHQ�������� LQWURGXFHG�D�QHZ�PHWKRG��+LHUDUFKLF�0DUNRY�3URFHVVHV

�+03���DV�D�K\EULG�RI�9,�DQG�3,��XWLOL]LQJ�WKH�EHVW�IHDWXUHV�RI�WKH�WZR�PHWKRGV��KDQGOLQJ�RI�ODUJH

VWDWH�VSDFHV�DQG�IDVW�FRQYHUJHQFH�UHVSHFWLYHO\��7KH�PHWKRG�LQFUHDVHG�WKH�QXPHULFDO�HIILFLHQF\

FRPSDUHG�WR�9,�DQG�3,�DQG�KDV�EHHQ�VXFFHVVIXOO\�DSSOLHG�WR�ODUJH¤VWDWH�VSDFH�SUREOHPV�ZLWK�PRUH

WKDQ�����������VWDWHV��+RXEHQ���������6KHQR\��������GHPRQVWUDWHG�KRZ�WKH�JHQHUDO�SULQFLSOH�RI

'3�LV�XWLOL]HG�LQ�,QIOXHQFH�'LDJUDPV�DQG�9DOXDWLRQ�1HWZRUNV��,Q�FKDSWHU����DQG�LQ�.XUH�������

LW�LV�GHPRQVWUDWHG�KRZ�WKH�LQWURGXFWLRQ�RI�UHFXUVLYH�VROXWLRQ�WHFKQLTXHV��5HFXUVLYH�'\QDPLF

3URJUDPPLQJ� �5'3��� PLJKW� LQFUHDVH� WKH� FRPSXWDWLRQDO� HIILFLHQF\� DQG� FRQWULEXWH� WR� WKH

WKHRUHWLFDO�JHQHUDOLW\�RI�'3�ZLWK�DQG�ZLWKRXW�VWRFKDVWLF��0DUNRY��SURFHVVHV��

7KH�RSWLPL]DWLRQ�PHWKRG�DSSOLHG�LQ�WKLV�SUHVHQWDWLRQ�LV�GHVFULEHG�DV�D�PL[WXUH�RI�+03�ZLWK

��PDLQ�SURFHVV��VHH�.ULVWHQVHQ��������DQG�5'3��WKH�9,¤VWHSV�RI�WKH�+03�DUH�VXEVWLWXWHG�E\

5'3��7KH�LWHUDWLYH�PHWKRG�LV�DV�IROORZV�

��� 0DWHULDO�DQG�PHWKRGV ��

)LJXUH ���� 3UREDELOLVWLF RSWLPL]DWLRQ� 9DU\LQJ ZHDQHU VXSSO\� 1RGHV UHSUHVHQW VWDWHV�

�� 6HW�DQ�LQLWLDO�¦JXHVV§��139 �RI�WKH�VROXWLRQ�RI�WKH�IXQFWLRQDO�HTXDWLRQ��������RU���������6HW�W�

���

�� 2SWLPL]H�WKH�SROLF\�E\�DSSO\LQJ�5'3�JLYHQ�WKH�FXUUHQW�YDOXH�RI�139 ��L�H��VROYH�FDOFXODWHW��

�������RU���������ZLWK�4 ��.��LQ�������E��VXEVWLWXWHG�E\�WKH�FRQVWDQW�YDOXH�139 ���7KH�YDOXH� W��

RI�WKH�VROXWLRQ�LV�WHUPHG�4 �.� ��&DOFXODWH�WKH�¦DYHUDJH�GLVFRXQW�IDFWRU§��T ��LV�DXWRPDWLFDOO\� W

�W�

FDOFXODWHG�XVLQJ�WKH�JHQHUDO�5'3�PHWKRG��ZLWK�GLVFRXQWLQJ��VHH�FKDSWHU����

�� ,I 4 �.� �¤�139 �!����ZKHUH���LV�D�SUHGHILQHG�FRQYHUJHQFH�OLPLW����!�WKH�QXPHULFDO� W

�W�

SUHFLVLRQ�RI�WKH�FRPSXWLQJ�GHYLFH��

WKHQ� 5HFDOFXODWH�WKH�QHW�SUHVHQW�YDOXH�JLYHQ�WKH�RSWLPDO�YDOXH�4 �.� DQG�WKH�¦DYHUDJH��W�

GLVFRXQW�IDFWRU§�T �IURP����W

�139 � �139 ����4 �.� ��139 ��T ��W W�� � W�� W

�W�

6HW�W� �W������*RWR�VWHS���

HOVH� (QG�WKH�LWHUDWLRQ�SURFHVV�

6WHS���RI�WKH�DOJRULWKP�¤�LQ�WKH�VLWXDWLRQ�RI�D�FRQVWDQW��EXW�IOH[LEOH�ZHDQHU�VXSSO\�ZLWK���SLJV�SHU

EDWFK�DQG���PDUNHWLQJ�VWDJHV�¤�LV�VKRZQ�JUDSKLFDOO\�LQ�ILJ�������VWDJH���DQG�SDUWV�RI�VWDJH���DUH

QRW�VKRZQ���7KH�JUDSK�LV�WUDYHUVHG�UHFXUVLYHO\�IURP�OHIW�WR�ULJKW�IROORZLQJ�WKH�GLUHFWHG�HGJHV�DV

GHVFULEHG�LQ�FKDSWHU���DQG�WKH�GDVKHG�GLUHFWHG�HGJH�IURP�ULJKW�WR�OHIW�UHSUHVHQW�WKH�VWHS���DQG��

LQ�WKH�LWHUDWLRQ��'HFLVLRQ�QRGHV�UHSUHVHQW�WKH�GHFLVLRQ�RI�HLWKHU�¦.HHS§�RU�¦0DUNHW§�DOO�UHPDLQLQJ

SLJV�LQ�WKH�EDWFK��ZKLOH�FKDQFH�QRGHV�UHSUHVHQW�WKH�VWRFKDVWLF�SURFHVV�RI�VHOHFWLQJ�DQG�PDUNHWLQJ

LQGLYLGXDOV��ZLWK�WUDQVLWLRQ�SUREDELOLWLHV�DV�GHILQHG�E\���������,Q�WKH�LQLWLDO�QRGH��DW�VWDJH����WKH

RSWLRQ�LV�WR�HLWKHU�PDUNHW�RU�NHHS�WKH���UHPDLQLQJ�SLJV��ZKLOH�WKH�RQO\�RSWLRQ�LQ�WKH�QRGHV�DW�WKH

WHUPLQDO�VWDJH�����LV�WR�PDUNHW�DOO�UHPDLQLQJ�SLJV�

,Q�ILJ������WKH�VDPH�VLWXDWLRQ��EXW�ZLWK�YDU\LQJ�ZHDQHU�VXSSO\�LV�VKRZQ��&RPSDUHG�WR�ILJ�����

D� FKDQFH� QRGH� UHSUHVHQWLQJ� WKH� VWRFKDVWLF� ZHDQHU� VXSSO\� �DW� VWDJH� ��� L�H�� SULRU� WR� WKH� ILUVW

PDUNHWLQJ�VWDJH��KDV�EHHQ�DGGHG�DQG�WKH�JUDSK�H[WHQGHG�FKDQJHG�DFFRUGLQJO\��+RZHYHU��VDPH

RSWLPL]DWLRQ�DOJRULWKP�LV�XVHG�WR�VROYH�ERWK�SUREOHPV�

����� 0RGHO�WHVWLQJ

,Q�RUGHU�WR�WHVW�DQG�H[DPLQH�WKH�SURSRVHG�PRGHOV�DQG�PHWKRGV�D�VDPSOH�IHHGHU�SLJ�ILQLVKLQJ

RSHUDWLRQ�LV�LQWURGXFHG��3DUDPHWHUV�RI�WKH�DQLPDO�JURZWK�PRGHO�DUH�HVWLPDWHG�EDVHG�SDUWO\�RQ

VLPXODWHG�GDWD�XVLQJ�WKH�VLPXODWLRQ�PRGHO�GHYHORSHG�DQG�GHVFULEHG�E\�-�UJHQVHQ��������DQG

���

��

�� �� �� �� �� �� �� ��� ��� ��� ��� ��� ���

Z �NJ�

015�'..�

����

����

����

����

����

����

I�S

URE��

015� ��� 015� ��� I �Z�� I �Z��

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

)LJXUH ����0DUJLQDO GHQVLW\ RI REVHUYHG OLYH ZHLJKW Z© DQG H[SHFWHG PDUJLQDO QHW UHWXUQ �015� FRQGLWLRQHG

RQ REVHUYHG OLYH ZHLJKW DW VWDJH � DQG �� ( ���� = ������:

-�UJHQVHQ��.ULVWHQVHQ���������SDUWO\�RQ�D�GDWD�VHW�IURP�7KH�'DQLVK�6ODXJKWHU�+RXVHV������

VDPSOHV�IURP�DQ�H[SHULPHQW�ILUVW�SXEOLVKHG�E\�8GHVHQ��������LQ�ZKLFK�RQO\��¤����RI�WKH�SLJV

KDYH�EHHQ�VHOHFWHG�IRU�PDUNHWLQJ�DQG�RQ�D�FRPSUHKHQVLYH��L�H��PDQ\�ORQJLWXGLQDO�REVHUYDWLRQV�

GDWD�VHW������VDPSOHV��IURP�D�FXUUHQWO\�XQSXEOLVKHG�H[SHULPHQW�DW�WKH�5R\DO�$JULFXOWXUDO�DQG

9HWHULQDU\�8QLYHUVLW\��&RSHQKDJHQ��VHH�DOVR�FKDSWHU��������3ULFHV�SDLG�E\�WKH�SDFNHU�DUH�DV�VKRZQ

LQ�ILJ�������$OO�QHFHVVDU\�PRGHO�SDUDPHWHUV��H[FHSW�SULFHV��DUH�ZLWK�WKHLU�GHIDXOW�YDOXHV�VKRZQ�LQ

WKH�DSSHQGL[�

7KH�VDPSOH�IHHGHU�SLJ�ILQLVKLQJ�RSHUDWLRQ��ZLWK�GHIDXOW�SDUDPHWHU�YDOXHV��LV�XVHG�IRU�EDVLF

RSWLPL]DWLRQV�DQG�IRU�H[DPLQLQJ�DQG�FRPSDULQJ�WKH�GLIIHUHQW�VHOHFWLRQ�FULWHULD�DQG�RSWLPL]DWLRQ

PHWKRGV� SURSRVHG� DERYH�� ,Q� RUGHU� WR� WHVW� WKH� VHQVLWLYLW\� RI� WKH� PHWKRGV� D� UDQJH� RI� PRGHO

SDUDPHWHUV��LQ�SDUWLFXODU�WKH�SDUDPHWHUV�RI�WKH�DQLPDO�JURZWK�PRGHO��KDYH�EHHQ�FKDQJHG�IURP

WKH�GHIDXOW�YDOXHV��,Q�WKH�RSWLPL]DWLRQV�RI�WKH�VHOHFWLRQ�RI�LQGLYLGXDOV��H�J��ZKHQ�FDOFXODWLQJ�(5,Q

LQ��������WKH�VDPSOLQJ�VL]H��=��ZDV�������ZKLOH�LQ�WKH�FDOFXODWLRQV�RI�SUREDELOLW\�RI�VHOHFWLRQ�HWF�

�H�J��ZKHQ�FDOFXODWLQJ�+ �LQ��������WKH�VDPSOLQJ�VL]H�ZDV�LQFUHDVHG�WR���������LQ�RUGHU�WR�JHWQ

H[DFW�VWDWLVWLFV�RQ�PRGHO�SHUIRUPDQFHV�RXWSXW��7KH�UHVXOWV�RI�WKHVH�DQDO\VLV©�DUH�SUHVHQWHG�LQ�WKH

5HVXOWV�VHFWLRQ�EHORZ��

��� 5HVXOWV

6HOHFWHG�UHVXOWV�DUH�SUHVHQWHG�EHORZ��,W�VKRXOG�EH�QRWHG�WKDW�UHVXOWV�DUH�EDVHG�RQ�VLPXODWHG�GDWD

DQG�VKRXOG�QRW�EH�LQWHUSUHWHG�ZLWKRXW�SUHFDXWLRQV�

����� 6HOHFWLRQ�RI�LQGLYLGXDO�SLJV

������� 6HOHFWLRQ�EDVHG�RQ�REVHUYHG�OLYH�ZHLJKW

7KH�EDVLF�UHVXOWV�RI�VHOHFWLRQ�RQ�REVHUYHG�OLYH�ZHLJKW�DW�VWDJH���DQG����L�H�: ©�DQG�: ©��DUH�VKRZQ� �

LQ�ILJ�������7KH�PDUJLQDO�QHW�UHWXUQ�LV�SRVLWLYH�IRU�Z ©��������NJ�DQG�IRU�Z ©�!�����DQG�QHJDWLYH� �

IRU��������Z ©�������NJ��RQO\�SLJV�LQ�WKH�LQWHUYDO�IURP������NJ�WR�����NJ�OLYH�ZHLJKW�VKRXOG�EH�

PDUNHWHG�� 7KH� SUREDELOLW\� RI� DQ� REVHUYHG� OLYH�ZHLJKW� DERYH� ���� NJ� LV�� DV� LQGLFDWHG� E\� WKH

PDUJLQDO�GHQVLW\�RI�: ©�LQ�WKH�ILJXUH��YHU\�OLWWOH�DQG�WKHUHIRUH�WKH�UHVXOWV�ZLOO�QRW�EH�VLJQLILFDQWO\�

���

�� �� �� �� �� �� �� �� ��� ��� ���

Z �NJ�

015�'..�

����

����

����

����

����

����

I�S

URE��

015���� 015���� 015���� 015���� I�Z�

��� 5HVXOWV ��

Q Z

� ����

� ����

� ����

� ����

7DEOH ���� 2SWLPDO WKUHVKROG YDOXHV

�Z � DW VWDJH �Q� � WR �� ( ����

:

= ������

)LJXUH ���� 0DUJLQDO SULRU GHQVLW\ �I �Z ©�� RI OLYH ZHLJKW �Z ©� DW VWDJH � DQG PDUJLQDO QHW UHWXUQ �015��� �

IURP VWDJH � WR ����� DQG �� ( ���� = ������:

LQIOXHQFHG�E\�RPLWWLQJ�WKLV�XSSHU� LQWHUYDO� LQ� WKH�VHOHFWLRQ

FULWHULD��

7KH�GURS�LQ�015�DW�DSSUR[LPDWHO\�����NJ�OLYH�ZHLJKW�LV

FDXVHG�E\�D�VHYHUH�SULFH�SHQDOW\�RQ�KHDY\�SLJV��FDUFDVV�EDVH

SULFH�LV�UHGXFHG�IURP������WR������'..�SHU�N�JDW�����NJ�FDUFDVV

ZHLJKW���7KH�RSWLPDO�WKUHVKROG�OLYH�ZHLJKWV�RI�DOO���VWDJHV

�VWDJH���LV�RPLWWHG�DV�DOO�UHPDLQLQJ�SLJV�ZLOO�EH�PDUNHWHG�LQ

DQ\�FDVH�DW�WKLV�VWDJH��DUH�VKRZQ�LQ�WDEOH������,W�VKRXOG�EH

QRWHG�KRZ�WKH�WKUHVKROG�ZHLJKWV�GHFUHDVHV�DV�WKH�PDUNHWLQJ

VWDJH�QXPEHU�LQFUHDVHV�

,Q�ILJ������WKH�PDUJLQDO�QHW�UHWXUQV�IURP�VWDJH���WR�VWDJH

��������DQG����L�H��015 ������015 ������015 �����DQG�015 �����UHVSHFWLYHO\��DUH�VKRZQ��WKH�JUDSK� � � �

RI�015 ����LQ�ILJ������UHSUHVHQWV�WKH�VDPH�GDWD�DV�WKH�JUDSK�RI�015 �����LQ�ILJ���������015 ������� � �

015 �����DQG�015 �����DUH�DW�OHDVW�LQ�WKH�PRVW�LPSRUWDQW��DQG�OLNHO\��LQWHUYDO�IURP������NJ�WR� �

DSSUR[LPDWHO\�����NJ�OHVV�WKDQ�015 �����RU�DW�OHDVW�OHVV�WKDQ����)RU�SLJV�ZLWK�DQ�REVHUYHG�OLYH�

ZHLJKW�RI�PRUH�WKDQ�DSSUR[������NJ�LW�ZLOO�EH�EHQHILFLDO�WR�NHHS�WKH�SLJV�XQWLO�PDUNHWLQJ�VWDJH���

EXW�DJDLQ�WKH�SUREDELOLW\�DV�VKRZQ�E\�WKH�PDUJLQDO�GHQVLW\�IXQFWLRQ�RI�WKLV�KHDY\�ZHLJKW�DQG

FRUUHVSRQGLQJ� KLJK� JURZWK� UDWH� LV� UHODWLYHO\� OLWWOH�� ,Q� JHQHUDO� WKH� DVVXPSWLRQ� RI� GHFUHDVLQJ

PDUJLQDO�QHW�UHWXUQ�RYHU�WLPH�LV�VDWLVILHG�ZLWKLQ�WKH�PRVW�LPSRUWDQW��DQG�OLNHO\��ZHLJKW�LQWHUYDOV�

$Q�DQDO\VLV�RI�VWDJH������DQG���JLYHV�VLPLODU�UHVXOWV�

������� 6HOHFWLRQ�EDVHG�RQ�REVHUYHG�OLYH�ZHLJKW�DQG�FDUFDVV�OHDQQHVV

7KH�UHVXOWV�RI�FRQGLWLRQLQJ�WKH�H[SHFWHG�PDUJLQDO�QHW�UHWXUQ��RI�SRVWSRQLQJ�WKH�PDUNHWLQJ���VWDJH�

RQ�REVHUYHG�OLYH�ZHLJKW�DQG�REVHUYHG�FDUFDVV�OHDQQHVV�XVLQJ�������DUH�VKRZQ�LQ�ILJ�������)RU�FO �

��������L�H��WKH�H[SHFWHG�FDUFDVV�OHDQQHVV�DW�VWDJH����VHH�WKH�DSSHQGL[��WKH�JUDSK�RI�015 �����LQ�

ILJ������PD\�EH�UHFRJQL]HG��7KH�LQWHUHVWLQJ�DQG�LPSRUWDQW�LVVXH�LV�WKDW�WKH�LQWHUVHFWLRQ�EHWZHHQ

015 � IRU� �����Z ©������� DQG� WKH� ]HUR�SODQH� LQ� ILJ�� ���� LV� DSSUR[LPDWHO\� D� VWUDLJKW� OLQH��$� �

VHOHFWLRQ�FULWHULRQ�EDVHG�RQ�WKLV�OLQHDU�UHODWLRQVKLS�LV�JLYHQ�E\���������DQG�IXQFWLRQDO�HVWLPDWHV

RI� WKH� UHODWLRQVKLSV�IRU�VWDJH���WR���DUH�VKRZQ�JUDSKLFDOO\� LQ�ILJ�������7KH�¨�©�DQG�¨ª©�VLJQV

��

��

��

��

��

���

���

���

���

���

���

���

����

���

����

���

���

��

015

Z

FO

+Q�[©�

�ZQ© ! Z

Q

��� Q����1��

758(� Q1�D�

ZQ

��� �

�#FO

Q© �E�

��

��

��

��

��

��� ���� ��� ���� ���

FO

Z

����

���

����

���

����

���

����

���

3URE

6WDJH � 6WDJH � 6WDJH � 6WDJH � I �FO��

ª

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

)LJXUH ���� ([SHFWHG QHW PDUJLQDO UHWXUQ DW VWDJH � �015� FRQGLWLRQHG RQ REVHUYHG OLYH ZHLJKW �:©� DQG

REVHUYHG FDUFDVV OHDQQHVV �&/©� DW VWDJH �� ( ���Õ DQG ( �����Õ� = ������: &/

������

)LJXUH ����0L[HG VHOHFWLRQ FULWHULRQ� 6HOHFWLRQ RQ REVHUYHG OLYH ZHLJKW �:©� DV D IXQFWLRQ RI REVHUYHG FDUFDVV

OHDQQHVV �&/©� DW VWDJH Q �� �� �� �� 6HOHFW LI Z© ! � � � # FO©� ( ���Õ DQG ( �����Õ� = ������� � : &/

LQGLFDWH�SRVLWLYH�DQG�QHJDWLYH�YDOXHV�RI�015 ������,I�Z ©�!�Z �IRU�D�VSHFLILF�SLJ�WKHQ�015 ����Q Q Q Q

LV�QHJDWLYH�DQG�WKH�GHFLVLRQ�LV�ZHWKHU�WR�PDUNHW�WKH�SLJ�DW�FXUUHQW�VWDJH�RU�WR�NHHS�WKH�SLJ��DW�OHDVW�

XQWLO�QH[W�VWDJH�

FO�

3ULFH�

��� 5HVXOWV ��

6HOHFWLRQ

FULWHULD �6&�

'2 32

P � P � P � P � P � . � . � . � . � . �� . ���

, �1RQH� ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

,, �Z� ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

,,, �Z� FO� ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

,9 �3HUIHFW LQIR�� ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� ����

7DEOH ���� &RQVWDQW ZHDQHU VXSSO\� $YHUDJH ZHHNO\ QHW UHWXUQ SHU SLJ SODFH �$15� RI 'HWHUPLQLVWLF DQG

3UREDELOLVWLF 2SWLPL]DWLRQ �'2 DQG 32� JLYHQ � GLIIHUHQW VHOHFWLRQ FULWHULD �6&� VHH WH[W IRU H[SODQDWLRQ

DQG GHILQLWLRQ RI FULWHULD�� 2SWLPDO $15V RI '2 DUH LQGLFDWHG E\ D VKDGHG DUHD� $OO $15V RI 32 DUH

RSWLPDO� ( ���Õ DQG ( �����Õ� = ��������: &/

����� 7HUPLQDO�PDUNHWLQJ

������� &RQVWDQW�ZHDQHU�VXSSO\

7KH���VHOHFWLRQ�FULWHULD��6&©V��DV�GHVFULEHG�DQG�DVVHVVHG�LQ�SUHYLRXV�VHFWLRQV�KDYH�EHHQ�DSSOLHG

WR� WKH� WZR� GLIIHUHQW� RSWLPL]DWLRQ� FULWHULD� �'HWHUPLQLVWLF� 2SWLPL]DWLRQ� �'2�� �������� DQG

3UREDELOLVWLF�2SWLPL]DWLRQ��32�����������LQ�RUGHU�WR�ILQG�WKH�RSWLPDO�WHUPLQDO�PDUNHWLQJ�VWDJHV

DQG�WKH�RSWLPDO�H[SHFWHG�DYHUDJH�QHW�UHWXUQV��7KH�EDVLF�UHVXOWV�RI�WKHVH�FDOFXODWLRQV�DUH�VKRZQ

LQ� WDEOH������:LWK� VHOHFWLRQ� FULWHULRQ� ,� �L�H�� QR� VHOHFWLRQ�� DQG�ZLWK�'2� WKH�RSWLPDO� WHUPLQDO

PDUNHWLQJ�VWDJH�LV����DVVXPLQJ�VDPH�FRVWV�RI�PDUNHWLQJ�LQVHUWLRQ�IRU�DOO�VWDJHV�¤�QR�DGGLWLRQDO

FRVWV�DVVRFLDWHG�ZLWK�FKDQJLQJ�WKH�ZHDQHU�VXSSO\��DQG�WKH�RSWLPDO�DYHUDJH�QHW�UHWXUQ�SHU�SLJ

SODFH�SHU�ZHHN� �$15 �� LV������'..��:LWK� VHOHFWLRQ�FULWHULRQ� ,,� �VHOHFWLRQ�RQ�REVHUYHG� OLYH

ZHLJKW��WKH�$15 �LV�LQFUHDVHG�E\������'..��RU�����#������L� ��L� �������'..�\HDU��WR����� ���

'..��7KH�RSWLPDO�PDUNHWLQJ�VWDJH�LV����EXW�PDUNHWLQJ�DW�VWDJH���LV�RQO\�VOLJKWO\�LQIHULRU������

'..���7KH�GLIIHUHQFH�LQ�$15 �EHWZHHQ�FULWHULRQ�,,�DQG�,,,��VHOHFWLRQ�RQ�REVHUYHG�OLYH�ZHLJKW�DQG

REVHUYHG� FDUFDVV� OHDQQHVV�� DSSHDUV� WR� EH� UHODWLYHO\� OLWWOH� ������ '..��� ZKLOH� WKH� GLIIHUHQFH

EHWZHHQ�FULWHULRQ�,9��SHUIHFW�LQIRUPDWLRQ��DQG�,,,�LV�VLJQLILFDQWO\�ODUJHU�������'..��RU������'..

SHU�SLJ�SODFH�SHU�\HDU���7KH�GLIIHUHQFH�EHWZHHQ�$15 �RI�GLIIHUHQW�FULWHULD�LQFUHDVHV�DV�P��DQG�WKHQ

IUDFWLRQ�RI�VHOHFWHG�SLJV��LQFUHDVHV�DQG�WKH�ORVV�RI�H[HFXWLQJ�WKH�WHUPLQDO�PDUNHWLQJ�WRR�ODWH��H�J�

DW�VWDJH���LQVWHDG�RI�VWDJH����LV�ODUJHVW�������'..�SHU�SLJ�SODFH�SHU�ZHHN��ZKHQ�QRW�VHOHFWLQJ�DW

DOO��L�H��FULWHULRQ�,��

7KH�$15 �RI�32�GHSHQGV�JUHDWO\�RQ�WKH�EDWFK�VL]H��YDOXHV�GHFUHDVH�DV�EDWFK�VL]HV�LQFUHDVH

DQG�WKH�YDOXHV�FRQYHUJH�WRZDUGV�WKH�UHVXOWV�RI�'2��7KH�GLIIHUHQFH�EHWZHHQ�GLIIHUHQW�VHOHFWLRQ

FULWHULD�DUH�RI�VDPH�PDJQLWXGH�DV�RI�'2�

:LWK�'2�WKH�OLNHOLKRRGV�RI�VHOHFWLRQ�SULRU�WR�WKH�RSWLPDO�VWDJH��L�H��* �LQ�WDEOH������LV������P

IRU�6&�,,��������IRU�6&�,,,�DQG������IRU�6&�,9��LPSO\LQJ�WKDW�LQ�DOO���FDVHV�DSSUR[LPDWHO\����

RI�DOO�SLJV�VKRXOG�EH�VHOHFWHG�DQG�PDUNHWHG�SULRU�WR�WKH�WHUPLQDO�PDUNHWLQJ�DW�VWDJH����7KH�DYHUDJH

IUDFWLRQ�RI�7RS�*UDGH�SLJV��L�H��7* ��SLJV�ZLWK�D�FDUFDVV�ZHLJKW�EHWZHHQ����DQG����NJ��ZKLFK�DV

VKRZQ�LQ�ILJ������DUH�SDLG�WKH�KLJKHVW�EDVH�SULFH��LV�ODUJHVW�IRU�6&�,,,�DQG�DSSUR[LPDWHO\����¤SRLQW

VPDOOHU�IRU�6&�,9��$YHUDJH�FDUFDVV�OHDQQHVV��L�H� ��LV�ORZHU��DSSUR[LPDWHO\������¤SRLQW��IRU

6&�,,�DQG�,,,�WKDQ�IRU�6&�,��EXW�WKH�VDPH�IRU�6&�,�DQG�6&�,9��$YHUDJH�SULFH�� ��LV�DOPRVW�WKH

7*�

3ULFH�

FZ�

7*�

FO�

3ULFH�

FZ�

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

6& P $15

�'..�

*Q*P

+P

FÚZÚ

�NJ� ���

FÚ OÚ

��� �'..�Q � Q � Q � Q � Q �

, � ���� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

,, � ���� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

,,, � ���� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

,9 � ���� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

7DEOH ���� &RQVWDQW ZHDQHU VXSSO\� 6XPPDU\ RI UHVXOWV RI 'HWHUPLQLVWLF 2SWLPL]DWLRQ JLYHQ � GLIIHUHQW

VHOHFWLRQ FULWHULD �6&�� 2SWLPDO VWDJH �P �� RSWLPDO $15 �$15 �� VHOHFWLRQ OLNHOLKRRG �* � DW DOO � VWDJHV�

Q

DFFXPXODWHG VHOHFWLRQ OLNHOLKRRG DW P �* � � OLNHOLKRRG RI QR VHOHFWLRQ SULRU WR VWDJH P �+ � DQG

P P

ZHLJKWHG DYHUDJH �RI DOO SLJV DQG JLYHQ WHUPLQDO PDUNHWLQJ DW VWDJH P � RI FDUFDVV ZHLJKW � �� 7RS

*UDGH OLNHOLKRRG � �� FDUFDVV OHDQQHVV � � DQG SULFH � �� ( ���Õ DQG ( �����Õ� = ��������: &/

NG $15 �'..�

SN�Q

Q � Q � Q � Q � Q � Q � Q � Q � Q � Q � Q � Q � Q � Q � Q �

� ¥ ¦0§ ¦0§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¥ ¦0§ ¦0§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¥ ¦0§ ¦0§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¥ ¦0§ ¦0§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¥ ¦.§ ¦0§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¥ ¦.§ ¦0§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¥ ¦.§ ¦0§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¥ ¦.§ ¦.§ ¦0§ ¦0§ ¥ ���� ���� ���� ���� ¥ ���� ���� ���� ����

� ¦.§ ¦.§ ¦.§ ¦0§ ¦0§ ���� ���� ���� ���� ���� � ���� ���� ���� ����

7DEOH ���� &RQVWDQW ZHDQHU VXSSO\� ([DPSOH RI RXWSXW RI 3UREDELOLVWLF 2SWLPL]DWLRQ� 2SWLPDO GHFLVLRQV �G ��

RSWLPDO $15 �$15 � DQG SUREDELOLWLHV RI VWDWHV JLYHQ G ¦.§ IRU DOO VWDWHV �L�H� FRPELQDWLRQV RI VWDJH

�Q� DQG UHPDLQLQJ SLJV �N��� ¦.HHS§ GHFLVLRQV LQGLFDWHG E\ VKDGHG DUHD� . �� 6& ,, DQG ( ���Õ�:

= ��������

VDPH�IRU�6&�,,��,,,�DQG�,9��EXW�DSSUR[LPDWHO\������'..�ORZHU�IRU�6&�,��7KH�DYHUDJH�FDUFDVV

ZHLJKW�� ��GRHV�QRW�GLIIHU�PXFK�EHWZHHQ�6&�,,��,,,�DQG�,9��EXW�WKH�YDULDQFH�RQ�FZ��QRW�VKRZQ

LQ�WKH�WDEOH��LV�VLJQLILFDQWO\�KLJKHU�IRU�6&�,9�WKDQ�IRU�6&�,,�DQG�,,,��H�J���������������DQG������

NJ�UHVSHFWLYHO\�RI�SLJV�PDUNHWHG�DW�VWDJH����

,Q�WDEOH�����DQ�H[DPSOH�RI�PRUH�GHWDLOHG�UHVXOWV�RI�3UREDELOLVWLF�2SWLPL]DWLRQ�LV�VKRZQ��)RU

DOO�VWDWHV��L�H��FRPELQDWLRQV�RI�UHPDLQLQJ�SLJV�DQG�PDUNHWLQJ�VWDJH��WKH�RSWLPDO�GHFLVLRQV�DUH

VKRZQ�DQG�WKH�WDEOH��L�H��WKH�PDSSLQJ�IURP�VWDWH�WR�GHFLVLRQ��UHSUHVHQWV�WKH�RSWLPDO�SROLF\�DV

SUHYLRXVO\�GHILQHG��7KH�RSWLPDO�H[SHFWHG�DYHUDJH�QHW�UHWXUQV��$15 ��RI�IROORZLQJ�WKH�RSWLPDO

SROLF\��IURP�DQ\�IHDVLEOH�VWDWH��DUH�VKRZQ�LQ�WKH��QG�VHFWLRQ�RI�WKH�WDEOH��$V�D�QHZ�EDWFK�LV

DVVXPHG�WR�DOZD\V�FRQWDLQ�.�SLJV�RQO\�RQH�VWDWH�LV�RSWLPL]HG�DW�VWDJH����7KH�GLVWULEXWLRQV�RI

VWDWHV�DW�HDFK�VWDJH�DUH�VKRZQ�LQ�WKH��UG�VHFWLRQ�RI�WDEOH�����DQG�LW�VKRXOG�EH�QRWHG�WKDW�WKH�SULRU

SUREDELOLW\�RI�WHUPLQDWLRQ��L�H��WKH�SUREDELOLW\�RI�VWDWHV�IRU�ZKLFK�WKH�RSWLPDO�GHFLVLRQ�LV�¦0§��DW

VWDJH���LV��������OHDYLQJ�D�������SUREDELOLW\�RI�WHUPLQDWLRQ�DW�VXFFHHGLQJ�VWDJHV��L�H��DW�VWDJH����

FZ�

3ULFH�

FZ�

3ULFH�

��� 5HVXOWV ��

0RGHO

SDUDPHWHU� 6&

Z �NJ� $15 �'..�

�NJ� �'..�Q � Q � Q � Q � P � P � P � P � P �

¥ ¥ ,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

3ULFH��� � ,, ���� ���� ���� ���� ����� ����� ����� ����� ����� ���� �����

��� � ,, ���� ���� ���� ���� ����� ���� ���� ���� ���� ���� ����

)HHG SULFH��� � ,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

��� � ,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

(�:��

(�&:��

(�&/�

�� � ,, ���� ���� ���� ���� ���� ����� ����� ���� ���� ���� �����

�� � ,, ���� ���� ���� ���� ����� ���� ���� ���� ���� ���� ����

9�:��

9�&:��

9�&/���

��� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,,, ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

��� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,,, ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

��� � ,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

��� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

&RUUHODWLRQV DUH XQFKDQJHG���

7DEOH ���� &RQVWDQW ZHDQHU VXSSO\� 0RGHO RXWSXW JLYHQ SDUWLDO FKDQJHV ��� LQ PDMRU PRGHO SDUDPHWHUV DQG

GLIIHUHQW VHOHFWLRQ FULWHULD �6&�� 2SWLPDO ZHLJKW �Z �� DYHUDJH QHW UHWXUQ �$15� �RSWLPDO YDOXHV LQGLFDWHG

E\ D VKDGHG DUHD�� DYHUDJH �RI DOO SLJV DQG JLYHQ WHUPLQDO PDUNHWLQJ DW RSWLPDO PDUNHWLQJ VWDJH Q � FDUFDVV

ZHLJKW � � DQG DYHUDJH SULFH � �� 20 '2� ( ���Õ DQG ( �����Õ� = ��������: &/

7KH�QXPEHU�RI�LWHUDWLRQV�LQ�WKH�+03�DOJRULWKP�UDQJHG�LQ�DOO�RSWLPL]DWLRQV�IURP���WR���

,Q�RUGHU�WR�WHVW�WKH�VHQVLWLYLW\�DQG�UREXVWQHVV�RI�WKH�PRGHO�D�ZLGH�UDQJH�RI�PRGHO�SDUDPHWHUV�KDYH

EHHQ�FKDQJHG�IURP�WKHLU�GHIDXOW�YDOXHV�DQG�WKH�PRGHO�RXWSXW�FRPSDUHG�WR�WKH�GHIDXOW�UHVXOWV�DV

SUHVHQWHG�DERYH�

7KH�HIIHFWV�RI�FKDQJLQJ�SULFHV�DQG�H[SHFWDWLRQV�DQG�YDULDQFHV�RQ�DQLPDO�WUDLWV�DUH�VKRZQ�LQ

WDEOH������7KH�RSWLPDO�WKUHVKROG�ZHLJKWV�DUH�LQ�JHQHUDO�TXLWH�XQDIIHFWHG�E\�WKH�FKDQJHV�LQ�WKH

SDUDPHWHUV��$W�VWDJH���WKH�FKDQJH�LQ�Z �LV�QR�PRUH�WKDQ������NJ��ZKLOH�WKH�FKDQJH�DW�VWDJH���LV

ZLWKLQ�WKH�UDQJH�RI������WR�����NJ��DOO�H[WUHPHV�FDXVHG�E\�WKH�FKDQJH�LQ�FDUFDVV�EDVH�SULFH���

7KH�RSWLPDO�DYHUDJH�QHW�UHWXUQV�SHU�SLJ�SODFH�SHU�ZHHN��$15 ��DUH�DV�LQGLFDWHG�E\�WKH�VKDGHG

DUHDV�LQ�WDEOH�����PRUH�DIIHFWHG�E\�FKDQJHV�LQ�FDUFDVV�EDVH�SULFH�DQG�H[SHFWDWLRQV�RI�WUDLWV�WKDQ

E\�FKDQJHV�LQ�YDULDQFHV�RI�WUDLWV��DQG�E\�FKDQJHV�LQ�IHHG�SULFH���$�����LQFUHDVH�LQ�FDUFDVV�EDVH

SULFH�ZLOO��DOO�RWKHU�SDUDPHWHUV�NHSW�HTXDO��UHVXOW�LQ�D��������L�H��IURP������WR�������'..�SHU

ZHHN�� LQFUHDVH�LQ�$15 ��ZKLOH�D�����GHFUHDVH�ZLOO�UHVXOW� LQ�D�������GHFUHDVH�LQ�$15 ��$Q

LQFUHDVH�LQ�YDULDQFHV�E\�����LQFUHDVHV�WKH�DGYDQWDJH�RI�6&�,,,�FRPSDUHG�WR�6&�,,�IURP�������VHH

WDEOH�����DQG������WR�������RU��������ZLWK���GLJLWV�SUHFLVLRQ��'..�SHU�ZHHN��RU������'..�SHU�SLJ

SODFH�SHU�\HDU�RU�D�139�RI�������'..�SHU�SLJ�SODFH���$�ODUJH�GHFUHDVH�������LQ�WKH�YDULDQFHV

RQ�WUDLWV�ZLOO�IRU�6&�,,�FDXVH�D������LQFUHDVH�LQ�$15 �DQG�WKH�GLIIHUHQFH�EHWZHHQ�6&�,,�DQG�,9

�L�H��SHUIHFW�LQIRUPDWLRQ��LV�UHGXFHG�IURP������'..��L�H��WDEOH�����DQG������WR������'..�SHU

ZHHN�

FZ�

3ULFH�

FZ�

3ULFH�

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

0RGHO

SDUDPHWHU� 6&

Z �NJ�

$15 �'..�

�NJ� �'..�Q � Q � Q � Q � P � P � P � P � P �

¥ ¥ ,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

' Q�P

�� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

�� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

' DQGQ�P

' Q

�� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

�� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

' &/�Q�P

�� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

�� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

��� �,, ���� ���� ���� ���� ���� ���� ���� ���� ���� ���� �����

,9 ¥ ¥ ¥ ¥ ���� ���� ���� ���� ���� ���� �����

7DEOH ���� &RQVWDQW ZHDQHU VXSSO\� 0RGHO RXWSXW JLYHQ UHGXFWLRQV ��� LQ DEVROXWH FRUUHODWLRQV EHWZHHQ WUDLWV

DW VDPH VWDJH �' �� EHWZHHQ WUDLWV DW GLIIHUHQW VWDJHV �' � DQG EHWZHHQ &/ DQG DOO WUDLWV DW GLIIHUHQW VWDJHVQ Q�P

�' � DQG JLYHQ GLIIHUHQW VHOHFWLRQ FULWHULD �6&�� 2SWLPDO ZHLJKW �Z �� DYHUDJH QHW UHWXUQ �$15� �RSWLPDO&/�Q�P

YDOXHV LQGLFDWHG E\ D VKDGHG DUHD�� DYHUDJH �RI DOO SLJV DQG JLYHQ WHUPLQDO PDUNHWLQJ DW RSWLPDO PDUNHWLQJ

VWDJH P � FDUFDVV ZHLJKW � � DQG DYHUDJH SULFH � �� 20 '2 DQG ( ���� = �������� :

7KH�UHVXOWV�RI�FKDQJLQJ�WKH�FRUUHODWLRQV���L�H��UHGXFLQJ�WKH�DEVROXWH�YDOXHV��EHWZHHQ�WUDLWV��RU�WKH

FRYDULDQFHV�LQ�WKH��FR�YDULDQFH�PDWUL[��LQ�WKH�DQLPDO�PRGHO�DUH�VKRZQ�LQ�WDEOH������:LWK�VHOHFWLRQ

FULWHULD� �6&�� ,9� �L�H�� SHUIHFW� LQIRUPDWLRQ�� UHGXFWLRQV� LQ� FRUUHODWLRQV� EHWZHHQ� WUDLWV� DW� VDPH

PDUNHWLQJ�VWDJH��' ��DV�ZHOO�DV�EHWZHHQ�WUDLWV�DW�GLIIHUHQW�PDUNHWLQJ�VWDJHV��' ��FRQWULEXWH�WR�DQQ Q�P

LQFUHDVH�LQ�$15�DQG��$15 ���0RUH�SLJV�DUH�OLNHO\�WR�EH�PDUNHWHG�DW�D�KHDY\�ZHLJKW�DV�' �LV

Q�P

GHFUHDVHG�DQG�WKH�OLNHOLKRRG�RI�KHDY\�DQG�IDW�SLJV�LV�UHGXFHG�DV�WKH�DEVROXWH�YDOXH�RI�WKH�QHJDWLYH

FRUUHODWLRQ�EHWZHHQ�FDUFDVV�ZHLJKW�DQG�FDUFDVV�OHDQQHVV�LV�UHGXFHG��:KHQ�VHOHFWLQJ�RQ�REVHUYHG

OLYH�ZHLJKW��L�H��6&�,,��UHGXFWLRQV�LQ�' �DUH�LQFUHDVLQJ�$15�ZKLOH�UHGXFWLRQV�LQ�' �DUH�GHFUHDVLQJQ�P Q

$15�� WKH�SRVLWLYH�HIIHFW�RI�UHGXFLQJ�WKH�FRUUHODWLRQ�EHWZHHQ�FDUFDVV�ZHLJKW�DQG�OHDQQHVV� LV

VXUSDVVHG�E\�WKH�QHJDWLYH�HIIHFW�RI�UHGXFLQJ�WKH�FRUUHODWLRQ�EHWZHHQ�OLYH�ZHLJKW��L�H��WKH�WUDLW�RQ

ZKLFK�WKH�VHOHFWLRQ�LV�EDVHG��DQG�FDUFDVV�ZHLJKW��L�H��WKH�WUDLW�RQ�ZKLFK�WKH�SLJ�LV�SULFH�JUDGHG��

&RUUHODWLRQV��' ��EHWZHHQ�FDUFDVV�OHDQQHVV��&/��DQG�RWKHU�WUDLWV�DW�GLIIHUHQW�VWDJHV�DUH�WKH&/�Q�P

PXVW�GLIILFXOW�SDUDPHWHUV�WR�HVWLPDWH��EXW�UHGXFLQJ�WKHVH�FRUUHODWLRQV�GR�QRW��HYHQ�ZKHQ�UHGXFHG

E\������DIIHFW�WKH�PRGHO�RXWSXW�ZKHQ�VHOHFWLQJ�RQ�REVHUYHG�OLYH�ZHLJKW�

���

��

�� �� �� �� �� �� �� ��� ��� ��� ��� ��� ���

Z �NJ�

015�'.U�

����

����

����

����

����

����

I�S

URE��

015� ��� 015� ��� I �Z�� I �Z��

��� 5HVXOWV ��

(:

×Z �NJ�

$15 �'..�

Q � Q � Q � Q � P � P � P � P � P �

F� ���� ���� ���� ���� ����� ����� ����� ����� �����

F ���� ���� ���� ���� ����� ����� ����� ����� �����

Ø ���� ���� ���� ���� ����� ����� ����� ����� �����

× ���� ���� ���� ���� ����� ����� ����� ����� �����

� ���� ���� ���� ���� ����� ����� ����� ����� �����

� ���� ���� ���� ���� ����� ����� ����� ����� �����

� ���� ���� ���� ���� ����� ����� ����� ����� �����

� ����� ���� ���� ���� ����� ����� ����� ����� �����

�� 1RQH ����� ���� $OO ����� ����� ����� ����� �����

7DEOH ���� &RQVWDQW ZHDQHU VXSSO\� 2SWLPDO OLYH ZHLJKW �Z �� DYHUDJH QHW UHWXUQ �$15�� RSWLPDO DYHUDJH QHW

UHWXUQ �$15 � DQG RSWLPDO WHUPLQDO PDUNHWLQJ VWDJH �Q � JLYHQ GLIIHUHQW OHYHOV RI REVHUYDWLRQ HUURU �( �

:

RQ OLYH ZHLJKW� 20 '2 DQG 6& ,,�

)LJXUH ����� &RQVWDQW ZHDQHU VXSSO\� 0DUJLQDO GHQVLW\ RI REVHUYHG OLYH ZHLJKW �Z©� DQG H[SHFWHG PDUJLQDO

QHW UHWXUQ �015� FRQGLWLRQHG RQ Z© DW VWDJH � DQG �� ( �Õ� = ������:

������� 2EVHUYDWLRQDO�HUURUV�

7KH�UHVXOWV�RI�FRQGLWLRQLQJ�WKH�H[SHFWHG�PDUJLQDO�QHW�UHWXUQ��015 ������RQ�REVHUYHG�OLYH�ZHLJKWQ

DQG�JLYHQ�D�KLJK�REVHUYDWLRQDO�HUURU��L�H��( � ����DUH�VKRZQ�JUDSKLFDOO\�LQ�ILJ��������&RPSDUHG:

WR�ILJ������WKH�JUDSKV�RI�015�DUH�OHYHOHG�RXW��WKH�XWLOLW\��RU�LQIRUPDWLRQDO�YDOXH��RI�REVHUYLQJ�WKH

OLYH�ZHLJKW�LV�GHFUHDVHG�DQG�WKH�H[SHFWDWLRQV��L�H��WKH�SRVWHULRU�GLVWULEXWLRQV��RI�WKH�WUDLWV�DUH

DOPRVW�XQDIIHFWHG�E\�WKH�REVHUYDWLRQV�DQG�DUH�FRQYHUJLQJ�WRZDUGV�WKH�SULRU�H[SHFWDWLRQV�DV�WKH

REVHUYDWLRQDO�HUURUV�DUH�LQFUHDVLQJ��$V�WKH�DYHUDJH�XQFRQGLWLRQHG�015 ������L�H��EDVHG�RQ�WKHQ

SULRU�GLVWULEXWLRQ�� LV�KLJKHU�DW�VWDJH��� WKDQ�DW�VWDJH���DQG�DV�H[HPSOLILHG�E\� WKH�JUDSKV�� WKH

GLIIHUHQFH�EHWZHHQ�015 �����DQG�015 �����LV�LQFUHDVLQJ�DV�WKH�REVHUYDWLRQDO�HUURU�LV�LQFUHDVHG�� �

7KH�UHVXOWV�RI�FKDQJLQJ�WKH�REVHUYDWLRQDO�HUURU�RQ�OLYH�ZHLJKW��( ���DUH�VKRZQ�LQ�WDEOH�����:

)RU�LQFUHDVLQJ�YDOXHV�RI�( ��WKH�RSWLPDO�WKUHVKROG�YDOXH��L�H��Z ��LV�LQFUHDVHG�IRU�Q� ������UHSODFH:

DQG�GHFUHDVHG�IRU�Q� �������)RU�( � ���DQG�IRU�Q� �������Z �LQ�WDEOH�����DUH�VHHQ�WR�EH�WKH�VROXWLRQV:

��

��

��

��

��

��

��

��

��

��

� � �� �� �� �� ��

6WG �ZHDQHUV�

0HDQ �Z

HDQHUV�

��

��

��

��

��

��

(�(3��(�%

6�

0HDQ � 32 0HDQ � '2

( �(3�� '2 ( �%6�� '2

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

(:

×

P

$15 �'..�

$15

�6& ,,�( &/

×

������

( &/

×

������

( &/

×

������

( &/

×

������

( &/

×

������

( &/

×

������

( &/

×

������

( &/

×

������

( &/

×

������

( &/

×

������

F� � � � � � ����� ����� ����� ����� ����� �����

Ø � � � � � ����� ����� ����� ����� ����� �����

� � � � � � ����� ����� ����� ����� ����� �����

� � � � � � ����� ����� ����� ����� ����� �����

�� � � � � � ����� ����� ����� ����� ����� �����

7DEOH ���� &RQVWDQW ZHDQHU VXSSO\� 2SWLPDO WHUPLQDO PDUNHWLQJ VWDJH �P � DQG RSWLPDO DYHUDJH QHW UHWXUQ

�$15 � JLYHQ GLIIHUHQW OHYHOV RI REVHUYDWLRQ HUURU RQ OLYH ZHLJKW �( � DQG FDUFDVV OHDQQHVV �( �� 20

: &/

'2 DQG 6& ,,,�

)LJXUH ����� 5DQGRP ZHDQHU VXSSO\� 2SWLPDO PHDQ RI ZHDQHU VXSSO\ �� � JLYHQ GLIIHUHQW RSWLPL]DWLRQ

PHWKRGV �'2 DQG 32� DQG H[SHFWHG QXPEHU RI H[FHVV ZHDQHUV �( �(3� DQG H[SHFWHG EDWFK VL]H �( �%6���

DOO JLYHQ GLIIHUHQW VWDQGDUG GHYLDWLRQV RQ ZHDQHU VXSSO\ �)�� . ��� /(3 ����� '.. DQG 6& ,,� (:

����

WR�015 ��Z©�� ���LQ�ILJ��������7KH�DYHUDJH�QHW�UHWXUQV��$15��DUH�GHFUHDVLQJ�DQG�FRQYHUJLQJQ

WRZDUG�WKH�YDOXHV�RI�PDUNHWLQJ�ZLWKRXW�VHOHFWLRQ��L�H��6&�,�LQ�WDEOH������DV�WKH�REVHUYDWLRQDO�HUURU

LQFUHDVHV��,Q�DGGLWLRQ�WKH�RSWLPDO�DYHUDJH�QHW�UHWXUQ�LV�DOPRVW�XQFKDQJHG��ZKHQ�UHGXFLQJ�WKH

GHIDXOW�YDOXH�RI�WKH�REVHUYDWLRQDO�HUURU��L�H��IURP�( � ������:

,Q�WDEOH�����WKH�HIIHFWV�RI�FKDQJLQJ�WKH�REVHUYDWLRQDO�HUURU�RQ�OLYH�ZHLJKW��( ��DV�ZHOO�DV�RQ:

FDUFDVV�OHDQQHVV���( ��DUH�VKRZQ�DQG�FRPSDUHG�WR�WKH�HIIHFW�RI�FKDQJLQJ�WKH�REVHUYDWLRQDO�HUURU&/

RQ�OLYH�ZHLJKW�RQO\��L�H��DV�SUHVHQWHG�LQ�WDEOH�������7KH�HIIHFWV�RI�FKDQJHV�LQ�( ��DV�ZHOO�DV�WKH&/

GLIIHUHQFHV� EHWZHHQ� 6&� ,,� DQG� ,,,� DUH� �DV� H[SHFWHG�� ODUJHVW� IRU� ODUJH� YDOXHV� RI�( �� EXW� WKH:

PDJQLWXGHV�RI�WKH�HIIHFWV��DQG�GLIIHUHQFHV��DUH�UHODWLYH�VPDOO��:LWK�D�VWDQGDUG�GHYLDWLRQ�RI����NJ

RQ� WKH� REVHUYDWLRQDO� HUURU�RQ� OLYH�ZHLJKW� �L�H��( � ������ WKH�RSWLPDO� DYHUDJH�QHW� UHWXUQ� LV:

GHFUHDVHG�E\�DSSUR[��������'..�ZKHQ�( �LV�PXOWLSOLHG�E\�� ��L�H��FKDQJHG�IURP��������WR&/

× �

��������DQG�WKH�GLIIHUHQFH�EHWZHHQ�6&�,,�DQG�,,,�LV�DSSUR[LPDWHO\�������'..�SHU�ZHHN�SHU�SLJ

SODFH��RU������'..�SHU�\HDU�SHU�SLJ�SODFH��IRU�( ���������&/

×

� � �� �� �� �� ��

6WG �ZHDQHUV�

$15 �'.U�

����

����

����

����

����

����

����

'LIIH

UHQFH�'

.U�

$15 � 32 $15 � '2 'LIIHUHQFH $15 � '2� 32

��� 'LVFXVVLRQ ��

)LJXUH ����� 5DQGRP ZHDQHU VXSSO\� 2SWLPDO DYHUDJH QHW UHWXUQ �$15 � JLYHQ GLIIHUHQW RSWLPL]DWLRQ PHWKRGV

�'2 DQG 32� DQG GLIIHUHQW VWDQGDUG GHYLDWLRQV RQ ZHDQHU VXSSO\ �)� DQG FRUUHVSRQGLQJ RSWLPDO PHDQ RQ

ZHDQHU VXSSO\ �� � DV VKRZQ LQ ILJ� ����� . ��� /(3 ����� '.. DQG 6& ,,� ( ����

:

������� 5DQGRP�ZHDQHU�VXSSO\

,Q�JHQHUDO�VRPH�UHODWLRQVKLS�EHWZHHQ�WKH�VWDQGDUG�GHYLDWLRQ��)��DQG�WKH�PHDQ�����RI�D�UDQGRP

ZHDQHU�VXSSO\�PD\�EH�H[SHFWHG��OLNH�WKH�ELQRPLDO�GLVWULEXWLRQ�LQ�ZKLFK�ERWK�WKH�YDULDQFH�DQG�WKH

PHDQ�DUH�OLQHDU�LQ�Q��D�SDUDPHWHU�LQ�WKH�GLVWULEXWLRQ���EXW�LQ�WKH�IROORZLQJ�LW�LV��ZLWKRXW�DQ\�IXUWKHU

GLVFXVVLRQ��DVVXPHG�WKDW�WKH�PHDQ�YDOXH�LV�FKDQJHG�LQGHSHQGHQWO\�RI�WKH�VWDQGDUG�GHYLDWLRQ�

7KH�UHVXOWV�RI�RSWLPL]LQJ���JLYHQ�GLIIHUHQW�OHYHOV�RI�)�DQG�ZLWK�D�ORVV�SHU�H[FHVV�ZHDQHU

�/(3�� RI� ������'..�ZHDQHU�DUH� VKRZQ� LQ� ILJ�������DQG�������$Q� LQFUHDVH� LQ�)� OHDGV� WR�DQ

LQFUHDVH�LQ�WKH�H[SHFWHG�QXPEHU�RI�H[FHVV�ZHDQHUV��(��(3��DQG�D�GHFUHDVH�LQ�WKH�H[SHFWHG�EDWFK

VL]H�� (� �%6�� DQG� HYHQWXDOO\� WR� D� GHFUHDVH� LQ�$15�� 7KH� GLIIHUHQFH� EHWZHHQ�'2� DQG�32� LV

GHFUHDVLQJ�IRU�����)�����DQG�LQFUHDVLQJ�IRU�����)�������EXW�WKH�GLIIHUHQFH�LV�EHORZ�DSSUR[�������

'..�IRU�DOO�)��7KH�RSWLPDO�PHDQ��� ��DQG�WKH�GLIIHUHQFH�EHWZHHQ�'2�DQG�32�LV�LQFUHDVLQJ�DV�)

LV�LQFUHDVHG�IURP���WR�DSSUR[LPDWHO\����ZHDQHUV�DQG�GHFUHDVLQJ�IRU�VWDQGDUG�GHYLDWLRQV�DERYH

����

��� 'LVFXVVLRQ

:KHQ�LQWHUSUHWLQJ�DQG�GLVFXVVLQJ�WKH�UHVXOWV�SUHVHQWHG�LQ�WKH�SUHYLRXV�VHFWLRQ�LW�LV�LPSRUW�WR�UHFDOO

WKDW�WKH�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW�LV�SDUW�RI�D�ODUJHU�DQG�G\QDPLFDOO\�FKDQJLQJ�V\VWHP�

7KHUHIRUH� PDUNHWLQJ� PDQDJHPHQW� VKRXOG�� DW� OHDVW� LQ� SULQFLSOH�� QRW� EH� RSWLPL]HG�PDQDJHG

LQGHSHQGHQWO\�RI�WKH�UHVW�RI�WKH�V\VWHP��,Q�DGGLWLRQ�WKH�UHVXOWV�DUH�EDVHG�RQ�MXVW�D�VLQJOH�ILQLVKLQJ

RSHUDWLRQ� VDPSOH� FDVH� DQG� WKH� SDUDPHWHUV� RI� WKH�PRGHO� DUH� WR� VRPH� H[WHQG� HVWLPDWHG� IURP

VLPXODWHG�GDWD��'HVSLWH�WKHVH�SURYLVRV��WKH�UHVXOWV�PLJKW�VHUYH�DV�LQGLFDWRUV�RQ�KRZ�WR�PDQDJH

PDUNHWLQJ�LQ�JHQHUDO�DQG�WKH�EHKDYLRU�RI�WKH�SUHVHQWHG�PRGHO�LQ�SDUWLFXODU�

7KH�GLIIHUHQFHV�EHWZHHQ�ZHHNO\�DYHUDJH�QHW�UHWXUQ�SHU�SLJ�SODFH��$15��RI�GLIIHUHQW�VHOHFWLRQ

PHWKRGV�FDQ�EH�LQWHUSUHWHG�DV�WKH�RSSRUWXQLW\�FRVWV�RI�DSSO\LQJ�RQH�PHWKRG�LQVWHDG�RI�DQRWKHU�

$VVXPLQJ� QR� RWKHU� FRVWV� RU� ULVNV� LPSOLHG� E\� WKH� PHWKRGV� DQG� DVVXPLQJ� WKDW� WKH� WHUPLQDO

����

����

����

����

����

����

����

����

���� ���� ���� ���� �����

7KUHVKROG ZHLJKW �NJ�

/RVVLQ

$15�'..�

6WDJH � 6WDJH � 6WDJH � 6WDJH �

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

)LJXUH ����� /RVV LQ $15 RI XVLQJ LQ¤RSWLPDO WKUHVKROG ZHLJKWV ZKHQ VHOHFWLQJ LQGLYLGXDOV� = �������

PDUNHWLQJ�VWDJH�LV�QRW�VXEMHFW�WR�FKDQJH��WKH�YDOXH�LV�GLUHFWO\�FRPSDUDEOH�WR�WKH�DFWXDO�FRVWV�RI

DSSO\LQJ�WKH�PHWKRGV�DQG�WKH�PHWKRGV�PD\�EH�UDQNHG�EDVHG�RQ�WKLV��D�PRUH�FRUUHFW�RU�XQLYHUVDO

PHWKRG�RI�DFFHVVLQJ�WKH�YDOXH�RI�VHOHFWLRQ�ZRXOG�EH�WR�LQFOXGH�WKH�FRVW�RI�VHOHFWLRQ�GLUHFWO\�LQ

WKH�FDOFXODWLRQ�RI�$15���,Q�WKH�FDVH�RI�QR�VHOHFWLRQ�DW�DOO��L�H��6&�,��YV��VHOHFWLRQ�RQ�OLYH�ZHLJKW

�L�H��6&�,,���D�FRVW�RI�VHOHFWLRQ�OHVV�WKDQ������'..�ZHHN�SLJ�SODFH�DW�VWDJH���RU�DSSUR[LPDWHO\

�����'..�SLJ�ZRXOG�PDNH�VHOHFWLRQ�SURILWDEOH��$W� VXFFHHGLQJ�VWDJHV� WKH�GLIIHUHQFH� LV�HYHQ

ODUJHU��PRUH�SLJV�DUH�VHOHFWHG�DQG�PDUNHWHG�DW�¦WKH�ULJKW�WLPH§��7KH�SURILWDELOLW\�GHSHQGV�RQ�WKH

ZHLJKLQJ�SUHFLVLRQ��EXW�RQO\�YHU\�KLJK�DQG�XQUHDOLVWLF�REVHUYDWLRQDO�HUURUV��L�H��( �!����ZLOO:

VLJQLILFDQWO\�FKDQJH�WKH�SURILWDELOLW\�DQG�DV�DOVR�GHPRQVWUDWHG�E\�-�UJHQVHQ��������LW�PD\�QRW

HYHQ� EH� EHQHILFLDO� WR� EDODQFH� ZHLJKW� SLJV� SULRU� WR� PDUNHWLQJ� FRPSDUHG� WR� VLPSOH� YLVXDO

DVVHVVPHQW��

6HOHFWLRQ�RQ�OLYH�ZHLJKW�DQG�FDUFDVV�OHDQQHVV��L�H��6&�,,,��LV��UHJDUGOHVV�RI�WKH�REVHUYDWLRQDO

HUURUV�RQ�ERWK� WUDLWV��RQO\�VOLJKWO\�VXSHULRU� WR�6&� ,,�DQG�YHU\� OLWWOH� ILQDQFLDO� URRP�LV� OHIW� IRU

PHDVXULQJ�WKH�OHDQQHVV�RI�SLJV��+RZHYHU��DOWHUQDWLYH�SULFLQJ�V\VWHPV��DV�ZHOO�DV�LQFOXGLQJ�WKH

DGGLWLRQDO� EHQHILW� RI� XWLOL]LQJ� WKH� LQIRUPDWLRQ� LQ� RWKHU� PDQDJHPHQW� SUREOHPV� ZLWKLQ� WKH

HQWHUSULVH��FDQ�FKDQJH�WKLV�SLFWXUH��

2QH�TXHVWLRQ�WKDW�PD\�DULVH�ZKHQ�RSWLPL]LQJ�DQG�DQDO\]LQJ�VHOHFWLRQV�FULWHULD�LV��:KDW�DUH

WKH� ILQDQFLDO� FRQVHTXHQFHV� RI� DSSO\LQJ� DQ� LQ¤RSWLPDO� VHOHFWLRQ� FULWHULRQ"� ,Q� ILJ�� ����� WKH

ILQDQFLDO�HIIHFW�RI�FKRRVLQJ�D�ZURQJ�WKUHVKROG�YDOXH��ZKLFK�LV�DSSOLHG�DW�DOO�VWDJHV��L�H��6&�,,��LV

VKRZQ��7KH�ORVV��WKH�GLIIHUHQFH�EHWZHHQ�FDOFXODWHG�RSWLPDO�YDOXHV�DV�VKRZQ�LQ�WDEOH����DQG�WKH

UHDOL]HG�YDOXH�JLYHQ�D�VSHFLILF�WKUHVKROG�YDOXH��LQ�$15�ZLWK�D�JLYHQ�WKUHVKROG�YDOXH�DSSHDUV�WR

LQFUHDVH� ZLWK� WKH� VWDJH� QXPEHU�� PRUH� SLJV� DUH� VHOHFWHG� DV� WKH� WHUPLQDWLRQ� RI� WKH� EDWFK� LV

SRVWSRQHG��,Q�WKH�FDVH�RI�WHUPLQDWLRQ�DW�VWDJH���WKH�ORVV�RI�DSSO\LQJ�D�WKUHVKROG�YDOXH�RI����NJ

�L�H��DSSUR[LPDWHO\�����NJ�PRUH�WKDQ�WKH�RSWLPDO�WKUHVKROG�YDOXH��LV������'..�SHU�SLJ�SODFH�SHU

ZHHN�RU�DSSUR[LPDWHO\������'..�SHU�SURGXFHG�SLJ��,W�VKRXOG�EH�QRWHG�KRZ�WKH�XVLQJ�RI�VDPH

WKUHVKROG�ZHLJKW�DW�DOO�VWDJHV�LQ�DOO�VLWXDWLRQV��H[FHSW�WHUPLQDO�PDUNHWLQJ�DW�VWDJH����OHDG�WR�D�ORVV�

7KH�GLIIHUHQFHV�EHWZHHQ�SHUIHFW�LQIRUPDWLRQ�DQG�DOO�RWKHU�VHOHFWLRQ�FULWHULD��VHH�H�J��WDEOH�����

LQGLFDWH�WKDW�LW�LV�SRVVLEOH�WR�GHYHORS�DQG�DSSO\�EHWWHU�FULWHULD��EXW�VWLOO�WKH�SURILWDELOLW\�GHSHQGV

RQ�WKH�DFWXDO�FRVWV��DQG�DGGLWLRQDO�UHWXUQV��RI�SHUIRUPLQJ�WKH�PHDVXULQJ�DQG�VHOHFWLRQ�

��� 'LVFXVVLRQ ��

7KH�ILQDQFLDO�HIIHFW�RI�FKDQJLQJ�WKH�WHUPLQDO�PDUNHWLQJ�VWDJH�FDQ�EH�RI�FRQVLGHUDEOH�VL]H��EXW�LQ

SDUWLFXODU�LQ�EDWFK�RSHUDWLRQV�WKH�RSHUDWLRQDO�HIIHFWV�RI�FKDQJHV�FDQ�EH�YHU\�GLIILFXOW�WR�KDQGOH�DQG

ILW�LQWR�D�WLJKW�VFKHGXOH��7KRXJK��LQ�VRPH�VLWXDWLRQV��DQG�LI�WKH�PDQDJHU�H[SHFWV�WKH�FXUUHQW�VWDWH

RI�WKH�KHUG�WR�EH�SHUPDQHQW��WKH�ILQDQFLDO�EHQHILWV�DUH�RI�VXFK�D�PDJQLWXGH�WKDW�WKH�RSHUDWLRQDO

SUREOHPV�FDXVHG�E\�D�FKDQJH�LQ�WKH�GHPDQG�DQG�VXSSO\�RI�ZHDQHU�DUH�ZRUWKZKLOH��+RZHYHU��D

VLPSOH�FKDQJH�LQ�IHHGLQJ�DQG�JURZWK�RI�SLJV��DQG�FRQVHTXHQWO\�D�FKDQJH�LQ�GHPDQG�RI�ZHDQHUV�

LQ�WKH�VODXJKWHU�SLJ�RSHUDWLRQ�PD\�LQ�PDQ\�VLWXDWLRQV�EH�WKH�RSWLPDO�VROXWLRQ�WR�GLVKDUPRQLHV

EHWZHHQ�ZHDQHU�GHPDQG�DQG�VXSSO\��

7KH� HIIHFW� RI� FKDQJHDEOH� YV�� XQFKDQJHDEOH� ZHDQHU� VXSSO\� LV� OLWWOH� DQG� GHFUHDVLQJ� ZLWK

LQFUHDVLQJ�EDWFK�VL]H�DQG�HYHQ�LQ�WKH�VLWXDWLRQ�RI�VWRFKDVWLF�YDULDWLRQ�RI�WKH�ZHDQHU�VXSSO\�WKH

GLIIHUHQFH�LV�OLWWOH��5HFRJQL]LQJ�WKH�LQDELOLW\�RI�PRVW�V\VWHPV�WR�FKDQJH�ZHDQHU�VXSSO\�IURP�ZHHN

WR� ZHHN�� LW� ZLOO� LQ� JHQHUDO� VHUYH� QR� SXUSRVH� WR� SHUIRUP� WKH� FDOFXODWLRQV� RI� SUREDELOLVWLF

RSWLPL]DWLRQ��L�H��'\QDPLF�3URJUDPPLQJ���LQVWHDG�RI�GHWHUPLQLVWLF�RSWLPL]DWLRQ��

,Q�JHQHUDO�DOO�SUREOHPV�GHILQHG�LQ�WKH�LQWURGXFWLRQ�FDQ�EH�KDQGOHG�E\�DSSO\LQJ�WKH�PRGHO�DQG

PHWKRGV� SURSRVHG�� 7KH� IXQGDPHQWDO� DQLPDO� JURZWK� PRGHO� LV� IURP� D� WKHRUHWLFDO� DQG

FRPSUHKHQGLEOH�SRLQW�RI�YLHZ�DQG�LQ�UHODWLRQ�WR�PDQ\�RWKHU�JURZWK�PRGHOV��VHH�H�J��-�UJHQVHQ�

������ :KLWWHPRUH�� ������ &KDYDV� HW� DO��� ������ TXLWH� VLPSOH�� WUDLWV� DQG� JURZWK� DUH� VLPSO\

UHSUHVHQWHG�DV��DXWR¤�FRUUHODWHG�VWRFKDVWLF�YDULDEOHV��7KH�XVH�RI�JURZWK�IXQFWLRQV�LV��LQ�JHQHUDO�

DYRLGHG�� ZKLFK� PD\� EH� RI� LPSRUWDQFH� ZLWK� UHVSHFW� WR� WKH� XVHUV� FRQILGHQFH� LQ� D� IXWXUH

LPSOHPHQWDWLRQ�DV�D�'HFLVLRQ�6XSSRUW�6\VWHP��'HVSLWH�¤�RU�PD\EH�EHFDXVH�RI�¤�WKH�VLPSOLFLW\

RI�WKH�PRGHO��LW�DSSHDUV�WR�EH�YHU\�ZHOO�VXLWHG�IRU�KDQGOLQJ�WKH�SUREOHPV�RI�REVHUYDWLRQDO�HUURUV�

RI�XSGDWLQJ� WKH�H[SHFWDWLRQ�RI�SLJV� �LQ�SDUWLFXODU� WKH� ODWHQW� WUDLWV� DV�H�J�� FDUFDVV�ZHLJKW�DQG

OHDQQHVV��EDVHG�RQ�REVHUYDWLRQV��L�H��%D\HVLDQ�8SGDWLQJ�DV�GHILQHG�LQ��������DQG�DV�D�EDVLV�IRU�WKH

H[DPLQDWLRQ�RSWLPL]DWLRQ�RI� WKH�RYHUDOO�SUREOHPV�RI�ZKHQ�DQG�KRZ�WR�VHOHFW�SLJV�DQG�ZKHQ

�LGHDOO\��WR�WHUPLQDWH�EDWFKHV��

7KH�PDMRU�JHQHUDO�GLVDGYDQWDJH�RI�WKLV�W\SH�RI�PRGHO�LV�WKH�OLPLWDWLRQV�RQ�VL]H�RU�GHJUHH�RI

GHWDLO��7KH�QXPEHU�RI�WUDLWV�DQG�VWDJHV�KDV�WR�EH��¦VPDOO§��+RZHYHU��DV�WKH�QXPEHU�RI�PDUNHWLQJ

VWDJHV�QRUPDOO\�LV�OLPLWHG�WR�OHVV�WKDQ�����L�H����ZHHNV�GXUDWLRQ�RI�WKH�PDUNHWLQJ�RI�D�EDWFK�DQG

PD[LPXP���PDUNHWLQJV�SHU�ZHHN��WKLV�REVWDFOH�GRHV�QRW�DSSO\�WR�WKH�SUREOHP�RI�VODXJKWHU�SLJ

PDUNHWLQJ�PDQDJHPHQW�DQG�DV�GLVFXVVHG�LQ�FKDSWHU������LW�LV�SRVVLEOH�WR�JHQHUDOL]H�WKH�DQLPDO

JURZWK�PRGHO�WR�D�FRQWLQXRXV�PRGHO�LQ�ZKLFK�SDUDPHWHUV�DUH�UHSUHVHQWHG�DV�IXQFWLRQV�RI�WZR

SRLQWV�RI�WLPH��H�J��RI��¦PDUNHWLQJ�VWDJH����§�DQG�¦VWDJH����§���$QRWKHU�SUREOHP��WKDW�ZRXOG�DSSO\

WR� DQ\�PRGHO�RI� WKLV�PDQDJHPHQW�SUREOHP�� LV� WR� DVVHVV�PRGHO�SDUDPHWHUV�� ,Q�SDUWLFXODU� WKH

FRUUHODWLRQV�EHWZHHQ�ODWHQW� WUDLWV�RYHU� WLPH�DUH�GLIILFXOW� WR�HVWLPDWH��L�H�� WKHVH�WUDLWV�DUH�RQO\

UHYHDOHG�RQFH�LQ�WKH�OLIH�WLPH�RI�D�SLJ��DW�VODXJKWHU���EXW�DV�LQGLFDWHG�E\�WKH�UHVXOWV��WKH�PRGHO

DSSHDUV�WR�EH�YHU\�UREXVW�ZLWK�UHVSHFW�WR�HUURUV�LQ�WKHVH�HVWLPDWHV�DQG�DV�GHPRQVWUDWHG�LQ�FKDSWHU

�����LW�LV�SRVVLEOH�WR�FDOFXODWH�JRRG�HVWLPDWHV�EDVHG�RQ�UHDOLVWLF�DQG�VSDUVH�GDWD�VHWV�

$Q\�UHDVRQDEOH�VHOHFWLRQ�FULWHULRQ��EDVHG�RQ�WUDLWV�LQFOXGHG�LQ�WKH�DQLPDO�PRGHO��FDQ�EH

KDQGOHG�E\�WKH�PRGHO�DQG�LQ�SULQFLSOH�WKH�PDUJLQDO�QHW�UHWXUQ�RI�LQGLYLGXDOV��JLYHQ�DQ\�VHW�RI

REVHUYDWLRQV�RQ�WKH�LQGLYLGXDO��FDQ�EH�FDOFXODWHG�DQG�XVHG�DV�D�VHOHFWLRQ�FULWHULRQ��7KLV�VHOHFWLRQ

FULWHULRQ�LV�QRW�YHU\�RSHUDWLRQDO�ZKHQ�DSSOLHG�GLUHFWO\�E\�WKH�PDQDJHU��DQ�LQSXW�DQG�FRPSXWLQJ

GHYLFH�LV�QHHGHG���EXW�ZKHQ�FRPELQHG�ZLWK�HTXLSPHQW�IRU�DXWRPDWHG�LGHQWLILFDWLRQ��IHHGLQJ�

ZHLJKLQJ��EDFNIDW¤PHDVXULQJ�DQG�VHSDUDWLRQ�RI�LQGLYLGXDOV�WKH�FULWHULRQ�ZLOO�EH�RSHUDWLRQDO�DV

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

ZHOO�DV�EHQHILFLDO��

7KH�XVH�RI�VLPXODWLRQV�IRU�HVWLPDWLQJ�LQWHJUDOV�KDV�UHVXOWHG�LQ�D�ODUJH�TXDQWLW\�RI�VWDWLVWLFV�WKDW

DUH�YDOXDEOH�LQ�H[DPLQLQJ�DQG�YDOLGDWLQJ�WKH�PRGHO��EXW�VXSHUIOXRXV�ZKHQ�WKH�PRGHO�LV�DSSOLHG

WR� SUDFWLFDO� SUREOHPV�� 7KHVH� VWDWLVWLFV� PD\� QRW� HDVLO\� EH� FDOFXODWHG� ZKHQ� XVLQJ� WUDGLWLRQDO

PHWKRGV�RI�QXPHULFDO�LQWHJUDWLRQ��EXW�WKHVH�QXPHULFDO�PHWKRGV�ZRXOG�EH�PRUH�HIILFLHQW��IURP

D�QXPHULFDO�SRLQW�RI�YLHZ��DQG�VKRXOG�EH�DSSOLHG�ZKHQ�LPSOHPHQWLQJ�WKH�PRGHO�DV�D�GHFLVLRQ

VXSSRUW�WRRO��

7KH�SUHVHQWHG�PDUNHWLQJ�PDQDJHPHQW�PRGHO�PD\�EH�DSSOLHG�GLUHFWO\�LQ�RUGHU�WR�FDOFXODWH�JHQHUDO

RU�IDUP�VSHFLILF�RSWLPDO�WKUHVKROG�YDOXHV�DV�VKRZQ�LQ�WDEOH�����DQG�LQ�RUGHU�WR�FDOFXODWH�WKH

RSWLPDO� WHUPLQDO�PDUNHWLQJ�VWDJH�DV�DQ�DLG� LQ�PDQDJLQJ� WKH�ZHDQHU�GHPDQG�DQG�VXSSO\��$V

GHPRQVWUDWHG�E\�WKH�UHVXOWV�WKH�LQIOXHQFH�RI�FKDQJHV�LQ�PRGHO�SDUDPHWHUV�RQ�RSWLPDO�WKUHVKROG

ZHLJKWV� LV� OLWWOH�� LPSO\LQJ� WKDW� RSWLPL]DWLRQ� RI� SURGXFWLRQ� LQGHSHQGHQWO\� RI� PDUNHWLQJ

PDQDJHPHQW�PD\�EH�IHDVLEOH�DQG�TXLWH�DFFXUDWH��+RZHYHU��D�PRUH�JHQHUDO�XWLOL]DWLRQ�RI� WKH

FRQFHSW�RI�WKH�PRGHO�GLUHFWO\�LQ�REMHFWLYH�IXQFWLRQV�XVHG�IRU�H�J��RSWLPL]LQJ�IHHG��HQHUJ\��VXSSO\

IRU�SLJV�ZRXOG�UHVXOW�LQ�D�VLPXOWDQHRXV�RSWLPL]DWLRQ�RI�SURGXFWLRQ�DQG�PDUNHWLQJ��DV�VXJJHVWHG

E\�&KDYDV�HW�DO���������DQG�WKH�RSWLPDO�PDUNHWLQJ�GHFLVLRQV�RU�VWUDWHJ\�ZRXOG�WKHQ�VLPSO\�EH�D

�VXE¤�UHVXOW�RI�WKH�RSWLPL]DWLRQ��7KH�VDPH�LGHD��L�H��RI�XVLQJ�WKH�PRGHO�DV�SDUW�RI�WKH�REMHFWLYH

IXQFWLRQ��PD\�DSSO\�WR�WKH�SUREOHP�RI��UH¤�GLPHQVLRQLQJ�DQG�SODQQLQJ�WKH�SURGXFWLRQ�IDFLOLWLHV

DV�ZHOO�DV�RWKHU�SDUWV�RI�PDQDJLQJ�WKH�VODXJKWHU�SLJ�RSHUDWLRQ�DQG�WKH�ZHDQHU�VXSSO\�GHPDQG�

7KH� SURSRVHG�PRGHOV� DQG�PHWKRGV� FDQ� EH� LPSOHPHQWHG� DV� D�'66� DV� WKH\� DUH�� EXW� D� VHW� RI

FKDQJHV�HQKDQFHPHQWV�ZRXOG�LPSURYH�WKH�YDOXH�RI�VXFK�D�V\VWHP��7KH�LQFOXVLRQ�RI�VHDVRQDO

YDULDWLRQV�DQG�F\FOLF�SULFH�YDULDWLRQV�DUH�RWKHU�UHOHYDQW�RSWLRQV��EXW�RWKHU�RSWLPL]DWLRQ�PHWKRGV

�EDVHG�RQ�'\QDPLF�SURJUDPPLQJ��ZRXOG�KDYH�WR�EH�DSSOLHG��7KH�SUREOHP�RI�KRZ�WR�PDUNHW�SLJV

DV�GHILQHG� LQ� WKH� LQWURGXFWLRQ�DSSHDUV�� DW� OHDVW� LQ� VRPH�VLWXDWLRQV�� WR�EH� WKH�PRVW� LPSRUWDQW

H[WHQVLRQ�WR�DGG��DQG�WKLV�LV�SURSHUO\�WKH�DUHD�ILUVW�LQ�QHHG�RI�GHYHORSLQJ�

��� 5HIHUHQFHV ��

��� 5HIHUHQFHV

%HOOPDQ��5����������'\QDPLF�3URJUDPPLQJ��3ULQFHWRQ�8QLYHUVLW\�3UHVV��3ULQFHWRQ��1HZ�-HUVH\�

%ODFN��-�/����������3ULQFLSOHV�RI�PRGHOLQJ�DQG�QXWULHQW�SDUWLWLRQLQJ��,Q��0RXJKDQ��3�-���0�:�$�

9HUVWHJHQ��0�,��9LVVHU¤5H\QHYHOG��HG����0RGHOLQJ�JURZWK�LQ�WKH�SLJ��:DJHQLQJHQ�3HUV�

1/���¤��

%ODFN��-�/���5�*��&DPSEHOO��,�+��:LOOLDPV��.�-��-DPHV��*�7��'DYLHV���������6LPXODWLRQ�RI

HQHUJ\�DQG�DPLQR�DFLG�XWLOL]DWLRQ�LQ�WKH�SLJ��5HVHDUFK�DQG�'HYHORSPHQW�LQ�$JULFXOWXUH��������

���¤����

%RODQG��0�$���3�9��3UHFNHO��$�3��6FKLQFNHO� ��������2SWLPDO�KRJ�VODXJKWHU�ZHLJKWV�XQGHU

DOWHUQDWLYH�SULFLQJ�V\VWHPV��-��$JU��DQG�$SSOLHG�(FRQ��������������¤����

%URHNVPDQV��-�(����������,QIOXHQFH�RI�SULFH�IOXFWXDWLRQV�RQ�GHOLYHU\�VWUDWHJLHV�IRU�VODXJKWHU�SLJV�

'LQD�1RWDW�QR�����&RSHQKDJHQ����SS�

%XGGH��+�¤-����������2SWLPDOH�$QSDVVXQJ�GHU�6FKZHLQHSURGXNWLRQ�DQ�]\NOLVFKH�XQG�VDLVRQODH

3UHLVEHZHJXQJHQ��$JUDUZLUWVFKDIW��6RQGHUKHIW��������SS�

&KDYDV�� -�� 3��� -�� .OLHEHQVWHLQ� � -�'�� &UHQVKDZ� �������� 0RGHOLQJ� G\QDPLFDO� DJULFXOWXUDO

SURGXFWLRQ� UHVSRQVH�� 7KH� FDVH� RI� VZLQH� SURGXFWLRQ��$PHULFDQ� -RXUQDO� RI� $JULFXOWXUDO

(FRQRPLFV�������������¤����

GH�/DQJH��&�)�0���+�:�(��6FKUHXUV���������3ULQFLSOHV�RI�PRGHO�DSSOLFDWLRQ��,Q��0RXJKDQ�HW

DO�������������¤����

'ROO��-�3��)��2UD]HP���������3URGXFWLRQ�(FRQRPLFV��7KHRU\�ZLWK�DSSOLFDWLRQV��-RQ�:LOH\�

6RQV��1<�����SS�

*LHVHQ��*�:�-���:�+�0��%DOWXVVHQ��-��2HQHPD���������2SWLPDOLVHULQJ�YDQ�KHW�DIOHYHUHQ�YDQ

PHVWYDUNHQV��/DQERXZ¤(FRQRPLVFK�,QVWLWXW��'HQ�+DDJ����SS���,Q�'XWFK��

+RXEHQ��(�+�3����������(FRQRPLF�RSWLPL]DWLRQ�RI�GHFLVLRQV�ZLWK�UHVSHFW�WR�GDLU\�FRZ�KHDOWK

PDQDJHPHQW��3K�'��WKHVLV��:DJHQLQJHQ��7KH�1HWKHUODQGV�����SS�

+RZDUG�� 5�$�� �������� '\QDPLF� SURJUDPPLQJ� DQG� 0DUNRY� SURFHVVHV�� 7KH� 0�,�7�� 3UHVV�

&DPEULGJH��0DVVDFKXVHWWV�

-ROO\��5��:���$��3��6DWKHU��5��'��3DWWHUVRQ��%��+��6RQQWDJ��$��+��0DUWLQ��+��7��)UHHGHQ��������

$OWHUQDWLYH�PDUNHW�ZHLJKWV�IRU�VZLQH��3URGXFWLRQ�HFRQRPLFV��-RXUQDO�RI�$QLPDO�6FLHQFH����

��������¤����

-�UJHQVHQ��(����������7KH�LQIOXHQFH�RI�ZHLJKLQJ�SUHFLVLRQ�RQ�GHOLYHU\�GHFLVLRQ�LQ�VODXJKWHU�SLJ

SURGXFWLRQ��$FWD�$JULFXOWXU��6FDQGLQDYLFD�$���������¤����

-�UJHQVHQ��(���$�5��.ULVWHQVHQ���������$Q�2EMHFW�2ULHQWHG�6LPXODWLRQ�0RGHO�RI�D�3LJ�+HUG

ZLWK�(PSKDVLV�RQ�,QIRUPDWLRQ�)ORZ��'LQD�5HVHDUFK�5HSRUW�1R������'LQD��&RSHQKDJHQ����SS�

.ULVWHQVHQ��$��5����������+LHUDUFKLF�0DUNRY�SURFHVVHV�DQG�WKHLU�DSSOLFDWLRQV�LQ�UHSODFHPHQW

PRGHOV��(XURSHDQ�-RXUQDO�RI�2SHUDWLRQDO�5HVHDUFK���������¤����

.XUH��+����������5HFXUVLYH�G\QDPLF�SURJUDPPLQJ��+HXULVWLF�UXOHV��ERXQGLQJ�DQG�VWDWH�VSDFH

UHGXFWLRQ��,Q���QG�,)$&�,),3�(XU$J(QJ�:RUNVKRS�RQ�$UWLILFLDO�,QWHOOLJHQFH�LQ�$JULFXOWXUH�

:DJHQLQJHQ��0D\���¤������������¤����

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

0RXJKDQ�� 3�-��� :�&�� 6PLWK� � *�� 3HDUVRQ� �������� 'HVFULSWLRQ� DQG� YDOLGDWLRQ� RI� D� PRGHO

VLPXODWLQJ�JURZWK�LQ�WKH�SLJ����¤���NJ�OLYH�ZHLJKW���1HZ�=HDODQG�-RXUQDO�RI�$JULFXOWXUDO

5HVHDUFK���������¤����

0RXJKDQ��3�-���0�:�$��9HUVWHJHQ��0�,��9LVVHU¤5H\QHYHOG��HGV����������0RGHOLQJ�JURZWK�LQ

WKH�SLJ��:DJHQLQJHQ�3HUV��1/�����SS�

1HPKDXVHU��*��/����������'\QDPLF�3URJUDPPLQJ��-RKQ�:LOH\�DQG�6RQV��,QF���1<�

2OWMHQ��-�:����������$GDSWLYH�FRQWURO��,Q��$GYDQFHG�FRPSXWHU�DSSOLFDWLRQV�LQ�DQLPDO�DJULFXOWXUH�

,QIRPDUW��'DOODV��7H[DV��)HEUXDU\���¤�������¤����

3RWWKRII��5�)���6�1��5R\���������$�JHQHUDOL]HG�PXOWL�YDULDWH�DQDO\VLV�RI�YDULDQFH�PRGHO�XVHIXO

HVSHFLDOO\�IRU�JURZWK�FXUYH�SUREOHPV��%LRPHWULND���������¤����

3UHLQULFK��*����������7KH�HFRQRPLF�OLIH�RI�LQGXVWULDO�HTXLSPHQW��(FRQRPHWULFD������¤���

5DVPXVVHQ��6����������8GVNLIWQLQJVNDONXOHQV�WHRUL�RJ�DQYHQGHOVH��/DQGEUXJV�NRQRPLVNH�VWXGLHU

QU�����.9/��&RSHQKDJHQ�����SS���,Q�GDQLVK��

YRQ�5RVHQ��'����������7KH�JURZWK�FXUYH�PRGHO��D�UHYLHZ��&RPPXQ��6WDWLVW��¤�7KHRU\�0HWK�����

���������¤�����

6KHQR\�� 3�� 3�� �������� 9DOXDWLRQ¤EDVHG� V\VWHPV� IRU� %D\HVLDQ� GHFLVLRQ� DQDO\VLV��2SHUDWLRQV

5HVHDUFK���������¤����

6XQGHUPHLHU�� +�� +��� 5�� .OHSSHU� � &�� '�� +DUWMHQ� �������� '\QDPLVFKH� 3URJUDPLHUXQJ� ]XU

ZLUWVFKDIOLFKHQ�2SWLPLHUXQJ� YRQ�0DVWSUR]HVVHQ��%HULFKWH� �EHU� /DQGZLUWVFKDIW�� ��� ����

���¤����

:HQGW�� 5�� �������� (QWVFKHLGXQJVVWUDWHJLH� LQ� GHU� 6FKZHLQHPDVW� XQG� LKUH� (LQI�UXQJ� LQ� GLH

:LUWVFKDIWVEHUDWXQJ��%HULFKWH��EHU�/DQGZLUWVFKDIW�������������¤����

:KLWWHPRUH��&�7�� ��������'HYHORSPHQW�RI� UHFRPPHQGHG�HQHUJ\�DQG�SURWHLQ�DOORZDQFHV� IRU

JURZLQJ�SLJV��$JULFXOWXUDO�6\VWHPV���������¤����

��$

0RGHO�SDUDPHWHUV

��

;

:�

P

����

&

�����

&:�

���� ����� �����

&/ ����

���� ����� ����� �����

:�

���� ����� ����� ����� �����

&:�

���� ����� ����� ����� ����� �����

&/ ����

���� ����� ����� ���� ����� ����� �����

:�

���� ����� ����� ����� ����� ����� ����� �����

&:�

���� ����� ����� ����� ����� ����� ����� ����� �����

&/ ����

���� ����� ����� ���� ����� ����� ���� ����� ����� �����

:�

���� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

&:�

���� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

&/ ����

���� ����� ����� ���� ����� ����� ���� ����� ����� ���� ����� ����� �����

:�

����� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

&:�

���� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� ����� �����

&/ ����

���� ����� ����� ���� ����� ����� ���� ����� ����� ���� ����� ����� ���� ����� ����� �����

'

����� �

������ ������ �

����� ����� ������ �

����� ����� ������ ����� �

������ ������ ����� ������ ������ �

����� ����� ������ ����� ����� ������ �

����� ����� ������ ����� ����� ������ ����� �

������ ������ ����� ������ ������ ����� ������ ������ �

����� ����� ������ ����� ����� ������ ����� ����� ������ �

����� ����� ������ ����� ����� ������ ����� ����� ������ ����� �

������ ������ ����� ������ ������ ����� ������ ������ ����� ������ ������ �

����� ����� ������ ����� ����� ������ ����� ����� ������ ����� ����� ������ �

����� ����� ������ ����� ����� ������ ����� ����� ������ ����� ����� ������ ����� �

������ ������ ����� ������ ������ ����� ������ ������ ����� ������ ������ ����� ������ ������ �

$SSHQ

GL[���$��0RGHO�SDUDPHWHUV�RI�WKH�FDVH�ILQLVKLQJ�RSHUDWLRQ

3DUDP

HWHUV�RI�DQLPDO�PRGHO��0HDQV��P

���YDULDQFHV�DQG�FRYDULDQFHV��&��DQG�FRUUHODWLRQV��'��

�� &KDSWHU����2SWLPDO�VODXJKWHU�SLJ�PDUNHWLQJ

3DUDPHWHU 'HVFULSWLRQ 5HODWLRQ 9DOXH 8QLW

L ,QWHUHVW UDWH RQ D ZHHNO\ EDVLV �� � SD�� L ���� ������ ������ �

U 'LVFRXQWLQJ IDFWRU U ���� � L� �������

0 7LPH IURP LQVHUWLRQ WR ILUVW PDUNHWLQJ

VWDJH

�� ZHHNV

(3 (PSW\ SHULRG �WLPH EHWZHHQ EDWFKHV� � ZHHNV

1 7KH ODVW WHUPLQDO PDUNHWLQJ VWDJH RI D

EDWFK

� VWDJH

:3 :HDQHU SULFH ������ '..�ZHDQHU

)3 )HHG SULFH ���� '..�)83

)( )HHG HIILFLHQF\ SULRU WR ILUVW PDUNHWLQJ

VWDJH

���� )8 �NJ3

'* 'DLO\ JDLQ �IURP LQVHUWLRQ WR ILUVW

PDUNHWLQJ VWDJH� L�H� IURP �� ¤ �� NJ

OLYH ZHLJKW�

'*

���� �����0�(3�#�

����� NJ�GD\

3)& $FFXPXODWHG IHHG FRQVXPSWLRQ SULRU WR

ILUVW PDUNHWLQJ VWDJH

3)&

�0 � (3�#�#'*#)(

��� )83

)3& )L[HG SXUFKDVH FRVWV �� '..�SLJ SODFH

93& 9DULDEOH SXUFKDVH FRVWV 93& 3)&#)3 �

:3

'..�ZHDQHU

3& 7RWDO SXUFKDVH FRVWV �LI EDWFK VL]H

VHFWLRQ VL]H� L�H� LI FRQVWDQW ZHDQHU

VXSSO\�

3& )3& � 93& '..�ZHDQHU

/(3 /RVV RI H[FHVV ZHDQHUV �� '..�ZHDQHU

N�

*RPSHUW] JURZWK FXUYH� (QHUJ\

FRQVXPSWLRQ SHU NJ OLYH ZHLJKW�

)8 �NJ3

N�

(QHUJ\ FRQVXPSWLRQ SHU NJ OLYH ZHLJKW

JDLQ

���� )8 �NJ3

N�

/RJDULWKP RI RXWJURZQ ZHLJKW� ����� OQ �NJ�

N�

*URZWK UDWH SDUDPHWHU�

(:

9DULDQFH RI REVHUYDWLRQDO HUURU RQ OLYH

ZHLJKW�

���Õ NJÕ

(&/

9DULDQFH RI REVHUYDWLRQDO HUURU RQ

FDUFDVV OHDQQHVV�

�����Õ NJÕ

2WKHU�PRGHO�SDUDPHWHUV�

5HFXUVLYH�'\QDPLF�3URJUDPPLQJ

$EVWUDFW��$Q� DOWHUQDWLYH� DSSURDFK� WRZDUGV� G\QDPLF� SURJUDPPLQJ� �'3�� LV

SUHVHQWHG��5HFXUVLRQV��$�EDVLF�GHWHUPLQLVWLF�PRGHO�DQG�D�VROXWLRQ�IXQFWLRQ�DUH

GHULYHG�IURP�%HOOPDQ©V�3ULQFLSOH�RI�2SWLPDOLW\��7KH�PRGHO�LV�JHQHUDOL]HG�WR

LQFOXGH� VWRFKDVWLF�SURFHVVHV��ZLWK� WKH� WUDGLWLRQDO� VWRFKDVWLF�'3�PRGHO� �RU

0DUNRY�GHFLVLRQ�SURJUDPPLQJ�SUREOHP��DV�D�VSHFLDO�FDVH��+HXULVWLF�UXOHV�DUH

LQFOXGHG� LQ� WKH�PRGHOV� VLPSO\� DV� UHVWULFWLRQV� RQ� GHFLVLRQ� VSDFHV� DQG� LW� LV

GHPRQVWUDWHG�KRZ�WKH�UHGXQGDQW�SUREOHP�UHSUHVHQWDWLRQ�DQG�VROYLQJ�RI�WKH

9DOXH�,WHUDWLRQ�PHWKRG�LV�HOLPLQDWHG�E\�XVH�RI�WKLV�UHFXUVLYH�DSSURDFK�

.H\ZRUGV��'\QDPLF�SURJUDPPLQJ��UHFXUVLYH�DOJRULWKPV��KHXULVWLFV��VWRFKDVWLF

PRGHOLQJ�

��� ,QWURGXFWLRQ

'\QDPLF�3URJUDPPLQJ��'3��PD\�EH�FKDUDFWHUL]HG�DV��D�JHQHUDO�RSWLPL]DWLRQ�SULQFLSOH��ZKLFK

ZDV�ILUVW�IRUPXODWHG�E\�%HOOPDQ���������7KH�SULQFLSOH�LV�XVXDOO\�UHODWHG�WR�WKH�ILHOG�RI�2SHUDWLRQV

5HVHDUFK��25���EXW�WKH�XQGHUO\LQJ�DQG�UDWKHU�LQWXLWLYH�¦3ULQFLSOH�RI�RSWLPDOLW\§��%HOOPDQ�������

LV�HVVHQWLDO�WR�VHYHUDO�VSHFLILF�RSWLPL]DWLRQ�WHFKQLTXHV��LQFOXGLQJ�+LHUDUFKLF�0DUNRY�3URFHVVHV

�.ULVWHQVHQ����������$ ��:LQVWRQ��������DQG�WKH�VROXWLRQ�PHWKRGV�RI�,QIOXHQFH�'LDJUDPV�DQG

9DOXDWLRQ�1HWZRUNV��6KHQR\��������

9DOXH�,WHUDWLRQ��9,��LV�D�ZHOO�NQRZQ�DQG�ZLGHO\�XVHG�'3�WHFKQLTXH���,Q�WKLV�SDSHU�DQ�DOWHUQDWLYH

DQG�PRUH� JHQHUDO� DSSURDFK� WRZDUGV�'3� LV� SUHVHQWHG��5HFXUVLRQV�� 7KH� DSSURDFK� �5HFXUVLYH

'\QDPLF�3URJUDPPLQJ��5'3��LV�EDVLFDOO\�D�GLUHFW�LPSOHPHQWDWLRQ�RI�WKH�IXQGDPHQWDO�IXQFWLRQDO

HTXDWLRQ�RI�'3��DV�GHILQHG�E\�H�J��1HPKDXVHU���������

IQ�[

Q� PLQ

GQ�'

Q

>UQ�[

Q�G

Q�� I

Q��WQ�[

Q�G

Q��@

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

������

ZKHUH Q LV�WKH�VWDJH�QXPEHU�

[ LV�WKH�VWDWH��Q� ���LQGLFDWHV�D�JRDO�VWDWH���Q

I LV�WKH�VROXWLRQ�IXQFWLRQ�DW�VWDJH�Q��5HWXUQV�WKH�VROXWLRQ�WR�WKH�SUREOHP�DVVRFLDWHG�ZLWKQ

[ ��I ��[ ��LV�SHU�GHILQLWLRQ�D�NQRZQ�YDOXH��Q � �

G LV�D�GHFLVLRQ��FKRVHQ�IURP�WKH�VHW�RI�YDOLG�GHFLVLRQV��' �Q Q

U LV�WKH�JDLQ�IXQFWLRQ�DQG�Q

W LV�WKH�WUDQVLWLRQ�IXQFWLRQ�Q

7KH�SXUSRVH�RI�WKLV�SDSHU�LV�WR�VKRZ�WKH�VLPSOLFLW\��WKH�JHQHUDOLW\�DQG�WKH�SRWHQWLDO�FRPSXWDWLRQDO

EHQHILWV�RI�5'3��,W�PXVW�EH�HPSKDVL]HG�WKDW�WKLV�DSSURDFK�QHLWKHU�LV�QRU�LQWHQG�WR�EH�QRYHO��EXW

LW�DSSHDUV�WR�EH�UHODWLYHO\�XQNQRZQ�WR�25�DQG�DJULFXOWXUDO�VFLHQWLVWV��.XUH���������

7KH�DSSURDFK�KDV��DV�ZLOO�EH�VKRZQ���VHYHUDO�WKHRUHWLFDO�DQG�DSSOLFDWLRQDO�LPSOLFDWLRQV��7KH

PHWKRGV�SUHVHQWHG�PD\�EH�DSSOLHG�WR�YLUWXDOO\�DQ\�SUREOHP�WKDW�FDQ�EH�VROYHG�XVLQJ�9,��LQFOXGLQJ

DJULFXOWXUDO�SODQLQJ�RSWLPL]DWLRQ�SUREOHPV�OLNH�IDFLOLW\�PDQDJHPHQW��UHSODFHPHQW�SUREOHPV�DQG

IDUP�RSHUDWLRQV�VFKHGXOLQJ��7KH�PHWKRGV��DV�GHILQHG�LQ�WKLV�SDSHU��KDYH�EHHQ�DSSOLHG�WR�VLPSOH

LOOXVWUDWLYH�SUREOHPV�DQG�D�ODUJHU�VODXJKWHU�SLJ�PDUNHWLQJ�GHFLVLRQ�VXSSRUW�V\VWHP��VHH�FKDSWHU

���

$OO� PRGHOV� DQG� IXQFWLRQV� LQ� WKLV� SDSHU� DUH� VSHFLILHG� DQG� GHILQHG� XVLQJ� WKH� V\QWD[� RI� � WKH

VSHFLILFDWLRQ�ODQJXDJH��9'0��VHH�H�J��-RQHV��������IRU�DQ�LQWURGXFWLRQ��ZKLFK�LQ�PDQ\�DVSHFWV

LV�HTXLYDOHQW�WR�IXQFWLRQDO�ODQJXDJHV�DV�60/��VHH�H�J��3DXOVRQ��������

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ

$Q�H[DPSOH�ZLOO�LOOXVWUDWH�WKH�PRGHO��WKH�SUREOHP��WKH�PHWKRG�DQG�VRPH�LPSOLFDWLRQV�RI�5'3�

&RQVLGHU�D�URDG�PDS�UHSUHVHQWHG�DV�D�GLUHFWHG�JUDSK�DV�VKRZQ�LQ�ILJ�������(DFK�QRGH��RU�VWDWH�

LQ�WKH�JUDSK�UHSUHVHQWV�D�FURVVURDGV�DQG�HDFK��GLUHFWHG��HGJH�UHSUHVHQWV�D�SLHFH�RI�RQH¤ZD\�URDG�

$�GHFLVLRQ�SUHVFULEHV�ZKDW�HGJH�WR�IROORZ�IURP�D�JLYHQ�QRGH��1RGH�$�LV�GHILQHG�DV�D�VWDUW�QRGH�

1RGH�%�KDV�QR�VXFFHVVRUV��LW�LV�D�JRDO�QRGH��(GJHV�PD\�EH�LQWHUSUHWHG�DV�D�SDLU�RI�IXQFWLRQV�

D� $�WUDQVIRUPDWLRQ�IXQFWLRQ�

� W� 6WDWH Ó 'HFLVLRQ � 6WDWH�

UHWXUQLQJ�D�QHZ�QRGH�VWDWH�DQG�

E� D�JDLQ�IXQFWLRQ�

J� 6WDWH Ó 'HFLVLRQ � *DLQ�

UHWXUQLQJ�D�JDLQ��L�H��WKH�OHQJWK�RI�DQ�HGJH��

$�SROLF\�LV��LQ�WKLV�SUHVHQWDWLRQ��GHILQHG�DV�DQ�DVVLJQPHQW�RI�D��YDOLG��GHFLVLRQ�WR�HYHU\�QRGH�LQ

D�VXE¤VHW�RI��QRGHV�LQ�WKH�JUDSK�DQG�D�FRPSOHWH�SROLF\�DVVLJQV�D�GHFLVLRQ�WR�HYHU\�QRGH��H[FHSW

1�

1�

$

1�

1�

1�

1�

1�

%

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ ��

)LJXUH ���� $ URDG PDS�

JRDO�QRGHV��LQ�WKH�JUDSK��7KH�RSWLPL]DWLRQ�SUREOHP�WR�EH�FRQVLGHUHG�KHUH�LV���:KDW�LV�WKH�VKRUWHVW

SDWK�IURP�$�WR�%"

����� 7KH�GHWHUPLQLVWLF�GDWD�PRGHO

%DVHG�RQ�WKHVH�EDVLF�FRPSRQHQWV��D�GHWHUPLQLVWLF�GDWD�PRGHO�GDWD�W\SH�RI�D�V\VWHP�LV�IRUPXODWHG

DV�D�ILQLWH�PDSSLQJ�IURP�VWDWHV�LQWR�D�ILQLWH�PDSSLQJ�IURP�GHFLVLRQV�LQWR�JDLQV�DQG��VXFFHHGLQJ�

VWDWHV��

'30RGHO 6WDWH � 'HFLVLRQ � *DLQ Ó 6WDWHP P

LQY �GSP� �

ZKHUH�WKH�LQYDULDQW��LQY��PXVW�UHVWULFW�WKH�PRGHO�WR�EH�ILQLWH�DQG�F\FOH�IUHH��VHH�.XUH��������IRU

D� GHILQLWLRQ��� 7KH� PRGHO� ZLOO� ODWHU� EH� PRGLILHG� WR� EH� EDVHG� RQ� IXQFWLRQV� LQVWHDG� RI� ILQLWH

PDSSLQJV��,Q�DGGLWLRQ�WR�WKH�GDWD�PRGHO�RI�WKH�V\VWHP�D�UHSUHVHQWDWLRQ�RI�D�SROLF\�LV�UHTXLUHG�DQG

GHILQHG�DV�

3ROLF\ 6WDWH � 'HFLVLRQP

����� 7KH�3UREOHP

,Q�RUGHU�WR�IRUPXODWH�DQG�VROYH�WKH�SUREOHP��D�VHW�RI�EDVLF�IXQFWLRQV�LV�VSHFLILHG�DQG�GHILQHG��VHH

-RQHV��������IRU�DQG�LQWURGXFWLRQ�WR�VSHFLILFDWLRQV�DQG�GLUHFW�GHILQLWLRQV�LQ�9'0��

FRPSOHWHBSRO �GSP� '30RGHO� S� 3ROLF\� U� ERROHDQ

SRVW U �GRP S GRP GSP Y

~VW�GRP S # S �VW��GRP GSP �VW��

DOOBSRO �GSP� '30RGHO� U� 3ROLF\¤VHW

SRVW U ^S�3ROLF\ FRPSOHWHBSRO �GSP� S�`

FRPELQH� *DLQ Ó *DLQ � *DLQ

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

PDS� �; Ó <� ;�VHW� � <¤VHW

PDS �I� V� r

LI V ^` WKHQ ^`

HOVH OHW H�V LQ I �H� F PDS �I� V�^H`�

VXEBGRP� '30RGHO � �6WDWH � 6WDWH¤VHW�

VXEBGRP �GSP��VW� r

LI VWÕGRP GSP WKHQ ^`

HOVH OHW VXFFBVWDWHV PDS �VQG� UQJ GSP �VW��

LQ VXFFBVWDWHV F PDS �VXEBGRP �GSP�� VXFFBVWDWHV�

DOOBSRO�UHWXUQV�DOO�FRPSOHWH�SROLFLHV�DSSOLFDEOH�WR�D�JLYHQ�LQVWDQFH��GSP��RI�WKH�PRGHO��VXEBGRP

UHWXUQV�DOO�VXFFHHGLQJ�VWDWHV��WKH�VXE¤GRPDLQ��RI�D�JLYHQ�VWDWH��7KH�IXQFWLRQ�FRPELQH��LV�GHILQHG

ODWHU��LV�XVHG�LQ�WKH�GHILQLWLRQ�RI�WKH�REMHFWLYH�IXQFWLRQ�

REMIFW� '30RGHO Ó 3ROLF\ Ó 6WDWH � *DLQ

REMIFW �GSP� S� VW� r

OHW �J� QBVW� GSP �VW��S �VW��

LQ LI QBVWÕGRP S WKHQ J

HOVH FRPELQH �J� REMIFW �GSP� S� QBVW��

A minimization function is specified as:

PLQ �V� *DLQ¤VHW�U� *DLQ

SUH V g ^`

SRVW U�V Y ~ H�V # H � U

Given an instance of the model (GSP� '30RGHO) and a state (VW� 6WDWH), the problem is tominimize the objective function (REMIFW) with respect to all complete policies (S�DOOBSRO �GSP�):

PLQ ^ REMIFW �GSP� S� VW� S�DOOBSRO �GSP� `

In other words the goal is to find a solution function, VROXWLRQ, that satisfies the specification:

VROXWLRQ �GSP� '30RGHO� VW� 6WDWH� U � *DLQ

SUH VW�GRP GSP

SRVW U PLQ ^REMIFW �GSP� S� VW� S�DOOBSRO �GSP� `

The state space is defined as the total set of states (except goal states) in the model and thedecision space as the total set of valid decisions in a given state:

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ ��

VWDWHBVSDFH �GSP� r GRP GSP

GHFLVLRQBVSDFH �GSP� VW� r GRP GSP �VW�

5.2.3 Bellman’s Principle of Optimality

The derivation of a solution function will be based on Bellman's Principle of Optimality:

The Principle of Optimality. An optimal policy has the property, thatwhatever the initial state and initial decision are, the remaining decisionsmust constitute an optimal policy with regard to the state resulting fromthe first decision.

Bellman (1957)

Referring to the introduced data model, a proposition stating this principle may be formulated as:

Proposition 1:

GSP�'30RGHO� VW�6WDWH� S �DOOBSRO �GSP��

PLQ ^ REMIFW �GSP�S�VW� S�DOOBSRO �GSP� ` REMIFW �GSP�S �VW�

_ ~V�VXEBGRP �GSP� �VW� # PLQ ^ REMIFW �GSP�S�V� S�DOOBSRO �GSP� ` REMIFW �GSP�S �V�

which (because it is satisfied for ~VW�GRP GSP� implies:

Proposition 2:

GSP�'30RGHO

_ }S �DOOBSRO �GSP� ± ~V�GRP GSP #

PLQ ^ REMIFW �GSP�S�V� S�DOOBSRO �GSP� ` REMIFW �GSP�S �V�

5.2.4 VROXWLRQ�¤�D�GLUHFW�GHULYDWLRQ

%DVHG�RQ�WKH�LQWURGXFHG�GDWD�PRGHO�DQG�IXQFWLRQV�DQG�RQ�WKH�3ULQFLSOH�RI�2SWLPDOLW\�D�GLUHFW

GHILQLWLRQ�RI�VROXWLRQ�PD\�EH�GHULYHG��DQG�IRUPDOO\�SURYHG����

,Q�WKH�SURRI�WKH�IROORZLQJ�DEEUHYLDWLRQ�ZLOO�EH�XVHG�

I �G� OHW �J�QBVW� GSP �VW��G�

LQ LI QBVWÕGRP GSP WKHQ J

HOVH FRPELQH �J�REMIFW �GSP�S �QBVW��

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

3URRI���

IURP GSP�'30RGHO� VW�GRP GSP�

~V�GRP GSP # VROXWLRQ �GSP�V� PLQ ^ REMIFW �GSP�S�V� S�DOOBSRO �GSP� `�

� IURP S�DOOBSRO �GSP�

LQIHU S �VW��GRP GSP �VW� DOOBSRO� K

� IURP G �GRP GSP �VW�� I �G � PLQ ^I �G� G�GRP GSP �VW�`�

S �DOOBSRO �GSP�� ~V�GRP GSP #

PLQ ^ REMIFW �GSP�S�V� S�DOOBSRO �GSP� ` REMIFW �GSP�S �V�

��� S �^VW�G `�DOOBSRO �GSP� DOOBSRO� K��K

��� I �G � REMIFW �GSP�S �^VW�G `�VW� LQY¤GSP� ���

��� REMIFW �GSP�S �^VW�G `�VW� � REMIFW �GSP�S �VW� SRVW¤PLQ� K�

��� REMIFW �GSP�S �VW� I �S �VW�� I� FRPSOHWHBSRO� K

��� I �S �VW�� � I �G � SRVW¤PLQ� K�� �

��� REMIFW �GSP�S �VW� I �G � �� ���� ���� ���� ���

��� PLQ ^REMIFW �GSP�S�VW� S�DOOBSRO �GSP� ` K�� K�

PLQ ^I �G� G�GRP GSP �VW� `

LQIHU PLQ ^REMIFW �GSP�S�VW� S�DOOBSRO �GSP� ` I� K�

PLQ ^ OHW �J�QBVW� GSP �VW��G�

LQ LI QBVWÕGRP GSP WKHQ J

HOVH FRPELQH �J�PLQ ^ REMIFW �GSP�S�QBVW� S�DOOBSRO �GSP� `�

G�GRP GSP �VW� `

� }G �GRP GSP �VW� # I �G � PLQ ^I �G� G�GRP GSP �VW�` SRVW¤PLQ

� }S �DOOBSRO �GSP� ± ~V�GRP GSP # SURSRVLWLRQ �

PLQ ^ REMIFW �GSP�S�V� S�DOOBSRO �GSP� ` REMIFW �GSP�S �V�

LQIHU VROXWLRQ �GSP�VW� }¤(� K� K

PLQ ^ OHW �J�QBVW� GSP �VW��G�

LQ LI QBVWÕGRP GSP WKHQ J

HOVH FRPELQH �J�VROXWLRQ �GSP�QBVW��

G�GRP GSP �VW� `

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ ��

By introducing two new functions an alternative solution function that is closer to a directimplementation may be derived:

PLQBWZR� < Ó < � <

PLQBWZR �D� E� r LI D qE WKHQ D HOVH E�

PLQLPXP� �; � <� Ó ;¤VHW � <

PLQLPXP �J� DV� r

OHW OBPLQ �P� OBDV�

LI OBDV ^` WKHQ P HOVH

OHW D�OBDV

LQ OBPLQ �PLQBWZR �P� J �D��� OBDV�^D`�

DQG IVWBD�DV

LQ OBPLQ �J �IVWBD�� DV �^IVWBD`�

SUH DV g ^`

7KH�GHILQLWLRQ�RI�WKH�LQIL[�RSHUDWRU�q�ZLOO�GHSHQG�RQ�WKH�DFWXDO�GHILQLWLRQ�RI�*DLQ��VHH�EHORZ���

8WLOL]LQJ�WKDW�

I� ; � <� <g^` _ PLQ ^I �[� [�;` PLQLPXP �I� ;�

VROXWLRQ�FDQ�EH�GHGXFHG��E\� ¤VXEVW��WR�

VROXWLRQ� '30RGHO Ó 6WDWH � *DLQ

VROXWLRQ �GSP� VW� r

OHW I �G�

OHW �J� QBVW� GSP �VW��G�

LQ LI QBVWÕGRP GSP WKHQ J

HOVH FRPELQH �J� VROXWLRQ �GSP� QBVW��

LQ PLQLPXP �I� GRP GSP �VW��

SUH VW�GRP GSP

7KH�IXQFWLRQ�PLQLPXP�PLQLPL]HV�WKH�UHWXUQV�RI�WKH�IXQFWLRQ�J�RYHU�DV��D�ILQLWH�VHW�RI�DUJXPHQWV

WR�J��,Q�VROXWLRQ�PLQLPXP�LV�XWLOL]HG�WR�PLQLPL]H�I�RYHU�WKH�ILQLWH�VHW�RI�YDOLG�GHFLVLRQV��GRP GSP

�VW���ZKHUH� I�UHWXUQV�WKH�RSWLPDO�JDLQ�RI�H[HFXWLQJ�D�GHFLVLRQ��G��7KH�SUREOHP�RI�ILQGLQJ�WKH

VKRUWHVW�SDWK�IURP�$�WR�%�LQ�ILJ������LV�VROYHG�UHFXUVLYHO\�VWDUWLQJ�LQ�WKH�VWDUW�VWDWH��$��XVLQJ

VROXWLRQ�

����� 0HPRU\�IXQFWLRQV

$V�VKRZQ�LQ�WKH�H[DPSOH��5'3�FRQVLVWV�RI��D�UHFXUVLYHO\�GHFRPSRVLWLRQ�RI�D�SUREOHP�LQWR�DQG

VROYLQJ�RI�VXE¤SUREOHPV��EXW�WKH�VROXWLRQ�IXQFWLRQ��VROXWLRQ��GRHV�QRW�SUHYHQW�WKH�VDPH�SUREOHP

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

WR�EH�VROYHG�PRUH�WKDQ�RQFH��L�H��LQ�WKH�H[DPSOH�GLIIHUHQW�SDWKV�PD\�OHDG�WR�WKH�VDPH�QRGH���7KLV

�SRVVLEO\�LQHIILFLHQW��UHVROYLQJ�RI�WKH�VDPH�SUREOHP�PD\�EH�HOLPLQDWHG�E\�NHHSLQJ�UHFRUGV�RI

NQRZQ�VROXWLRQV��,I�D�VROXWLRQ�LV�LQ�WKH�UHFRUGV��LW�LV�DOUHDG\�NQRZQ�DQG�PD\�EH�XVHG�GLUHFWO\�

2WKHUZLVH�WKH�SUREOHP�PXVW�EH�VROYHG�DQG�WKH�UHVXOW�VDYHG�LQ�WKH�UHFRUGV�IRU�ODWHU�XVH��7KLV�XVH

RI�UHFRUG�NHHSLQJ�RU�XVH�RI�D�PHPRU\�IXQFWLRQ��%UDVVDUG�DQG�%UDWOH\��������LV�DQ��RU�WKH��HVVHQWLDO

SDUW�RI�'3�DQG�PD\�UHVXOW�LQ�JUHDW�VDYLQJV�LQ�FRPSXWLQJ�WLPH�

7KH�UHFRUGV�RI�VROXWLRQV�FDQ�EH�UHSUHVHQWHG�DV�D�PDS�

6ROXWLRQV 6WDWH � *DLQP

,I� NQRZOHGJH� RI� WKH� SROLF\� OHDGLQJ� WR� WKH� VROXWLRQ� LV� UHTXLUHG�� WKLV� RSWLPDO� SROLF\� PD\� EH

UHSUHVHQWHG�DV�DQ�H[WHQVLRQ�WR�WKH�UHFRUGV�RI�VROXWLRQV�

6ROXWLRQV2SW3ROLF\ 6WDWH � *DLQ Ó 'HFLVLRQP

$OO�VROXWLRQ�IXQFWLRQV�LQ�WKLV�SDSHU�FDQ�EH�H[WHQGHG�ZLWK�PHPRU\�IXQFWLRQV��VHH�.XUH��������IRU

GLUHFW�GHILQLWLRQV��

����� )XQFWLRQ�EDVHG�PRGHO

7KH�EDVLF�GDWD�PRGHO�PD\�EH�PRGLILHG�WR�EH�EDVHG�RQ�IXQFWLRQV�LQVWHDG�RI��ILQLWH��PDSV�

1RW,Q'RPDLQ 6WDWH � ERROHDQ

'HFLVLRQ6SDFH 6WDWH � 'HFLVLRQ¤VHW

&RQVT 6WDWH Ó 'HFLVLRQ � 6WDWH Ó *DLQ

'30RGHO)XQF

1RW,Q'RPDLQ Ó 'HFLVLRQ6SDFH Ó &RQVT

LQY �GSP� r�

ZKHUH�1RW,Q'RPDLQ�UHVWULFWV�WKH�GRPDLQ�RI�WKH�PRGHO��RU�WKH�SUREOHP�VSDFH���'HFLVLRQ6SDFH

UHWXUQV�WKH�GHFLVLRQ�VSDFH�RI�D�JLYHQ�VWDWH�DQG�&RQVT�UHWXUQV�WKH�FRQVHTXHQFHV��L�H��JDLQ�DQG

VXFFHHGLQJ�VWDWH��RI�H[HFXWLQJ�D�GHFLVLRQ�

%DVHG�RQ�WKLV�GDWD�PRGHO�WKH�EDVLF�VROXWLRQ�IXQFWLRQ�PD\�EH�FKDQJHG�LQWR�

��� *HQHUDOL]HG�5'3 ��

VROXWLRQBIXQF� '30RGHO)XQF Ó 6WDWH � *DLQ

VROXWLRQBIXQF �GSP� VW� r

OHW �QRWBLQBGRP� GHFV� FRQVT� GSP

DQG I �G�

OHW �J� QBVW� FRQVT �VW� G�

LQ LI QRWBLQBGRP �QBVW� WKHQ J

HOVH FRPELQH �J� VROXWLRQBIXQF �GSP� QBVW��

LQ PLQLPXP �I� GHFV �VW��

7KH�IOH[LELOLW\�RI�WKLV�PRGHO�DQG�VROXWLRQ�IXQFWLRQ�ZLOO�EH�H[HPSOLILHG�LQ�VHFWLRQ���

6HOHFWHG� SDUWV� RI� D� 60/¤LPSOHPHQWDWLRQ� �VHH� 3DXOVRQ� ������� IRU� DQ� LQWURGXFWLRQ�� RI� WKLV

DOJRULWKP�LV�VKRZQ�LQ�$SSHQGL[�$��7KH�IXQFWLRQ�QRWBLQBGRP��RI�W\SH��1RW,Q'RPDLQ��LV�LQ�WKLV

LPSOHPHQWDWLRQ�D�JOREDO�IXQFWLRQ�DQG�QRW�D�SDUW�RI�WKH�GDWD�PRGHO�

��� *HQHUDOL]HG�5'3

7KH�EDVLF�GHWHUPLQLVWLF�PRGHO��'30RGHO�FDQ�EH�JHQHUDOL]HG�WR�LQFOXGH�VWRFKDVWLF�SURFHVVHV�WKDW

VDWLVI\�WKH�0DUNRYLDQ�SURSHUW\��+LOOLHU��/LHEHUPDQ���������

$�VWRFKDVWLF�SURFHVV�^; `�LV�VDLG�WR�KDYH�WKH�0DUNRYLDQ�SURSHUW\�LI��W

3���; � �M ; � �N ��; � �N ����; � �N ��; � �L�� �3��; � �M ; � �L�W�� � � � � W¤� W¤� W W�� W

�IRU�W� ��������DQG�HYHU\�VHTXHQFH�L��M��N ��N ���N �� � W¤�

7KH�HTXLYDOHQFH��L�H��¦WKH�LQGHSHQGHQFH�EHWZHHQ�WKH�SUHVHQW�VWDWH�RI�D�SURFHVV�DQG�SDVW�HYHQWV§�

EHWZHHQ�WKLV�SURSHUW\�DQG�%HOOPDQ©V�3ULQFLSOH�RI�2SWLPDOLW\�LV�XWLOL]HG�DV�IROORZV�

$�JHQHUDO�VXPPDWLRQ�IXQFWLRQ�XVHG�LQ�WKH�GHILQLWLRQV�LV�GHILQHG�DV�

VXP� �; � <� Ó ;¤VHW � <

VXP �I� DV� r

OHW OBVXP �V� OBDV�

LI OBDV ^` WKHQ V

HOVH OHW D�OBDV

LQ OBVXP �V U I �D�� OBDV � ^D`�

DQG IVWBD�DV

LQ OBVXP �I �IVWBD�� DV � ^IVWBD`�

SUH DV g ^`

7KH�LQIL[�RSHUDWRU�U�ZLOO�EH�GHILQHG�ODWHU�

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

)LJXUH ���� $Q LQVWDQFH RI D *HQHUDO '3 PRGHO� 'HFLVLRQ QRGHV PD\ EH VXFFHHGHG E\ GHFLVLRQ QRGHV DV ZHOO

DV FKDQFH QRGHV �DQG YLFH YHUVD�� 1RGHV UHSUHVHQW YDOXHV �DQG QRW YDULDEOHV DV LQ %D\HVLDQ 1HWZRUNV��

����� 7KH�PRGHO

/HW�VWRFKDVWLF�HYHQWV��RU�VWDWHV��EH�UHSUHVHQWHG�E\�WKH�GDWD�W\SH�&KDQFH6WDWH��7KH�*HQHUDOL]HG

5'3�PRGHO�LV�WKHQ�GHILQHG�DV�

3URE ^ [�Ü � � [ � � `

*HQ6WDWH 6WDWH F &KDQFH6WDWH

'HF&RQVT �'HFLVLRQ Ó *DLQ Ó *HQ6WDWH�¤VHW

&KDQFH&RQVT �3URE Ó *DLQ Ó *HQ6WDWH�¤VHW

LQY �F� r VXP �IVW� F� �

*HQ&RQVT *HQ6WDWH � �'HF&RQVT F &KDQFH&RQVT�

LQY �JF� r�

*'30RGHO

1RW,Q'RPDLQ Ó *HQ&RQVT

LQY �GSP� r�

,W� VKRXOG�EH�QRWHG�KRZ�'HFLVLRQ6SDFH�DQG�&RQVT�KDYH�EHHQ�FRODSVHG� LQWR�'HF&RQVT� �DQG

*HQ&RQVT���

7KH�JUDSK�LQ�ILJ������LV�DQ�H[DPSOH�RI�DQ�LQVWDQFH�RI�WKLV�PRGHO�DQG�LW�LOOXVWUDWHV�DQ�LPSRUWDQW

IHDWXUH�RI�WKH�PRGHO��'HFLVLRQ�QRGHV�DQG�FKDQFH�QRGHV�FDQ�DSSHDU�LQ�DQ\�RUGHU��

6WRFKDVWLF�'3�PRGHOV��VHH�H�J��1HPKDXVHU��������DQG�0DUNRY�'HFLVLRQ�3URFHVVHV��VHH�H�J�

.ULVWHQVHQ��������DUH�VHHQ�WR�EH�VSHFLDO�FDVHV�RI�*'30RGHO��LQ�ZKLFK�D�6WDWH�DOZD\V��XQOHVV�LW

LV� D� JRDO� VWDWH�� LV� VXFFHHGHG� E\� &KDQFH6WDWHV� DQG� YLFH� YHUVD�� ,Q� WKRVH� VSHFLDO� FDVHV� WKH

UHSUHVHQWDWLRQ�RI�FKDQFH�VWDWHV�LV�VXSHUIOXRXV�DQG�WKH�PRGHO�FDQ�EH�UHIRUPXODWHG�DV�

��� *HQHUDOL]HG�5'3 ��

6WRFK&RQVT

6WDWH � �'HFLVLRQ Ó �3URE Ó *DLQ Ó 6WDWH�¤VHW�¤VHW

6'30RGHO

1RW,Q'RPDLQ Ó 6WRFK&RQVT

LQY �VGSP� r�

����� 7KH�VROXWLRQ�IXQFWLRQ

7KH�VROXWLRQ�IXQFWLRQ��ZLWKRXW�PHPRU\�IXQFWLRQV��VHH�.XUH��������IRU�GHILQLWLRQV�RI�VROXWLRQ

IXQFWLRQV�ZLWK�PHPRU\�IXQFWLRQV��IRU�WKH�*HQHUDOL]HG�5'3�PRGHO�LV�GHILQHG�DV�

VROXWLRQBJHQ� *'30RGHO Ó *HQ6WDWH � *DLQ

VROXWLRQBJHQ ��QRWBPHP� FRQVT�� VW�r

LI VW � 6WDWH

WKHQ OHW I ��G� U� QBVW��

LI QRWBPHP �QBVW� WKHQ U

HOVH U U VROXWLRQBJHQ ��QRWBPHP� FRQVT�� QBVW�

LQ PLQLPXP �I� FRQVT �VW��

HOVH OHW I ��S� U� QBVW��

LI QRWBPHP �QBVW� WKHQ S T U

HOVH S T �U U VROXWLRQBJHQ ��QRWBPHP� FRQVT�� QBVW��

LQ VXP �I� FRQVT �VW��

ZKLFK�LV�VHHQ�WR�EH�DQ�H[WHQGHG�YHUVLRQ�RI�VROXWLRQBIXQF��LI�WKH�VWDWH�VW�LV�D�&KDQFH6WDWH�WKH

ZHLJKWHG��L�H��E\�WKH�IDFWRU�RU�SUREDELOLW\��S��JDLQV�DUH�VXPPHG�XS��LI�QRW��WKH�JDLQV�DUH��H[DFWO\

DV�LQ�VROXWLRQBIXQF��PLQLPL]HG��,Q�RUGHU�WR�FODULI\�WKH�GHILQLWLRQ��WKH�IXQFWLRQ�FRPELQH�KDV�EHHQ

VXEVWLWXWHG�E\�WKH�LQIL[�RSHUDWRU�U��L�H��FRPE �D� E� r D U E�

,W�VKRXOG�EH�QRWHG�WKDW�WKH�GHFLVLRQV��G��DUH�QRW�XVHG�LQ�WKH�FDOFXODWLRQV�DQG�PD\�DV�ZHOO�EH

UHPRYHG�IURP�WKH�GDWD�PRGHO��'HF&RQVT��7KLV�GHPRQVWUDWHV�WKH�IDFW�WKDW�IURP�D�FRQFHSWXDOO\

SRLQW�RI�YLHZ�WKH�GHFLVLRQV��DQG�SROLFLHV��RQO\�VHUYH�WKH�SXUSRVH�RI�¦QDPLQJ§�HGJHV��DQG�SDWKV��

+RZHYHU��LI�PHPRU\�IXQFWLRQV�DUH�XVHG��ZKLFK�ZLOO�QRUPDOO\�EH�WKH�FDVH��LW�PD\�EH�RI�UHOHYDQFH

WR� UHFRUG� WKLV� LQIRUPDWLRQ�RI� WKH�¦QDPH§�RI� WKH�RSWLPDO�SDWK� WRJHWKHU�ZLWK� WKH�VROXWLRQ��WKH

RSWLPDO�JDLQ��

����� 'HILQLWLRQV�RI�WKH�W\SH�*DLQ�DQG�RI�WKH�RSHUDWRUV

,Q� WKH�PRVW�EDVLF�VLWXDWLRQ�WKH�JDLQ�DQG�WKH�RSHUDWRUV�XVHG�LQ� WKH�PLQLPL]DWLRQ�DQG�VROXWLRQ

IXQFWLRQV�DUH�GHILQHG�DV�VLPSOH�DGGLWLRQ�DQG�PLQLPXP�RSHUDWLRQV�

*DLQ Ü

U � *DLQ Ó *DLQ � *DLQ

U �D� E� r D � E

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

T � 3URE Ó *DLQ � *DLQ

T �S� E� r S E

q � *DLQ Ó *DLQ � *DLQ�

q �D� E� r LI D � E WKHQ D HOVH E�

,Q�WKH�VLWXDWLRQ�RI�GLVFRXQWHG�UHWXUQV��WKH�JDLQ�DQG�WKH�RSHUDWRUV�DUH�UHGHILQHG�DV��

*DLQ �Ü Ó Ü�

U ��J� T�� �VROBJ� VROBT��r �T �J � VROBJ�� VROBT T�

T �S� �U� T�� r �S U� S T�

q ��U�� T����U�� T��� r LI U� � U� WKHQ �U�� T�� HOVH �U�� T���

,Q�WKLV�FDVH�WKH�JDLQ�IXQFWLRQ�GHILQHG�LQ�WKH�LQWURGXFWLRQ�IRU�HDFK�VWDWH��DQG�HDFK�GHFLVLRQ��UHWXUQV

D�JDLQ�DV�ZHOO�DV�D�FRUUHVSRQGLQJ�GLVFRXQW�IDFWRU�DQG�WKH�VROXWLRQ�IXQFWLRQV�UHWXUQ��LQ�DGGLWLRQ�WR

WKH� GLVFRXQWHG� JDLQ�� WKH� WRWDO� GLVFRXQW� IDFWRU� JLYHQ� WKH� RSWLPDO� SROLF\� LQ� WKH� FDVH� RI� D

GHWHUPLQLVWLF�PRGHO��L�H��VROXWLRQ��DQG�WKH�ZHLJKWHG�WRWDO�GLVFRXQW�IDFWRU�JLYHQ�WKH�RSWLPDO�SROLF\

LQ�WKH�FDVH�RI�D�JHQHUDO�PRGHO��L�H��VROXWLRQBJHQ��

��� ,PSOLFDWLRQV

����� +HXULVWLF�UXOHV

:LWKRXW�VLJQLILFDQWO\�DIIHFWLQJ�WKH�RSWLPDO�VROXWLRQ�D�KHXULVWLF�UXOH�IRU�HDFK�VWDWH�LQ�WKH�VWDWH

VSDFH� UHGXFHV� WKH� GHFLVLRQ� VSDFH� DQG� FRQVHTXHQWO\� WKH� VWDWH� VSDFH� LWVHOI�� 7KHVH� UXOHV� �DQG

UHVWULFWLRQV�RQ�GHFLVLRQ�VSDFHV�LQ�JHQHUDO��DUH�VLPSO\�LQFOXGHG�LQ�WKH�PRGHOV�DV�PRGLILFDWLRQV�RI

'HFLVLRQ6SDFH�

$�URDG�PDS��FRQWLQXHG���7KH�H[DPSOH�ZLOO�LOOXVWUDWH�KRZ�UHVWULFWLRQV�RQ�GHFLVLRQ�VSDFHV�FDQ

UHGXFH�WKH�VWDWH�VSDFH��7KH�UXOH�UHVWULFWLRQ�DSSOLHG�WR�WKH�H[DPSOH�LV�DV�IROORZV���$OZD\V�IROORZ

WKH�URDG�DW�WKH�OHIW�LI�\RX�KDYH�WKH�RSWLRQ���)LJ������LOOXVWUDWHV�WKLV�VLWXDWLRQ��URDGV��DW�WKH�ULJKW�

KDYH�EHHQ�HUDVHG�IURP�WKH�RULJLQDO�JUDSK��ILJ�������DQG�RQO\�RQH�SDWK�IURP�$�WR�%�UHPDLQV��7KH

VWDWH�VSDFH�KDV�EHHQ�UHGXFHG�WR���VWDWHV��$��1���1��DQG�1���DQG�WKH�UHFXUVLYH�VROXWLRQ�IXQFWLRQ

LV��UHGXFHG��WR�D�VLPSOH�VXPPDWLRQ�IXQFWLRQ��PLQBWZR�LV�QHYHU�FDOOHG�

����� %RXQGLQJ

+HXULVWLF�IXQFWLRQV��ZKLFK�UHWXUQ�DQ�XQGHU��RYHU��HVWLPDWH�RI� WKH�VROXWLRQ�WR�D�PLQLPL]DWLRQ

�PD[LPL]DWLRQ��SUREOHP��VHH�H�J��5LFK�DQG�.QLJKW��������PD\�ZLWKRXW�HIIHFWLQJ�WKH�VROXWLRQ�WR

WKH�SUREOHP�UHGXFH�WKH�SUREOHP�VSDFH��7KH�SUREOHP�VSDFH�LV�UHGXFHG�E\�ERXQGLQJ�VXE¤JUDSKV

ZKLFK�ZLWK�FHUWDLQW\�ZLOO�QRW�OHDG�WR�D�EHWWHU�SRVVLEOH�JOREDO�VROXWLRQ�WKDQ�WKH�FXUUHQW�EHVW�NQRZQ

SRVVLEOH�VROXWLRQ�

.XUH� �������GHILQHV�D�VROXWLRQ�IXQFWLRQ�IRU� WKH�EDVLF�PRGHO��5'30RGHO��ZKLFK�XWLOL]HV

KHXULVWLF�IXQFWLRQV��7KH�IXQFWLRQ�LV�D�VSHFLDO�FDVH�RI�DQ�DOJRULWKP�NQRZQ�LQ�$,�DV�$ ��5LFK�

.QLJKW�� ������ :LQVWRQ�� ������� 7KH� VHDUFK� VWUDWHJ\� LV� D� GHSWK� ILUVW� VHDUFK� LQVWHDG� RI� DQ

�LQWHOOLJHQW��PL[WXUH�RI�EUHDGWK�ILUVW�DQG�GHSWK�ILUVW�VHDUFK�DV�LQ�$ �

1�

1�

$

1�

1�

1�

1�

1�

%

� � ���

��� ,PSOLFDWLRQV ��

)LJXUH ���� 7KH JUDSK RI ILJ� ��� SDUWLWLRQHG LQWR VWDJHV DQG DSSOLHG WKH UXOH� �DOZD\V IROORZ WKH URDG DW WKH

OHIW LI \RX KDYH WKH RSWLRQ��

$�VLPLODU� VROXWLRQ� IXQFWLRQ�FDQ�EH�GHILQHG� IRU� WKH�JHQHUDO�'3�PRGHO�DQG�EDVHG�RQ� WKDW

IXQFWLRQ�DQ�$ �DOJRULWKP�IRU�VWRFKDVWLF�SUREOHPV�FDQ�EH�GHULYHG�

����� 9DOXH�,WHUDWLRQ

,Q�WKH�RULJLQDO�VROXWLRQ�PHWKRG�SURSRVHG�E\�%HOOPDQ��������DQG�WHUPHG�9DOXH�,WHUDWLRQ��9,��E\

+RZDUG���������RU�EDFNZDUG�PXOWLVWDJH�SUREOHP�VROYLQJ�E\�1HPKDXVHU���������WKH�SUREOHP

VSDFH�LV�SDUWLWLRQHG�LQWR�VWDJHV��(DFK�VWDJH�FRQWDLQV�SUREOHPV�WKDW�FDQ�EH�VROYHG�LQGHSHQGHQWO\

DQG�LQ�DQ\�RUGHU��7KH�VWDJHV�DUH�VROYHG�LQ�DQ�RUGHU�ZKLFK�JXDUDQWHHV�WKDW�DOO�VXE¤SUREOHPV��L�H�

SUREOHPV�DVVRFLDWHG�ZLWK�VXFFHHGLQJ�VWDWHV��DOUHDG\�KDYH�EHHQ�VROYHG�DQG�UHFRUGHG��SUREOHPV

DVVRFLDWHG�ZLWK�JRDO�VWDWHV�DUH�LQLWLDOO\�NQRZQ���)LJ������LOOXVWUDWHV�RQH�YDOLG��SDUWLWLRQLQJ�RI�WKH

JUDSK�RI�ILJ�������ZLWK�KHXULVWLF�UXOHV�DV�SUHVHQWHG�DERYH���SUREOHPV�LQ�VWDJH���DUH�VROYHG�ILUVW�

IROORZHG�E\�SUREOHPV�LQ�VWDJH����HWF��

)LJ������DOVR�LOOXVWUDWHV�RQH�RI�WKH�PDLQ�GLVDGYDQWDJHV�RI�9,��5HGXQGDQW�SUREOHP�VROYLQJ�

3UREOHPV��OLNH�WKRVH�DVVRFLDWHG�ZLWK�QRGH�1���1���1��DQG�1���ZKLFK�DUH�QRW�RQ�D�SDWK�OHDGLQJ

IURP�WKH�VWDUW�QRGH�ZLOO�EH�VROYHG��EXW�WKH\�ZLOO�QHYHU�EH�UHXVHG��,Q�FRQWUDVW�WR�5'3��ZKHUH�RQO\

SUREOHPV�RQ�SDWKV�OHDGLQJ�IURP�WKH�VWDUW�QRGH�DUH�UHSUHVHQWHG�DQG�VROYHG��WKHUH�LV�LQ�JHQHUDO�QR

HDV\�ZD\� �H[FHSW�SURFHVVLQJ� WKH� UHGXFHG�VWDWH�VSDFH�SULRU� WR� WKH�RSWLPL]DWLRQ�� WR�DYRLG� WKLV

UHGXQGDQW�SUREOHP�VROYLQJ�LQ�WKH�9,�DOJRULWKP�

7KH�PHPRU\�XVDJH�GXH�WR�WKH�UHFXUVLYH�QDWXUH�RI�WKH�DOJRULWKP�LV�WKH�PDLQ�GLVDGYDQWDJH�RI

5'3�FRPSDUHG�WR�9,��+RZHYHU��WKH�PHPRU\�FRPSOH[LW\��RU�WKH�PHPRU\�XVDJH��LV�OLQHDU�LQ�WKH

GHSWK�RI� WKH�SUREOHP�RU� WKH�QXPEHU�RI�VWDJHV�DQG�ZLOO� WKHUHIRUH�UDUHO\�FDXVH�DQ\�VLJQLILFDQW

SUREOHPV��,W�VKRXOG�EH�QRWHG�WKDW�LQ�WKH�VLWXDWLRQ�RI��LQILQLWH�DQG��VWDWLRQDU\�SUREOHPV��VSHFLDO

SURFHGXUHV�IRU�VWRSSLQJ�WKH�UHFXUVLRQV�DQG�IRU�HQVXULQJ�WKDW�DOO�VWDWHV�DUH�WUDYHUVHG�DW�OHDVW�RQFH

KDV�WR�EH�DSSOLHG�ZKHQ�XVLQJ�5'3�

����� +LHUDUFKLF�0DUNRY�3URFHVVHV

,W� ZDV� GHPRQVWUDWHG� KRZ� WKH� PRGHOV� DQG� VROXWLRQ� PHWKRGV� FDQ� EH� JHQHUDOL]HG� WR� LQFOXGH

VWRFKDVWLF��0DUNRY��SURFHVVHV��ZLWK�WKH�0DUNRY�'HFLVLRQ�3URJUDPPLQJ�SUREOHP�DV�D�VSHFLDO

FDVH��.ULVWHQVHQ��������SURSRVHG�WKH�+LHUDUFKLF�0DUNRY�3URFHVV��+03��DSSURDFK�WR�VROYH�0'3

SUREOHPV�� D�PHWKRG� SDUWO\� EDVHG� RQ� WKH�9,�PHWKRG�� SDUWO\� RQ� WKH�3ROLF\� ,WHUDWLRQ�PHWKRG

SURSRVHG� E\� +RZDUG� �������� ,Q� WKH� +03� DOJRULWKP� WKH� ZHLJKWHG� WRWDO� GLVFRXQW� IDFWRU� LV

FDOFXODWHG�H[SOLFLWO\�ZKLOH�LW�LQ�WKH�*HQHUDOL]HG�5'3�PHWKRG��L�H��&RPELQLQJ�ZLWK�GLVFRXQWLQJ

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

DERYH��LV�LPSOLFLWO\�JLYHQ��WKH�VWDWH�VSDFH�LV�WUDYHUVHG�RQFH�DQG�QRW�WZLFH�DV�LQ�+03��&RPELQHG

ZLWK�WKH�DELOLW\�WR�LQFOXGH�KHXULVWLF�UXOHV�DQG�LQ�JHQHUDO�DYRLG�WKH�UHSUHVHQWDWLRQ�DQG�RSWLPL]DWLRQ

RI�VWDWHV�ZKLFK�DUH�QRW�RQ�D�SDWK�IURP�WKH�VWDUW�VWDWH�V��WKH�5'3�PHWKRG�KDV�WKH�SRWHQWLDO�RI

UHGXFLQJ�WKH�FRPSXWDWLRQDO�EXUGHQV�RI�WKH�+03�PHWKRG�

��� &RQFOXVLRQ

6HYHUDO�DVSHFWV�RI�'3�KDYH�EHHQ�H[DPLQHG�DQG�GLVFXVVHG�LQ� WKLV�SDSHU��6RPH�RI� WKHVH�QHHG

VSHFLDO�FRQVLGHUDWLRQV�

7KH� EDVLF� VROXWLRQ� IXQFWLRQ�� VROXWLRQ� GHVFULEHG� LQ� VHFWLRQ� �� LV� VHHQ� WR� VLPSO\� EH� D

UHIRUPXODWLRQ��ZLWK�FRPELQH�VXEVWLWXWHG�E\�WKH�LQIL[�RSHUDWRU���DQG�WKH�VWDJH�QXPEHU�LQWHUSUHWHG

DV� D� VWDWH� YDULDEOH�� RI� �������'HVSLWH� WKLV� YHU\� FORVH� DQG� REYLRXV� UHODWLRQVKLS�� WKH� UHFXUVLYH

DSSURDFK�WRZDUGV�'3�SUHVHQWHG�LQ�WKLV�SDSHU��PD\�VHHP�QHZ�WR�PRVW�SHRSOH�GHDOLQJ�ZLWK�'3�DQG

LW�DSSHDUV�GLIILFXOW�WR�ILQG�WKH�DSSURDFK�GHVFULEHG�LQ�OLWHUDWXUH��.XUH���������,W�LV�GHPRQVWUDWHG

KRZ�WKH�IXQFWLRQ�FDQ�EH�GLUHFWO\�GHULYHG�EDVHG�RQ�D�PDWKHPDWLFDO�IRUPXODWLRQ�RI�%HOOPDQ©V

3ULQFLSOH�RI�2SWLPDOLW\�¤�DQ�DSSURDFK�WKDW�PD\�DLG�LQ�FODULI\LQJ��LQWHUSUHWLQJ�DQG�XQGHUVWDQGLQJ

WKH�SULQFLSOH�

7KH�UHFXUVLYH�DSSURDFK�LPSOLHV�HDV\�LPSOHPHQWDWLRQ�RI�KHXULVWLF�UXOHV��DQG�RI�LPSOLFLW�DQG

H[SOLFLW�VWDWH�VSDFH�DQG�GHFLVLRQ�VSDFH�UHVWULFWLQJ�UXOHV�LQ�JHQHUDO���7KLV�IHDWXUH�PD\�DSSHDU�YHU\

EHQHILFLDO�LQ�SUDFWLFDO�DSSOLFDWLRQV��$Q\�DSSURSULDWH�UXOH�LV�HDVLO\�DSSOLHG�WR�WKH�PRGHO�DQG�RQO\

VWDWHV�ZKLFK�DFFRUGLQJ�WR�WKH�UXOHV�DUH�RQ�D�SDWK�IURP�WKH�VWDUW�VWDWH�ZLOO�EH�UHSUHVHQWHG�DQG

VROYHG��7KLV�HDV\�DSSOLFDWLRQ�RI��KHXULVWLF�UXOHV�DQG�WKH�HOLPLQDWLRQ�RI�UHGXQGDQW�SUREOHP�VROYLQJ

�DV�H�J��GLVFXVVHG�E\�+RXEHQ�HW�DO�� �������� LV� IURP�DQ�DSSOLFDWLRQDO�SRLQW�RI�YLHZ� WKH�PRVW

LQWHUHVWLQJ�IHDWXUH��)URP�D�WKHRUHWLFDO�SRLQW�RI�YLHZ�WKH�IOH[LELOLW\��JHQHUDOLW\�DQG�LPSOLFDWLRQV

RI�WKH�PRGHOV�DQG�VROXWLRQ�IXQFWLRQV�DUH�RI�JUHDWHU�LQWHUHVW�

��� 5HIHUHQFHV ��

��� 5HIHUHQFHV

%HOOPDQ��5����������'\QDPLF�3URJUDPPLQJ��3ULQFHWRQ�8QLYHUVLW\�3UHVV��3ULQFHWRQ��1HZ�-HUVH\�

%UDVVDUG��*��DQG�3��%UDWOH\���������$OJRULWKPV��7KHRU\�DQG�3UDFWLFH��3UHQWLFH¤+DOO�,QWHUQDWLRQDO�

,QF�

+LOOLHU�� )�6�� � *�-�� /LHEHUPDQ� �������� ,QWURGXFWLRQ� WR� RSHUDWLRQV� UHVHDUFK�� �WK� HGLWLRQ�

+ROGHQ¤'D\��,QF��&DOLIRUQLD�

+RXEHQ�� (�+�3��� 5�%�0�� +XLUQH�� $�$�� 'LMNKXL]HQ� DQG� $�5�� .ULVWHQVHQ� �������� 2SWLPDO

UHSODFHPHQW�RI�PDVWLWLF�FRZV�GHWHUPLQHG�E\�D�KLHUDUFKLF�0DUNRY�SURFHVV��-��'DLU\�6FLHQFH�

��������¤�����

+RZDUG�� 5�$�� �������� '\QDPLF� SURJUDPPLQJ� DQG� 0DUNRY� SURFHVVHV�� 7KH� 0�,�7�� 3UHVV�

&DPEULGJH��0DVVDFKXVHWWV�

-RQHV��&��%����������6\VWHPDWLF�6RIWZDUH�'HYHORSPHQW�XVLQJ�9'0��3UHQWLFH�+DOO�,QWHUQDWLRQDO

�8.��/WG�

.ULVWHQVHQ��$��5����������+LHUDUFKLF�0DUNRY�SURFHVVHV�DQG�WKHLU�DSSOLFDWLRQV�LQ�UHSODFHPHQW

PRGHOV��(XURSHDQ�-RXUQDO�RI�2SHUDWLRQDO�5HVHDUFK���������¤����

.XUH��+����������5HFXUVLYH�'\QDPLF�3URJUDPPLQJ��6SHFLILHG�DQG�GHILQHG�XVLQJ�9'0��:RUNLQJ

SDSHU��'LQD��7KH�5R\DO�9HWHULQDU\�DQG�$JULFXOWXUDO�8QLYHUVLW\��&RSHQKDJHQ�

1HPKDXVHU��*��/����������'\QDPLF�3URJUDPPLQJ��-RKQ�:LOH\�DQG�6RQV��,QF���1<�

3DXOVRQ��/��&����������0/�IRU�WKH�:RUNLQJ�3URJUDPPHU��&DPEULGJH�8QLYHUVLW\�3UHVV��&DPEULGJH

5LFK��(���.��.QLJKW���������$UWLILFLDO�,QWHOOLJHQFH��0F*UDZ¤+LOO��1<���QG�HG������S�

6KHQR\�� 3�� 3�� �������� 9DOXDWLRQ¤EDVHG� V\VWHPV� IRU� %D\HVLDQ� GHFLVLRQ� DQDO\VLV��2SHUDWLRQV

5HVHDUFK��������¤����

:LQVWRQ��3��+����������$UWLILFLDO�,QWHOOLJHQFH��$GGLVRQ¤:HVOH\�3XEOLVKLQJ�&RPSDQ\��1<�

�� &KDSWHU����5HFXUVLYH�'\QDPLF�3URJUDPPLQJ�

$SSHQGL[���$� $�60/¤,PSOHPHQWDWLRQ

)UDJPHQWV�RI�SURJUDP�

���

W\SH 6WDWH 6WDJH 6WDWH9DU

W\SH '30RGHO 6WDWH �! �'HFLVLRQ OLVW �'HFLVLRQ �! �*DLQ 6WDWH����

���

IXQ PLQLPXP �I� >@� UDLVH (UURU

_ PLQLPXP �I� IVWBG��GBVHW�

OHW

IXQ OBPLQ �P� >@� P

_ OBPLQ �P� G��OBGBVHW�

OBPLQ �PLQBRIBWZR �P�I�G��� OBGBVHW�

LQ OBPLQ �I�IVWBG�� GBVHW�

HQG�

IXQ VROXWLRQ �GSP� VW�

OHW IXQ I�G�

OHW YDO �J� QBVW� VQG�GSP�VW���G�

LQ LI QBVW QRWBLQBGRP GSP

WKHQ J

HOVH FRPELQH �J� VROXWLRQ �GSP� QBVW��

HQG

LQ PLQLPXP �I� IVW�GSP�VW���

HQG�

&RUUHVSRQGLQJ�IUDJPHQWV�RI�RXWSXW�

���

W\SH 6WDWH 6WDJH 6WDWH9DU

W\SH '30RGHO 6WDWH �! 'HFLVLRQ OLVW �'HFLVLRQ �! �*DLQ 6WDWH��

���

YDO PLQLPXP IQ � �D �! *DLQ� D OLVW �! *DLQ

YDO VROXWLRQ IQ � �LQW D �! E OLVW

�E �! UHDO �LQW D��� �LQW D� �! UHDO

*HQHUDO�GLVFXVVLRQ

$V� VWDWHG� LQ� WKH� JHQHUDO� LQWURGXFWLRQ� WKH� RYHUDOO� REMHFWLYH� RI� WKH� UHVHDUFK� SURMHFW� ZDV� WR

LQYHVWLJDWH�DQG�GHYHORS�JHQHUDO�PRGHOV�IRU�VROYLQJ�WKH�¦VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW

SUREOHP§�XWLOL]LQJ�KHUG�VSHFLILF�UHJLVWUDWLRQV�DQG�ZLWK�WKH�DLP�RI�LPSOHPHQWDWLRQ�DV�D�VODXJKWHU

SLJ�PDUNHWLQJ�PDQDJHPHQW� VXSSRUW� WRRO� �0067�� WR�EH�XVHG� LQ� WKH� LQGLYLGXDO� VODXJKWHU�SLJ

RSHUDWLRQ��,Q�FKDSWHU���LW�ZDV�GHPRQVWUDWHG�KRZ�VXFK�D�WRRO�FDQ�EH�UHSUHVHQWHG�E\�WZR�VHSDUDWHG

V\VWHPV��D�%HOLHI�0DQDJHPHQW�6\VWHP�XVHG�IRU�G\QDPLF�HVWLPDWLRQ�RI�WKH��JHQHUDO�¤�L�H��QRW�MXVW

PDUNHWLQJ�PDQDJHPHQW�VSHFLILF��¦EHOLHI�LQ�WKH�VWDWH�RI�WKH�KHUG§��DQG�D�'HFLVLRQ�6XSSRUW�6\VWHP�

ZKLFK�EDVHG�RQ�WKH�FXUUHQW�¦EHOLHI�LQ�WKH�VWDWH�RI�WKH�KHUG§��UHWXUQV�LQIRUPDWLRQ�WKDW�PD\�VXSSRUW

WKH�PDQDJHU�LQ�PDQDJLQJ�WKH�PDUNHWLQJ�RI�VODXJKWHU�SLJV��)XQGDPHQWDO�DQG�JHQHUDO�PRGHOV�DQG

PHWKRGV�IRU�WKHVH�VXE¤V\VWHPV�ZHUH�LQGLYLGXDOO\�GHVFULEHG��HYDOXDWHG�DQG�GLVFXVVHG�LQ�FKDSWHU

��DQG���UHVSHFWLYHO\��,W�ZDV��DW�OHDVW�IURP�D�WKHRUHWLFDO�SRLQW�RI�YLHZ��GHPRQVWUDWHG�KRZ�WKH

PRGHOV�FDQ�EH�DSSOLHG�LQ�RUGHU�WR�KDQGOH�DQG�VROYH�¦WKH�VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW

SUREOHP§��L�H��KRZ�WR�VHOHFW�DQG�ZKHQ�WR�PDUNHW�LQGLYLGXDO�SLJV�RU�JURXSV�RI�SLJV���JLYHQ�WKH

VSHFLDO�IHDWXUHV�RI�WKH�VODXJKWHU�SLJ�RSHUDWLRQV��ELRORJLFDO�YDULDWLRQ��RSHUDWLRQDO�FRQVWUDLQWV�DQG

HYDOXDWLRQ�SULFLQJ�V\VWHPV��VHH�FKDSWHU����WKH�*HQHUDO�,QWURGXFWLRQ��DQG�JLYHQ�GLIIHUHQW�OHYHOV�RI

GDWD�LQIRUPDWLRQ��LQ�WKH�LQGLYLGXDO�VODXJKWHU�SLJ�RSHUDWLRQ��

,Q�WKLV�FRQFOXGLQJ�FKDSWHU�WKH�PDLQ�OLPLWDWLRQV��LPSOLFDWLRQV��SHUVSHFWLYHV�DQG�FRQFOXVLRQV�RI�WKH

UHVHDUFK�ZLOO�EH�RXWOLQHG�DQG�DVSHFWV�RI�LPSOHPHQWLQJ�WKH�PRGHOV�PHWKRGV�DV�DQ�RSHUDWLRQDO�DQG

EHQHILFLDO�0067�ZLOO�EH�GLVFXVVHG�

��� *HQHUDO�OLPLWDWLRQV

7KH�DVVXPSWLRQ�RI�LGHQWLFDOO\�QRUPDOO\�GLVWULEXWHG�WUDLWV�RI�SLJV�RI�VDPH�DJH��DQG�JHQGHU��LV�RQH

RI� WKH� PDLQ� DVVXPSWLRQV� LQ� WKH� SURSRVHG� PRGHOV� DQG� PHWKRGV� DQG� WKH� DVVXPSWLRQ� FDXVHV

WKHRUHWLFDO�DQG�DSSOLFDWLRQDO�OLPLWDWLRQV��$V�GLVFXVVHG�LQ�WKH�LQWURGXFWLRQ��WKH�PDQDJHU�ZLOO�LQ

PRVW�VLWXDWLRQV�WU\�WR�UHGXFH�WKH�YDULDWLRQ�EHWZHHQ�PDUNHWHG�SLJV�LQ�RUGHU�WR�LQFUHDVH�WKH�ILQDQFLDO

UHWXUQ��$�VLPSOH��XVHIXO�DQG�FRPPRQO\�DSSOLHG�PHWKRG�LV�WR�H[SHGLWH�RU�SRVWSRQH�WKH�PDUNHWLQJ

RI� LQGLYLGXDO� SLJ� ¤� RU� LQ� RWKHU�ZRUGV� WR� VHOHFW� SLJV� IRU�PDUNHWLQJ��$V� GHPRQVWUDWHG� LQ� WKH

��� &KDSWHU����*HQHUDO�GLVFXVVLRQ�

SUHFHGLQJ�FKDSWHUV�WKH�SURSRVHG�PRGHOV�PHWKRGV�DUH�FDSDEOH�RI�KDQGOLQJ�WKLV�VLWXDWLRQ��EXW�LI�WKH

UHGXFWLRQV�LQ�YDULDQFHV��DQG�WKH�GLVWXUEDQFHV�LQ�GLVWULEXWLRQV��DUH�FDXVHG�E\�RWKHU�HOHPHQWV��OLNH

H�J��GLVFULPLQDWLRQ�RQ�IHHGLQJ�RU�VHOHFWLRQ�RI��EHVW�� LQGLYLGXDOV�IRU�EUHHGLQJ�SXUSRVHV��RWKHU

PRGHOV�PHWKRGV� KDYH� WR� EH� DSSOLHG�� 7KH� RSWLPL]DWLRQ�PHWKRGV� GR� QRW� GLUHFWO\� UHO\� RQ� WKH

DVVXPSWLRQ�RI�QRUPDOO\�GLVWULEXWHG�WUDLWV�DQG�FDQ�EH�H[WHQGHG�WR�KDQGOH�RWKHU�GLVWULEXWLRQV��ZKLOH

WKH�SDUDPHWHU�HVWLPDWLRQ�PHWKRGV��RI�WKH�%06��GR�UHO\�RQ�WKH�QRUPDOLW\�DVVXPSWLRQ�DQG�DUH�QRW

HDVLO\�H[WHQGHG��+RZHYHU��WKH�FRQWULEXWLRQ�WR�UHGXFWLRQ�LQ�YDULDQFHV�IURP�WKHVH�HOHPHQWV�DUH�LQ

PRVW�VLWXDWLRQV�QHJOHFWDEOH��VODXJKWHU�SLJV�RI�VDPH�JHQGHU�DQG�DJH�EDWFK�DUH�UDUHO\�GLVFULPLQDWHG

RQ�IHHGLQJ�DQG�RQO\�YHU\�IHZ��LI�DQ\��SLJV�DUH�VHOHFWHG�IURP�VODXJKWHU�SLJ�RSHUDWLRQV�IRU�EUHHGLQJ

SXUSRVHV��DQG�WKH�JHQHUDO�JDLQ�RI�DSSO\LQJ�VXFK�UHYLVHG�DQG�PRUH�FRPSOLFDWHG�PRGHOV�PHWKRGV

LV�H[SHFWHG�WR�EH�YHU\�OLWWOH��

7KH�RWKHU�WZR�PDLQ�DVVXPSWLRQV�¤�WKDW��L��WKH�UHPDLQLQJ�SLJV�LQ�D�SHQ�EDWFK�DUH�XQDIIHFWHG

E\�WKH�VHOHFWLRQ�RI�LQGLYLGXDO�SLJV�IRU�PDUNHWLQJ�DQG��LL��WKH�DJH�RU��EDWFK¤���RI�WKH�LQGLYLGXDO�SLJ

LV�DFWXDOO\�NQRZQ�DQG�UHJLVWHUHG�DW�VODXJKWHU�¤�GR�DOVR�LQIOXHQFH�WKH�IHDVLELOLW\�DQG�DSSOLFDELOLW\

RI�WKH�PRGHOV�PHWKRGV��$VVXPSWLRQ��LL��LV�LQ�PRVW�VODXJKWHU�SLJ�RSHUDWLRQV�QRW�VDWLVILHG��WKH

EDWFK¤��RI�SLJV�DUH�QRUPDOO\�QRW�NQRZQ�DW�WKH�WLPH�RI�VODXJKWHU��+RZHYHU��WKHUH�DUH�RU�VKRXOG��DW

OHDVW�XQGHU�'DQLVK�FRQGLWLRQV��EH�QR�VLJQLILFDQW�SUDFWLFDO�RU�ILQDQFLDO�REVWDFOHV�LQ�JHWWLQJ�WKLV

LQIRUPDWLRQ�RI�WKH�EDWFK¤���,I�SLJV�DUH�LQGLYLGXDOO\�LGHQWLILHG�DQG�WKH�LGHQWLILFDWLRQ�PDSSHG�IURP

IDUP�WR�SDFNHU��WKH�DVVXPSWLRQ�ZLOO�EH�VDWLVILHG�

��� 7KH�DQLPDO�JURZWK�PRGHO

7KH� DQLPDO� JURZWK�PRGHO� DGRSWHG� LQ� WKLV� VWXG\� LV� IURP� D�PDWKHPDWLFDO� SRLQW� RI� YLHZ� DQG

FRPSDUHG� WR� WKH� WUDGLWLRQDO�PHFKDQLVWLF� DQG� HPSLULFDO�PRGHOV� �VHH� FKDSWHU� ��� TXLWH� VLPSOH�

+RZHYHU�� WKH�PRGHO�DSSHDUV� WR�EH�YHU\�DSSURSULDWH�DV�D�JHQHUDO�PRGHO�RI� WKH�JURZWK�LQ� WKH

VODXJKWHU� SLJ� RSHUDWLRQ� DW� WKH� WLPH� RI� PDUNHWLQJ� DQG� DV� DQ� LQWHUIDFH� EHWZHHQ� WKH� %HOLHI

0DQDJHPHQW�6\VWHP��%06��DQG�WKH�PDUNHWLQJ�PDQDJHPHQW�'HFLVLRQ�6XSSRUW�6\VWHP��'66��

$V�GHPRQVWUDWHG�DQG�GLVFXVVHG�LQ�FKDSWHU���WKH�PRGHO�PD\�EH�JHQHUDOL]HG�WR�FRQWLQXRXV�WLPH

�DV�FRQWUDU\�WR�WKH�GLVFUHWH��¤VWDJH�PRGHOV�DV�XVHG�LQ�WKLV�WKHVLV���,W�ZDV�DOVR�GLVFXVVHG�KRZ�WKH

PRGHO�PD\�VHUYH�DV�DQ�H[WHQVLRQ�WR�WUDGLWLRQDO�H[SODQDWRU\�PHFKDQLVWLF�PRGHOV��DQ�H[WHQVLRQ�LQ

ZKLFK�WKH�PHFKDQLVWLF�PRGHOV�DUH�H[WHQGHG�ZLWK�D�VWRFKDVWLF�HOHPHQW��L�H��YDULDWLRQ��DQG�LQ�ZKLFK

WKH�PHFKDQLVWLF�PRGHOV�DUH�FDOLEUDWHG�EDVHG�RQ�KHUG¤VSHFLILF�UHJLVWUDWLRQV��XVLQJ�WKH�EDVLF�LGHD

RI�DGGLQJ�HPSLULFDO�%D\HVLDQ�SURFHGXUHV�H�J��DV�GHVFULEHG�E\�2OWMHQ��������

7KH�XVH�RI�WKH�(0¤DOJRULWKP�WR�HVWLPDWH�DQG�WKH�.DOPDQ¤ILOWHU�WR�XSGDWH�SDUDPHWHUV�LQ�WKH

DQLPDO�JURZWK�PRGHO�KDV�VKRZQ�WKDW�JRRG�DQG�XS¤WR¤GDWH�HVWLPDWHV�RI�PHDQ��DQG�YDULDQFH��RI

WKH�DQLPDO�JURZWK�PRGHO�PD\�EH�GHULYHG�IURP�VSDUVH�IDUP¤VSHFLILF�GDWD¤VHWV��7KH�H[SHFWHG

LQFUHDVH�LQ�FRPSXWLQJ�SRZHU�LQ�WKH�IXWXUH��ZLOO�HQKDQFH�WKH�UHOHYDQFH�DQG�DSSOLFDELOLW\�RI�WKHVH

PHWKRGV�

��� 2SWLPL]DWLRQ�PHWKRGV

$V�GHPRQVWUDWHG�LQ�FKDSWHU����WKH�SUREOHP�RI�RSWLPL]LQJ�WKH�PDUNHWLQJ�RI�VODXJKWHU�SLJ�PD\�EH

�DQG�LV�PRVW�DSSURSULDWHO\��SDUWLWLRQHG�LQWR�WZR�SUREOHPV�� WKDW�FDQ�EH�VROYHG�LQGHSHQGHQWO\�

+RZHYHU��YHU\�IHZ�RI�WKH�UHYLHZHG�VWXGLHV�RQ�VODXJKWHU�SLJ�PDUNHWLQJ�RSWLPL]DWLRQ��5DVPXVVHQ�

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ ���

�����LV�RQH�RI�WKH�IHZ�H[FHSWLRQV��H[DPLQH�DQG�GLVFXVV�WKLV�DVSHFW�RI�PDUNHWLQJ�PDQDJHPHQW�DQG

LQ�WKLV�NLQG�RI�VWXGLHV�WKHUH�H[LVW�D�JHQHUDO�WHQGHQF\�WR�LJQRUH�WKH�RSHUDWLRQDO�FRQVWUDLQWV�WKDW

DSSO\�WR�D�VODXJKWHU�SLJ�RSHUDWLRQ��

7KH�GHSHQGHQF\�EHWZHHQ�WKH�PDUNHWLQJ�PDQDJHPHQW�DQG�RWKHU�PDQDJHPHQW�WDVNV�ZLWKLQ�WKH

RSHUDWLRQ�LV�DQRWKHU�DVSHFW�WKDW�LV�JHQHUDOO\�LJQRUHG��6XFK�DVSHFWV�DV�IHHG�GLHWV�DQG�PDUNHWLQJ

PDQDJHPHQW�DUH�LQ�PRVW�VLWXDWLRQV��LQ�WKHRUHWLFDO�VWXGLHV�DV�ZHOO�DV�LQ�SUDFWLFDO�DSSOLFDWLRQV�

KDQGOHG� DQG� RSWLPL]HG� LQGHSHQGHQWO\�� +RZHYHU�� WKH\� DUH� QRW� LQGHSHQGHQW� DQG� VKRXOG� EH

FRQVLGHUHG�MRLQWO\��7KH�PRGHOV�DQG�PHWKRGV�SURSRVHG�LQ�WKLV�VWXG\�FDQ�EH�XVHG�IRU�WKLV�SXUSRVH�

I��H[��E\�H[WHQGLQJ�WUDGLWLRQDO�DQLPDO�JURZWK�PRGHOV�ZLWK�D�VWRFKDVWLF�HOHPHQW�DV�GLVFXVVHG�DERYH

RU�DV�D�WRRO�IRU�DQDO\]LQJ�WKH�HIIHFW�RI�FKDQJHV�LQ�IHHG�GLHWV�RQ�WKH�SHUIRUPDQFH�RI�WKH�KHUG�DQG

WKH�PDUNHWLQJ�RI�SLJV�¤�D�WRRO�WKDW�FRXOG�EH�LQFRUSRUDWHG�LQ�WUDGLWLRQDO�GHWHUPLQLVWLF�IHHG�GLHW

RSWLPL]DWLRQ�SURJUDPV�

7KH�PRGHOV�DQG�PHWKRGV�PLJKW�EH�H[WHQGHG�WR�KDQGOH�DQG�VROYH�QRW�RQO\�WKH�SUREOHP�RI

ZKHQ�WR�PDUNHW�SLJV��EXW�DOVR�WKH�SUREOHP�RI�ZKHQ�DQG�KRZ�WR�PDUNHW�SLJV��VHH�WKH�*HQHUDO

,QWURGXFWLRQ�IRU�D�GLVFXVVLRQ�RI�WKHVH�WZR�DVSHFWV���7KLV�LV��DW�OHDVW�DW�SUHVHQW��QRW�RI�UHOHYDQFH

LQ�WKH�'DQLVK�PDUNHW��EXW�LW�LV�LQ�RWKHU�PDUNHWV�DQG�WKH�SUREOHP�PLJKW�FRQVWLWXWH�DQ�LQWHUHVWLQJ

QHZ�H[WHQGHG�DUHD�RI�UHVHDUFK�

��� 5HFXUVLYH�'\QDPLF�3URJUDPPLQJ

7KH�UHFXUVLYH�DSSURDFK�WR�'\QDPLF�3URJUDPPLQJ��'3��SUHVHQWHG�LQ�WKLV�WKHVLV�ZDV�D�VSLQ¤RII

RI�WKH�LQLWLDO�SDUW�RI�WKH�VWXG\��'3�ZDV�H[SHFWHG�WR�SOD\�DQ�LPSRUWDQW�SDUW�RI�WKH�VWXG\�DQG�ZDV

FRQVHTXHQWO\�H[DPLQHG�WKRURXJKO\��7KLV�H[DPLQDWLRQ�ZDV�EDVHG�RQ�DQ�DOWHUQDWLYH�DSSURDFK�¤

UHFXUVLRQV�¤�ZKLFK�UHYHDOHG�QHZ�RU�GLVUHJDUGHG�DVSHFWV�RI�'3�DV�GHPRQVWUDWHG�DQG�GLVFXVVHG�LQ

FKDSWHU����7KH�DSSURDFK�PD\�DVVLVW�QHZFRPHUV�DQG�RWKHUV�LQ�XQGHUVWDQGLQJ�WKH�EDVLFDOO\�VLPSOH�

EXW�WR�PDQ\��YHU\�LQFRPSUHKHQVLEOH��3ULQFLSOH�RI�2SWLPDOLW\�DQG�WKH�XQGHUO\LQJ�LGHD�RI�'3��WKH

FRQIXVLQJ�FRQFHSWV�RI�¦VWDJHV§�DQG�RI�¦LQ�ZKLFK�RUGHU�WR�VROYH�VWDJHV§�DUH�DYRLGHG�DQG�VXEVWLWXWHG

E\�D�PRUH�GLUHFW�DQG�LQWXLWLYH�DSSURDFK��5HFXUVLRQV��)URP�D�WKHRUHWLFDO�SRLQW�RI�YLHZ��WKH�PHWKRG

LV�ERWK�VLPSOH��IOH[LEOH�DQG�IURP�D�FRPSXWDWLRQDO�SRLQW�RI�YLHZ�HIILFLHQW�DQG�LQ�DGGLWLRQ�YHU\

JHQHUDO�FRPSDUHG� WR� WKH� WUDGLWLRQDO�DSSURDFK��9DOXH�,WHUDWLRQ� �9,��RU�%DFNZDUGV�PXOWLVWDJH

VROYLQJ��'HFLVLRQ�DQG�FKDQFH�SURFHVVHV�PLJKW�EH�PL[HG�LQ�DQ\�DPRXQW�DQG�RUGHU��VHH�FKDSWHU��

IRU�DSSOLHG�H[DPSOHV�RI�WKLV�DVSHFW��DQG�ZLWKRXW�DQ\�XQQHFHVVDU\�FRPSXWDWLRQV��7KLV�LV�LQ�FRQWUDVW

WR� WKH� WUDGLWLRQDO� LPSOHPHQWDWLRQ� RI�9,� LQ�ZKLFK� QHZ� ¦DUWLILFLDO� GXPP\� VWDWHV§� KDYH� WR� EH

LQFOXGHG��DQG�FDOFXODWHG��LQ�RUGHU�WR�KDQGOH�VXFK�XQRUJDQL]HG�SDWWHUQV�RI�SURFHVVHV��

��� ,PSOHPHQWDWLRQ�DV�D�0DUNHWLQJ�0DQDJHPHQW�6XSSRUW�7RRO

$V�GLVFXVVHG�LQ�WKH�JHQHUDO�LQWURGXFWLRQ��FKDSWHU���RI�WKLV�WKHVLV��WKH�LQLWLDWLQJ�LGHD�RU�RYHUDOO�DLP

RI�WKH�VWXG\�ZDV�WR�GHYHORS�D�WRRO��L�H��D�0DUNHWLQJ�0DQDJHPHQW�6XSSRUW�7RRO��0067��WKDW

EDVHG�RQ�KHUG¤VSHFLILF�UHJLVWUDWLRQV�ZRXOG�DVVLVW� WKH�PDQDJHU� LQ�PDQDJLQJ�WKH�PDUNHWLQJ�RI

VODXJKWHU�SLJV�IURP�WKH�LQGLYLGXDO�KHUG��,W�ZDV�GLVFXVVHG�KRZ�WR�PDNH�VXFK�D�V\VWHP�EHQHILFLDO

WR�WKH�XVHU�DQG�WKH�HQWHUSULVH�RZQHU��*RRG�LQIRUPDWLRQ��,Q�WKH�IROORZLQJ�WKH�GHVLUHG�DQG�H[SHFWHG

RXWSXW�RI�D�0067�EDVHG�RQ�WKH�PRGHOV�DQG�PHWKRGV�SURSRVHG�LQ�WKLV�WKHVLV�ZLOO�EH�RXWOLQHG�DQG

LW�ZLOO�EH�GLVFXVVHG�KRZ�WR�DVVHVV�WKH�H[SHFWHG�YDOXH�RI�XVLQJ�VXFK�D�V\VWHP��

��� &KDSWHU����*HQHUDO�GLVFXVVLRQ�

,QVWUXFWLRQV�RQ�KRZ��LQ�WKH�PRVW�SURILWDEOH�PDQQHU��WR�VHOHFW�LQGLYLGXDO�SLJV�RU�JURXSV�RI�SLJV

IRU�PDUNHWLQJ�VKRXOG�EH�FRQVLGHUHG�DV�WKH�PDLQ�RXWSXW�RI�WKH�0067��2SWLPDO�WKUHVKROG�ZHLJKWV

DUH�H[DPSOHV�RI�VXFK�LQVWUXFWLRQV��EXW�RSWLPDO�FRPELQDWLRQV�RI�OLYH�ZHLJKW�DQG�OHDQQHVV�PD\�EH

UHOHYDQW�DQG�DSSOLFDEOH�DV�ZHOO��$V�GHPRQVWUDWHG�LQ�FKDSWHU����DQG�SULPDULO\�EHFDXVH�RI�WKH�VKDSH

RI�WKH�SULFH�IXQFWLRQ��VHH�H�J��ILJXUH���LQ�FKDSWHU����WKH�¦RSWLPDO�WKUHVKROG�ZHLJKWV§�DSSHDU�WR�EH

TXLWH�LQVHQVLWLYH�WR�FKDQJHV�LQ�PRGHO�SDUDPHWHUV��WKH�JURZWK�UDWH�RU�WKH�FKDQJH�LQ�ZHLJKW�RYHU

WLPH� LV� RI� OHVV� LPSRUWDQFH� WKDQ� WKH� DEVROXWH� ZHLJKW�� ZKHQ� RSWLPL]LQJ� WKUHVKROG� ZHLJKWV�

&RQVHTXHQWO\��WKH�YDULDWLRQ�LQ�RSWLPDO�WKUHVKROG�ZHLJKWV�EHWZHHQ�RSHUDWLRQV�ZLOO�EH�RI�D�OLWWOH

PDJQLWXGH�DQG�LW�PLJKW�EH�DUJXHG�WKDW�WKH�PDQDJHUV�GR�QRW�QHHG�VXFK�D�WRRO�¤�DOO�WKH\�QHHG�DUH

JHQHUDO�JXLGHOLQHV�DV�GLVFXVVHG�EHORZ��+RZHYHU��WKHUH�DUH�GLIIHUHQFHV�LQ�JURZWK�DQG�WKH�JHQHUDO

SHUIRUPDQFH�RI�SLJV�EHWZHHQ�RSHUDWLRQV�DQG�DV�GHPRQVWUDWHG�EHORZ�WKHUH�PLJKW�EH�RWKHU�EHQHILWV

RI�XVLQJ�VXFK�WRROV��EHQHILWV�WKDW�VROHO\�FDQ�MXVWLI\�WKH�XVH�RI�WKH�WRROV�

2SWLPDO� WHUPLQDO� PDUNHWLQJ� VWDJHV� DUH� DQRWKHU� LPSRUWDQW� RXWSXW� RI� WKH� 0067�� 0RVW

FRQILQHPHQW�EDVHG�RSHUDWLRQV�DUH�TXLWH�LQIOH[LEOH�ZLWK�UHVSHFW�WR�FKDQJLQJ�VFKHGXOHV�DQG�WHUPLQDO

PDUNHWLQJ�VWDJH��+RZHYHU��LQ�FHUWDLQ�VLWXDWLRQV�LW�LV�UHOHYDQW�DQG�EHQHILFLDO�WR�FKDQJH�WKH�WHUPLQDO

VWDJH��H�J��DIWHU�WUDQVLWLRQ�WR�D�KLJKHU�KHDOWK�VWDWXV�RU�DQRWKHU�EUHHGLQJ�OLQH��DQG�LQIRUPDWLRQ�RQ

WKH� HIIHFW� RI� VXFK� FKDQJHV� FDQ� EH� YHU\� YDOXDEOH�� H�J� LQ� HVWLPDWLQJ� WKH�PLVVHG� UHWXUQ� RI� QRW

FKDQJLQJ�WKH�WHUPLQDO�VWDJH��,Q�OHVV�FRQVWUDLQHG�RSHUDWLRQV��H�J��RXWGRRU�SURGXFWLRQ��WKH�WRRO�ZLOO

EH�HYHQ�PRUH�UHOHYDQW�

7KH�WRRO�UHWXUQV�RWKHU�YDOXDEOH�LQIRUPDWLRQ��WKDQ�MXVW�LQIRUPDWLRQ�RQ�RSWLPDO�PDUNHWLQJ��7KH

PDUNHWLQJ�PDQDJHPHQW�RSWLPL]DWLRQV�ZLOO�DV�D�VSLQ¤RII�UHWXUQ�HVWLPDWHV�RI�IXWXUH�PDUNHWLQJV�RI

SLJV��WKH�QXPEHU�DQG�GLVWULEXWLRQ�RI�SLJV�ZLOO�EH�NQRZQ�VHYHUDO�ZHHNV�LQ�DGYDQFH�RI�WKH�DFWXDO

PDUNHWLQJ�DQG�WKH�WRRO�PLJKW�DVVLVW�LQ�VFKHGXOLQJ�WKH�DFWXDO�PDUNHWLQJV��$QRWKHU�VSLQ¤RII��LV�WKH

YDOXH�RI�G\QDPLF�HVWLPDWHV�RI�WKH�¦VWDWH�RI�WKH�KHUG§��7KHVH�HVWLPDWHV�FDQ�EH�XVHG�LQ�D�JHQHUDO

PRQLWRULQJ�RI�WKH�KHUG��VLJQLILFDQW�FKDQJHV�LQ�WKH�SHUIRUPDQFH�RI�WKH�KHUG�DUH�HDVLO\�DQG�TXLFNO\

GHWHFWHG��,Q�DGGLWLRQ�WKH�PDQDJHU�FDQ�XVH�WKH�WRRO�IRU�DQDO\]LQJ�WKH�HIIHFW�RI�FKDQJHV�LQ�PRGHO

SDUDPHWHUV� �OLNH� SULFHV�� RU� FDOFXODWH� WKH� FRQVHTXHQFHV� RI� SHUIRUPLQJ� LQ¤RSWLPDO�PDUNHWLQJ�

¦:KDW�DUH�WKH�RSHUDWLRQDO�DQG�ILQDQFLDO�FRQVHTXHQFHV�RI�RPLWWLQJ�D�PDUNHWLQJ�IURP�D�EDWFK�RU�RI

QRW�VHOHFWLQJ�DQ\�LQGLYLGXDO�SLJV�DW�DOO"§�

,W�VHHPV�UHDVRQDEOH�WR�DVVXPH�WKDW�WKH�TXDOLW\�DQG�TXDQWLW\�RI�DYDLODEOH�KHUG�DQG�DQLPDO

VSHFLILF�UHJLVWUDWLRQV�ZLOO�LQFUHDVH�LQ�WKH�IXWXUH�DV�QHZ�WHFKQLTXHV�DQG��WHFKQRORJLHV�DQG�PHWKRGV

IRU�FKHDS�DQG�UHOLDEOH�LGHQWLILFDWLRQ�RI�LQGLYLGXDOV�HYROYH��7KH�FRPSXWLQJ�SRZHU�RQ�WKH�LQGLYLGXDO

VODXJKWHU�SLJ�RSHUDWLRQ�ZLOO�FRQWLQXH�WR�LQFUHDVH�LQ�WKH�IXWXUH�DQG�FRQVHTXHQWO\�WKH�UHOHYDQFH�RI

WKH�PHWKRGV�DQG�WKH�YDOXH�RI�XVLQJ�D�0067�ZLOO�LQFUHDVH��,W�PLJKW�HYHQ�EH�VR�WKDW��VRPH�GD\�WKH

JURZWK�UDWHV�HWF��RI�LQGLYLGXDO�SLJV�DUH�FRQWLQXRXVO\�HVWLPDWHG��H�J��RQFH�D�GD\���DQG�IHHGLQJ�DQG

PDUNHWLQJ�RI�WKH�LQGLYLGXDOV�DUH�PDQDJHG�MRLQWO\�DQG�FRQWLQXRXVO\�EDVHG�RQ�WKLV�NQRZOHGJH�

(VWLPDWLQJ�WKH�YDOXH�RI�XVLQJ�D�WRRO�OLNH�WKH�RQH�GHVFULEHG�DERYH�LV�D�GLIILFXOW�WDVN��9HUVWHJHQ�HW

DO��������GLVWLQJXLVKHV�EHWZHHQ�WZR�PDLQ�HYDOXDWLRQ�DSSURDFKHV��7KH�QRUPDWLYH�DQG�WKH�SRVLWLYH

DSSURDFK��,Q�WKH�QRUPDWLYH�DSSURDFK�WKH�H[SHFWHG�EHQHILWV�RI�GHFLVLRQ�LPSURYHPHQWV�UHVXOWLQJ

IURP�WKH�LQIRUPDWLRQ�VXSSOLHG�IURP�WKH�WRRO�DUH�DJJUHJDWHG�LQ�RUGHU�WR�HVWLPDWH�WKH�WRWDO�EHQHILW

RI�XVLQJ�WKH�WRRO��,Q�PRVW�VLWXDWLRQV�WKHVH�EHQHILWV�DUH�YHU\�GLIILFXOW�WR�SUHGLFW�DQG�DVVHVV�DQG�LW

FRXOG�WXUQ�RXW�WR�EH�GLIILFXOW�WR�VHSDUDWH�WKH��LQ�VRPH�VLWXDWLRQV�YHU\�LQFRQVLVWHQW��GHFLVLRQV�DQG

GHWHUPLQH�ZKLFK�LQIRUPDWLRQ�ZDV�XVHG�IRU�D�VSHFLILF�GHFLVLRQ��,Q�DGGLWLRQ�WKH�EHQHILWV�DUH�PRUH

RU�OHVV�WDQJLEOH��QRW�DOO�EHQHILWV�DUH�H[SUHVVHG�LQ�PRQHWDU\�YDOXH�DQG�WKH�EHQHILWV�PD\�EH�GLIILFXOW

��� 2WKHU�DSSOLFDWLRQDO�LVVXHV ���

WR�DJJUHJDWH�LQWR�D�FRPPRQ�GHQRPLQDWRU��H�J��XWLOLW\���7KH�QRUPDWLYH�DSSURDFK�LV�EHVW�VXLWHG�IRU

WRROV�VXSSRUWLQJ�YHU\�VSHFLILF�DQG�ZHOO¤GHILQHG�GHFLVLRQV��7R�VRPH�H[WHQG�WKLV�DSSOLHV�WR�WKH

VODXJKWHU�SLJ�PDUNHWLQJ�PDQDJHPHQW�SUREOHP��EXW�VHYHUDO�RI�WKH�EHQHILWV��H�J��WKH�EHQHILW�RI

PRQLWRULQJ�WKH�KHUG��GLVFXVVHG�DERYH�ZLOO�EH�YHU\�GLIILFXOW�WR�HVWLPDWH�RU�DVVHVV��+RZHYHU��LW�LV

SUREDEO\�SRVVLEOH�WR�HVWLPDWH�WKH�HIIHFW�RI�DSSO\LQJ�LQGLYLGXDOL]HG�VHOHFWLRQ�FULWHULD��L�H��WKUHVKROG

ZHLJKWV�� LQ� WKH� LQGLYLGXDO�RSHUDWLRQ��E\�RSWLPL]LQJ�GLIIHUHQW� OHYHOV�RI�JURZWK�UDWH� �DQG�IHHG

FRQYHUVLRQ�UDWH���FDOFXODWLQJ�ORVHV�JLYHQ�D�JHQHUDO�JXLGHOLQH�DQG�FRPELQH�WKHVH�ORVHV�ZLWK�WKH

DFWXDO�GLVWULEXWLRQ�RI�VODXJKWHU�SLJ�RSHUDWLRQV�

,Q�WKH�SRVLWLYH�DSSURDFK�WKH�WRRO�LV�DSSOLHG�LQ�D�PRUH�RU�OHVV�H[SHULPHQWDO�VHWWLQJ�DQG�WKH

HIIHFW�RI� WKH�WRRO�RQ�GHFLVLRQV�DQG��ILQDQFLDO��UHWXUQ�LV�REVHUYHG�RYHU�D�JLYHQ�SHULRG�RI�WLPH

�XVXDOO\�VHYHUDO�\HDUV���7KH�DSSURDFK�SXW�KLJK�GHPDQGV�RQ�WKH�DYDLODELOLW\�DQG�TXDOLW\�RI�ILHOG

GDWD�DQG� WKH�W\SH�RI�UHVHDUFK�GHVLJQ�DQG�FDQQRW�EH�XVHG�WR�HVWLPDWH�WKH�H[SHFWHG�YDOXH�RI�D

0067�SULRU�WR�DFWXDOO\�DSSO\LQJ�WKH�WRROV�

$�WKLUG�DSSURDFK�ZKLFK�ZDV�QRW�GLVFXVVHG�E\�9HUVWHJHQ�HW�DO���������LV�WR�VLPSO\�DVN�WKH

SRWHQWLDO�XVHUV�RI�WKH�WRRO��¦7KLV�LV�RXU�SURGXFW��'R�\RX�ZDQW�LW�DQG�ZKDW�DUH�\RX�UHDG\�WR�SD\�IRU

LW"§��7KLV�DSSURDFK�LV�YHU\�VLPSOH�DQG�DSSOLFDEOH��EXW�LQGHHG�LV�GRHV�QRW�JXDUDQWHH�WKDW�WKH�RXWSXW

RI�WKH�TXHVWLRQV�LV�FRQVLVWHQW�ZLWK�WKH�DFWXDO�YDOXH�RI�WKH�WRRO��+RZHYHU��WKH�VNLOOV�DQG�MXGJHPHQW

RI�WKH�PDQDJHUV�VKRXOG�QRW�EH�XQGHUHVWLPDWHG�DQG�WKH�DSSURDFK�ZRXOG�SUREDEO\��LI�FRPELQHG�ZLWK

D�QRUPDWLYH�HYDOXDWLRQ�DV�GHVFULEHG�DERYH��EH�WKH�PRVW�DSSURSULDWH�LQ�WKH�FDVH�RI�D�0DUNHWLQJ

0DQDJHPHQW�6XSSRUW�7RRO�

��� 2WKHU�DSSOLFDEOH�LVVXHV

7KH�YDULDWLRQ�LQ�RSWLPDO�WKUHVKROG�ZHLJKWV�EHWZHHQ�RSHUDWLRQV�PD\��DV�GLVFXVVHG�DERYH��EH�RI

D�OLWWOH�PDJQLWXGH�DQG�FRQVHTXHQWO\�JHQHUDO�JXLGHOLQHV��DV�DSSOLHG�WRGD\��DW�OHDVW�LQ�'HQPDUN�

YHU\�DSSOLFDEOH�DQG�EHQHILFLDO�ZLWKLQ�WKH�LQGLYLGXDO�RSHUDWLRQ��$�ZURQJ�WKUHVKROG�YDOXH��KRZHYHU

FRXOG�DQG�DV�GHPRQVWUDWHG�LQ�FKDSWHU���EH�FRVWO\�WR�WKH�IDUPHUV�DQG�JXLGHOLQHV�VKRXOG�EH�DFFXUDWH

DQG�XS¤WR¤GDWH��7KH�PRGHOV�DQG�PHWKRGV�SURSRVHG�LQ�WKLV�WKHVLV�DUH�XVHIXO�IRU�WKLV�SXUSRVH��I�

H[��ZLWK�JXLGHOLQHV�SUHVHQWHG�LQ�D�PDWUL[�IRUPDW�ZLWK�RSWLPDO�WKUHVKROG�YDOXHV�IRU�GLIIHUHQW�OHYHOV

RI�PHDQ�JURZWK�UDWH�DQG�PHDQ�OHDQQHVV�DQG�ZLWK�D�VHQVLWLYLW\�DQDO\VLV�§��OLNH�ILJXUH���LQ�FKDSWHU

���RI�H[SHFWHG�FRVWV�RI�PLVVLQJ�WKH�WDUJHW��¦WKH�RSWLPDO�ZHLJKW§�

7KH�GHVLJQLQJ��H�J��WKH�VL]H�DQG�QXPEHU�RI�VHFWLRQV�LQ�D�FRQILQHPHQW��RI�QHZ�DQG�WKH�UH�

GHVLJQLQJ�RI�ROG�IDFLOLWLHV�DUH�EDVHG�RQ�FDOFXODWLRQV�RI�H[SHFWHG�IORZV��GXUDWLRQ�DQG�VL]H��RI�SLJV

RU�EDWFKHV�RI�SLJV��7KHVH�FDOFXODWLRQV�DUH�QRUPDOO\�EDVHG�RQ�H[SHFWDWLRQV� �RQ�SULPDULO\� WKH

JURZWK�RI�SLJV�DQG�GXUDWLRQ�RI�EDWFKHV���LJQRULQJ�WKH�HIIHFW�RI�YDULDWLRQ�RQ�LPSRUWDQW�YDULDEOHV

�DQG�SDUDPHWHUV�OLNH�SULFHV���'XUDWLRQ�RI�D�EDWFK��LQ�ZHHNV�� ��H[S��DJH�DW�LQVHUWLRQ���H[S��DJH

DW�WKH�¦RSWLPDO�WKUHVKROG�ZHLJKW§���������7KLV�ZD\��KDOI�RI�WKH�EDWFK�LV�H[SHFWHG�WR�EH�PDUNHWHG

SULRU�WR�WKH�WHUPLQDWLRQ��EXW�DV�GHPRQVWUDWHG�LQ�FKDSWHU���WKH�IUDFWLRQ�RI�SLJV�PDUNHWHG�SULRU�WR

WHUPLQDWLRQ�PLJKW�YDU\�FRQVLGHUDEO\��IURP�������LQ�WKH�FDVH�RI�D�����LQFUHDVH�LQ�SULFH�WR������

LQ� WKH�FDVH�RI�D�����GHFUHDVH�LQ�SULFH���7KH�PHWKRGV�SURSRVHG�FDQ�EH�XVHG�WR�FDOFXODWH� WKH

RSWLPDO� WHUPLQDWLRQ� VWDJH� �DQG� WKH� ILQDQFLDO� DQG� RSHUDWLRQDO� FRQVHTXHQFHV� RI� LQ¤RSWLPDO

WHUPLQDWLRQ� VWDJHV�� ¤� L�H�� WKH� ¦WUXH� RSWLPDO� GXUDWLRQ� RI� EDWFKHV§� ¤� DV� DQ� DLG� LQ

GHVLJQLQJ�GLPHQVLRQLQJ�SURGXFWLRQ�IDFLOLWLHV�

7KH� SURSRVHG�PRGHOV� DQG�PHWKRGV� DUH� LQWHQGHG� IRU� XVH� LQ� WKH� LQGLYLGXDO� VODXJKWHU� SLJ

RSHUDWLRQ�� EXW� WKH�PHWKRGV�PD\�DV�ZHOO�EH�DSSOLHG� LQ� WKH�RSSRVLWH�HQG�RI� WKH�FKDLQ��$W� WKH

��� &KDSWHU����*HQHUDO�GLVFXVVLRQ�

VODXJKWHU� KRXVH�SDFNHU�� 7KH� SDFNHUV� GHVLJQ� WKH� SULFLQJ� V\VWHP� LQ� RUGHU� WR� HQFRXUDJH� WKH

SURGXFWLRQ�RI�SLJV�ZLWK�VSHFLDO�IHDWXUHV��H�J��OHDQ��EXW�QRW�WRR�OHDQ��SLJV��7KH�HIIHFWV�RI�VXFK

FKDQJHV�FDQ�EH�GLIILFXOW�WR�SUHGLFW��7KH�PRGHOV�DQG�PHWKRGV�PD\�DVVLVW�LQ�PRGHOLQJ�FKDQJHV�DQG

SUHGLFW�WKH�HIIHFW�RI�VXFK�FKDQJHV�RQ�WKH�PDUNHWLQJ�PDQDJHPHQW�EHKDYLRU�DQG�WKH�GLVWULEXWLRQ�RI

PDUNHWHG�SLJV�

��� 5HIHUHQFHV

2OWMHQ��-�:����������$GDSWLYH�FRQWURO��,Q��$GYDQFHG�FRPSXWHU�DSSOLFDWLRQV�LQ�DQLPDO�DJULFXOWXUH�

,QIRPDUW��'DOODV��7H[DV��)HEUXDU\���¤�������¤����

5DVPXVVHQ��6����������8GVNLIWQLQJVNDONXOHQV�WHRUL�RJ�DQYHQGHOVH��/DQGEUXJV�NRQRPLVNH�VWXGLHU

QU�����.9/��&RSHQKDJHQ�����SS���,Q�'DQLVK��

9HUVWHJHQ��-�$�$�0���5�%�0��+XLUQH��$�$��'LMNKXL]HQ��-�3�&��.OHLMQHQ���������(FRQRPLF�YDOXH

RI� PDQDJHPHQW� LQIRUPDWLRQ� V\VWHPV� LQ� DJULFXOWXUH�� D� UHYLHZ� RI� HYDOXDWLRQ� DSSURDFKHV�

&RPSXWHUV�DQG�HOHFWURQLFV�LQ�DJULFXOWXUH���������¤����

6XPPDU\

,Q�'HQPDUN�DSSUR[LPDWHO\����PLOOLRQ�SLJV�DUH�PDUNHWHG�IRU�VODXJKWHULQJ�\HDUO\��7KH�PDMRULW\�RI

WKHVH�SLJV�DUH�SULFHG�EDVHG�RQ�FDUFDVV�PHULWV�DQG�WKH�PDQDJHU�RI�WKH�VODXJKWHU�SLJ�RSHUDWLRQ

GHWHUPLQHV�ZKHQ�WR�PDUNHW�WKH�LQGLYLGXDO�SLJV�DQG�RU�JURXSV�RI�SLJV��7KLV�SUREOHP�RI�KRZ�WR

VHOHFW�DQG� �ZKHQ� WR�PDUNHW� �JURXSV�RI��SLJV� LV�KHUH�GHILQHG�DV� WKH�¦VODXJKWHU�SLJ�PDUNHWLQJ

PDQDJHPHQW�SUREOHP§��0RVW�PDQDJHUV�VROYH�WKLV�SUREOHP�E\�VLPSOH�FDOFXODWLRQV�RU�UXOHV�RI

WKXPE�DQG�RQO\�YHU\�IHZ�DSSOLFDEOH�DQG�RSHUDWLRQDO�WRROV�IRU�VXSSRUWLQJ�WKH�PDQDJHU�LQ�WKLV

SURFHVV�H[LWV��$W�WKH�VDPH�D�ODUJH�DPRXQW�RI�KHUG¤VSHFLILF�GDWD�DUH�SURGXFHG�HYHU\�GD\��EXW�RQO\

IHZ�RI�WKHVH�GDWD�DUH��DW�SUHVHQW��XWLOL]HG�LQ�D�IRUPDOL]HG�ZD\�LQ�WKH�PDQDJHPHQW�RI�WKH�RSHUDWLRQ

LQ�JHQHUDO��DQG�LQ�WKH�PDQDJHPHQW�RI�WKH�VODXJKWHU�SLJ�PDUNHWLQJ�LQ�SDUWLFXODU��7KH�REMHFWLYH�RI

WKH�UHVHDUFK�SURMHFW�OHDGLQJ�WR�WKLV�WKHVLV�ZDV�WR�LQYHVWLJDWH�DQG�RU�GHYHORS�PRGHOV�DQG�PHWKRGV

IRU� KDQGOLQJ� DQG� VROYLQJ� WKH� ¦VODXJKWHU� SLJ�PDUNHWLQJ�PDQDJHPHQW� SUREOHP§��ZLWK� VSHFLDO

HPSKDVLV�RQ�XWLOL]LQJ�WKH�LQFUHDVLQJ��LQ�TXDOLW\�DQG�TXDQWLW\��KHUG�VSHFLILF�UHJLVWUDWLRQV��7KH

RYHUDOO� DLP� ZDV� WR� GHYHORS� WKH� IXQGDPHQW� RI� DQ� DSSOLFDEOH� DQG� RSHUDWLRQDO� 0DUNHWLQJ

0DQDJHPHQW�6XSSRUW�7RRO��0067��WR�EH�XVHG�LQ�WKH�LQGLYLGXDO�VODXJKWHU�SLJ�RSHUDWLRQ�

7KH�0067�LV�UHSUHVHQWHG�ORJLFDOO\�DQG�IXQFWLRQDOO\�E\�WZR�VXEV\VWHPV��$�JHQHUDO�%HOLHI

0DQDJHPHQW�6\VWHP��%06��XVHG�IRU�XSGDWLQJ�WKH�¦EHOLHI�LQ�WKH�VWDWH�RI�WKH�KHUG§�EDVHG�RQ�KHUG

VSHFLILF� UHJLVWUDWLRQV� DQG� D� PRUH� VSHFLILF� 'HFLVLRQ� 6XSSRUW� 6\VWHP� �'66�� IRU� RSWLPL]LQJ

PDUNHWLQJ� GHFLVLRQV�� $� VWRFKDVWLF� DQLPDO� JURZWK� PRGHO� EDVHG� RQ� PXOWL� YDULDWH� QRUPDO

GLVWULEXWLRQV�LV�LQWURGXFHG�DQG�XVHG�DV�D�UHSUHVHQWDWLRQ�RI�WKH�VWDWH�RI�WKH�KHUG�DQG�DV�DQ�LQWHUIDFH

EHWZHHQ�WKH�%06�DQG�WKH�'66�

7KH�%06�LV�EDVHG�RQ�WKH�(0¤DOJRULWKP�DQG�RWKHU�PHWKRGV�IRU�UHGXFLQJ�WKH�ELDV�LQ�GDWD

FDXVHG�E\�WKH�VHOHFWLRQ�RI�LQGLYLGXDO�SLJV�IRU�PDUNHWLQJ�DQG�RQ�WKH�.DOPDQ�ILOWHU�IRU�XSGDWLQJ�WKH

EHOLHI�LQ�WKH�KHUG�DV�QHZ�GDWD�DUH�SURGXFHG��$VVXPLQJ�WKDW�SLJV�DUH�LGHQWLILHG�E\�EDWFK¤���LW�LV

GHPRQVWUDWHG� KRZ� WKH�%06� HYHQ� LQ� WKH� FDVH� RI� YHU\� VSDUVH� GDWD�� UHWXUQV� ILQH� DQG� XSGDWHG

HVWLPDWHV�RI�WKH�VWDWH�RI�WKH�KHUG��2QH�RI�WKH�PDLQ�IHDWXUHV�RI�WKH�.DOPDQ�ILOWHU�LV�GHPRQVWUDWHG

E\�H[DPSOHV��7KH�TXLFN�DGDSWLRQ�WR�FKDQJHV�LQ�WKH�V\VWHP�PRGHOHG��+RZHYHU��WKH�UHVXOWV�DUH

EDVHG�RQ�VLPXODWHG�GDWD�DQG�VKRXOG�QRW�EH�LQWHUSUHWHG�ZLWKRXW�SUHFDXWLRQV��

¦7KH� VODXJKWHU� SLJ� PDUNHWLQJ� PDQDJHPHQW� SUREOHP§� FDQ� EH� SDUWLWLRQHG� LQWR� WZR

VXESUREOHPV���L��+RZ�WR�VHOHFW�DQG�ZKHQ�WR�PDUNHW�LQGLYLGXDO�SLJV�IURP�EDWFKHV�DQG��LL��ZKHQ

��� &KDSWHU����6XPPDU\

WR�WHUPLQDWH��PDUNHW�WKH�UHPDLQGHU�RI��WKH�EDWFK�DQG�LQVHUW�D�QHZ�EDWFK�RI�ZHDQHUV��7KH�WZR

SUREOHPV�FDQ�EH�VROYHG�LQGHSHQGHQWO\�RI�HDFK�RWKHU�DQG�EDVHG�RQ�EDVLF�SURGXFWLRQ�HFRQRPLFV

DQG�DVVHW� UHSODFHPHQW� WKHRU\��7KH�'66� LV�EDVHG�RQ� WKHVH�PHWKRGV��EXW� VSHFLDO�PHWKRGV�DUH

DSSOLHG�LQ�RUGHU�WR�FRSH�ZLWK�GLIIHUHQW�VHOHFWLRQ�FULWHULD�DQG�ZLWK�WKH�XQFHUWDLQW\�DQG�YDULDWLRQ�WKDW

H[LVWV�LQ�ELRORJLFDO�V\VWHPV�DV�WKH�VODXJKWHU�SLJ�RSHUDWLRQ��7KH�UHVXOWV�VKRZ�WKDW�VHOHFWLRQ�RQ

FDUFDVV�OHDQQHVV�DV�ZHOO�DV�OLYH�ZHLJKW�LV�RQO\�VOLJKWO\�VXSHULRU�WR�VHOHFWLRQ�RQ�OLYH�ZHLJKW�RQO\

DQG�YHU\�OLWWOH�ILQDQFLDO�URRP�LV�OHIW�IRU�SHUIRUPLQJ�WKH�RQ¤IDUP�OHDQQHVV�PHDVXULQJ��7KH�VHOHFWLRQ

FULWHULD�LV�TXLWH�XQDIIHFWHG�E\�FKDQJHV�LQ�PRGHO�SDUDPHWHUV��H�J��SULFHV�DQG�JURZWK�UDWHV���ZKLOH

WKH�RSWLPDO�WHUPLQDO�PDUNHWLQJ�VWDJH�LV�PRUH�DIIHFWHG�E\�VXFK�FKDQJHV��$V�LV�WKH�FDVH�IRU�WKH

%06��WKH�UHVXOWV�DUH�EDVHG�RQ�VLPXODWHG�GDWD�

6RPH� RI� WKH� RSWLPL]DWLRQ� DOJRULWKPV� LQ� WKH� '66� DUH� EDVHG� RQ� 5HFXUVLYH� '\QDPLF

3URJUDPPLQJ��DQ�RSWLPL]DWLRQ�PHWKRG�RULJLQDWLQJ�IURP�DQ�DOWHUQDWLYH�DSSURDFK�WR�'\QDPLF

3URJUDPPLQJ��5HFXUVLRQV��7KH�PHWKRG�LV�LQWHUHVWLQJ�IURP�D�FRPSXWDWLRQDO�DV�ZHOO�DV�D�WKHRUHWLFDO

SRLQW�RI�YLHZ��LW�LV�HIILFLHQW�DQG�JHQHUDO��7KHVH�IHDWXUHV�DUH�GHPRQVWUDWHG�E\�H[DPSOHV�DQG�E\�WKH

'66�

7KH�WKHVLV�LV�FRQFOXGHG�E\�D�JHQHUDO�GLVFXVVLRQ�RI�WKHRUHWLFDO�DQG�DSSOLFDEOH�DVSHFW�RI�WKH

UHVHDUFK� DQG� WKH� SURSRVHG� PRGHOV� DQG� PHWKRGV�� ZLWK� VSHFLDO� HPSKDVLV� RQ� WKH� DVSHFWV� RI

LPSOHPHQWDWLRQ�DV�D�0067��,W�LV�FRQFOXGHG�WKDW�WKH�PRGHOV�DQG�PHWKRGV�KDYH�WKH�SRWHQWLDO�IRU

LPSOHPHQWDWLRQ� DV� WRROV� IRU� SURGXFLQJ� JHQHUDO� JXLGHOLQHV� DQG�� LI� RU� ZKHQ�PRUH� DQG� EHWWHU

UHJLVWUDWLRQV�RQ�LQGLYLGXDO�DQLPDOV�DUH�DYDLODEOH��DV�0067V�

6DPPHQGUDJ��'DQLVK�VXPPDU\�

,�'DQPDUN�OHYHUHV�GHU�nUOLJW�FD�����PLOOLRQHU�VODJWHVYLQ�WLO�VODJWQLQJ��6W�UVWHGHOHQ�DI�GLVVH�EOLYHU

DIUHJQHW�Sn�EDVLV�DI�VODJWHNURSSHQV�HJHQVNDEHU�RJ�GULIWVOHGHUHQ�Sn�VODJWHVYLQHEHGULIWHQ�EHVWHPPHU

KYRUQnU�HQNHOWH�VYLQ�RJ�HOOHU�JUXSSHU�DI�VYLQ�VNDO�OHYHUHV��'HWWH�SUREOHP�RP�KYRUGDQ�VYLQ�VNDO

XGY�OJHV� RJ� KYRUQnU� �JUXSSHU� DI�� VYLQ� VNDO� OHYHUHV� GHILQHUHV� KHU� VRP� ¦6ODJWH�

VYLQ¤OHYHULQJVSUREOHPHW§�� 'H� IOHVWH� GULIWVOHGHUH� O�VHU� GHWWH� SUREOHP� YHG� KM�OS� DI� VLPSOH

EHUHJQLQJHU� RJ� WRPPHOILQJHUUHJOHU� RJ� GHU� HNVLVWHUHU� NXQ� In� DQYHQGHOLJH� RJ� RSHUDWLRQHOOH

Y�UNW�MHU�GHU�NDQ�VW�WWH�GULIWVOHGHUHQ�L�GHQQH�SURFHV��6DPWLGLJ�SURGXFHUHV�GHU�KYHU�GDJ�HQ�VWRU

P�QJGH� EHV�WQLQJVVSHFLILNNH� GDWD�� PHQ� NXQ� HQ� OLOOH� GHO� DI� GLVVH� GDWD� XGQ\WWHV� SW�� Sn� HQ

IRUPDOLVHUHW� PnGH� L� VW\ULQJHQ� DI� EHGULIWHQ� L� DOPLQGHOLJKHG� RJ� L� VW\ULQJHQ� DI� OHYHULQJHQ� DI

VODJWHVYLQ�L�V�UGHOHVKHG��)RUPnOHW�PHG�GHW�IRUVNQLQJVSURMHNW�VRP�UHVXOWHUHGH�L�GHQQH�DIKDQGOLQJ

YDU�� DW� XQGHUV�JH� RJ�HOOHU� XGYLNOH� PRGHOOHU� RJ� PHWRGHU� WLO� KnQGWHULQJ� RJ� O�VQLQJ� DI

¦6ODJWHVYLQH¤OHYHULQJVSUREOHPHW§��PHG�VSHFLHO�Y�JW�Sn�XGQ\WWHOVHQ�DI�GHQ�VWLJHQGH��L�NYDOLWHW�RJ

NYDQWLWHW�� P�QJGH� EHV�WQLQJVVSHFLILNNH� UHJLVWUHULQJHU�� 'HW� RYHURUGQHGH� PnO� YDU� DW� VNDEH

IXQGDPHQWHW�IRU�HW�DQYHQGHOLJW�RJ�RSHUDWLRQHOW�/HYHULQJV6W\ULQJV¤6W�WWH6\VWHP��/666��VRP�NDQ

DQYHQGHV�Sn�GHQ�HQNHOWH�EHGULIW�

/666©HW� UHSU�VHQWHUHV� ORJLVN� RJ� IXQNWLRQHOW� YHG� WR� XQGHUV\VWHPHU�� �L�� (W� JHQHUHOW

)RUYHQWQLQJV6W\ULQJV6\VWHP��)66��VRP�EUXJHV�WLO�RSGDWHULQJ�DI�¦IRUYHQWQLQJHQ�RP�EHGULIWHQV

WLOVWDQG§� EDVHUHW� Sn� EHV�WQLQJVVSHFLILNNH� UHJLVWUHULQJHU� RJ� HW� PHUH� VSHFLILNW

%HVOXWQLQJV6W�WWH6\VWHP� �%66�� WLO� RSWLPHULQJ� DI� EHVOXWQLQJHUQH� YHGU�UHQGH� OHYHULQJ�� (Q

VWRNDVWLVN�G\UHY�NVWPRGHO�EDVHUHW�Sn�PXOWLYDULDEOH�QRUPDOIRUGHOLQJHU�LQWURGXFHUHV�RJ�EUXJHV

VRP�UHSU�VHQWDWLRQ�DI�EHV�WQLQJHQV�WLOVWDQG�RJ�VRP�HW�PHOOHPOHG�PHOOHP�)66©HW�RJ�%66©HW�

)66©HW�HU�EDVHUHW�Sn�(0¤DOJRULWPHQ�RJ�DQGUH�PHWRGHU�WLO�UHGXNWLRQ�DI�ELDV��VN�YKHG��L�GDWD�

IRUnUVDJHW�DI�XGY�OJHOVHQ�DI�G\U�WLO�VODJWQLQJ�RJ�Sn�.DOPDQ¤ILOWHUHW�WLO�RSGDWHULQJ�DI�IRUYHQWQLQJHQ

RP�EHV�WQLQJHQV�WLOVWDQG��HIWHUKnQGHQ�VRP�Q\H�GDWD�EOLYHU�SURGXFHUHW��8QGHU�DQWDJHOVHQ�RP�DW

KROGQXPPHUHW�HU�NHQGW�Sn�DOOH�VYLQ��GHPRQVWUHUHV�GHW�KYRUGDQ�)66©HW�VHOY�L�WLOI�OGH�DI�PHJHW

¦W\QGH§� GDWDV�W�� JLYHU� JRGH� RJ� RSGDWHUHGH� HVWLPDWHU� DI� EHV�WQLQJHQV� WLOVWDQG�� (Q� DI� GH

Y�VHQWOLJVWH�HJHQVNDEHU�YHG�.DOPDQ¤ILOWHUHW�GHPRQVWUHUHV�YHG�HNVHPSOHU��'HQ�KXUWLJH�WLOSDVQLQJ

WLO� �QGULQJHU� L� GHW� PRGHOOHUHGH� V\VWHP�� 'HW� E�U� GRJ� DQI�UHV� DW� UHVXOWDWHUQH� HU� EDVHUHW� Sn

VLPXOHUHGH�GDWD�RJ�GHUIRU�VNDO�IRUWRONHV�PHG�YDUVRPKHG�

��� &KDSWHU����6DPPHQGUDJ��'DQLVK�VXPPDU\�

6ODJWHVYLQ¤OHYHULQJVSUREOHPHW�NDQ�RSGHOHV�L�WR�GHOSUREOHPHU���L��+YRUGDQ�VNDO�G\U�XGY�OJHV

IUD�KROGHW�RJ�KYRUQnU�VNDO�GH�OHYHUHV�RJ��LL��KYRUQnU�VNDO�HW�KROG�DIVOXWWHV��GH�UHVWHUHQGH�VYLQ

OHYHUHV��RJ�HW�Q\W�KROG�VPnJULVH�LQGV�WWHV"�'H�WR�SUREOHPHU�NDQ�O�VHV�XDIK�QJLJW�RJ�EDVHUHW�Sn

EDVDO�SURGXNWLRQV�NRQRPL�RJ�XGVNLIWQLQJVWHRUL��%66©HW�HU�EDVHUHW�Sn�GLVVH�PHWRGHU��PHQ�VSHFLHOOH

WHNQLNNHU�HU�DQYHQGW�IRU�DW�NXQQH�KnQGWHUH�IRUVNHOOLJH�XGY�OJHOVHVNULWHULHU�RJ�XVLNNHUKHGHQ�RJ

YDULDWLRQHQ�IRUEXQGHW�PHG�ELRORJLVNH�V\VWHPHU�VRP�VODJWHVYLQHEHV�WQLQJHQ��5HVXOWDWHUQH�YLVHU

DW�XGY�OJHOVH�Sn�EDJJUXQG�DI�EnGH�N�GSURFHQW�RJ�OHYHQGHY�JW�NXQ�HU�VYDJW�IRUGHODJWLJW�L�IRUKROG

WLO�XGY�OJHOVH�Sn�EDJJUXQG�DI�OHYHQGHY�JW�DOHQH�RJ�RYHUVNXGGHW�WLO�EHWDOLQJHQ�DI�PnOLQJHQ�DI

N�GSURFHQWHQ�Sn�EHGULIWHQ�HU�PHJHW�OLOOH��6HOHNWLRQVNULWHULHUQH�HU�UHODWLYW�XSnYLUNHGH�DI��QGULQJHU

L�PRGHOSDUDPHWUH��VRP�I�HNV��SULVHU�RJ�Y�NVWUDWH���PHQV�GHQ�RSWLPDOH�KROGO�QJGH�SnYLUNHV�PHUH

DI�VnGDQQH��QGULQJHU��6RP�IRU�)66©HW�J�OGHU�GHW�DW�UHVXOWDWHUQH�HU�EDVHUHW�Sn�VLPXOHUHGH�GDWD�

1RJOH�DI�RSWLPHULQJVDOJRULWPHUQH�GHU�DQYHQGHV�L�%66©HW�HU�EDVHUHW�Sn�5HNXUVLY�'\QDPLVN

3URJUDPPHULQJ��HQ�RSWLPHULQJV�DOJRULWPH�VRP�KDU�VLW�XGVSULQJ�L�HQ�DOWHUQDWLY�LQGJDQJVYLQNHO�WLO

'\QDPLVN�3URJUDPPHULQJ��5HNXUVLRQHU��0HWRGHQ�HU�LQWHUHVVDQW�XGIUD�HQ�EHUHJQLQJVP�VVLJ�VnYHO

VRP�HQ�WHRUHWLVN�V\QVYLQNHO��'HQ�HU�HIIHNWLY�RJ�JHQHUHO��'LVVH�HJHQVNDEHU�GHPRQVWUHUHV�YHG

HNVHPSOHU�RJ�YLD�%66©HW�

$IKDQGOLQJHQ�DIVOXWWHV�PHG�HQ�JHQHUHO�GLVNXVVLRQ�DI�GH�WHRUHWLVNH�RJ�DQYHQGHOVHVP�VVLJH

DVSHNWHU� DI� IRUVNQLQJVDUEHMGHW� RJ� GH� IRUHVOnHGH�PRGHOOHU� RJ�PHWRGHU��PHG� VSHFLHO� Y�JW� Sn

LPSOHPHQWHULQJ�VRP�HW�/666��'HW�NRQNOXGHUHV�DW�PRGHOOHU�RJ�PHWRGHU�KDU�SRWHQWLDOH�WLO�DW�NXQQH

LPSOHPHQWHUHV�VRP�Y�UNW�MHU�WLO�XGDUEHMGHOVH�DI�JHQHUHOOH�UHWQLQJVOLQMHU�RJ��KYLV�HOOHU�QnU�IOHUH

RJ�EHGUH�UHJLVWUHULQJHU�Sn�HQNHOWG\UVQLYHDX�EOLYHU�WLOJ�QJHOLJH��VRP�HW�/666�

top related