Page 78 - programme book

OT-004
Analysing Time-scales Currency Exposure using Maximal Overlap
Discrete Wavelet Transform (MODWT) for Malaysian Industrial Sector

Nurul Afaaf Mohd Nasir 1, a) and Hishamuddin Abdul Wahab 1, b)

1 Faculty of Science and Technology, Universiti Sains Islam Malaysia,
71800 Nilai, Negeri Sembilan, Malaysia.

a) Corresponding author: nurulafaaf@raudah.usim.edu.my
b) hishamuddin@usim.edu.my

Abstract. Based on the dynamic nature of foreign exchange rate risk toward Malaysian firms across
different time horizons, this paper is motivated to investigate the multiscale effect of currency exposure
using wavelet analysis for 71 industrial products and services firms listed on the main market of Bursa
Malaysia. The study employed Daubechies Least Asymmetric as a special wavelet filter in Maximal
Overlap Discrete Wavelet Transform (MODWT) method to decompose a given time series into
different time-intervals from January 2000 till December 2020. Specifically, the study found that there
was non-monotonic exchange risk concentration from low to high time scale. As a result, as the time
horizon widened, the firm profitability became more sensitive to the foreign currency fluctuations.
Besides, the majority of the sample firms were negatively exposed to the U.S dollar, euro, and Japanese
yen indicating that Malaysia industrial firms benefited from depreciation of these currencies. Given the
significant time scale effect of currency exposure, firm managers and investors should incorporate the
length of foreign transactions for greater accuracy and timely decision making in hedging strategies.

Keywords: Currency exposure, wavelet analysis, maximal overlap discrete wavelet transform
(MODWT), industrial products and services.

OT-005
Group Attack of Many Pursuers Against One Evader in an Evasion
Differential Game of Integral Constraint

Idham Arif Alias 1, 2, a) , Gafurjan Ibragimov 1,2, b) and Yusra Salleh 1,c)

1 Institute for Mathematical Research, Universiti Putra Malaysia,
43400 UPM Serdang, Selangor, Malaysia.
2 Department of Mathematics and Statistics, Faculty of Science, Universiti Putra Malaysia,
43400 UPM Serdang, Selangor, Malaysia.

a) Corresponding author: idham_aa@upm.edu.my
b) ibragimov@upm.edu.my
c) yusra.math@gmail.com

Abstract. An evasion game for one evader to avoid being captured by many pursuers is studied. A
group attack against the evader is defined. The study of two pursuers attacking is first investigated and
then generalized to the case of many pursuers. Control functions of all players are subjected to integral
constraints.

Keywords: Group attack, evasion, one evader, many pursuers, integral constraint.

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