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Table of Content

    29 October 2012, Volume 20 Issue 5 Previous Issue    Next Issue
    ARTICLES
    The Estimating Method of VaR Based on the Threshold Double AR Model and its Application
    JIANG Yong, WU Wu-qing, WANG Li-wei, YE Wu-yi, CHEN Min
    2012, 20 (5):  1-6. 
    Abstract ( 3229 )   PDF (1386KB) ( 2513 )   Save
    In most literature, the measurement methods of VaR are based on the linear statement. However, in practice this assumption cannot be satisfied quite well. So it is needed to put forward the nonlinear estimation method of VaR. In contrast to the traditional model that allows model changes to occur in the "time" space, the threshold double AR model (TDAR) uses threshold space to model the nonlinear phenomena such as asymmetry and the structure change, and also allows the structure change of mean and volatility. In this paper, the method of TDAR-VaR is presented for the first time, and the empirical research and the leverage effect analysis on SZZS and HIS index are also covered. The empirical analysis shows that this method can predict the market risk very well.
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    Forecasting Model for Dynamic Value-at-Risk Based on Multifractal Theories
    WEI Yu
    2012, 20 (5):  7-15. 
    Abstract ( 3043 )   PDF (1273KB) ( 2306 )   Save
    Much literature in Econophysics reveals that the volatility in financial markets presents multifractal features. Thus, measuring and forecasting the market volatility accurately is very important for financial risk management. Based on the earlier research of multifractal volatility and its model, an out-of-sample dynamic VaR forecasting method is proposed in this paper. The empirical results on two backtesting techniques show that, on high-risk levels, VaR model based on multifractal volatility produces much better out-of-sample VaR forecasts than eight popular linear and nonlinear GARCH models.
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    Nonlinear Relationship of Tail Dependence between Price and Trading Volume in Chinese Stock Markets
    WU Ji-lin
    2012, 20 (5):  16-23. 
    Abstract ( 2317 )   PDF (1549KB) ( 2426 )   Save
    Because traditional models only capture volume-price relation under normal market condition, a regime switching Copula model is proposed to explore the tail dependence of volume-price under extreme market conditions, and it is fourd that there exist significant and asymmetric volume-price dependence at extremes for Shanghai and Shenzhen stock markets. In particular, extremely (absolute)high returns tend to be associated with extremely large trading volumes, while extremely (absolute)low returns tend not to be related to either large or small volumes. Additionally, volume-price is regime-dependent and shows obvious cyclic behavior and structure change. The structure change points correspond to the starts or ends of big market adjustments. It is also found volume-price dependence in Shanghai market is much stronger than that in Shenzhen market, but return-volume dependence has a bigger range in the regimes, however, the absolute return-volume dependence of the two market range in regimes has little difference.
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    The Effects of the Optimal Trading Strategies on Trading Durations
    ZHANG Qiang, LIU Shan-cun, LIN Qian-hui, QIU Wan-hua
    2012, 20 (5):  24-30. 
    Abstract ( 2371 )   PDF (902KB) ( 2055 )   Save
    In this paper, a one-tick model in limit order market is presented. When agents arrive at the market according to Poisson process and choose to submit a limit order or a market order to maximize their payoffs, the book follows a dynamic pattern. Although the durations of traders arrivals are independent, the trading strategies do affect the next trading duration. The expected time of a market buy order arriving increases when a trader submits a buy order, and decreases when a trader submits a sell order. Similar results for the expected time of a market sell order arriving. Therefore, the self-correlation of trade is endogenous in the dynamic process where there is no informed trader.
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    Examining the Leverage Effect in China’s Stock Markets: A New Approach
    CHEN Yong-wei
    2012, 20 (5):  31-37. 
    Abstract ( 2815 )   PDF (870KB) ( 3117 )   Save
    The asymmetric relationship between stock return and volatility in financial research. An unbalanced seemingly unrelated regression model is proposed in this paper to examine the individual firms’ stock return volatility. It is discovered that the volatility of Shenzhen constituent stocks show the reversed leverage effects. Compared with the Component Index, which exposes insignificant leverage effect, we find the impact of market factors on volatility asymmetry is found. Specifically, there exits common factors and idiosyncratic factors in stock market, that should account for the difference between the Component Index and the constituent volatility. After removing the effect of common factors, the reversed leverage effect is more significantly.
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    A Theoretical Research with Case Study of Convertible Bond and Staged Payment to M&A Risk
    WAN Di-fang, GAO Yan-hui, XU Qian
    2012, 20 (5):  38-46. 
    Abstract ( 2550 )   PDF (1229KB) ( 2618 )   Save
    First, the impacts of convertible bond and staged payment on controlling double-side moral hazard and reducing uncertain risk through a model are studied in this paper. Then, SZ energy group is taken for an example and M&A risk of Chinese state-owned listed company is analyzed. The result indicates that convertible bond embedded an option can retain double-sided moral hazard in M&A effectively,which, however, is weak on controlling market-related uncertain risk and convertible bond with staged payment assistant can solve this problem. At the same time, the risk of M&A in Chinese listed company and the application of convertible bond and staged pament are analyzed.
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    Study on Investment, Consumption and Risk Premium under Unanticipated News
    CHEN Ping-lu, QIAN Ning-yu
    2012, 20 (5):  47-54. 
    Abstract ( 2316 )   PDF (1414KB) ( 2324 )   Save
    In this paper, the relation among unanticipated news,investors’strategy on consumption and investment and their influence on the risk premium are analyzed.Based on the concepts of behavioral economics and the CCAPM model, a asset pricing model concerning unanticipated news is constructed.Numerical solution of the risk premium is presented by using numerical iteration algorithm based on dynamic programming.It is showed that the relation between unanticipated news and risk premium is positive;the prior outcome of the investors' strategy influenced the risk premium as well and the relation is positive too. At last, the data from the United States and China security market is used to make a simulation study,and the equity premium puzzle is resolved.
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    Ordering and Coordination Decisions of a Supply Chain with Consumer Returns Policy Based on Demand Information Update and Service Constraint
    SHEN Cheng-lin, HOU Wen-hua, ZHANG Xinxin, QING Zhi-qiong
    2012, 20 (5):  55-63. 
    Abstract ( 2691 )   PDF (1374KB) ( 2631 )   Save
    In this paper, a single-period supply chain composed by one supplier and one retailer as well as a group of consumers is investiguted. The retailer has two order opportunities with the second one after observing a market signal. Firstly,consumers’ buy and return policy is analyzed and then the optimal pricing and refund policies are determined. Next, the retailer’s optimal ordering decisions are derived to maximize the retailer’s total profit, and the optimal first-stage order quantities, optimal second-stage order quantity, as well as the critical market signal are given by introducing the service constraint. Impacts of the information update and the service constraint on retailer’s optimal order policies and on the expected profit are also discussed. The results show that, first, when the target service level is low, the retailer's optimal order quantities are the same with quantities without service level constraints. Second, when the observed signal is low at the time of second order, the retailer does not need a second order, no matter what the required signal is high or low. When the observed signal is high, the retailer need a second one, and the required service level will affect the optimal quantities of the second order. Finally, a differentiated buy-back contract is designed to coordinate the supply chain and the coordination conditions are given.
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    Comparative Study of Supply Chain Coordination Based on MOI and VMI under Random Yield and Uncertain Demand
    YU Jian-hong, MA Shi-hua, ZHOU Qi-chao
    2012, 20 (5):  64-74. 
    Abstract ( 2901 )   PDF (1429KB) ( 2312 )   Save
    In ovder to analyze the effect of operation mode of supply chain on supply chain performance under random yield and uncertain demand, supply chain collaborative models under manufacture-owned-inventory (MOI) and vendor-managed-inventory (VMI) are studied, which consist of two suppliers-one manufacturer assembly system. A collaborative model based on supply risk sharing is proposed under MOI, where the manufacturer is fully responsible for inventory decision and held inventory of components. Another collaborative model based on revenue sharing and additional penalty on critical supplier is proposed under VMI, where suppliers are fully responsible for the production and inventory decisions and held inventory. Optimal lot sizing under centralized decision, MOI and VMI are analyzed, and Nash equilibrium is proved to exist under VMI. Results also show that VMI is much easier to coordinate supply chain than MOI, and is more effective to reduce the effect of random yield and uncertain demand on supply chain performance. Supply chain can achieve Pareto improvements under MOI, but can not be coordinated. However, when parameters satisfy certain relationship, the expected profit under VMI can reach the profit of the centralized decision.
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    Retailer’s Inventory Decision for Items with Shelf-and Stock-Level-Dependent Demand Differences
    WANG Xia-yang, FU Ke, XU Di
    2012, 20 (5):  75-82. 
    Abstract ( 3417 )   PDF (927KB) ( 2256 )   Save
    Inventory models for items with stock-level dependent demand usually don't differentiate shelf inventory and warehouse inventory levels further. It is suggested in this paper that most retailers own warehouses in reality, hence the current inventory level is composed of warehouse inventory and shelf inventory. Since only shelf inventory affects demand, it is necessary for us to distinguish these two types of inventory. In this context, firstly, a general inventory model is established for items with stock-level-dependent demand under VMI scenario and the retailer's optimal order policy is gwen. Then the shelf capacity constraint is taken into account and the conditions under which the retailers will start using warehouse are shown. The optimal inventory and order decisions for items with shelf-and stock-level-dependent demand differences when a retailer has warehouse are also discussed. The research results provide valuable references for retailers making decision on whether to enable a warehouse for different items or not, and will also benefit retailers on how to make inventory policy when they own warehouses.
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    Lot Sizing Problem in a JIT System with Time-Varying Delivery
    WANG Hai-ying, DING Hua, ZHANG Cui-hua, WANG Bing, YANG Ming
    2012, 20 (5):  83-89. 
    Abstract ( 2515 )   PDF (1160KB) ( 1999 )   Save
    A serial supply chain which consists of a raw material supplier, a manufacturer, a distribution center and a retailer is considered in this paper. Time-varying delivery is in the presence between manufacturer facility and the retailer warehouse in the supply chain. Delivery time function is developed based on practical data analysis. The total cost model is derived and a new search algorithm is established. The corresponding Decision Support System is developed by using Active X technology to embed matlab in visual basic. Finally, sensitivity analysis is made to help decision makers achieve a lower total cost in practice.
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    Decision on Independent Cell Formation with Multiple Identical Machines
    LIAN Jie, LIU Chen-guang, LI Wen-juan, YIN Yong
    2012, 20 (5):  90-97. 
    Abstract ( 2231 )   PDF (1732KB) ( 1797 )   Save
    Cellular manufacturing has been adopted by a large number of manufacturers suffering from the manufacturing environment characterized by variable product mix and fluctuant production demand,especially for those who are dedicated to assembly.It has been regarded as a synthesis of production efficiency and flexibility.Cell formation is not only the central and foremost problem of designing a cellular manufacturing system, but also the focus in the research fields of cellular manufacturing. The independent cell formation problem with consideration of easily-duplicated machines is studied to eliminate inter-cell movement by allocating multiple identical machines in cells,and balance inter-cell workload.Considering many real-life factors including setup time,processing sequence,machine capacity,and production demand,a mathematical model is formulated to minimize the average total flow time of all cells and the sum variance between the total flow time of each cell and the average total flow time of all cells.Then a heuristic algorithm is developed to solve it.At last,the effciency of the proposed mathematical model and algorithm is validated through a numerical example.
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    Effects of Information Sharing on Cooperative Advertising in A Supply Chain: A Game Theoretic Approach
    WU Jiang-hua, ZHAI Xin
    2012, 20 (5):  98-105. 
    Abstract ( 3244 )   PDF (1069KB) ( 2244 )   Save
    In this paper, a supply chain which consists of a single manufacturer and a single retailer doing cooperative advertising are studied under uncertain customer demand. The manufacturer determines the wholesale price and to what ratio he will share the retailer's investment in his local advertising. The retailer determines how much he will invest in his local advertising and the sales price. How information sharing affects the decision making of the manufacturer and the retailer as well as their performance are studied. The expected profit of the manufacturer, the retailer, and the supply chain as a whole are compared. The results show that information sharing increases the manufacturer’s expected profit, and sometimes the supply chain’s, but decreases the retailer’s expected profit under certain circumstances.
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    Incentive Mechanism in Supply Chain under Asymmetric Information and Elastic Demand
    LANG Yan-huai
    2012, 20 (5):  106-111. 
    Abstract ( 3024 )   PDF (1382KB) ( 2559 )   Save
    The mechanism designing theory is utilized to discuss the incentive mechanism under asymmetric information and price elastic demand. The optimal retailing prices and the profits of supply chain members are analyzed under two situations: the centralized control and decentralized gaming, and then the supplier’s incentive mechanism designing are studied when the retailer’s cost is unknown. Thus the subprime results and prerequisite with pareto are obtained. Finally, the change of the supply chain members’ profits with the asymmetric information incentive mechanism and the influence of this mechanism on the system’s efficiency via a numerical simulation are dicussed.
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    Product Quality Control Strategy in Three-Echelon Supply Chain under the Condition of Two Incentive Policies
    ZHU Li-long, YU Tao, XIA Tong-shui
    2012, 20 (5):  112-121. 
    Abstract ( 2762 )   PDF (1253KB) ( 2107 )   Save
    Based on four-stage Stackelberg game theory, how to design product quality control strategy in the three-echelon supply chain is studied. A game model which composed by manufacture, retailers and customers is constracfed. The manufacture will make the product quality decision (high product quality or low product quality), the retailers will make the product purchasing decision and retail pricing decision, and the customers will make ordering quantities decision. When the retailers purchase high quality product, the manufacture will provide price discount strategy. When the retailers purchase low quality product, the manufacture will provide delay payment strategy. Optimization theory is used to solve the manufacture's product quality level, price discount, delay payment period, retailer’s retailing price, customer’s ordering quantities and expected profits function. The results of a numerical example show that: the retailing price of high product quality has a more decreasing according to price discount, the retailing price of low product quality has a more decreasing according to delay payment period; when the manufacture provide price discount much more and delay payment period much longer, the manufacture’s expected profits will reduce, retailer’s expected profits will increase, customer’s ordering quantities will also increase; the manufacture’s joint expected profits are inverse U-shaped. The maximum expected profits and contract parameters are solved, which demonstrate that the product quality control strategy is effective.
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    Competition Performance of Return Policy in Supply Chain based on Computational Experiments
    MENG Qing-feng, FAN Ming, LI Zhen
    2012, 20 (5):  122-130. 
    Abstract ( 2576 )   PDF (1123KB) ( 2044 )   Save
    The structure of the supply chain network consisted of multiple suppliers and multiple retailers can be changed. At first, the supply chain network competition performance is analyzed in six scenarios: all suppliers (coordinated scenario) or part of suppliers (hybrid scenario) or none of suppliers (uncoordinated scenario) adopted coordination policy with two competitive manners between retailers. There are competitions with order quantity and retail price. It is shown that when competing between retailers with order quantity, return policy is a dominant strategy for each retailer and supply chain that used. True cost of changing suppliers by retailers will affect the vendors’ income and the enthusiasm of adopting the coordinated strategy. When retailer competing with retail price, return policy can stimulate the retailers to increase its order volume to some extent, and it is able to improve supply chain channels’ performance and increase the earnings stability to some extent.
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    Investment Decision of Food Supply Chain Quality Based on the Evolutionary Game
    XU Min-li, WANG Qiao, OUYANG Lin-han
    2012, 20 (5):  131-141. 
    Abstract ( 3025 )   PDF (1121KB) ( 2657 )   Save
    Food accidents occur frequently and the positive external effect of investment of food quality exits in the food supply chain. Investment decisions of suppliers and manufacturers in food safety are analyzed base on evolutionary game. The results show that the investment strategies of both suppliers and manufacturers are related to the ratio of input-output. When the input-output ratios of both game parties in the food supply chain change, some evolutionarily stable equilibrium is found. If 'free rider’ can gain a lot in the supply chain, suppliers or manufacturers will not like to invest in the food quality. The government will use macro-control to increase the food security level through two kinds of mechanisms. On one hand, it will punish the "free rider" behavior and force the supplier or manufacturer to input quality. On the other hand, it will provide subsidies for the supplier or manufacturer with a relatively small input-output ratio and encourage them to invest in quality.
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    Application Service Outsourcing Menu Contract under Asymmetric Cost Information
    DAN Bin, TANG Guo-feng, SONG Han
    2012, 20 (5):  142-151. 
    Abstract ( 2494 )   PDF (1604KB) ( 1942 )   Save
    There exists risk caused by asymmetric cost information when customer enterprise is carrying out application service outsourcing. Focused on this problem, the outsourcing menu contract is designed to incentive the ASP to show the true cost information and pay the optimal effort level under the circumstance of cost-effectiveness parameter and effort level owned by the ASP cannot be observed by the customer enterprise. The conclusions imply that revenue-sharing proportion is the decreasing function of cost-effectiveness parameter, degree of risk aversion, and the variance of output; the reward which customer enterprise pays to ASP will be used not only to compensate reservation utility, service cost, but also to compensate the risk cost and information rent; the risk cost is decreasing with the degree of risk aversion, the variance of output, and increasing with the cost-effectiveness parameter; the information rent is decreasing with degree of risk aversion, the variance of output and cost-effectiveness parameter.
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    Research on Compatibility of Triangular Fuzzy number Complementary Judgment Matrices in Group Decision-making
    YAO Sheng-bao, XU Min
    2012, 20 (5):  152-156. 
    Abstract ( 2413 )   PDF (904KB) ( 2107 )   Save
    In this paper, the compatibility of preference information and alternatives ranking for group decision-making problems are studied, in which the experts’ preference information is represented by triangular fuzzy number complementary judgment matrices. Firstly, a compatibility index of triangular fuzzy numbers is proposed based on the hamming distance, and the properties of the index are studied. Secondly, a compatibility index of triangular fuzzy number complementary judgment matrices is proposed according to the characteristics of the preference information. Thirdly, the compatibility index is used to determine weights of experts, and a ranking method is presented for the group decision-making problem. At last, a numerical example demonstrates the effectiveness of the proposed method.
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    A Large Group Decision Method and its Application Based on Binary-Relation of Attributes
    XU Xuan-hua, ZHANG Li-yuan, CHEN Xiao-hong, ZHOU Yan-ju
    2012, 20 (5):  157-162. 
    Abstract ( 2775 )   PDF (854KB) ( 2484 )   Save
    Aimed at the disadvantage for existing large group decision methods only considering the independent decision-attributes, a new large-group decision method based on binary-relation among decision attributes is proposed. The binary relation is used to form the attribute relationship matrix of preference vector of group members. With the relationship matrix which is 0-1 matrix and its property of norm, the clustered measurement model between preference vectors of two decision members is constructed. Based on the model, a preference aggregation method for large group decision making and decision alternative ranking is proposed. Finally, the method is applied in the case of emergency management ability evaluation of major snow disaster in Hunan province of China.
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    Approach to Multiple Attribute Decision Making with Weights Implicitly Changing
    LI Chun-hao, DU Yuan-wei, SUN Yong-he, TIAN Shuo
    2012, 20 (5):  163-172. 
    Abstract ( 2291 )   PDF (1017KB) ( 1994 )   Save
    To overcome shortages of the method of multiple factor decision making with variable weights(MFDMVM), a new weights implicitly changing method for multiple attribute decision making (MADM) is presented based on the principle of analytic hierarchy process(AHP) modified by Belton and Gear (shorted as B/G-AHP). With the modeling method, one new approach to MADM with weights implicitly changing is presented. It has three advantages over the MFDMVM. First, the needed preference information to weights changing is directly provided by the decision maker (DM), and thus the approach can well overcome the decision analyst’s subjective arbitrary influence and better reflect the DM’s real preference. Second, it need not subjectively transform attribute states into preference on attribute states, thus it avoids error interrupts resulted from the state-to-preference transforming. Third,unlike the MFDMVM, it has adopted the optimization technique to reduce the influence of errors within the DM’s subjective judgments. Numerical analysis shows that the new approach does have the efficient capability of giving variable weights to different decision alternatives, can give more acceptable evaluation results than the MFDMVM, and is more applicable to real-world decisions.
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    A New Grey Absolute Degree of Grey Incidence Model and Application
    LIU Yong, LIU Si-feng, Jeffrey Forrest
    2012, 20 (5):  173-177. 
    Abstract ( 3304 )   PDF (899KB) ( 2636 )   Save
    In order to deal with the problems such as the negative incidence of the sequence curves and possess some important properties, a new grey absolute degree of grey incidence model is developed based on the basic idea of grey incidence analysis and average trend of the relative change of sequence curves, and then some properties such as similarity, parallel, uniform are studied. Finally, by applying the new model, the degrees of order of the industrial structure for China's various provinces are calculated, and the results show that the proposed model is simple, practical and useful.
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    Optimal Timing and Equilibrium Price for Control Rights Transfer of the Company with Debt
    HUANG Yan
    2012, 20 (5):  178-184. 
    Abstract ( 2269 )   PDF (860KB) ( 2080 )   Save
    By applying real option game theory and CGE theory, the optimal timing and the equilibrium price under the condition of imperfect information for the controlling shares transfer are given for the company with debt, and the sensibility analysis is made for the main factors which affect the optimal timing and the equilibrium price. The result shows that cassuming other conditions remains unchanged, it the greater the scale of the target company, the smaller M and A sunk cost, the higher the percentage the controlling shareholder holding, the greater the expected synergies,the higher the coupon, the higher the tax rate is, tren the transferring of the control is sooner, the equilibrium price is lower. The higher the industry growing the rate and the volatility is, the faster the transfer of the control is, the equilibrium price is lower and there is a double effect. The timing and the equilibrium price of the control right are not the monotonic function of the control factor.
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    Research on Formation Mechanism of Commercial Circle Based on Consumer Searching Cost
    FENG Juan, WU Jian-wei
    2012, 20 (5):  185-192. 
    Abstract ( 2664 )   PDF (880KB) ( 2480 )   Save
    Based on Nelson's searching cost saving related theory, through introducing concepts of shopping cost, taste searching cost, taste searching cost, and location searching cost, explaining consumers' behavior of searching and shopping in depth, the spatial economic model on consumers searching expect within commercial circle is constructed. The results of the study show that: first, the satisfaction provided by Commercial Circle goods increases with the improvement of consumer demand and the reduction of searching cost for a new store within commercial circle; second, the satisfaction provided by isolated enterprise goods increases with the improvement of consumer demand, the increase in the numbers of enterprises within commercial circle and the reduction of searching cost for a new store within commercial circle; third, the influence of location searching cost of goods and distance between commercial circle and isolated enterprise is decided by satisfaction comparison of goods provided respectively by commercial circle and isolated enterprise.
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