Table of Content

29 December 2012, Volume 20 Issue 6 Previous Issue    Next Issue

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Backtesting Risk Models for Chinese Fuel-oil Futures Market WANG Peng, WEI Yu 2012, 20 (6):  1-8.  Abstract ( 3342 )   PDF (1215KB) ( 2280 )   Save By taking four representative indices of Chinese fuel-oil futures market as sample, VaR predicting is used for eight risk models. Furthermore, two robust backtesting methodologies, unconditional coverage test and conditional coverage test, are introduced to estimate the accuracy for VaR predictions produced by different models. The main results show that adding international fuel-oil price volatility as explanatory variable in typical models is helpful to improve risk estimation accuracy of Chinese fuel-oil futures market. In addition, FIGARCHCST-SST is moderately good in overall consideration of description efficiency and estimation accuracy to extreme risk. References | Related Articles | Metrics

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Nonlinear Dynamic Model of Capital Structure and Security Price LIU Xiang-dong, LIU Cheng, WANG Li-min 2012, 20 (6):  9-17.  Abstract ( 2075 )   PDF (2853KB) ( 2092 )   Save According to the behavioral finance experiments with real people, a mathematical model which describes relationship between the average market investment attitude and stock price is constructed.Firstly, the stability of the model is investigated by the related theory of nonlinear discrete dynamic system, and then contagion effect is identified based on whether financial market is stable.Numerical simulations indicate that there exists an optimal contagion effect in the region of rational contagion effect.It can make the stock price convergence to equilibrium price with the fastest speed.Furthermore, the relationship between capital structure and stock price volatility is also investigated in the region.Specifically, under the influence of rational contagion effect, when the numbers of long position traders and short position traders are roughly equal in the market, share price volatility shows a parallel trend with slight amplitude; when the number of long position traders are more (less) than the number of short position traders, share price volatility shows a decline (an upward) trend in huge amplitude. References | Related Articles | Metrics

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Empirical Analysis of Arbitrage-free Nelson-Sigel Model in Chinese Treasury Security Market TAN Zheng-da, HUO Liang-an 2012, 20 (6):  18-27.  Abstract ( 3630 )   PDF (1845KB) ( 2106 )   Save Arbitrage-free Nelson-Siegel model has the simplicity form of the Nelson-Siegel model, while in essence it is one of the affine dynamic term structure model. In this paper, the dynamic behavior of Chinese interest rate term structure is strudied using this model and it is found that its three state factors have the strong explanatory power on the level, slope and curvature factors of bond yield curve. Compared with dynamic Nelson-Siegel model, the Arbitrage-free Nelson-Siegel model is shown to has the excellent out-of-sample forecasting ability. References | Related Articles | Metrics

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Dual Tranformation Modelling on Term Structure of Interest Rate in T-bill Maket WU Ze-fu 2012, 20 (6):  28-34.  Abstract ( 2661 )   PDF (6819KB) ( 2112 )   Save In order to be against excessive volatility of traditional fitting curve for term structure of interest rate(TSIR), optimization model on minimizing function value with absolute price error and volatility rate is crcated,which is transformed into minimization programming of absolute distance within linearity constraint,and the model’s parameters are figured through negative exponential smoothness cubic L1-spline and numerical geometric’s approximative arithmetic.Negative exponential smoothness cubic L1-spline displays strong capability in pricing accuracy,volatility structure fitting and multi-step forecast,with comparison to NSS model and B-spline on fitting and forecast capability.The result enriches theorical basis and research method on TSIR’s volatility and valuation in T-bill market. References | Related Articles | Metrics

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The Comparative Study of IPO Underpricing Base on Different Issuing Mechanism ZHANG Xiao-cheng, HUANG Shao-an, ZHOU Yong-sheng 2012, 20 (6):  35-42.  Abstract ( 2721 )   PDF (1274KB) ( 1892 )   Save The IPO pricing and underpricing models with different issuing mechanism are constructed based on the CARA model. Then how the non-homogenous expectation of investors influences the IPO underpricing is investigated and comparative analysis to the IPO underpricing between different issuing mechanism is carried out. Then, it is proved that the IPO underpricing will not be eliminated by the issuing of fixed-price or bookbulding but under the same conditions, lower IPO underpricing can be obtained by the issuing of bookbuilding comparing to the fixed-price. Therefore, if the heterogeneity of investors under the Bookbuilding is larger than that of the issuing of fixed-price, the unintentional underpricing of the bookbuilding will increase, and the IPO underpricing may be larger than that of the issuing of fixed-price. Finally, numerical and empirical results verify the conclusion of this paper and explain why the IPO high-underpricing of China under the bookbuilding exists. References | Related Articles | Metrics

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Policy Impact Factors on the Volatility of Shanghai and Shenzhen Stock Market in China YANG Ji-ping, CHEN Xiao-xuan, ZHANG Chun-hui 2012, 20 (6):  43-51.  Abstract ( 2482 )   PDF (1995KB) ( 2121 )   Save In this paper, ICSS: MV algorithm is used to detect structural breakpoints of daily return series of Shanghai composite index and Shenzhen component index from Dec 12, 1996 to Dec 31, 2010. By corresponding structural breakpoints and major events, all the policy events among the major events are selected, and then according to these policy events, the sample period is divided into thirteen sub-intervals. In order to avoid the shortfalls caused by misspecification using parametric models, nonparametric GARCH model is used to estimate the volatility. Finally, N-W kernel regression of the volatility and the daily return is conducted, and furthermore the policy factors that cause the structural volatility of stock market are analyzed. It is concluded that the adjustment of the benchmark interest rate of deposit and loan as well as the deposit reserve ratio, the reduction of the state-owned shares, the permission of institutional investors to trade mutual funds, the adjustment of the stamp duty and so on are policy impact factors that cause structural volatility of Shanghai and Shenzhen stock market. References | Related Articles | Metrics

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Coordination of Two-stage Contract for Remanufacturing Supply Chain with Vertical Production Differentiation LI Yan, DA Qing-li, SUN Hao 2012, 20 (6):  52-60.  Abstract ( 1689 )   PDF (1549KB) ( 1313 )   Save Based on the vertical differentiation between normal and remanufactured products in marketing and considering normal materials’ stochastic price, the "manufacturer-retailer" Stackelberg models are established. With normal materials’ price information updating, the coordiantion mechanism of two-stage retrieving-expense-sharing contract of remanufacturing supply chain is designed. It is proved that the two-stage adjustable contract is more efficient than the one-stage fixed contract. The effectiveness of the two-stage adjustable contract is then shown by means of the numerical analysis: the wider the fluctuating range of normal materials’ price, the more efficient the contract works; the coordinating mechanism in the paper can promote remanufacturing and achieve a win-win goal of both economic and social benefits. References | Related Articles | Metrics

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Coordinating Decision-making Model of Service Capacity of Service Supply Chain based on Multi-objective Bi-level Programming FU Qiu-fang, ZHAO Shu-xiong 2012, 20 (6):  61-69.  Abstract ( 2465 )   PDF (1569KB) ( 2250 )   Save To resolve the coordination of over and under-service capacity operating process in service supply chain, a coordinating decision-making mechanism of service supply chain is constituted, which considers service integrator as a leader role in entire service supply chain acting as a planning, controlling and coordinating center, and considers every service supplier as a follower role who has relative independent decision power. Then a multi-objective bi-level programming approach is developed to model coordinating decision-making mechanism of service capacity of service supply chain. Finally, a practical example is given to test and verify the model. References | Related Articles | Metrics

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Supplier’s Free Shipping Quantity with Pice All-Unit-Discount WEI Tao, WANG Yi-ju, HUA Guo-wei 2012, 20 (6):  70-77.  Abstract ( 3018 )   PDF (911KB) ( 1932 )   Save In this paper,under condition of economic order quantity model,firsty a free shipping optimal model is established to compute the least order size from the supplier’s perspective,and then the model is extended to the case of the price all-unit-discount and transport costs discount.A solution method to solve the model is given. The condition under which the free ship model can be used and how much benefit can be made is theoretically analyzed. References | Related Articles | Metrics

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Joint Ordering and Pricing Policy Considering Consumer Behavior and Market Segmentation XU Xian-hao, CHEN Wen, PENG Hong-xia 2012, 20 (6):  78-86.  Abstract ( 3199 )   PDF (1851KB) ( 1617 )   Save Strategic consumer behavior has received more and more attention. In this article,consumers are assumed to be risk averse and heterogeneous in product's value. When strategic and non-strategic consumers coexist, two-stage pricing policy and single pricing policy are compared, condition of rationing is discussed, and jointly ordering and pricing policy are analyzed. Research shows that two-stage pricing policy dominates single pricing policy when consumers are risk averse. Firm prefers rationing inventory policy if there is higher proportion of strategic consumers or higher degree of risk aversion or greater discount of second phase's price. In addition, only appropriate discounts will increase firm's profit, excessive discount competition doesn't benefit both firm and consumers. References | Related Articles | Metrics

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The Second-replenishment Policy for Fresh Agricultural Product Under Customer Classification DAN Bin, DING Song 2012, 20 (6):  87-93.  Abstract ( 2796 )   PDF (1063KB) ( 1971 )   Save In order to make up for customer loss resulting from the freshness reduction of product, retailers select the second-replenishment policy during a single sale period, in which fresh product and original product are on sale at the same time.However, the fresh product will cannibalize a part of demand for the original one.In this study, customers are divided into three types: fresh product only, price discount only and those without preference. The conception of demand cannibalization coefficient is introduced, how demand cannibalization affects retailers' ordering decision and profit under different customer classification is discussed, and the traditional single-order policy is used as a comparison.Conclusion proves that, since customers focus more attention on product’s quality such as freshness, the second-replenishment policy is able to effectively cut down retailers’ ordering quantity and improve their profit; it has not only economic benefits but also social effects, such as lowing down product loss, saving public resources and enriching customers’ consuming experiences. References | Related Articles | Metrics

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Economic Order Quantity Model under Three Levels with Payment Delay Considering Bad Debt QIN Juan-juan 2012, 20 (6):  94-101.  Abstract ( 3052 )   PDF (1064KB) ( 1771 )   Save Optimal retailer's replennishment policies is discussed with bad debt and payment delay in the three-stage supply chain with the dominant retailer.The effect of bad debt is analyzed on the interest earned and interest charged to build the models of the retailer's decision in two cases.By analyzing the model, the retailer's optimal replenishment time and the optimal order quantity are obtained.Furthermore, the effect of parameters on the retailer’s optimal order policies is analyzed.Finally, the numerical analysis is presented to demonstrate the conclusions. References | Related Articles | Metrics

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Study on Supply Chain Value Maximization Based on New Prosumer MENG Qing-chun, DONG Jian-hua, LI Cong-cong 2012, 20 (6):  102-109.  Abstract ( 2635 )   PDF (2137KB) ( 2255 )   Save With much more fierce competition and the enhancement of supply chain’s strategical role, the competition between enterprises focuses more on the competition between their supply chains. And this enhancement of the role of supply chain asks for more theoretical research about supply chain. The ultimate goal of supply chain management is to maximum its value. But currently, existent research about supply chain is limited and not intact about the structure and value of supply chain. As to solve these problems, the new prosumer theory is presented to point out that the mainstay of supply chain is not only the enterprise alliance but also the customers, which are integrated in the value creating process in supply chain. Based on this theory, the mathematical model of supply chain value maximization is constructed. Under the framework of this model, the issues such as the whole value created by supply chain, the value of enterprise alliance, the value of consumers, the interest distributions for the second time and so on are analyzed. The conclusions are: (1) the coordination between enterprise alliance and customers will enhance the integrated value of supply chain based on new prosumer; (2) the interest of both enterprise alliance and customers will be improved simultaneously through the second benefit distribution. The validity of those conclusions is checked by the numerical analysis. The main contributions of this study are: (1) the significance of coordination between enterprise alliance and customers is shed light on, and the customers’ feedback to the supply chain value creation is highlighted; (2) the effective way to maximum the supply chain value is presented. References | Related Articles | Metrics

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Supply Chain Coordination with Demand and Purchase Cost of Retailers Disruptions WU Zhong-he, CHEN Hong, ZHAO Qian, WU Xiao-zhi 2012, 20 (6):  110-117.  Abstract ( 2349 )   PDF (841KB) ( 1920 )   Save The contract coordination mechanism of supply chain is the important content of chain management, while the contract coordination mechanism of supply chain about disruption event is the study hotspot in the recently years. In this paper, coordination policies for a one-supplier-one-retailer supply chain that experiences demand and purchase cost disruptions in the planning horizon are presented. The disruption management decisions from the point view of the supplier when demand and purchase cost of retailer disrupt simultaneously under the mode of concentrated and decentralized supply chain are analyzed. It is proved that a quantity discount contract can be used to coordinate the supply chain under normal environment. Under centralized decision-making model, the original production plan of the supply chain has certain robustness and it is necessary to change the original production plan to maximize the supply chain profit when the disruptions change greatly enough. Under the decentralized decision-making model, it is proved that the supply chain cannot be coordinated by the original quantity discount contract and the new appropriate quantity discount contract is designed to coordinate the supply chain after disruptions. Finally, a numerical example is given to illustrate the findings. References | Related Articles | Metrics

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Long-Term Incentive Contracts Designing on Heterogeneous Sales-agents XU Hongyan, HUANG He, CHEN Jian 2012, 20 (6):  118-124.  Abstract ( 2371 )   PDF (689KB) ( 1758 )   Save Selling ability and effort of sales agent are always the agent’s private information when the firm sells a single product through the agent.Selling ability will determine the effectiveness of the agents’ selling efforts.In this paper, the firm needs to design incentive contracts for the agent and decide appropriate price for the product in two periods.In the model, the firm adopts long term contracts and can select two contract strategies, i.e.separating and pooling in the first period.By developing two principle-agent models, the optimal decisions for the firm in either strategy for two periods are investigated.Although the optimal contract strategy for the firm in single period is separating under asymmetric information, for two period long-term contracts, the optimal contract strategy in the first period may be separating or pooling, which depends on the discount factor.And the optimal two periods’ price is higher than the price in single period with pooling contract and is lower than the price in single period with separating contracts. References | Related Articles | Metrics

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Research on production and distribution scheduling in assembly system with synchronous logistics MA Shi-hua, WANG Qing-qing 2012, 20 (6):  125-132.  Abstract ( 2902 )   PDF (14891KB) ( 2140 )   Save As for assembly industry, performance of supply chain is directly decided by the level of logistics management. Bosed on the setting of Supply Hub,the production and distribution issues of every node in an assembly system are studied. Therefore, the production-distribution system is mathematically modeled and solved by programming software. By doing so, the optimal production interval of suppliers and manufacturer, and distribution frequency of parts, as well as the purchase cycle of retailer are got. The comparative analysis between traditional logistics mode and synchronous logistics mode is also taken. It is concluded that: the assembly system based on synchronous logistics can generate lower total average cost because of inventory cost reduction. In the supply chain with synchronous logistics, suppliers and manufacturer produce and distribute more frequently. Although the total cost is reduced, more setup cost results in the increase of cost for manufacturer, which indicates participants should do well in cooperation and negotiation in order to make win-win. References | Related Articles | Metrics

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The Relationship between Production Capacity and Competitive Advantage under Demand Uncertainty NI De-bing, LI Tao-tao, TANG Xiao-wo 2012, 20 (6):  133-140.  Abstract ( 2487 )   PDF (725KB) ( 2022 )   Save Under demand uncertainty, the flexibility of quantity decision is descrided by production capacity, the Cournot model is used to build a 2-firm game model that describes the strategic (quantity) competition between those two firms, and the equilibrium is emploged to establish a functional relationship between flexibility and competitive advantage. The results obtained by comparative statics analysis show that (1) it other things equal, a firm’s relative competitive advantage increases with its production capacity, but decreases with its opponent’s production capacity; (2) the firm with higher production capacity will achieve higher absolute competitive advantage. These two results indicate that competitive advantage is positively related to flexibility. This conclusion, to some degree, clarifies the problem of the ambiguity of the relationship between flexibility and competitive advantage in strategic management literature, and extends the findings in the studies based on individual rational decision-making to a competitive context where strategic interdependence exists due to the introduction of competitive strategic interaction. References | Related Articles | Metrics

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Supernetwork Optimization of Emergency Resources Allocation under Disaster Risk ZHU Li, CAO Jie 2012, 20 (6):  141-148.  Abstract ( 2982 )   PDF (1616KB) ( 2088 )   Save Under consideration of different characteristics for various subjects in emergency networks, as well as the interaction between the disaster risk environment and the relief resources allocation, a three-tiered supernetwork framework,is constructed consisting of retrieval depots, distribution centers and demand points, and its the network flows are the amount of allocated resources and the disaster risk degrees. By transforming this supernetwork to an equivalence structure, the emergency optimization objectives and disaster relief behaviors are formalized, and then they are represented as the complementary problem of a variational inequality for computational solution. Numerical simulation and sensitivity analysis demonstrate that some key parameters, e.g. the emergency capability limitation and the disaster risk degree, have important influence on decision-makings of emergency resources allocation. References | Related Articles | Metrics

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Multi-facility Location Policy based on New Graph Theory Clustering Approach ZHAO Pei-xin, ZHANG Cun-Quan, ZHAO Bing-xin 2012, 20 (6):  149-153.  Abstract ( 2857 )   PDF (664KB) ( 2331 )   Save A novel clustering approach is proposed and applied to the multi-facility location problem. Compared with most traditional methods, this new algorithm has a distinguished feature: smaller hierarchical tree which significantly reduces further manual efforts for cluster selections. A simulation example for comparison illustrates the effectiveness of the proposed approach. References | Related Articles | Metrics

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The Research on the Modeling Method of Background Value Optimization in Grey Verhulst Model XIONG Ping-ping, DANG Yao-guo, YAO Tianxiang, CUI Jie 2012, 20 (6):  154-159.  Abstract ( 2915 )   PDF (648KB) ( 1957 )   Save In this study, the error sources of background value of traditional grey Verhulst model and optimizes the background value of the model are analyzed, in order to improve the simulation and prediction accuracy of the model. Based on the Logistic function structure of the time response formula in the grey Verhulst model, the Logistic function is used to fit the accumulated sequence, three parameters in Logistic function are solved through a series of mathematical derivation and the idea of accumulated generating operation in opposite direction, and then the optimal formula of background value of grey Verhulst model is got and the optimal grey Verhulst model is constructed. Finally, the optimization effect in this paper is verified by an example and an application example respectively. The result shows that it can effectively improve the simulation and prediction accuracy of the traditional grey Verhulst model to use the optimization background value. References | Related Articles | Metrics

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Graph-based Counterfactual Reasoning for Ex-post Decision Evaluation HU Xiao-xuan, YANG Shan-lin, HUA Juan 2012, 20 (6):  160-166.  Abstract ( 2458 )   PDF (1573KB) ( 1954 )   Save Ex-post decision evaluation plays an important role in measuring the effects of decisions.In this paper, counterfactual reasoning method is used to implement pairwise decision evaluation.First the normative decision analysis process with post-decision evaluation is proposed, and then the steps of doing counterfactual reasoning with causal influence diagrams are illustrated.Two measures are defined, one is self-satisfaction ratio and the other is relative satisfaction ratio.The values of the measures that acquired through counterfactual reasoning are the results of the assessment.Finally, an example is given to illustrate the evaluation process, which shows the feasibility and validity of the proposed method. References | Related Articles | Metrics

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The Impact of Sampling on the Diffusion of Complementary Products HU Zhi-neng, XIE Rui-kun, XUE Jiu-ping 2012, 20 (6):  167-175.  Abstract ( 2450 )   PDF (1709KB) ( 1890 )   Save Considering the pricing strategies and the consumer behaviors of repeat purchase and multiple-unit purchase, an optimal model group of product sampling of complementary products based on the diffusion model of complementary products is established.With the numerical simulation, the results show that the sampling can advance the diffusion of complementary products, and sending the free samples of both complementary products is better than just sending one of them.Also, sampling at the initial period is much better than other periods, which forms "a promotional phenomenon of sampling at time zero".In the case of the consumers having the demand of multiple-unit purchase, the firm deserves to send more free samples to make the product known wider in order to enhance the sales profit.Moreover, the sensitive analysis in the optimal sampling period shows the trend and extent of the effect of the parameters on the sampling levels.Finally, how to apply the results in the reality is also shown. References | Related Articles | Metrics

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Analysis of the Structure of Inter-organization Innovation Network during the Process of Knowledge Integration SHAN Hai-yan, WANG Wen-ping 2012, 20 (6):  176-184.  Abstract ( 2742 )   PDF (7503KB) ( 2324 )   Save In this paper, the formation of inter-organization innovation network during the process of knowledge integration is modeled. By simulation analysis, it is found that the complementary extent of inter-organization and the efficiency of knowledge integration have a certain impact on the structure of innovation network. More specifically, the innovation network has the property of random network, i.e., short average path length and low clustering coefficient, when the complementary extent of inter-organization and the efficiency of knowledge integration are high; the innovation network has the property of regular network, i.e., long average path length and high clustering coefficient, when the complementary extent of inter- organization and the efficiency of knowledge integration are low; the innovation network has the property of small-world network, i.e., relatively short average path length and high clustering coefficient, when the complementary extent of inter- organization and the efficiency of knowledge integration are neither too high nor too low. References | Related Articles | Metrics

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Research on the Relationship Among the Online/Offline Interaction、Group Differentiation and Knowledge Sharing: An Empirical Analysis Based on Virtual Community ZHOU Jun-jie, ZUO Mei-yun 2012, 20 (6):  185-192.  Abstract ( 3917 )   PDF (1032KB) ( 2628 )   Save Online interaction and offline interaction are new phenomena along with the development of internet and virtual community, which lead to group differentiation in virtual community. Based on the theories of social identity and social networks, the change of memberships among virtual community members and its effect on knowledge sharing are analyzed, and a model on online interaction,offline interaction,group differentiation and knowledge sharing are proposed. Then the model is tested by data collected from pinggu.org. It is found that high frequently online interaction will lead to group differentiation among members in virtual community, high frequently offline interaction will reinforce the group differentiation in virtual community, and group differentiation could facilitate knowledge sharing among members in community. Group differentiation is reconstructed into six items and a scale is developed for testing online interaction and offline interaction, which will benefit the perfectness of online knowledge management and also have insight in the operation and usage of virtual community. References | Related Articles | Metrics