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20 August 2015, Volume 23 Issue 8 Previous Issue    Next Issue

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The Non Ornstein-Uhlenbeck Models Driven by the General Lévy Process and Its Bayesian Inference LIU Zhi-dong, LIU Wen-yu 2015, 23 (8):  1-9.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.001 Abstract ( 2089 )   PDF (1964KB) ( 2098 )   Save The currently most popular models for the volatility of financial time series, non Gaussian Ornstein-Uhlenbeck stochastic processes are extended to more general non Ornstein-Uhlenbeck models driven by the general Lévy process, such as Generalized Inverse Gaussian(GIG)and Tempered Stable distributions(CGMY). In particular, means of making the correlation structure in the volatility process more flexible based on continuous superpositions of the more general non Ornstein-Uhlenbeck models are investigated, which can introduce long-memory into the volatility model. A shot-noise process and approximation for the continuous superpositions process are represented. Inference is carried out in a Bayesian framework, with computation using extended Reversible Jump Markov chain Monte Carlo and dependent thinning to the continuous superposition case. Empirical research demonstrates that the efficient Markov chain Monte Carlo methods appear to be successful in the case of the general GIG and CGMY marginal model, and that those models can be fitted to real share price returns data, and that results indicate that for the series we study, the long-memory aspect of the model is supported. References | Related Articles | Metrics

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Risk Identification and Warning for Different Copper "Financing" Patterns ZHANG Hai-liang, LU Man, WU Chong-feng 2015, 23 (8):  10-17.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.002 Abstract ( 1776 )   PDF (1747KB) ( 1806 )   Save To guard against the risks of copper "financing" in real need, three different copper "financing" patterns were put forward. And the interest rate risk, the volatility risk of RMB and price of subject and their correlation in the process of copper "financing" operation were analyzed. Based on the profit and the risk factor data from May 2011 to April 2014, the single risk and comprehensive risk were identified and simulated according to GARCH-Copulas model. Then the distributions of comprehensive risk in different patterns were compared in order to make warnings based on Value at Risk. The results show that the copper "financing" is a kind of arbitrage, and its comprehensive risk income has the right skewness and the characteristic of rush fat-tailed distribution, and under the same confidence level, the Value at Risk of comprehensive risk is significantly higher than that of single risk. Copper "financing " exists extreme loss, and in case of extreme loss, the enterprise itself and the financial system will face to adverse effects. In order to guide the capital back to the real economy, relevant regulators must pay close attention and implement control to copper "financing". References | Related Articles | Metrics

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Sticky Information, Inflation Inertia andthe Effect of Monetary Policy ——And the Co-movement of Macroeconomic Variables CUI Bai-sheng 2015, 23 (8):  18-28.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.003 Abstract ( 2002 )   PDF (3391KB) ( 1698 )   Save A DSGE model with sticky information is built and the macroeconomic variables response, where there exist two cases including current announce or announced in advance are analyzed, with the occurrence of two kinds of shocks including government purchase and money supply, and then the co-movement among macroeconomic variables is researched. Under the condition of benchmark information stickiness, the results show that when information announces immediately, inflation's lag structures appear difference, with the face of shocks of government purchase and monetary supply. Inflation reaches its maximum after 8 quarters of the money supply shocks, 6 quarters of the government purchase shocks. Inflation presents inertia in these two kinds of shocks. Nominal interest rate can response these two kinds of shocks immediately. When announced information in advance, inflation and nominal interest rate can make the spot reaction. When information is realized, the reaction reaches the maximum based on the fully absorbing the information, after which it is restored quickly in a non-linear manner. From the frequency domain and time domain perspective, nominal interest rates and inflation are lag the real money supply. Therefore, in order to achieve the goal of "steady growth", a combining policy is adopted, including a proactive fiscal policy by the spot announcement of enlarging government spending and a pre-announced expansion of the money supply in the monetary policy. References | Related Articles | Metrics

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Robust Nonparametric VaR Modeling and Risk Quantification Research XIE Qi-chang 2015, 23 (8):  29-38.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.004 Abstract ( 1671 )   PDF (1444KB) ( 2214 )   Save The risk assessment is an important topic in risk management. The parametric VaR models are widely used in risk measurement. However, they are subject to large errors of model misspecification. In order to avoid the defect of parametric models, two nonparametric models for estimating VaR were proposed, which are SQ-ARCH and Nop-Quantile models. These two models are not restricted by their own specific structures and have great flexibility and stability in use. By the robust quantile regression method, we derived respectively the calculative steps and obtained the closed expressions of VaRs based on the two models. Monte Carlo simulation confirms that the nonparametric VaR models are more robust than the type of parametric ARCH VaR models, regardless of the correct or wrong setting of models. In addition, the two robust nonparametric VaR models are applied to qualify the risk of Chinese stock market by using the composite index data of Shanghai. It is founded that the returns of sample are non-normal and fat-tailed distribution. The technique of backtesting is used to examine the statistical properties of the nonparametric models and the ARCH models. The test results show that the robust nonparametric models outperform the type of non-robust parametric ARCH models in measuring VaR. The estimated risk values of ARCH are quite variable relative to the nonparametric models. Furthermore, the SQ-ARCH and Nop-Quantile models can yield more accurate VaR estimates than the ARCH models. The suggested models provided two effective methods for risk measurement. References | Related Articles | Metrics

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Optimal Asset Allocation and Benefit Outgo Policies of the DC Pension Plan HE Lin 2015, 23 (8):  39-45.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.005 Abstract ( 2080 )   PDF (1071KB) ( 1691 )   Save In the paper, the optimal asset allocation and benefit outgo policies of the pension management are proposed to maximize the utility of the pension member after retirement. It is the first time to explore the actuarial principles of the mortality credit in the pension management framework. The square deviation between the actual and the expected benefit outgo is chosen as the objective functions. Using HJB variational methods, the optimal asset allocation and the benefit outgo policies are established. According to the simulation results, the accumulation of the pension fund has positive influence on the optimal benefit outgo as well as the proportion allocated on the risk-free asset. Meanwhile, the expected benefit outgo has negative influence on the proportion allocated on the risk-free asset. References | Related Articles | Metrics

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Volatility Modeling in Consideration of the Co-jumps: Based on the Perspective of High-frequency Data TANG Yong, LIN Xin 2015, 23 (8):  46-53.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.006 Abstract ( 2478 )   PDF (900KB) ( 1579 )   Save In consideration of the insufficience of the existing researches on co-jumps, co-jumps (co)variance and continuous sample path (co)variance are established using the common intraday jump test and the HAR-RV-CJ model is extended by taking (co)variance and co-jumps together into account, according to the existing theoretical framework. By virtue of high frequency data from Shanghai composite index and Shenzhen component index, the empirical analyses show that the number of the co-jumps of two indexes has a large proportion to their own jumps, most of the co-jumps are the same direction, co-jumps (co)variance and continuous sample path (co)variance both have significant effects on the (co)variance and considering co-jumps makes the extended model more accurate. This study makes contribution to the investment strategy optimization for investor and also provides regulatory basis for the regulatory authorities. References | Related Articles | Metrics

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The Option Characteristics of Delegation Decision-making and Analysis with Models ZHAO Guo-qiang, XU Xiao-hui, PU Yong-jian 2015, 23 (8):  54-62.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.007 Abstract ( 1958 )   PDF (906KB) ( 1834 )   Save Delegation, including promotion, is an important strategic decision in organizations. It is not only an incentive for individual behavior, and what's more it is selecting the new masters for the organization's future. The fundamental accordance to delegation decision-making is the expectation of the performance that the candidate can create in the future. On account of uncertainties associating with performance all along, options are valuable in face of uncertainty according to real option theory, so the delegation decision-making is to make the most valuable choice in a series of opportunities. The real option characteristics are analyzed and the options in delegation decision-making are summarized, then the two core problems of delegation decision-making are studied, when and to whom to delegate, with real options theory. It firstly constructed a real option model and calculated the real option value of delegation and the employee's human capital value to the company by the time of delegation. Thereby, the model educed a comparable criterion for delegation decision-making, namely critical performance. It is possible to compare the candidates with different characteristics by the criterion. Then the decision schemes for three delegation conditions are discussed respectively: with both rights to choose when and to whom to delegate; with the right to choose when and with no right to choose to whom to delegate, that is to say the candidate is unique; with the right to choose to whom and with no right to choose when to delegate, namely no ideal candidate is available in a given period of time. The fundamental motivation and basis of delegation decision-making is performance: the expectation for good performance in the future is motivation, in accordance with the past performance (or experience). What counts is how to use the past performance or experience to provide information to judge the future performance. Delegation decision-making based on real option theory extracts only two parameters, the growth parameters α and the proportion variance parameters σ, from the candidate's past performance or experience, which not only simplifies the rules, but also improves the information utilization,so the different candidates' Competencies can be compared effectively to administer the considering project. References | Related Articles | Metrics

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Study of Retailers' Private Brand Supply Chain Quality Collaboration CHEN Rui-yi, JU Chun-hua, SHENG Zhao-han, JIANG Ye 2015, 23 (8):  63-74.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.008 Abstract ( 2029 )   PDF (1551KB) ( 2245 )   Save Based on the Nash negotiation model, the strategy of the retailers' private brand product quality vertical cooperation is studied under the increase of the retailers' negotiations power, three types of product quality vertical collaboration are investigated,which are the conservative type strategy that retailer does not bear product quality cost, the adventure type strategy that retailer bear product quality cost completely and the sophisticated type strategy that retailer bear parts of the product quality cost, the Nash negotiations equilibrium solution of the optimal product quality, the optimal supply chain total profit and the optimal participants profit are obtained. And on this basis, the comparison of strategies above, numerical analysis, and the modification of the sophisticated type strategy are provided. The study shows that: 1)the conservative type strategy may even cause the double marginalization effect of the private brand quality with the increase of retailer negotiation power; 2)retailers do not always have the suitable conditions of negotiation strength to adopt the sophisticated type strategy, although it can realize the best product quality which is equivalent to the vertical integration control and negotiation power independent; 3)the modification strategy of the sophisticated type base on good will of negotiation proposed not only can realize best product quality coordination, but also can be the dominant strategy of retailer and manufacture. References | Related Articles | Metrics

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Research on Double Contracts Selection with Recyclers' Competition of Closed-Loop Supply Chain Based on Multi-Agent Model HE Chao, SONG Xue-feng, FENG Chun-hua 2015, 23 (8):  75-83.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.009 Abstract ( 1816 )   PDF (1471KB) ( 1779 )   Save The competition of recyclers is a typical characteristic of many closed-loop supplies in chain. In order to effectively coordinate competitive recyclers' decision-making, remanufacturing enterprises need to provide two or more recycling contracts at the same time to effectively identify the different types of recyclers. A model of closed loop supply chain comprised by a single manufacturer and many recyclers with Multi-Agent model is constructed. In this model, recyclers compete with each other, face two different contracts at the same time: the simple price contract and quantity contract and continuously optimize their recycling cost. Through the numerical simulation of the model, this paper draws the following conclusions: double contracts than a single contract is more advantageous to the closed-loop supply chain coordination; there is not a stable convergence prices when many recyclers competing; recycling costs down to closed-loop supply chain optimization has important value for long-time optimization. The conclusion of this paper is better explain to the situation of closed-loop supply chain practice in our country, and this paper expands the scope of theoretical research and provides the theory support for the closed-loop supply chain participants in the decision-making at the same time the method is easy to remanufacture. References | Related Articles | Metrics

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Prediction Modeling Method of Grey Isomerism Data for Calamity Emergency Material Demand ZENG Bo, MENG Wei, LIU Si-feng, LI Chuan, CUI Jie 2015, 23 (8):  84-91.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.010 Abstract ( 1888 )   PDF (1961KB) ( 1646 )   Save Multiple-source information aggregation is a significant way to improve the reliability of the statistical data in the environment of natural disasters. However, the diversity of information sources often cause the inconformity and incompatible types of the aggregation information data which thereby produce isomerism data sequences that belong to different types of data. The modeling technology of grey system is applied to study the modeling method for grey isomerism data. First, the grey heterogeneous data is normalized based on the "Kernel" and "degree of greyness"; then a (1,1) DGM model of grey heterogeneous data "Kernel" sequence is established. According to the "Kernel" and the axiom of grey degree not-reducing, a grey prediction model of heterogeneous data is built by using the information field to which the maximum degree of greyness in the grey heterogeneous data sequence corresponding as the information field of the prediction results, Finally, the model is applied to forecast the demand volume of tent in the ya'an earthquake. The research results of the project will expand the traditional modeling objects of gray forecasting model from homogeneous data to heterogeneous data and has a vital significance for enriching and perfecting the grey prediction model theory system, and improving the efficiency of natural disasters and rescue. References | Related Articles | Metrics

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Optimal Cash Holding Structure:A Perspective on the Value of Capital Supply Chain CHEN Ming-qin, LIU Xing 2015, 23 (8):  92-101.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.011 Abstract ( 1807 )   PDF (1256KB) ( 1385 )   Save Internal capital misallocation always leads to the war of control between company owner and manager. How to setup an optimal cash holding structure including investment income and cash dividend rate scheme as a decision framework for company value improvement become more and more important. A newsvendor model is applied and the strategic interaction as a Stackelberg game is built to analyze the effect of optimal cash holding structure from the owner's perspective. It is found that a risk-neutral owner should always set the cash dividend rate equal to industry cash dividend for offering convenient on using money to manager; The manager will always prefer investing capital by himself to borrowing outside capital; Under optimal cash holding structure,both the owner's profits and capital supply chain improve, and the manager might improve his profits relative to under borrowing outside capital depending on his current compensation contracts. Our findings support the "information" hypothesis in internal capital markets and provide guidance for company owner when facing manager market full of strong tendency of private benefits of control. References | Related Articles | Metrics

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The ImpactOf Relational Contracts Stability about Fresh Agricultural Product Supply Chain Study: From the Persepective of Cold Chain Facilities Subsidy Mode XIONG Feng, PENG Jian, JIN Peng, ZHANG Xiang-yang, QIU Yun 2015, 23 (8):  102-111.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.012 Abstract ( 1968 )   PDF (1291KB) ( 1823 )   Save Due to the influence of the product characteristics and mode of operation between upstream and downstream of supply chain, fresh agricultural supply chain pears many problems such as the weakness of contracts stability and the large wastage of agricultural product. Therefore, it would be of vital significance to explore the stability of contracts from the angle of reducing agricultural product's wastage. Through building a profit model under two different organizational modes and considering the factor of cost,the article analyzes the impact that introduction of cold chain facilities under relational contracts akes on the freshness of agricultural product and the benefit of participants in supply chain. It concludes that relational contracts and the appropriate subsidies for agricultural cooperatives from government act a significant role in promoting the freshness of agricultural product and the profit of whole supply chain, which would result in relational contracts stability fresh agricultural product supply chain eventually. Certain references for studying stability of agricultural product supply chain and quality of agricultural product in the future are provided. References | Related Articles | Metrics

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Decision-making and Coordination of Supply Chain With an Investment on RFID Technology ZHANG Li-hao, FAN Ti-jun, YANG Hui-xiao 2015, 23 (8):  112-121.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.013 Abstract ( 2212 )   PDF (1462KB) ( 1867 )   Save A two-echelon supply chain system with a manufacturer and a retailer is considered, using a Newsvendor model, the players' profit models are built under four scenarios (the supply chain does not adopt RFID technology; Only the retailer adopts RFID technology; Only the manufacturer adopts RFID technology; And the supply chain players adopt RFID technology together)and get the Stackelberg equilibriums and the players' optimal expected revenues. Then the effect of the players' revenue with the investment on RFID technology is discussed and the coordination strategy is obtained when the supply chain players adopt RFID technology together. It is found that whether the adoption of RFID technology by the retailer or the manufacturer will always improve both players' profits when the cost of RFID tag and the rate of inventory inaccuracy are lower than the thresholds. Furthermore, the revenue sharing contract can coordinate the supply chain which both the players adopt RFID technology, and it improves the application theory of RFID technology and it is valuable and significant in supply chain's operations. References | Related Articles | Metrics

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Inventory Policy for Non-instantaneously Deteriorating Items with Time-varying Holding Cost and Deterioration Rate LI Gui-ping, DUAN Yong-rui, HUO Jia-zhen, XIONG De-ping 2015, 23 (8):  122-131.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.014 Abstract ( 1903 )   PDF (1356KB) ( 1899 )   Save This paper aims to investigate the inventory policy for non-instantaneously deteriorating items. A generalized inventory replenishment model is formulated by maximizing the average profit of the system. In the model, it is assumed that the demand rate is influenced by the instantaneous inventory level with different influence coefficients in the deterioration period and non-deterioration period, the deterioration rate in the deterioration period and the holding cost are time-varying, shortage is allowed and the unmet demand is partially backlogged in the shortage period. The sufficient condition for the existence of the unique optimal solution to the model is presented. Finally, some numerical examples and the sensitivity analyses on the main parameters are given using the Newton's method. The results indicate that, to prolong the non-deterioration period of items will be helpful to the increase of the system's average profit. The increase of the demand in the deterioration period is more beneficial to the increase of the system's average profit than that in the non-deterioration period. For deteriorating items with high deterioration rate, the influence of the disposal cost of the deterioration items on the optimal policy and the average profit is significant. Besides, the model formulated in this paper is generalized, so it has a wide range of application. References | Related Articles | Metrics

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Research on the Consumption Fluctuation Characteristics and Customer Segmentation of Natural Gas Customer HE Zhi-yi, CHEN Zheng-hui 2015, 23 (8):  132-138.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.015 Abstract ( 1795 )   PDF (1055KB) ( 1940 )   Save It is a realistic problem for the production suppliers that how to effectively meet the demand of customers who have continuous consumption and the consumption are cyclically fluctuated. Based on the customers' daily natural gas consumption time series data, the spectral methods are applied to analyze the fluctuation characteristics of consumption. Then, the discriminant function equation is constructed using hierarchical clustering analysis and discriminant analysis according to the volatility indicators. Based on the Jiangsu Province customers' daily consumption data of "WE" natural gas sales company, this paper found that: The fluctuation characteristics can be depicted by 13 indicators derived from spectral methods analysis. The customers can be classified by those fluctuation indicators and adopt different pitch-peaking method for different categories of customers. An analysis foundation for natural gas suppliers optimizing their pitch-peaking project is provided. In addition, this method can be used on new customers' segmentation according to their future natural gas demand fluctuation so that the suppliers can proactively take effective measures to solve the problem of consumption fluctuations of new customers. References | Related Articles | Metrics

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Supply Chain Coordination by Revenue-Sharing Contract under Fairness Concerns with Fuzzy Demand WANG Ning-ning, WANG Xiao-huan, FAN Zhi-ping 2015, 23 (8):  139-147.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.016 Abstract ( 1904 )   PDF (1147KB) ( 1968 )   Save Since retailers often exhibit fairness concerns in the process of the supply chain revenue distribution, the problem of revenue-sharing contract and coordination is discussed in a two-echelon supply chain with fuzzy demand. On the basis of the revenue-sharing contract with fuzzy demand, the revenue-sharing contract model considering the retailer's fairness concerns is constructed. Then, through solving the model and numerical experiment, how the retailer's fairness concerns affects the supply chain coordination by revenue-sharing contract is analyzed. The results show that the revenue-sharing contract under fairness concerns can still coordinate the supply chain, but the coordination policy of the revenue-sharing contract is affected. It is beneficial for the members of supply chain to optimize the supply chain coordination performance by revenue-sharing contract. References | Related Articles | Metrics

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Evolution Game of Consumer Purchasing Behavior on Different Displacement Vehicles ZHANG Guo-xing, CHENG Su-jie, WANG Ying-luo 2015, 23 (8):  148-157.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.017 Abstract ( 2177 )   PDF (2346KB) ( 2049 )   Save The automotive industry is an important source of China's energy consumption and pollutant emissions, and is the focus of the work of energy saving and emission reduction, and the government adjusted auto consumption policy to encourage and guide automotive consumer s' buying behavior. In this context, according to the game between the situations in China's auto consumption market consumer buying behavior of different cars and government consumption policies, an evolutionary game model of consumer purchase behavior for different displacement cars is constructed, and the evolution problem of the evenly mixed consumer group's different displacement automobile behavior is analyzed in the case of single automobile brand. Studies have shown that: in the combined effect of oil prices, consumer utility, consumer policy and car costs, consumer buying behavior exists to the three specific evolution cases of the evolution to the small displacement evolution, random evolution and the evolution to the large displacement. Then the evolution characteristics of consumer buying behavior are analyzed in the particular case of the Volkswagen Magotan car in the current circumstances. When the operational costs for lower oil price is not enough to become an obstacle to the car consumers to buy cars behavior capacity factors, or the utility consumption difference is higher, the government should increase the intensity of consumption policies to guide consumers to purchase low-emission cars; when the oil price is on the higher level, the government can gradually relax implementation auto consumption policy. The theoretical support is provided for the government to guide automotive consumers' scientific and reasonable energy-saving buying behavior. References | Related Articles | Metrics

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Interim Performance and Active Management of Mutual Fund: Theory and Evidence LUO Rong-hua, LAN Wei, YANG Yun-hong 2015, 23 (8):  158-167.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.018 Abstract ( 1670 )   PDF (916KB) ( 1764 )   Save Fund ranking is widely published in various media and have essential impact on funds' future cash flow. The degree of active management is the most fundamental feature of the active mutual fund. Hence, it is very important to study how managers adapt their investment behavior according to the economic incentives from the aspect of active management. In this article, firstly the relationship between funds' mid-year ranking and the later degree of active management theoretically and empirically are illustrated. Theoretically, a two-period tournament model is developted, and it is indicated that the wining managers are more likely to adopt higher degree of active management relative to the losers. Empirically, using the historical data of open-ended fund from 2006 to 2011 in China, it is found that the mid-year "winners" fund that earn returns above the median, did increase their degree of active relative to the losers. Our empirical finding confirmed the results of our theoretical model. References | Related Articles | Metrics

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Disposal Mechanism of Environmental PollutionMass Incidents Based on Evolutionary Game and Optimization Theory ZHENG Jun-jun, YAN Long, ZHANG Hao-yu, HE Hong-yong 2015, 23 (8):  168-176.  doi: 10.16381/j.cnki.issn1003-207x.2015.08.019 Abstract ( 1667 )   PDF (1253KB) ( 2113 )   Save Environmental pollution events are researched to explore the causes of environmental pollution incidents and solve the problem derived from environmental pollution events. First,the environmental pollution incidents and relevant conflicts of interest are studied by using evolutionary game theory. And when there exists information interaction among groups and public opinion guidance from supervision department, the evolution characteristics of environmental pollution even are displayed. Second, by using optimization theory, the solution of how to disposal the environmental pollution is discussed when considering the overall interests in the long run. It shows that strengthening public opinion guidance, avoiding the error signal and improving the regulatory credibility help to evade and settle conflicts caused by environmental pollution events. Physical protection and warning and punishment can be adopted to solve the environmental problem. In the case of considering long-term effects and the overall interests, this paper introduces the information interaction and public opinion guidance and combines evolutionary game theory and optimization theory are introduced to explore how to effectively dispose environmental pollution mass incidents. References | Related Articles | Metrics