Table of Content

    20 April 2020, Volume 28 Issue 4 Previous Issue    Next Issue
    Does Stock Index Futures Trading Increase the Stock Market Volatility in China?——Theoretical and Empirical Research Based on Investor Structure
    CHEN Qi-an, ZHANG Hui, CHEN Shu-yu
    2020, 28 (4):  1-13.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.001
    Abstract ( 598 )   PDF (1068KB) ( 438 )   Save
    The introduction of stock index futures trading may prompt changes of investor structure and their trading behaviors, thus having an effect on stock market volatility. Since the official launch of the CSI 300 stock index futures trading on April 16, 2010, the surge and crash phenomenon in China's stock market has not been significantly improved intuitively and there has been controversy over whether stock index futures trading will increase or reduce the volatility of the stock market. Therefore, the study on the influence of stock index futures trading and investor structure on stock market volatility has important theoretical and practical significance for clarifying the role of stock index futures trading on the stability of China's stock market, optimizing the investor structure, improving the trading system of the stock index futures and ensuring Chinese stock market to develop healthily and steadily. First, a mathematical model is established to theoretically study the effect mechanisms of the stock index futures trading and investor structure on the stock market volatility based on the behavioral characteristics of various investors in stock and future markets. The following theoretical research results are obtained. In the presence of stock index futures trading in stock market, the stock market price volatility will decrease with the increase of the proportion of arbitragers, and increase with the increase in the proportion of speculative traders and in their speculation. When institutional investors hold more market share than individual investors, the stock market volatility would decrease with the increase in the institutional investors' market share. When the market share of institutional investors is more than individual investors and speculators are more speculative, or the market shares of institutional investors is more than individual investors but does not exceed a certain threshold and speculators are less speculative, the stock market price volatility is negatively correlated with the proportion of general institutional investors.When the market share of institutional investors is more than individual investors and exceeds a certain threshold and speculators are less speculative, stock market price volatility is positively correlated with the proportion of general institutional investors.When institutional investors have less than 50% market share, the impact of the proportion of institutional investors and general institutional investors on stock market volatility depends on the unanticipated changes in the macro economy, the capacity level of investor, the proportion of general institutional investors and arbitrager, the margin ratio of spot and futures trading, the speculative strength of speculator and many other factors, and there are many uncertainties.Then the volatility changes of the China's stock market before and after the launch of the CSI 300 stock index futures are theoretically forecasted based on the theoretical model results and the changes in the structure of investors in the Chinese stock market. And taking the CSI 300 index and investor structure data from January 4, 2007 to April 5, 2016 as samples, the GARCH model is used to empirically test the theoretical prediction results. The empirical research results show that after the launch of the CSI 300 stock index futures trading, the volatility of the Chinese stock market would be negatively related to the market share of institutional investors, and the launch of CSI 300 stock index futures significantly reduced the volatility of the China's stock market. The increase in the proportion of institutional investors will strengthen the weakening effect of CSI 300 stock index futures trading on the volatility of China's stock market. These empirical results prove the validity of the theoretical model and its prediction results empirically.The research results of this paper provide theoretical and empirical evidence for the inhibitory effect of stock index futures trading on the Chinese stock market volatility based on the investor structure and investors' trading behavior characteristics, and clearly answer the question of whether the volatility of China's stock market has increased or decreased after the introduction of stock index futures, and negates some investors' intuitive feeling and idea that stock index futures trading will increase the volatility of China's stock market, and provide theoretical and practical guidance for China's development and improvement of the stock index futures market. China's securities regulators should vigorously develop stock index futures products and increase financial risk management tools, strengthen the cultivation of institutional investors from both quantitative and qualitative aspects and improve the ability of institutional investors to use stock index futures trading for hedging and risk management, and improve the stock index futures trading system and curb speculative traders' speculative behavior to strengthen the role of stock index futures trading in stabilizing the stock market.
    References | Related Articles | Metrics
    Systemic Risk in China's Interbank Liability Networks Based on the Bayesian Methodology
    YAN Guan, LIU Zhi-dong
    2020, 28 (4):  14-26.  doi: 10.16381/j.cnki.issn1003-207x.2019.1660
    Abstract ( 478 )   PDF (1051KB) ( 320 )   Save
    Interbank exposure is one of the main channels of risk contagion especially in terms of systemic risks.However, the theoretical models in this field have standardized and generalized specifications and don't capture banks' characteristics in reality. In this sense, this study is of practical significance as it is based onthe balance sheet data of real players in the China's financial system. Due to the lack of bilateral exposures between banks, interbank liability matrices must be estimated. The most widely used estimation method, such as entropy maximization, gives point estimator that underestimates systemic risks, while a large number of interbank liability matrices are sampled with the application of Bayesian methodology.The Gibbs samplers of three different network specifications are constructed. Moreover, most of the previous literature only has listed banksor a dozen of largest banks as samples, ignoring more than one hundred smaller banks which are also indispensable for the whole system.
    The aim of this study is to give a better understanding of the systemic risk in China's interbank market and to identify the susceptible or robust institutions. Based on the balance sheet data of 185 banks in China, including the "Big Six"; 12 joint-equity banks; 98 city banks; 42 rural banks; and 27 foreign banks, the systemic risk arising from interbank liabilities is examined by the Bayesian methodology which samples a large number of interbank liability matrices.Then the default probabilities of individual banks are generated after negative loss shocks. To the best of our knowledge, it might be the first paper in the Chinese context to measure systemic risks based on the simulation of interbank liability networks. The results show that the structure of interbank liability matrices can remarkably impact on the default probabilities of financial institutions. The scope of being influenced is wider if the network connection probability is in the intermediate level. In a complete network, the effect of risk sharing exceeds that of risk contagion. To conclude, the interbank exposure not only enables the institutions to share risks but also provides the channel for spreading risks. This role transformation depends on the interaction of the following factors:the characteristics of shocks, e.g. the shock size, the number of attacked banks as well as the category of attacked banks; the recovery rate of liquidation; the structure of banks' balance sheets.
    References | Related Articles | Metrics
    Prediction of Financial Time Series Based on LSTM Neural Network
    OUYANG Hong-bing, HUANG Kang, YAN Hong-ju
    2020, 28 (4):  27-35.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.003
    Abstract ( 1286 )   PDF (2494KB) ( 683 )   Save
    The prediction of financial time series has been a very challenging and meaningful work. An effective prediction model should reflect the complex features such as nonlinearity, non-stationary and sequential correlation that exists in financial time series and conclude the dynamic non-linear interaction effects among the financial economic variables. So, the Long-Short Term Memory (LSTM) deep neural network is used to predict financial time series data. In order to improve the generalization ability of the LSTM model, wavelet analysis is adopted to preprocess the financial time series data to eliminate the noise components of high frequency. That is, wavelet analysis and LSTM deep neural network are combined to forecast financial time series data. At the same, taking the daily closing price of Dow Jones Industrial Average as an example, the prediction ability of LSTM neural network for actual financial data is explored. And this result is compared with the prediction results of Multilayer Perceptron, Support Vector Machine, K-nearest Neighbors and GARCH model. Results show that LSTM neural network can balance the prediction effect of the training set, validation set and test set. And LSTM shows a better prediction effect than shallow machine learning models and GARCH model and better generalization ability. Also, the wavelet decomposition and reconstruction of the financial time series data can effectively improve the generalization ability of the LSTM neural network and can better predict the long-term dynamic trend of the financial time series data. It proves the applicability and effectiveness of LSTM neural network in the area of financial time series prediction, and it is of great significance to monitor the risk of securities market and provide investors with investment suggestions.
    References | Related Articles | Metrics
    Dynamic Evolution Study on Inter-sector Financial Institution Systemic Importance and Resonance Effects
    CHEN Mu-zi, ZHAO Ting-ting, LIU Cheng-lin, CHEN Min
    2020, 28 (4):  36-47.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.004
    Abstract ( 372 )   PDF (3439KB) ( 124 )   Save
    Financial institutions play an important role on the stability of financial system due to scale and interconnectedness. Too big to fail or too relevant to fail is not only one of the difficulties in academic research, but also the focus of industry and regulatory agencies.Based on up to about 10 years' return of financial institutions' cross-cycle heterogeneity risk, the financial sectors' interconnected networks are constructed through Granger causality, and the dynamic evolution of causal interconnected networks within and among banks, brokers, insurances and trusts sector is analyzed under different market states. Different financial sectors' capital market performance characteristics under the bull, the bear and the shock market are obtained from aspects of institution centrality, interconnectedness, system tightness,subgroup and core-edge structure. The empirical results show that China's financial system is becoming more integrated and interconnected. The influence of the bank and broker sectors is significantly higher than that of the insurance and trust sectors. The dynamic Granger correlation of the bank and insurance sectors is enhanced in bull market and weakened in bear market.The bank sector has become the most systemically important sector in China's financial system.The results of this study can provide important references for the financial institution supervision and systemic risk control as well as provide inspiring significance of capital market investment.
    References | Related Articles | Metrics
    Volatility Forecasting in the Presence of Microstructure Noise and Measurement Error
    ZHAO Hua, XIAO Jia-wen
    2020, 28 (4):  48-60.  doi: 10.16381/j.cnki.issn1003-207x.2019.0575
    Abstract ( 423 )   PDF (965KB) ( 121 )   Save
    Asset prices are often affected by market friction, and thereby microstructure noise is generated. Noises in asset prices make the prices deviate from the equilibrium. In this situation, asset prices are no longer subjected to a continuous semimartingale process so that realized volatility is no longer a consistent estimator of integrated volatility, so noises should be considered in volatility model. Based on the asymptotic distribution theory of measurement error, the impact of microstructure noise is introduced into the variance of measurement error and HARQ-N model which takes microstructure noise into consideration is developed. The estimation and forecasting of HAR, HARQ, HARQ-N and HAR-RV-N-CJ models are compared using Monte Carlo simulation and high frequency data of Chinese stock market. Simulation and empirical results show that coefficients of measurement error adjustment terms in HARQ model and HARQ-N model are negative and significant; When measurement error get larger, short term volatility provide less information for future volatility. Compared with HARQ model, HARQ-N model places greater weight on the measurement error adjustment term and attenuates the impact of microstructure noise and measurement error more; In terms of in-sample and out-of-sample forecast, HARQ-N model is better than other models and the improvement is statistically significant. There is significant long memory property and persistence in volatility of stock market. Long term volatility has significant influence in the forecasting of different terms volatility, though short term volatility influences mid and long terms volatility less than long term volatility.
    References | Related Articles | Metrics
    Is Dynamic Nelson-Siegel Model Compatible with Arbitrage Free——Empirical Evidence from China Treasury Yield Curves
    KONG Ji-hong, YUE Wei
    2020, 28 (4):  61-72.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.006
    Abstract ( 519 )   PDF (1024KB) ( 120 )   Save
    The Dynamic Nelson-Siegel term structure model (DNS) of bond yields, which has good empirical performance, has the theoretical flaws that cannot exclude arbitrage opportunities. However, the No-Arbitrage Affine Term Structure model (NA_ATSM), which compatible with the financial theory with no-arbitrage constraint, does not perform well in the empirical application.
    Therefore, the comparison and combination of the two kinds of models are the goals of many literatures. In this paper, the DNS model and the NA_ATSM model are estimated and compared to explore the characteristics of the yield curves in China treasury bond market. Furthermore, the yield curve latent factors generated by the DNS model is used to estimate the NA_ATSM model and further to test whether they were compatible with the no-arbitrage constraint.
    The end-of-month yields of China treasury bond market from March 2006 to December 2017 with 142 sample months are used, consisting of 10 maturities of 1, 3, 6, 9, 12, 24, 36, 60, 84 and 120 months from Wind Financial Database which are derived with Hermite interpolation method from three different market segments, such as the interbank market, stock exchange market and over the counter market. The most active market is the interbank bond market, which provides transaction of bonds for commercial banks, securities companies and other institutions.
    In the empirical analysis, the DNS model of the term structure is estimated, and then the NA_ATSM model is estimated by using the factors extracted from the DNS model as exogenous factors. It is concluded that there is the time-varying risk price of risk, which confirms the existence of term premia in China Treasury bond market. However, it is also found that there is no significant difference between the two models in fitting performance, and there is no evidence that no-arbitrage constraint can help to improve the forecast performance.
    Second, given the assumption of independent normality of the cross-section equations of yields and the assumption of joint normality of state vectors, a number of artificial data of interest rate and state factors generating are reconstructed by Monte Carlo simulation method. Under the estimation and test with the simulated data, it is found that the factor loadings under the no-arbitrage model is statistically different from the loadings from the Dynamic Nelson-Siegel model, which means there is a significant inconsistency between the yield curve generated by the DNS model and the no-arbitrage constraint in the China bond market, that is, there is no evidence to reject the hypothesis of existence of arbitrage opportunities in the China treasury market.
    References | Related Articles | Metrics
    Optimal Investment Structure Model on Investment Linkage from the Perspective of Retailer Operation
    LI Xin, YU Hui
    2020, 28 (4):  73-85.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.007
    Abstract ( 436 )   PDF (2226KB) ( 148 )   Save
    In supply-side structural reform, investment linkage is an important means to drive the "financial services real economy" and promote "combination between industry and finance". Further, the rational investment structure becomes the key to explore the "financial resource allocation efficiency" in investment linkage. According to statistics, from the beginning of 2016 to the end of June 2017, a total of 8.389 billion yuan of loans have been issued and 373 enterprises have been served through the investment and loan linkage financing in Beijing. By the end of the second quarter of 2017, the balance of investment and loan linkage was 4.802 billion in Shanghai, which is 78.93% growth compared to 2016. The bank actively carried out investment and loan linkage business and built a good cohesion way for industrial and financial capital. On the one hand, banks rely on "equity" investment finance to penetrate deeper into the real economy and achieve a close integration of finance and the real economy. On the other hand, equity investment further optimizes the financial structure of enterprises, enhances the ability of corporate debt financing, and effectively alleviates the financing dilemma of small and medium enterprises. Based on the realistic background, the article attempts to explore the "investment and loan linkage interval" and the optimal investment structure that could coordinate the maximization of the interests of investors by the retailer's robust risk model. This provides a theoretical reference for supply chain operations and financial integration. The paper overcomes the disjunction between investment decision and enterprise capital structure in previous studies. Firstly, a retailer investment and loan linkage financing model is constructed, and then the new characteristics of investment institutions participating in the game are described. Finally, the optimal investment structure and its influence on the decision-making of supply chain operation are discussed through mathematical deduction and numerical analysis. The investment and financing sides play the Stackelberg game, and the investors (banks and private equity) are leaders. The investor first makes the equity proportion (φ) to pursue the expected net investment return maximum, and then the retailer makes the robust decision with conservative net asset maximization when only knowing the information of market demand. Among all distributions that satisfy the mean value of μ and the variance of σ2, it is found that the expected net assets of retailers are minimized (the worst distribution), and the optimal effort level e and order quantity q is determined to meet the expectation maximization. It is found that there exists the "investment linkage interval" and the optimal investment structure and the optimal investment structure is dominated by market growth. Moreover, lower corporate income tax has reduced the debt tax shield effect, there is an investment preference for "anti-pecking order".
    References | Related Articles | Metrics
    Research on Game Models of Competitive Retailer-led Closed Loop Supply Chains with Different Collection Modes
    SUN Hao, WANG Lei, LI Chen, HU Jin-song, ZHONG Yong-guang, DA Qing-li
    2020, 28 (4):  86-98.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.008
    Abstract ( 415 )   PDF (4014KB) ( 206 )   Save
    With the development of economic globalization, competition in the same industry has gradually transformed from competition among enterprises into competition among supply chains. In this context, game models of two competitive retailer-led closed loop supply chains (CLSCs) are studied under three kinds of combinations of collection modes:MR combination, MT combination and RT combination. The equilibrium prices, collection rates, profits of channel members, single chain profits and total profits of two chains under three combinations are derived based on backward induction method. The results of six chains in three combinations are compared by mathematical derivation and numerical examples. The conclusions show that:(1) the increase of the competition intensity makes the retail prices, the collection rates and the market demand increase, and improves the profits of all the chain members. However, it does harm to consumer interests; (2) the orders of selling prices, collection rates, manufacturers' profits, retailers' profits and chain's profits in four chains of MR and MT combinations are irrelevant with the competition intensity between two chains; in contrast, the competition intensity does affect the relations between the equilibrium solutions and manufacturers' and retailers' profits of RT combination and those in MR and MT combination. (3) For either of the two chains, if its competitive chain is manufacturer-collection (retailer-collection), it should form a retailer-collection (manufacturer-collection) chain from the perspective of chain's profit under different collection modes; if its competitive chain is third-party-collection, it should form a manufacturer-collection chain when the competition intensity is lower than a specific threshold, otherwise it should form a retailer-collection one. (4) If the competition between the two chains is moderate, the total profit of the two chains in MR combination is higher than that in MT or RT combination due to its higher collection efficiency; however, when the competition intensity increases gradually, the total profit of the two chains in RT combination will exceed those in RT and MR combination one by one; when the competition between the two chains are extremely fierce, the total profit in MR combination is even lower than that in MT combination. Therefore, the fierce competition has the greatest positive effect on the two chains in RT combination, but has the least positive effect on MR combination. The above conclusions enrich the theory of CLSC competition and can help the manufacturers choose the appropriate collection modes in practice in a chain-to-chain competition environment.
    References | Related Articles | Metrics
    Pricing and Carbon Emission Reduction Decisions in A Socially Responsible Supply Chain
    TANG Shu-zhuan, LIU Yun-zhi, XIAO Tiao-jun
    2020, 28 (4):  99-108.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.009
    Abstract ( 549 )   PDF (1568KB) ( 671 )   Save
    Implementing corporate social responsibility,including environmental and social responsibilities, is important for sustainable development.Nowadays, corporate social responsibility is no longer just an internal issue within an organization or a company; its impact is extended to the partners of the supply chain. Thus, it is necessary to make a deep study on the socially responsible supply chain management. In this paper, a dyadic manufacturer-retailer supply chain with corporate social responsibility and cap-and-trade scheme is considered when either the retailer or the manufacturer dominates the product market. In the manufacturer-/retailer-led supply chain, the manufacturer produces products and sells them to retailer, then the retailer sells the products to consumers; and all channel members have access to the same information. Meanwhile, the manufacturer exhibits environmental responsibility behavior, that is, it adopts the carbon emission reduction technology under the cap-and-trade scheme; and the retailer exhibits social (welfare) responsibility behavior, that is, it takes the consumer surplus into consideration when setting price. Based on game theory and optimization method, the price and carbon emission reduction decisions of channel members are investigated; and the effects of the retailer's socialresponsibility behavior, the efficiency of investment of carbon emission reduction technology, and the consumer's environmental awareness on firms' decisions and profits (utilities), total consumer surplus, and social welfare are examined. The main results can be obtained as follows:the retail price, carbon emission reduction level, and sales quantity may simultaneously increase with the attentiondegree of retailer's social (welfare) responsibility; for the retailer-led supply chain, the retailer does not always benefit from the increase of the efficiency of investment of carbon emission reduction technology (consumer's environmental awareness); for the manufacturer-led supply chain, the manufacturer and retailer may simultaneously benefit from the increase of the attention degree of retailer's social responsibility, and there may be a first-mover disadvantage for the manufacturer. In short, a new perspective is provided to investigate the price and carbon emission reduction decisions of a socially responsible supply chain, which contributes to behavioral decision theory.
    References | Related Articles | Metrics
    Firm's Production Decision under Emission Permits Price Uncertainty
    JIN Shuai, GU Min, SHENG Zhao-han, YUAN Yu-feng
    2020, 28 (4):  109-121.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.010
    Abstract ( 384 )   PDF (3248KB) ( 154 )   Save
    Currently researchers usually adopt expected utility theory to explore the firm's production decision under emission trading scheme with uncertainty. Considering the fact that the price uncertainty of emission permits is ubiquitous in existing emission trading schemes, primarily the prospect theory is introduced to make an intensive study on the firm's production decision under emission permits price uncertainty. To start with, the correlations between emission permits price and firm's decision-making behavior, including product output, emission reduction and permits trading, are extracted by establishing an optimization model for production decision under specific price of emission permits. Based on the above analysis, the value function, subjective probability and decision weight function of the firm's production decision under the situation of emission permits price uncertainty are analyzed and deduced, and a production decision model considering psychological reference point and decision preference using prospect theory is proposed. The results show that due to many factors such as the information limitations, resource endowments, psychological expectations and behavioral preferences, the firm's actual production decision will systematically deviate from the expected optimal production decision pattern. Numerical examples are presented to demonstrate the firm's complex decision-making behavior facing emission permits price uncertainty from many different aspects, such as psychological reference points, initial allocation of emission permits, standard deviation of emission permits price, and risk-attitude coefficients. The example analysis results are closer to the reality scenario, and fully demonstrate that the model based on prospect theory can be used to better describe the firm's actual production decision under emission trading scheme.
    References | Related Articles | Metrics
    Self-construction Versus Merger and Acquisition: Evolutionary Game of E-commerce Platforms on Logistics Integration Competition
    XIA De-jian, WANG Yong, SHI Guo-qiang
    2020, 28 (4):  122-130.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.011
    Abstract ( 575 )   PDF (1300KB) ( 295 )   Save
    Facing the fierce logistics aging market competition,many e-commerce platforms have begun to establish their own logistics systems through self-construction or merger and acquisition(M&A). In view of this, self-construction and M&A are considered as alternatives to two e-commerce platform oligarchs with the intention of building a self-operated logistics system. Firstly, the reverse induction method is used to solve the equilibrium profits of the two platforms when they both adopt self-construction mode, both adopt M&A mode, and one adopts self-construction mode while the other adopts M&A mode respectively. Then, based on the evolutionary game theory, the stability of different equilibrium points are analyzed. Finally, four different evolutional stable equilibriums are obtained. The research conclusions are as follows:(1)If self-construction's investment is obviously lower than that of M&A, and the buyer's demand is not sensitive to the competitive platform's logistics services, both platforms will take self-construction as the dominant strategy, so the pooling equilibrium (self-construction, self-construction) can be formed. (2)If M&A's input is obviously lower than that of self-construction,and the buyer's demand is not sensitive to the competitive platform's logistics service, both platforms will take M&A as the dominant strategy, so the pooling equilibrium (M&A, M&A) can be formed. (3)If the two logistics integration modes have a different fixed input in the early stage, and the operating cost in operational phase is not sensitive to logistics service, when the buyer's demand is sensitive to the logistics service of the other platform, neither platforms have dominant strategy, but they will choose the same logistics integration mode to the competitor's as their optimal stratgey, so two pooling equilibriums which are (self-construction, self-construction) and (M&A, M&A) can be formed. (4)If the difference on fixed input between the two logistics integration modes is small, and the operating cost is not sensitive to logistics service level, when the buyer's demand is not sensitive to the other platform's logistics service, neither platforms have dominant strategy, but they will choose a different logistics integration mode to the competitor's as their optimal stratgey, so two separating equilibriums which are (self-construction, M&A) and (M&A, self-construction) can be formed.
    References | Related Articles | Metrics
    Stochastic Evolutionary Scenario Analysis of Risk Set Clustering NIMBY Conflicts Events
    CHEN Heng, LU Wei, DU Lei
    2020, 28 (4):  131-141.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.012
    Abstract ( 391 )   PDF (1744KB) ( 128 )   Save
    With the implementation of the modern urban management community system in China, the community conflicts caused by public facilities are becoming increasingly prominent. Among them, risk set clustering NIMBY eventshave become the main causes of community conflicts. The complexity and random disturbance of the evolution process of NIMBY conflict events require that existing research should not be limited to the analysis of events in a deterministic environment, but should explore the conflict itself in a more real uncertain environment. In view of this, based on evolutionary game theory, Gauss white noise is instroduced to establish the stochastic evolutionary game model of risk set clustering NIMBY conflict events in uncertain environment, so as to compares and analyzes the evolution process of group strategy selection in deterministic system and stochastic system under the scenario of non-government regulation and government regulation by using MATLAB simulation. It is found that (1) in the government non-regulation situation, when the incomes of construction enterprises adopting tough strategy are less than their action costs, and the costs borne by the surrounding people taking protest strategy are more than their incomes, both sides tend to adopt (cooperation, compromise) strategy combination. In addition, in the government non-regulation situation, the speed at which the construction enterprise and the surrounding people's strategy evolved to equilibrium point closely related to its initial strategy selection probability.(2) In the government regulation situation, when the government regulation is greater than the difference of construction enterprises between the profit to adopt a strong strategy and cooperation strategy, and government regulation is greater than the difference between the resistance strategy and the compromise strategy of the surrounding people, (cooperation, compromise) is the only equilibrium point of evolution strategy. In addition, in the government regulation situation, government regulation has a significant impact on the strategic choice of construction enterprises, while has no significant impact on the surrounding people's strategic choice. (3) Random factors interfere with the strategic choice behavior of the construction enterprises and the surrounding people in the risk set clustering NIMBY conflict, but its evolution trend is consistent with deterministic evolution model. The research findings reveal that the legitimate expression of people's interests, the improvement of government regulation mechanism, and the establishment of "flexible" conflict compensation mechanism in enterprises can promote the construction of risk set clustering NIMBY conflicts events governance framework.
    References | Related Articles | Metrics
    Stochastic Evolutionary Game Model for Resolution Mechanism of Mass Events
    SONG Min-xue, LIU De-hai
    2020, 28 (4):  142-152.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.013
    Abstract ( 616 )   PDF (1383KB) ( 241 )   Save
    Effectively resolving mass events is one of the important tasks faced by Chinese governments at all levels in maintaining social harmony and stability. Mass events have some management characteristics such as strong suddenness caused by random interference factors, rapid evolution with the updated external environment, limited number of participants (from more than five people to thousands of people) and inconsistent interests of the protesters. The key step to successfully resolve events is that the protest group is divided into small groups and then some members accept the solution.
    In this paper, in order to discover the resolution mechanism of mass evens, a stochastic evolutionary game model of mass event is proposed based on the Moran process in the limited population. Given the factor game of protesters that the protesters can choose to exit the protest strategy W and continue to protest strategy A, the probability that the number of protesters with the withdraw strategy increases by one unit is defined as Pi,i+1=ifi/ifi+(N-i)gi·(N-i)/N, where the total number of protesters is N, the number of protesters with the withdraw strategy is i, the protesters' utility taken the withdraw strategy is,fi=1-β+βπWi, and the protesters' utility taken the continuous protest is gi=1-β+βπAi. The parameter β denotes selection intensity,β∈[0,1]. Ifβ→0,then it is weak selection, Ifβ=1, then it is strong selection, where the utility function is equal to the relative payoff.
    Then, the impact of selection intensity on the evolutionary equilibrium of mass events is analyzed. If random elements dominate the evolution of events, i.e.β→0, the strategy of withdraw protest W will become a evolutionary equilibrium in the condition of ρW=1/(1+)>1/N, where ρW means the fixation probability of W strategy. If the deterministic factors dominate the evolution of events, i.e.β=1, the strategy of withdraw protest W will become a evolutionary equilibrium in the condition of h1>0,hN-1>0, where h is the difference of utility function between withdraw protest strategy W and continue protest strategy A. The above results provide the necessary condition and resolution mechanism for mass events. Lastly, the numerical analysis is taken based on the land expropriation compensation incident in Dongguan city.
    The results show that the mass events are resolved successfully, when the interference of random factors is relatively small, the economic resources that are competed by governments and protesters is lower, the government compensation and the cost of conflict are higher, and the fixation probability that the protesters exit the protest is larger. The scale of the protesters has a threshold at which protests can be successfully defused. Comparing the weak selection process dominated by random factors with the strong selection process excluding random factors, the latter has a smaller critical scale of protesters.
    In conclusion, a new theoretical explanation about the resolution mechanism of mass events is provided based on the stochastic evolutionary game theory. Moreover, an abundant management inspiration for local governments is provided to resolve mass events effectively. For example, the size of the protesters is an important factor in the successful resolution of the mass events. In the initial stage of the mass incident where the external random factors and the size of the group participating are small, the local government should increase the disposal intensity. The government adheres to the principle of resolving the rule of law channels and increases the punishment for illegal acts of beating, smashing and looting, which is conducive to the resolution of events and so on.
    References | Related Articles | Metrics
    Simulation and Optimization of PPP Project Performance Payment Mechanism Based on Evolutionary Game
    LIANG Xiu-feng, ZHANG Fei-lian, YAN Hong-yan
    2020, 28 (4):  153-163.  doi: 10.16381/j.cnki.issn1003-207x.2018.0434
    Abstract ( 526 )   PDF (4365KB) ( 214 )   Save
    One of the key cores of the PPP model is the payment based on performance. The scientific rationality of the performance payment mechanism is the guarantee for the successful implementation of the PPP model. In the performance payment process of PPP projects, performance supervision agency can adopt two strategies:careful supervision and non-careful supervision. Project company can adopt two strategies of earnestly accomplishing performance goals and not completing performance goals. The result of performance payments is the result of a game between the performance supervision agency and the project company. The evolutionary game method is used to analyze the evolutionary equilibrium strategy of performance supervision agency and project company in performance payment. It is found that there are three evolutionary stable equilibrium strategies and two kinds of unstable equilibrium strategies. The system dynamics are simulated for five evolutionary states. Simulations show that the simulation results of the three stable equilibrium strategies are consistent with theoretical analysis. One of the two types of unstable equilibrium strategies is an equilibrium strategy that does not exist, and the other is an unstable equilibrium strategy that exhibits regular fluctuations. For the performance-based payment mechanism, a volatility-unstable equilibrium strategy is introduced, and dynamic performance payment is introduced to optimize it and evolve it into a stable and balanced strategy. And theoretically verified the effectiveness of the introduction of dynamic performance payment to make the fluctuation unstable equilibrium strategy into a stable equilibrium strategy. Provide some reference for the government departments to design and improve the performance payment mechanism of PPP projects.
    References | Related Articles | Metrics
    DEA Super Efficiency Evaluation Model with Weight Constraints and Its Application
    GONG Ri-zhao, LIU Yu-xi, PAN Fen-ping
    2020, 28 (4):  164-173.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.015
    Abstract ( 468 )   PDF (935KB) ( 182 )   Save
    For a group of evaluation units with multiple inputs and multiple outputs, such as a group of industry-academia collaborative innovation projects to evaluate their relative effectiveness, the Data Envelopment Analysis (DEA) method is an effective and commonly used quantitative analysis method. However, in the optimization model constructed by the DEA method, because the feasible region does not fully consider the objectively important information among the indicators, it leads to the model overemphasizing the differences in the input and output characteristics of the evaluation unit, even led to an unreasonable phenomenon that the weight of a very important indicator is 0. An idea is proposed that combines DEMATEL method and data envelopment analysis method. That is to say, the index weight information obtained by the DEMATEL method is included in the constraints of the non-Archimedean limitless ε-CCR model and its super-efficiency model, and constructed a weight-constrained ε-CCR model and a weight-constrained super-efficiency ε-CCR model. Based on the above model, using the annual report data released by the US-Institute Collaborative Research Center of the National Science Foundation from 2014 to 2015, an empirical analysis of the relative efficiency of 71 university-led I/UCRC programs is conducted. The empirical results show that super-efficiency ε-CCR model with weight constraints is more effective than super-efficiency ε-CCR model without weight constraints, which can not only fully rank evaluation units, but also overcome the irrational evaluation result by super-efficiency ε-CCR model without weight constraints. These results help to further promote the theoretical innovation and application of DEA method, provide new methods for decision-making problems of multi-input and multi-output projects, and improve the scientific decision-making of related departments.
    References | Related Articles | Metrics
    A Time Claim Method Based on Float
    ZHANG Li-hui, CHAI Jian-xue, QI Jian-xun, ZOU Xin
    2020, 28 (4):  174-185.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.016
    Abstract ( 357 )   PDF (2140KB) ( 96 )   Save
    Scheduling delay is common in construction projects, and effective time claim is the guarantee of the interests of all parties and project benefits when the project duration is delayed. Therefore, it is of great significance to make time claim properly. However, the methods for time claim at present have certain shortcomings and limitations although they have different strengths respectively as well. The key problem is that the principle of interaction among delayed activities and the effect on total duration have not been clarified when several activities are delayed. As a result, time claim is often accompanied by disputes and difficult to deal with. This paper is to propose a new method for time claim analysis based on float which reveals the laws of network change in scheduling delay.
    Firstly, the "combination effect", which refers to the phenomenon that the actual delay of total duration is not always equal to the sum of the values that each delay postpones total duration alone, is proposed in this paper. Then,the principle of interaction among delayed activities is studied based on float characteristics in CPM. And the laws of combination effect in multi-activities delay are revealed. The proportion of combination effect for each delayed activity is determined according to the influencing factors of combination effect, and the responsibility of each delayed activity in time claim is further derived. Therefore, a time claim method based on float is proposed.
    Finally, a case project is used to demonstrate its capabilities and the advantages of the proposed method are analyzed. Results show that this method can make up for the shortcomings of current common methods. As for the analysis content, the float ownership is more reasonable, and the claim result is fairer for the proposed method. As for the analysis tool, the method can be programmed, thus avoiding the multiple updates of the network.
    The contribution of this paper is twofold.First, the combination effect is revealed,and the influence relationship among delayed activities and how this interaction affects the total duration in CPM are figured out. Second, the time claim method proposed in this paper can provide project managers with a powerful tool which can make time claim fairer.
    References | Related Articles | Metrics
    Dynamics of Sequential Pricing Game Model with Bounded Rationality
    GONG Qing-bin, YANG Zhe
    2020, 28 (4):  186-194.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.017
    Abstract ( 463 )   PDF (1664KB) ( 118 )   Save
    There is a type of oligopolistic market between the Bertrand model and the price leadership model in the real economy. There are large firms and small firms in the market, as well as different quotation methods, which form a sequential price competition. The study of the equilibrium solutions, the stability of equilibrium points, and the complex phenomena in the dynamic evolution plays great significance for enterprise competition and market regulation. In order to depict the real business, it is supposed that the firms are boundedly rationaland adjust the price according to the marginal profit. In the paper, a basic model based on complete information is established firstly. The Nash equilibria of the model are solved, which are also the Pareto optimal solutions. Then, the expectation adjustment with the bounded rationality is considered and the dynamic market model is established. The four equilibria of the model are solved, and the stability of the equilibrium solutions are discussed. It is found that the boundary solution and the Nash equilibrium solution are local stable equilibrium under certain parameters. The dynamic game based on bounded rationality can achieve the Nash equilibrium based on complete information. The pure following strategy could be equilibrium strategy. Furthermore, the fast adjustment speed of firm expectation and the low following level of pricing can result in chaos, which is bad for market performance.Numerical simulations of the model are provided. As it is shown, the chaotic phenomena such as bifurcations and singular attractors may occur when thestability conditions are violated. According to the results of the study, firms can optimize the competition strategy by adjusting the following level. Regulators can enhance the stability of the market by coordinating the following strategy of firms and building the market price index.
    References | Related Articles | Metrics
    Can Modern Service Industry Promote Urbanization?——An PVAR Analysis Based on the Perspective of City-industry Integration
    XU Hai-feng, WANG Xiao-dong
    2020, 28 (4):  195-206.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.018
    Abstract ( 390 )   PDF (2398KB) ( 126 )   Save
    China is at a crucial stage of deepening urbanization. This revolutionary change which is going on in China cannot be fully explained by "industrial determinism", as service industry is playing an increasingly important role in it. As important pillar industries of the national economy as well as guide industries of modern service industry, circulation industry and tourism industry are boosting the urbanization in a steady and noticeable manner, thanks to their strengths of efficient agglomeration, high industrial contribution and capable of offering more jobs. Also, the two industries have strong urban economic function and service function, hence constituting an indispensable part of the urban industrial system and public service. In light of those facts, one of the major issues related to the study of urbanization drivers in China is supposed to involve whether circulation and tourism industries can make urbanization sustainable or not and how big their driving force can be in the years to come.
    Based on PVAR model and synergy theory, an empirical analysis of the coupling interaction between circulation and tourism industries and urbanization is made by picking out the panel data of the entire country from 2005 to 2016. Firstly, a theoretical analysis is conducted on the interaction mechanism between them. Secondly, a PVAR model of the three is established on the basis of theoretical analysis, for the purpose of analyzing the causal relationship of the three by means of Granger causality test, impulse response function and variance decomposition. Finally, the coupling coordination evaluation model is set up by referring to synergy theory, and an empirical evaluation of the interaction strength and the coupling coordination development level among the three is conducted on the levels of nation, region and industries, and concluded with modes of coordinated development. The research reveals that:(1) There exists a stable equilibrium relationship between circulation and tourism industries and urbanization, and the former two turn out to be the long-term driver for the latter. However, there are regional differences. (2) In the early days, the under-developed circulation and tourism industries lagged far behind the urbanization which was mainly driven by industrialization, and the gap gradually narrowed down later. The coupling coordination development level of three systems has been continuously improved. But there are regional variances, with the development level of eastern region the highest, that of the central region in the middle, and that of the western region the lowest. (3) The coupling coordination development process mode is summarized by classifying it into the evolutionary convergence and development synchronization. The development level of each system in development synchronization type is relatively consistent, which is conducive to raising the coupling coordination development level at a fast rate. The industrial perspective of the study of urbanization drivers in China is enriched, and the empirical method adopted in this paper can solve endogeneity. This paper can be of great help in facilitating the readers' understanding of the internal coupling mechanism between circulation and tourism industries and urbanization, so as to provide a basis for formulating corresponding industrial policies. As well as that, it can promote deep integration of them, boost high-quality urbanization and contribute to the industrial transformation and upgrading.
    References | Related Articles | Metrics
    Evolutionary Game Analysis of Development Strategies of Government and Game Enterprises under Public Participation
    QU Guo-hua, LIU Xue, QU Wei-hua, ZHANG Qiang
    2020, 28 (4):  207-219.  doi: 10.16381/j.cnki.issn1003-207x.2019.0295
    Abstract ( 460 )   PDF (1899KB) ( 276 )   Save
    It is an effective measure to deal with teenagers' addiction to online games and other negative social influences for game enterprises to choose and set up anti-addiction mechanism behavior strategy. Public supervision and government regulation are important guarantees to build a good social atmosphere.Aiming at the problem that more and more teenagers in our country indulge in virtual online games and influence social atmosphere, a three-party evolutionary game model of government, the public,game enterprises is constructed and a replicated dynamic equation is established on the basis of government regulation and public supervision.According to the results of this model, the evolutionary stability strategy under different circumstances of the government,the public and the game enterprises is gotten. Through the method of numerical analysis, the influence of the success rate ofregulation between the government and game enterprises' choice of anti-addiction mechanism is analyzed through the method of numerical analysis.The research shows that the success rate of regulation plays an important role in the strategy selection of game enterprises. Under different circumstances, the government can effectively supervise the game enterprises to adopt different strategies according to the relevant information. From a short-term perspective, no matter what strategy the government adopts, the public and game companies will choose "no supervision" and "no anti-addiction mechanism" in consideration of their own interests. In the long run, in the absence of government supervision, the public and game companies will still take the initiative to choose "supervision" and "set up anti-addiction mechanism".
    References | Related Articles | Metrics
    Consensus Measure Method for Probabilistic Linguistic Information in Multi-attribute Group Decision Making
    REN Rong-rong, MENG Yi-ming, LI Xiao-qi, ZHAO Meng
    2020, 28 (4):  220-230.  doi: 10.16381/j.cnki.issn1003-207x.2020.04.020
    Abstract ( 473 )   PDF (1080KB) ( 196 )   Save
    In the decision-making process, linguistic terms can express the preferences of decision makers.The probabilistic linguistic term sets (PLTS) can be not only given directly by experts, but also given by the evaluation information of different groups' decision-makers in a large group.so PLTS has a very important role in the decision-making process. However,there are few methods for PLTS multi-attribute group decision making in the exiting researches. The aggregation process and consistent measurement are important factors in group decision making.At present, the research of PLTS has just started. The related research on PLTS does not pay attention to the problem of consistency measurement. The existing aggregation methods are less applicable to PLTS multi-attribute group decision making,and the aggregation methods are not only computatively more complex, but also the aggregation results are unreasonable. The multi-attribute group decision-making method of PLTS needs further study. Therefore, the purpose of this paper is to propose a new consistency measure and aggregation method based on the existing research, and to establish a PLTS multi-attribute group decision method which considers the consensus measure method. Its main feature is that decision makers' weights are unknown,we consider the consistency of decision maker to make decisions. Firstly, decision makers' weights are determined by defining a consensus measure of PLTS, and proposed a aggregation to aggregate the evaluation information of each decision maker. Finally, ranking PLTS by the degree of possibility formula. In addition, in order to clarify the effectiveness and advantages of the method in this paper, the comparison between the method in this paper and the existing method shows that the proposed method avoids a large number of operations and the final ordering which contains probability information can illustrate the decision result more clearly. What's more,the proposed method could beused for reference to the aggregation of probabilistic language evaluation information, and can provide an effective tool for multi-attribute group decision making problems with unknown weights of decision-makers.
    References | Related Articles | Metrics