Table of Content

30 April 2008, Volume 16 Issue 2 Previous Issue    Next Issue

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A New Model and Its Tests for Measuring the Liquidity Risk of Stocks HAN Guo-wen, YANG Wei 2008, 16 (2):  1-6.  Abstract ( 2306 )   PDF (761KB) ( 2175 )   Save The conventional approach to measure liquidity risk of stocks is to calculate the average liquidity cost of stocks.The volatility of liquidity which reveal the time-series risk is gradully taken into account in recent years.This method of measuring liquidity risk is more reasonable in practice.Based on the two methods above we set up a new model,the liquidity cost-risk rectangle and the iso-liquidity risk curve,which integrate the former two different methods.We test our new model by employing a sample of the listed 107 A-stock's in Shanghai Stock Market.The results show that our model can measure liquidity risk of stocks more effectively and really. Related Articles | Metrics

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The Long Memory for Ultra-High Frequency Durations Series of Chinese Stock Markets GENG Ke-hong, ZHANG Shi-ying 2008, 16 (2):  7-13.  Abstract ( 3638 )   PDF (1004KB) ( 1478 )   Save This paper puts forward a long memory stochastic conditional durations(LMSCD) model for ultra-high frequency(UHF) durations series,and designs a kind of spectrum likelihood estimation method based on chaos-tabu genetic algorithm.Through Monte Carlo simulation experiments,we prove the feasibility of estimation method.Thereafter,making use of the ultra high frequency data in Shanghai stock market,we construct three different LMSCD models,which are for trade durations LMSCD,price duradons LMSCD and volume durations LMSCD,respectively.We testify the existence of long memory in ultra-high frequency durations series of Chinese stock market. Related Articles | Metrics

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Theoretical Study of the Anomalies of Convertible Bonds Market——Pricing of Convertible Bonds Based on Agency Problem LIU Liang 2008, 16 (2):  14-19.  Abstract ( 2638 )   PDF (883KB) ( 1341 )   Save Through a theoretical model,this research studies the under pricing problem in the convertible bo nds market,and finds that the separation of asset pricing and corporate finance is one of the major reasons for the under pricing problem.And the numerical analysis proves the conclusion of the theoretical model.So emerging the corporate and asset pricing provides a breakpoint for the research about the under pricing and smiling phenomenon in the convertible bonds market. Related Articles | Metrics

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Analysis of the Cheapest-to-deliver on Treasury-bond Futures Contracts ZHOU Zi-kang, CHEN Fen-fei, ZHANG Qiang-jing 2008, 16 (2):  20-24.  Abstract ( 3166 )   PDF (264KB) ( 1227 )   Save The paper discussed in detail the choices of the Cheapest-to-deliver(CTD) and delivery losses of various deliverable bonds.Using the real market data of U.S.Treasury-bond futures,empirical research and simulation analysis were conducted.The results indicate that various deliverable bonds have dramatic delivery loss and the CTD plays core role by connecting the real delivery,exchange with pricing of futures contracts.Analysis on the Cheapest-to-deliver Treasury-bond Futures has increasingly important theoretical and practical significances in resuming and developing Treasury bond Futures market in China to ensuresafe operation and sustainable development of the market. Related Articles | Metrics

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The Non-parametric Forecast Method for Returns to Scale of DEA WEI Quan-ling ZHANG Qian-wei 2008, 16 (2):  25-29.  Abstract ( 2488 )   PDF (587KB) ( 1197 )   Save With the application of the production possibility sets of intersection-form,this article presents the multivariate production function which is determined by the non-parametric method for the production department with multi-input factors.Furthermore,the necessary and sufficient conditions for distinguisking the future state of the returns to scale being increasing,co nstant,decreasing,saturated and congestion when the input scale being expanded are discussed in this paper.The results can be applied into scientific analysis that whether each decision making unit needs to expand the scale and how to expand it. Related Articles | Metrics

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Noisy Information, Structural Model and Bank Clients’ Credit Limit Management CHENG Gong, ZHANG Wei 2008, 16 (2):  30-36.  Abstract ( 2707 )   PDF (788KB) ( 1310 )   Save This paper investigated how to calculate clients' credit limit applying structural models.Firstly,it derived a structural model including noise which were consistent with china local financial market and the bank's practice of credit risk management.Then,a new method to calculate clients credit limit was brought forward.Finally,a case study was put forward.We found that:(1)When other factors were fixed,the probability of default(PD) was increased monotonously with the increase of default-trigger value;(2) it was useful to increase banks' client credit limit when the noisy information was improved;(3) in comparison with banks actual method,its result was more cautious and more informatory. Related Articles | Metrics

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A Continuous Time Revenue Management Problem with Multi-Channels WEI Yi-hua, HU Qi-ying, XIA Yu-sen 2008, 16 (2):  37-41.  Abstract ( 2380 )   PDF (698KB) ( 1530 )   Save This paper discusses the continuous time yield management problem with multidistribution channels.By use of the control theory,an HJB optimal equation which the maximal expected revenue function satisfied is obtained.We also prove that the maximal expected revenue function is increasing and concave in inventory,and is decreasing and concave in time.And also,a relationship between the optimal price strategy of different distribution channel is obtained.Finally,a simulation is used to discuss the effect of pricing based channel. Related Articles | Metrics

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A Vendor Managed Inventory Model with Buyer’s Subsidy LUO Bing, ZENG Ling-ling 2008, 16 (2):  42-48.  Abstract ( 3731 )   PDF (790KB) ( 1232 )   Save Considering the buyer's giving an extra subsidy to the supplier,a profit model including a producer and a buyer is generated.The evidence is provided that there exists a reasonable subsidy to make the supplier and the buyer's profits increased in short-term and long-term.Moreover,it could decrease the purchase price and increase the annual purchase quantity.Finally,an example and sensitivity analysis was given to illustrate the models. Related Articles | Metrics

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A Comparison Study on Tactics for Supply Chain Coordination When the Freight Cost is Sensitive to Order Quantity GUI Hua-ming, MA Shi-hua 2008, 16 (2):  49-56.  Abstract ( 3836 )   PDF (1101KB) ( 1557 )   Save Considering a supply chain selling one type of product with multi-period and probabilistic custourer demand,we assume the freight cost of unit product is sensitive to order quantity and the manufacturer undertakes products transportation,the optimal lot size models in decentralized decision are presented.The analytical result shows that the more rigid the freight cost of unit product to order quantity is,the smaller the optimal production lot size is,which is in accordance with short order lead time and small order quantity that claimed by the wholesaler.And,if the wholesaler,not the manufacturer,undertake products transportation,the optimal order quantity of the wholesaler will be closer to the optimal production lot size of the manufacturer.Finally,the numeral analysis shows that from the perspective of the manufacturer,when the freight cost of unit product is rigid to order quantity,the quantity discount policy is superior to the tactic of the wholesaler replacing the manufacturer to undertake products transportation.However,when the freight cost of unit product is sensitive to order quantity,vice versa. Related Articles | Metrics

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Decision of Remanufacturing Product Choice with Product Substitution ZHOU Chui-ri, LIANG Liang, GOU Qing-long, XU Chuan-yong, ZHA Yong 2008, 16 (2):  57-61.  Abstract ( 2280 )   PDF (538KB) ( 1354 )   Save Remanufacturing is a significant manner to treat returned product.This paper studies a simple decision model of remanufacturing with product substitution.There are high and low quality level remanufacturedproducts and the remanufacturedproduct with high quality level can be sold by the price of remanufactured product with low quality level.Finally,a simulation example shows the advantage of the strategy with product substitution comparing with the strategy without product substitution. Related Articles | Metrics

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Extended NBD-Dirichlet Model and Its Application to the Research of Retail Store Choice HUANG Jin-song, WANG Gao, LI Fei 2008, 16 (2):  62-68.  Abstract ( 3098 )   PDF (754KB) ( 1192 )   Save The pure stochastic NBD-Dirichlet model can be applied to study consumers' retail store choice behavior(store choice and shopping frequency).However,due to lack of covariate variables in the model,it cannot explain consumers'store choice behavior.This article extends the pure stochastic model by incorporating explanatory variables,and applies the extended model to empirically study consumers'supermarket choice behavior in Beijing.The major findings include:(1) Market penetration is the critical indicafor of supermarket performance;(2) Promotion has no effect on consumers'supermarket choice,but it has positive significant effect on consumers'shopping frequency;(3) Household income has significant effects on both supermarket choice and shopping frequency;(4) Amount of expenditure per store trip has no effect on store choice,but it has negative significant effect on shopping frequency;(5) There is little price variation among supermarkets so price has no effect on consumers'shopping frequency;and(6) Product assortment has tremendous impact on consumers'supermarket choice. Related Articles | Metrics

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The Research on Optimization Model for Recurrent Training Plan of Aviator Full Flight Simulators PAN Bang-chuan, SONG Zhi-yong, XU Bao-guang, GAO Min-gang, CHI Hong 2008, 16 (2):  69-75.  Abstract ( 2463 )   PDF (971KB) ( 2107 )   Save According to the regulation of civil aviation,pilots need to attend Full Flight Simulator(FFS) recurrent training every six months,according to civil aviation rules.In this paper,we present a multi-objective nonlinear programming model to fulfill aviator recurrent training arrangement.One objective is to make the pilots practice before the end of the duration since the last recurrent training.The other is to make the pilots and copilots match for a practice.The restrictions of the obtainable time of faculty,the number of FFS,the flights scheduled and the duration of the recurrent training are considered.If we take into account the match only,there is a precondition for no bimonthly match.A decomposition algorithm is designed to solve the model and an example is settled. Related Articles | Metrics

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Research on Application Strategy of RFID in Discrete Manufacturers DING Bin, LUO Feng-lin, SUN Xiao-lin, YUAN Hai-tao, LI Geng 2008, 16 (2):  76-82.  Abstract ( 3486 )   PDF (874KB) ( 1660 )   Save The paper first reviews the related work of RFID applied in discrete manufacturers.Then,it analyzes key problems to be solved and requirements in application.Based on the analysis,the paper proposes RFID application objectives and principles,and designs four levels of RFID application as unit applicadon,department application,overall optimization application of enterprise and supply chain application.Then,the RFID application strategies in discrete manufacturers are put forward.Finally,we have an empirical study on key components tracing in passenger cars in Jianghuai Automobile Group. Related Articles | Metrics

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Pooled Information Effect in Supply Chains with Partially Observable Demand Information LIU Kai-jun, ZHANG Zi-gang 2008, 16 (2):  83-90.  Abstract ( 2497 )   PDF (984KB) ( 1060 )   Save This paper considers a two-stage supply chain consisting of a supplier and two retailers where information is shared between firms.If s assumed that the demand distribution of the products is unknown and the demand information is partially observable.Firms refresh their priors on demand according to the Bayesian rule.As the information pools at the supplier,the supplier occupies more information than the retailers,which may distort the supplier's knowledge of the market demand.We call this phenomenon pooled information effect.This paper presents the definition of pooled information effect and derives the sufficient condition that pooled information effect is to take place.Numerical example shows that under certain conditions,it is well possible that pooled information effect will occur in supply chains. Related Articles | Metrics

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Economic Decision-making for Supplier Pricing in Knowledge Innovation WU Bing, LIU Zhong-ying, ZHAO Lin-du 2008, 16 (2):  91-96.  Abstract ( 2421 )   PDF (547KB) ( 999 )   Save In order to improve the feasibility of knowledge innovation in the supply chain,firstly,this paper narrated the meanings and characteristics of knowledge innovation in the supply chain.Then according to different levels of supplier involvement,four level of supplier involvement in knowledge innovation were constructed.On basis of this,the first level of cooperation knowledge innovation,i.e.the supplier's commitment to price,has important meaning.Then based on supply chain model of one-to-one manufacturer and supplier,the profit function of manufacturer and supplier was constituted under two kinds of situadon,through solving the function,economic decision-making condition for the supplier to commit price was induced. Related Articles | Metrics

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Channel Pricing Strategy under Retailer Difference FAN Xiao-jun, CHEN Hong-min 2008, 16 (2):  97-103.  Abstract ( 2513 )   PDF (789KB) ( 1338 )   Save With the development of retailer power,the effect of retailer on channel pricing strategy becomes stronger and stronger.We study the problem of channel pricing strategy in the channel with single manufacturer and double retailers under retailer differentiation.We abstract retailer differentiation into retailer brand and retail cost differentiation.Moreover,we consider the effect of demand function and channel power structure on channel pricing strategy.The research results are as follows.Whichever the manufacturer or retailer is the leader in the channel will result in the increase of retail price,and the leader in channel will get more profits from the channel than the follower.The retailer brands are more differentiated,the retail prices and the profits of retailer are higher,and the profits of manufacturer are lower.The retail co st are more differentiated,the profit of manufacture are higher,the profit of retailer with co st advantage are higher and the profit of retailer with cost disadvantage are lower,except that the retail price of the retailer with cost disadvantage under manufacturer Stackelberg power structure are higher,retail price under other power structures are lower. Related Articles | Metrics

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The Research and Application of Performance Management “the Indices Matrix Model” in the Private Enterprise Based On Factor Analysis YU Shun-kun, WU Yi-qun 2008, 16 (2):  104-109.  Abstract ( 2507 )   PDF (148KB) ( 1162 )   Save Performance management in the private enter prise has always drawn the at tention of experts and colleagues,but there are still many problems in practice.Basing on the research and application of department performance management in the private enterprise,the paper brings forward "the Indices Matrix Model".At this point,the empirical analysis is taken to refine the performance indicators at department level making use of fact or analysis."The Indices Matrix Model" has been used in the practice and demon strated its validity. Related Articles | Metrics

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A Calculation Method on Customer Prospective Profit Basedon Curve Fitting HE wei, LIU ying-zi 2008, 16 (2):  110-114.  Abstract ( 1792 )   PDF (467KB) ( 1950 )   Save The thesis builds a new method that the least squares methodis usedfor regression analysis on curvefitting of customer prospective profit which is the key factor in the calculation,and the customer prospective profit function is reached.1b give a detailed demonstration,the thesis takes the China Construction Bank as an example and does the goodness of fit test and level of significance test on the calculation results. Related Articles | Metrics

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An Adaptive Hybrid Genetic Algorithm Based on Niche Entropy LIANG Chang-yong, LU Qing, YANG Shan-lin, ZHANG Jun-ling 2008, 16 (2):  115-121.  Abstract ( 3370 )   PDF (787KB) ( 1728 )   Save A niche entropy-based adaptive hybrid genetic algorithm is proposed,which introduces entropy into the nicking method of sharing scheme.Nicking radius can be adjusted adaptively in the algorithm in order to improve the sharing scheme,and concept of niche entropy is put forth to measure population's diversity.Evolutionary parameters of crossover probability and mutation probability can also be adjusted adaptively on the basis of the evolutionary generation number and the niche entropy of the population in that generation.The strong global convergence of the algorthm is demonstrated in this paper,and experiments show that the algorithm can solve those multimodal function optimization problems with good global search ability and fast convergence rate. Related Articles | Metrics

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Time Series Analysis Based on Wavelet-Domain HMM-Smoothing, Interpolation and Prediction ZHANG Dong-qing, HAN Yu-bing, NING Xuan-xi, LIU Xue-ni 2008, 16 (2):  122-127.  Abstract ( 4022 )   PDF (939KB) ( 2411 )   Save In this paper,a method for time series,based on wavelet-domain hidden Markov model(WHMM),is proposed.In the first,after introduction of discrete wavelet transform briefly,we use the Gaussian mixture model(GMM) to describe the non-Gaussian feature of an individual wavelet coefficient.To capture the key statistical dependency and persistence property of the joint probability density in the whole wavelet coefficients of real-world signals,the hidden Markov tree(HMT) structure is adopted.The mo del trai山ng and the likelihood determination associated with the WHMM have been thoroughly studied.Then,from the Bayesian viewpoint and under the maximum a posteriori(MAP) probability estimation framework,we develop a model that deals with smoothing,interpolation and prediction of time series using WHMM as the prior knowledge.Thirdly,the Euler-Lagrange equation of the time series and the differential of log-likelihoodfunction have been deduced in detail by means of orthogonal wavelet transform and differential principle.Finally,a concise linear equation about smoothing,interpolation and prediction of time series is obtained and the expectation maximization(EM) algorithm and conjugate gradient(CG) algorithm are adopted to compute the WHMM parameters and reconstruct the time series alternately.Experimental results are so pleasant that WHMM can be applied in the time series of economic sphere. Related Articles | Metrics

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Research on Aggregated Approach to Group Decision Making with Fuzzy Judgment Matrix HE Yuan-yuan, ZHOU De-qun, WANG Qiang 2008, 16 (2):  128-131.  Abstract ( 2424 )   PDF (488KB) ( 1307 )   Save The effective aggregation of preference information is one of the most important problems in the process of group decision making.Different types of preference information need to have different aggregated approaches.Basedon the definition of the consistency of fuzzy judgment matrix,an op timizatio n mo del is set up to obtain an aggregated approach in group decision making.And several important properties such as the relationships between the group fuzzy judgment matrix andfuzzy judgment matrix provided by every decision maker are studied. Related Articles | Metrics

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Estimation Method of ARMA(1, 1) Model with Missing Data TIAN Ping, ZHANG Qi-shan 2008, 16 (2):  132-139.  Abstract ( 3808 )   PDF (729KB) ( 1865 )   Save In recent decades,when analysis and process two modern financial issues of "risk management and effectiveness of the optimization" in the international community,the financial time series model and the measurement of the growing corresponding play a very important role.The linear time-series models Have been known such as the AR(p),MA(q),ARMA(p,q).There are a lot of classical methods such as the least-squares method and the maximum likelihood method can estimate parameters of many models except missing data in the middle,when the above methods will be powerless.This article will discuss in detail the data deletion ARMA(1,1) model,that is,the parameter estimation methods of Zt=αZt-1+εt-βεt-1. Related Articles | Metrics

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Study on Multi-class Classification Method Based on Semi-fuzzy Hypersphere Support Vector Machine GUO Xue-song, YUAN Zhi-ping, LIU Bo 2008, 16 (2):  140-144.  Abstract ( 2560 )   PDF (573KB) ( 1098 )   Save Aiming at problems existing in the area of multi-class pattern recognition with large number of cata logs,a hypersphere support vector machine classification method based on semi-fuzzy kernel clustering is proposed.Samples are preprocessed with semi-fuzzy kernel clustering to ensure that the ones near boundaries are selected and then used to train hypersphere support vector machine so as to improve its performance efficiently.Some experimental results indicate that the new method yields higher precision and speed than classical support vector machine multi-class classification methods. Related Articles | Metrics

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New Evaluation Scale of Linguistic Information and Its Application DAI Yue-qiang, XU Ze-shui, LI Yan, DA Qing-li 2008, 16 (2):  145-149.  Abstract ( 2271 )   PDF (546KB) ( 1295 )   Save The known evaluation scales of linguistic information are analyzed,and their disadvantages are pointed out.Furthermore,a new evaluation scale of linguistic information is developed.Based on the developed evaluation scale,linguistic weighted averaging(LWA) operator and linguistic hybrid aggregation(LHA) operator,a method is proposed to evaluate the management of enterprise technology innovation in Jiangsu province.Theoretical analysis and numerical results show that the proposed method is not only straightforward and feasible,but also has no loss of information. Related Articles | Metrics

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New Conflict Analysis Model Based on Rough Set Theory GAO Jun-shan, GU Dong-yuan, XU Zhang-yan, WU Yuan-wei, WEI Jing 2008, 16 (2):  150-156.  Abstract ( 2553 )   PDF (803KB) ( 1107 )   Save In the artical,we constructed a new conflict system based on Pawlak's conflict system.In the new conflict system,it introduced the information system and the accepted scheme of each agent,the information system and the accepted scheme of the field experts,constrained conditions of different issues and accepted scheme of conflict system.At the same time,the algorithm for computing the accepted scheme of the conflict system is proposed.Finally,an example is used to illustrated the efficientness of the new conflict system model. Related Articles | Metrics

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To Optimize DEA——Tobit Two-stage Method and Evaluate the Government Performance Based on Nonparametric Regression Techniques MA Yan-jun 2008, 16 (2):  157-164.  Abstract ( 2684 )   PDF (1598KB) ( 1623 )   Save In view of the problem of DEA-Tobit Two-stage Method,we apply nonparametric regression Techniques in latter stage,rather than econometric methods such as OLS or Tobit related techniques.By relations between government performance and some independent variables.Using Kernel smoothing,we discover there lies negative correlation between government performance and revenue,government income.Nonparametric bivariate density estimation prove such conclusion.Contour map shows unstable relation between deficit and government performance,which corrects previous conclusion.Three-dimensional graph discloses the potential information about centralization degree of government power.However,DEA--Tobit Two-stage Method with nonparametric regression techniques has some problems,such as restriction of sample number,index setup,etc. Related Articles | Metrics

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Management Structure Model for Electric Enterprises Adapted to Power Market Reform in China ZHANG LI-hui, HAN Jin-shan, ZHAO Er-dong 2008, 16 (2):  165-171.  Abstract ( 2552 )   PDF (1010KB) ( 1255 )   Save The effectiveness of power market reform in China is concerned by the social public since 2002.This paper constructs a management structure model for electric enterprises based on path-goal theory,using survey research and PLS methods,to find out the influences and some problems of power reform from the aspect of electric enterprises.The result shows that the model is reliable and efficient.The market-oriented reform has resulted in positive changes in enterprises management,but the policy should be enacted more systematically and publicly.The electric enterprises need to improve the management to adapt to the marketing. Related Articles | Metrics

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Analysis of Task Contract for Fourth Party Logistics Enterprise Based on Incomplete Information Two-sided Bargaining Game WANG Yong, HAN Ping 2008, 16 (2):  172-178.  Abstract ( 2313 )   PDF (757KB) ( 1278 )   Save After the fourth party logistics(shorted for 4PL)enterprise gets the logistics tasks,he will choose the third party logistics(short for 3PL) enterprise to complete the logistics tasks.So the deal between the 4PL enterprise and the production enterprise will be affected by the deal between the 4PL enterprise and the 3PL enterprise.We obtain the price that the production enterprise pay for logistic tasks by using incomplete information two-sided bargain game,and analyze the affected factor.Compared the offer that 4PL enterprise makes under the knowledge of the deal between he and the 3PL enterprise with the offer that 4PL enterprise makes without the knowledge of the deal between he and the 3PL enterprise,we find the offer that 4PL enterprise makes in the former situation is higher than in the later situation,and analyze the reason why this phenomenon arises. Related Articles | Metrics

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A Study on the Industrial Value Sharing Model Based on Regional Industry Cluster Zhuang Ya-ming, Li Jin-sheng 2008, 16 (2):  186-192.  Abstract ( 3094 )   PDF (498KB) ( 1214 )   Save Following the development of technology, society and economy, traditional theories on regional industry cluster don’t accord with the practice of industry cluster. This paper thinks that industry cluster is a kind of dynamic chooses and its goal is gaining the superior in the industry competition. One of the intrinsic demands on the industrial core capability is sharing the industry value. The superior industries and superior industrial factors are the base of the industry choose and the industry sharing. At last, the paper puts forwards the industrial value sharing model based on regional industry cluster. Related Articles | Metrics

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A Study on the Industrial Value Sharing Model Based on Regional Industry Cluster ZHUANG Ya-ming, LI Jin-sheng 2008, 16 (2):  186-192.  Abstract ( 2168 )   PDF (519KB) ( 949 )   Save Following the development of technology,society and economy,traditional theories on regional industry cluster don't accord with the practice of industry cluster.This paperarg ues thatindustry cluster is a kind of dynamic chooses and its goal is gaining the superior in the industry competition.One of the in trinsic demands on the industrial core capability is sharing the industry value.The superior industries and superior industrial factors are the base of the industry choose and the industry sharing.At last,the paper puts forwards the industrial value sharing model based on regional industry cluster. Related Articles | Metrics