Table of Content

28 February 2008, Volume 16 Issue 1 Previous Issue    Next Issue

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Pricing Model of Basket Credit Default Swap Based on Copulas ZHAN Yuan-rui, HAN Tie, MA Shan-shan 2008, 16 (1):  1-6.  Abstract ( 3914 )   PDF (887KB) ( 2685 )   Save The development of copulas resolves the problem of description of correlation,and it is a real practicable method to construct multivariate probability distribution function. Based on the characteristic of copulas,this paper founds the pricing model of Basket Credit Default Swap,and creates the pricing framework. The worth of this paper is that it shows an operable way to solve the worrying problems of bad debts and the Surplus Liquidity. This paper also gives satisfactory simulation in order to show the effectiveness of the pricing framework. Related Articles | Metrics

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An Improvement of Fama French Three-Factor Model Based on State Switch Informations HE Yan-lin 2008, 16 (1):  7-15.  Abstract ( 4120 )   PDF (1180KB) ( 1897 )   Save An empirical analysis based on sample data of all A stocks listed on Shanghai and Shenzhen Exchanges from June 1995 to December 2005 found that,Fama French three-factor model could not explain perfectly Chinese portfolio returns during new sample period. In order to explain perfectly Chinese portfolio returns based on modern finance theory,an improvement of unconditional FF three-factor model was completed by means of state switch informations, and the improved conditional pricing model of state switch was empirically found to explain perfectly Chinese portfolio returns. A conclusion was followed that conditional pricing model of state switch is better than unconditional FF three-factor model while explaining portfolio returns. Related Articles | Metrics

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The Feature of Probability of Informed Trading and Risk Pricing in Shanghai Stock Market HAN Li-yan, ZHENG Jun-yan, LI Dong-hui 2008, 16 (1):  16-24.  Abstract ( 2830 )   PDF (999KB) ( 2537 )   Save Based on the model of EKOP,this paper estimates the probability of informed trading(PIN) in Shanghai stock market,describes the feature of PIN,and tests the risk pricing capability of PIN. The result shows,PIN is capable to be a risk factor in Chinese stock market,but its influence on return is negative. This result is contrary to the theory and the research on American market. With a case study,this paper proposes that the reason of the contrary result is due to the unique profit mode of the game between large and small investors in Chinese stock market.Besides,this result is also different from the previous research on Chinese market,and the reason for that is the differences in model estimation methods,regression methods and sample selection. Related Articles | Metrics

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Robust Pricing Model of Reload Stock Option under Uncertainty ZHANG Hui, CHEN Xiao-lan, NIE Xiu-shan 2008, 16 (1):  25-31.  Abstract ( 2191 )   PDF (600KB) ( 1029 )   Save The financial market with Knight uncertainty is studied.Assuming the underly ing stock asset follows geometric Brownian motion,the models of maximal and minimal pricing of reload stock option are built.Moreover,applying the theories of backw ard stochastic differential equation and partial differential equation,the models have been converted.At last the explicit solutions of the models have been given by using the theory of stochastic processes.And this paper depicts the important impact of Knight uncer tainty on the pricing of reload stock option through numerical analysis. Related Articles | Metrics

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A Study on Open-End Fund Managers’ Momentum Trading Behavior XIE Chi, ZANG Tai-yuan, YU Xiang 2008, 16 (1):  32-41.  Abstract ( 2677 )   PDF (1199KB) ( 1179 )   Save Through an analysis of 51 open-end funds as well as 126 stocks heavily held by these funds from December 2004 to March 2007 on Shanghai and Shenzhen Stock Exchanges,this paper investigates the momentum behavior and performance of open-end fund managers in China and tries to explain the source of profitability of the momentum trading strategy. We find that most of the open-end fund managers in China tend to adopt the momentum trading strategy,which buys stocks that have performed well in the past and sells stocks that have performed poorly in the past. We find that open-end fund manager tends to under-react to firm-specific information,while overreact to relative return momentum. Based on the foundational assumption in economics that people are rational,we offer an agency-based explanation to support the economic rationale for momentum in return. Related Articles | Metrics

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The Fractal Characteristic of Banking Operational Risk in China SIMA Ze-qian, CAI Chen, LI Jian-ping 2008, 16 (1):  42-47.  Abstract ( 2272 )   PDF (815KB) ( 1813 )   Save CPI and GDP are introduced to analyze influential factors of banking operational risk in the paper. The concept of elasticity fractal dimension of banking operational risk is given based on the fractal theory and the concept of economic elasticity. With the new calculation method,the elasticity fractal dimension of banking operational risk in USA and China is calculated and analyzed. The result shows clearly that banking operational risk in USA and China under the action of the influential factors of CPI and GDP has multifractal characteristic.And according to the elasticity fractal dimension of operational risk,data collection threshold can be obtained,which reduces the difficulty of data collection and is favorable to banking macroscopic analysis and supervison. The predicting ability of the elasticity fractal dimension is discussed preliminarily and has offered a new way for us to make more research on estimating expected losses of operational risk in our banks. Related Articles | Metrics

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Analysis about Seasonal Fluctuation of Brent Crude Oil Price WANG Shu-ping, WU Zhen-xin 2008, 16 (1):  48-52.  Abstract ( 2772 )   PDF (338KB) ( 1612 )   Save Oil price series are influenced constantly by numerous factors,so they can be decomposed into all sorts of components.Using X-12-ARIMA method,the paper analyzes seasonal fluctuation of Brent crude oil price and its movement discipline,in order to provide decision support for our country to importoil. Related Articles | Metrics

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Research on Ordering and Pricing Decisions in a Supply Chain with Downstream Transshipment QIAN Yu, CHEN Jian 2008, 16 (1):  53-59.  Abstract ( 2558 )   PDF (819KB) ( 1162 )   Save Lateral transshipment strategy becomes a powerful coordination mechanism to match demand and supply when supply lead time is relatively long and the demand is difficult to predict.This paper considers ordering and pricing decisions in a pharmaceutical supply chain consisting of one manufacturer and two wholesalers with downstream product transshipment.Under circumstances of decentralized decision-making,this paper provides the optimal order level of wholesalers and the optimal wholesale price of the manufacturer. Moreover,we investigate the overall supply chain performance impacted by the members' decision-making behaviors through numerical experiment in this environment. Related Articles | Metrics

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Supply Chain Coordination for Product with Different Price and Demand in Two Stages HUANG Guang-ming, LIU Lu 2008, 16 (1):  60-65.  Abstract ( 2386 )   PDF (698KB) ( 1178 )   Save This paper studies supply chain coordination issue for product with different price and demand in two stages. Firstly,we establish dynamic models for centralized coordination,decentralized without coordination and decentralized with coordination supply chain system respectively. Secondly,we prove that there exists best solution in the different models,and an improved revenue sharing contract can achieve the performance as the centralized one and allocate supply chain profit arbitrarily among retailer and supplier. Then the method to find the optimal contract parameter after given the scheme to allocate the coordination profit is presented. Lastly,we analyze the effect of different price and demand in two stages on supply chain performance and contract parameter. Numerical illustration indicates that the improved revenue sharing contract makes the supplier and retailer share the market risk and system profit,and achieve Pareto promotion. Related Articles | Metrics

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Supply Chain Coordination Model with Limited Warehouse and Inventory-Dependent Demand CAO Zong-hong, ZHOU Yong-wu 2008, 16 (1):  66-72.  Abstract ( 2471 )   PDF (321KB) ( 903 )   Save In this paper, we study coordination problem of a supply chain system consisting of one supplier and one retailer. Under the situation of considering stok-dendent demand the retailer faces, product's retail price related to its storage time,limited warehouse capacity and no shortage,the optimal strategies of the supplier and the retailer are first presented.Secondly,the paper discusses,as the leader,how the supplier designs quantity discount strategies so as to maximize his/herown profit and realize the perfect coordination of the supply chain system.Finally,the theoretical analysis and numerical examples show that quantity discount model is very effective in improving the coordination of the supply chain and the profits of two parties. Related Articles | Metrics

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Modeling and Analysis of Synchronized 3PL Transportation Scheduling Problem in Context of JIT Delivery LI Kun-peng, MA Shi-hua 2008, 16 (1):  73-79.  Abstract ( 2819 )   PDF (378KB) ( 1078 )   Save Recently,as the development of third party logistics(3PL),the service provided by 3PL is more professional.Considerable manufacturers out source their order delivery to 3PL in order to reduce the delivery cycle time.This paper investigates the synchronized 3PL scheduling problem,where the scheduling is determined by the manufacturer in the context of JIT delivery 3PL provides the detailed information including vehicle departure time,arrival time and available capacity Manufacturer determines how to employ the service provided by 3PL,considering the production schedule and delivery requirement,in order to a chieve JIT delivery with minimized cost The mathematical model is proposed in this paper Also,the computational complexities of the problem are investigated Finally,the computational complexities are tested by numerical experiments. Related Articles | Metrics

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A Heuristic Algorithm for Multi-Product Capacitated Lot Sizing with Subcontracting and Time-varying Transportation Costs LU Kui, YANG Chang-hui, Dai Dao-ming 2008, 16 (1):  80-85.  Abstract ( 2147 )   PDF (747KB) ( 1342 )   Save Subcontracting capacity to third parties has become a prevalent practice for improving an enterprise's competitive power and agility. In the problem,each order placed in a period is immediately shipped by some containers in the period and the total freight cost is proportional to the number of containers used. If the number of enterprise's containers is insufficient,then the enterprise needs to contract additional transportation capacity on the spot market,where the price of single container is higher and time-varying. The simultaneous determination of the lot sizes and the transportation policy that minimizes the total costs,including ordering cost,inventory holding cost and freight cost,is dealt with.As the problem is NP-hard,a lagrangian-based heuristic algorithm is proposed to compute lower and upper bounds,of which the comprehensive computational experiments show the compelling performance in terms of quality and speed. Related Articles | Metrics

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The Theory of Integrated Airline Fleet Dispatching SUN Hong, ZHANG Xiang, XU Jie 2008, 16 (1):  86-89.  Abstract ( 2238 )   PDF (635KB) ( 1553 )   Save In view of the characteristic of the production organization pattern in domestic airline and the necessity and the feasibility of implementing the integrated airline fleet assignment,a new concept of aircraft-"flight pairing" assignment cost is defined as a technology economic index for evaluating the quality of fleet dispatching scheduling,and the theory framework of implementing integrates airline fleet assignment is found. The research indicates that the integrated fleet assignment formation is the tendency of airline operating management pattern,which is helpful to enhance airline fleet operating efficiency. Therefore it is not only necessary but also feasible. Related Articles | Metrics

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Research on New Methods Based on Rntropy and Particle Swarm Optimization for Resource Leveling Problem QI Jian-xun, WANG Qiang, JIA Hai-hong 2008, 16 (1):  90-95.  Abstract ( 2513 )   PDF (565KB) ( 1117 )   Save The resource leveling optimization is one of the main contents of project management.Analyzing the resource requirements thoroughly and systematically,and making resource leveling optimization are helpful to solve the contradiction between the requirements and supply,it is of significant importance to project management.In this paper,the concept of resource entropy is defined and a resource leveling optimization model based on entropy function is designed.In order to over come the shor tcoming of the traditional algorithms,the particle swarm optimization method is adopted to solve this problem.Finally,a case is studied,it shows that the resource leveling optimization model based on entropy function is better than other models in terms of efficiencies and exactness. Related Articles | Metrics

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An EOQ Model of Replenishment with the Replenishment Capacity Affecting the Partial Backlogging ZHANG Xu-mei, QIU Han-guang, CHEN Jun 2008, 16 (1):  96-103.  Abstract ( 2696 )   PDF (1148KB) ( 1335 )   Save Based on the hypothesis of time-dependent partial backlogging,the effect of the waiting time between the next replenishment and the satisfaction of the backlogging demand on the rate of partial backlog-grog was investigated in this paper. Then the backlogging rate influenced by the replenishment capacity and the total of backlogging demand was proposed. Based on this new standpoint,an EOQ model of replenishment with the replenishment capacity affecting the partial backlogging was built up.At last,an emulator was performed and the results showed:improving the replenishment capacity could reduce the replenishment times to a lower constant level;this effect may increase the waiting time before the next replenishment,but it could decrease the waiting time after the start of reple山shment;so the trend of the lostsales varying with the replenishment capacity was not very distinct at the medium level of the replenishment capacity;However,the more adequate replenishment capacity could reduce the number of lostsales and improve the rate of partial backlogging during shortage period than the less one. Related Articles | Metrics

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Research on Multi-Attribute Procurement Combinatorial Auction Dynamic Mechanism Design HUANG He, CHEN Jian, XU Hong-yan 2008, 16 (1):  104-110.  Abstract ( 2578 )   PDF (769KB) ( 1326 )   Save We design an iterative procurement combinatorial auction (CA) rules based on price-quality bidding pattern,then construct the conception "competitive equilibrium score"(CES) to formulate optimization problem for the quality-related CA mechanism. By applying CES and a linear program plus its dual, we model the objective function as allocation efficiency and constraints according to the auction rules. The model implements a primal-dual algorithm for the auction,computing a feasible primal and a feasible dual that satisfy complementary slackness conditions when auction terminates,meanwhile allocation efficiency is achieved in the iterative procurement CA. Related Articles | Metrics

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Study of Trading Strategy Based on Markov Chain in Continuous Double Auction Market ZHAN Wen-jie, YANG Jie 2008, 16 (1):  111-116.  Abstract ( 2410 )   PDF (832KB) ( 1655 )   Save The work to design trading strategy in a continuous double auction market is more complex than that in one-side auction. This paper firstly tests the Markov character of the sequence of transaction price in the continuous double auction market with ZI-C (Zero-Intelligence with Constraint) traders. Then a new trading strategy based on the Markov chain is provided. Finally,the new trading strategy is proved to be superior to the ZI-C strategy by control experiments. Related Articles | Metrics

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An Improved Conjoint Analysis Based on FNN LI Chun-hao, LIU Cheng-ming 2008, 16 (1):  117-124.  Abstract ( 2406 )   PDF (939KB) ( 1148 )   Save Such drawbacks of CA as probably being invalid under some conditions,having not enough ability to well reflect inherent relations of complex systems,and not considering the inaccurate characteristic of evaluations given by valuators,are pointed out. To overcome the three drawbacks,according to the thought of the meta-synthesis from qualitative analysis to quantitative analysis of complex system theory, and based on the theory of the technique of fuzzy neural network,the improved CA based on FNN is presented. The distinguished advantages of the presented approach lie in that it can well capture inherent reladons of complex systems,and thus it is a general approach. The results of numerical demonstration analysis show that the rank of evaluated objects got by the developed approach is much closer to the real,and proves to be more reasonable than the classical CA. Related Articles | Metrics

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A Bi-Level Programming Model for Location of Commodity Exchange Market Network Points QIAO Zhong, LI Ling-ying 2008, 16 (1):  125-130.  Abstract ( 2670 )   PDF (602KB) ( 1522 )   Save In this paper,the status of location of commodity exchange markets nowadays was analyzed firstly as an explanation why location of commodity exchange markets should be valued. Then,a bi-level programming model is presented to seek the optimal location for commodity exchange markets by considering benefits of customers and planning departments of commodity exchange markets. The upper level problem is to maximize the gross benefit from the terms of decision makers by taking account of the relationships of the total cost for building commodity exchange markets and user demand. The lower level problem describes the users' choice behavior. Finally,aiming at the model,a heuristic algorithm is designed,the feasibility of the model and algorithm is also verified by taking Dangshan as an example. Related Articles | Metrics

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Selection of Volume Duration Models：Density Forecast Method LI Guang-chuan, LIU Shan-cun, QIU Wan-hua 2008, 16 (1):  131-142.  Abstract ( 2251 )   PDF (1710KB) ( 1880 )   Save Under the condition that the residual item follows Weibull,gamma and Burr distribution respectively and using high-frequency transaction data of two stocks including Pufa bank and G Zhonghai in Shanghai security market,we evaluate and compare the performances of LOGAutoregressive Conditional Duration(LOC-ACD) model,Stochastic Conditional Duration(SCD) model and Markov Switching Autoregressive Conditional Duration(MSACD) model of volume duration using density forecast method. We condude that most models capture the characteristic of cluster of volume duration. We also evidence that MSACD model outperforms LOGACD model and SCD model in abilities of both in-sample fitness and out-sample forecast. Related Articles | Metrics

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Schedule Optimization for Knowledge Diffusion Route Based on Knowledge Alternation Model in Information Systems Integration Project YOU Jing, LIU Wei 2008, 16 (1):  142-146.  Abstract ( 2200 )   PDF (761KB) ( 1111 )   Save On foundation of the alternating characteristic of knowledge domains and the impaction on efficiency of knowledge diffusion produced by it in information systems integration project,knowledge alternation model is built up.Connecting this model with dependency among knowledge domains,alternative shape could be got with influence given by other knowledge's change on diffusion route,and optimization strategy for schedule of knowledge diffusion route is put forward to help enterprise in recognizing alternating characteristic of knowledge domains and setting resource according to diffusion route schedule in information systems integration project.A dditionally,application case for this is introduced. Related Articles | Metrics

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Individual Learning Capability in Complex and Dynamic Business Environment：Concept,Capability Model,Measurement and Impact on Individual Performance CHEN Guo-quan 2008, 16 (1):  147-157.  Abstract ( 2326 )   PDF (1478KB) ( 1853 )   Save The major research of the paper is about individual continuous learning capability and its impact on individual performance in complex and dynamic business environment. Individual is one of the most important learning entities for organizational learning/team learning and learning organization/learning team. In this paper,firstly the research in the field of individual learning is briefly reviewed. Based on the former organizational learning model by the author,then the concept of individual learning and individual learning capability is put forward,the definitions of nine behaviors and nine capabilities for individual learning are established,the measurement model is developed. Based on 244 samples from Chinese companies,the author has done statistical analysis and found that,the measurement instrument for individual learning capability has acceptable reliability and validity,and also individual learning capability is significantly positively correlated with individual task and contextual performance. It is hoped that this research could be served as a certain kind of basis for future research on individual learning. Related Articles | Metrics

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Model of Grey Relational Analysis for Interval Multiple Attribute Decision Making with Preference Information on Alternatives WEI Gui-wu, WEI Yu 2008, 16 (1):  158-162.  Abstract ( 2558 )   PDF (428KB) ( 1266 )   Save With respect to the problem of multiple attribute decision-making with interval numbers and preference information on alternatives,the method of Grey Relational Analysis(GRA) is proposed. Then the calculation steps to solve it are given. As the key step,a single objective programming model is constructed to obtain the attribute weights. Then,the relational coefficients between objective preference and subjective preference of every alternative are obtained. Then,according to the relational degree,all alternatives are ranked. At last, a numerical example is provided to illustrate the proposed method. The result shows the approach is simple,effective and easy to calculate. Related Articles | Metrics

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Governance of Creditor’s Rights Evaluation and Enterprise Growth of SMEs：An Empirical Study Based on Listed SMEs in China CHEN Xiao-hong, WANG Xiao-ding, ZENG Jiang-hong 2008, 16 (1):  163-171.  Abstract ( 2415 )   PDF (375KB) ( 1238 )   Save The governance of creditor. s rights plays the core role in the corporate governance evaluation system. This paper, on the basis of the review of literatures in China and abroad, constructs the evaluation index to measure and assess creditor's rights governance of the listed small and medium enterprises in China, and makes an empirical study on the governance situation of 205 Chinese listed SMEs from four fount dational dimensions, namely, solvency, debt financing level, assets maturity structure and debt maturity structure. And from the perspective of enterprise characteristics differences, we give group studies on the state of governance. Meanwhile, the paper matching with the growth evaluation system of listed SMEs, and makes a comprehensive and regression research on the two evaluation indices.The results show that the overall governance of creditor's rights in China is poor. There are big differences in different ownerships. The governance index and the growth index have an inverted U-shaped relationship. High solvency and low debt financing are all harm to enterprise growth, the unbalanced structure of debt and asset maturity down't impact the growth significantly. The size, quality and effective income tax rate are the most important features of influencing the governance and growth. Related Articles | Metrics

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A Compensation Ratio Game Equilibrium Study of China’s Non-Tradable Share Reform Based on EWA Learning Model RAO Yu-lei, XU Yan-hui 2008, 16 (1):  172-179.  Abstract ( 2281 )   PDF (1145KB) ( 1268 )   Save From the view of behavioral game theory,this paper uses EWA learning model to analyze the mechanism of the compensation ratio game,and simulates its equilibrium process. The simulation results from a sample of 936 reformed firms show that the EWA learning model successfully captured the equilibrium,which implicates that the process of the compensation game is based on strategy learning. By analyzing the model parameters,we find out that both non-tradable and tradable shareholders have strong learning ability in the decision-making,which is just an irrational learning of pure strategy from history experience,and the less weight placed on forgone payoffs by non-tradable shareholders shows that the unfair power in the game leads to the unfair equilibrium. Related Articles | Metrics

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Solving the Paradox of Centipede Game：A New Model of Grey Structured Algorithm of Forwards Induction FANG Zhi-geng, LIU Si-feng, SHI Hong-xing, XU Zheng-dong 2008, 16 (1):  180-186.  Abstract ( 2766 )   PDF (939KB) ( 2107 )   Save The main contacts of dynamic game analysis theories are sub-game perfect Nash equilibrium analysis,whose key method is backwards induction. Since a long time,it is so confused for academia that the backwards induction is definitely unsuitable with the fact. This paper reveals the origin of backwards induction:first of all,the micro logic is wrong for overall macro logic neglect. In other words,so meo ne focuses on recent interest rather than long interest. Secondly classic multi-stage model of the dynamic game structure cannot fit for the people to consider and balancedly analyze the overall and long interest. This paper constructs a modern structure based on the future dynamic game model and designs the backstepping grey structured algorithm of dynamic multi-stage game,constructs the termination and guide of the multistage dynamic game and offers the convenient and efficient balanced analysis and further explains the paradox of Centipede game. Related Articles | Metrics

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Reviews of DEA Research Based on the Variable Classification BI Gong-bing, LIANG Liang, YANG Feng 2008, 16 (1):  187-192.  Abstract ( 2699 )   PDF (743KB) ( 1703 )   Save The researches on Data Envelopment Analysis are usually stepping up to follow the cognition level to variable characters. In the early research on DEA,all input and output variables are regarded as quantitative,discretionary and single-role. Now researches have recognized that some variables are non-quantitative,non-discretionary or dual-role. Then different DEA models are advanced to deal with these special variables. This paper reviews the research on the variable classification in DEA contexts. Related Articles | Metrics