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主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
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Table of Content

    28 February 2003, Volume 11 Issue 1 Previous Issue    Next Issue
    Scale Property of Price Fluctuation of Chinese Stock Market
    HE Jian-min, ZHU Lin, CHANG Song
    2003, (1):  1-5. 
    Abstract ( 1912 )   PDF (1121KB) ( 1808 )   Save
    Scale property is the important property of price fluctuationDeep research of it will result in important influence to the derivative price,risk control,market management and price forecastingBased on Chinese stock market,this paper studies not only the traditional PDF’s scale property,butalso the important correlation scale properyThen this paper gives the empirical evidence and useful illumination to the research mentioned above of Chinese stock market.
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    Research on the Forecast Model of IPOs’ First Day Pricing
    KONG Yu-sheng, WANG Zhong-jie
    2003, (1):  6-9. 
    Abstract ( 2055 )   PDF (1411KB) ( 1710 )   Save
    According to the theories and methods of Econometrics,this paper selects 184 IPOs as samples which are listed in Shanghai Stock Exchange from Jan.,2000 to Jun.,2002 and develops a forecast model of IPOs’ first day pricing by adopting the method of Stepwise Regression with the help of SPSS110Its goal lies in helping investors make reasonable investment decisions.
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    The Volatility in Stock Return and the Time-Varying Beta Coefficient
    ZHAO Gui-qin
    2003, (1):  10-13. 
    Abstract ( 2107 )   PDF (923KB) ( 3408 )   Save
    Using the daily return data in Shanghai stock market during the year 2000,the paper has an empirical test through the extended S-S model,in order to test the relationship between the volatility for little companies or larger companies and the volatility of stock marketThe results show that the reaction for little companies and larger companies is different when the volatility in stock market gets largerTherefore,it is necessary to consider the time-varying Beta coefficient before carrying out the event study.
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    A Research On Return Distribution Function Of Chinese Stock-Market
    FENG Jian-qiang, WANG Fu-xin
    2003, (1):  14-21. 
    Abstract ( 2209 )   PDF (937KB) ( 3836 )   Save
    On the basis of researching stock return distribution function in documents,this paper choose stable paretian distribution and t distribution as distribution form discribing Shanghai and Shenzhen stock market return,then use those Stock market’s data to discuss and estimate return distribution.
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    VaR-APARCH Model for Risk Measures of Stock Market
    CHEN Xue-hua, YANG Hui-yao
    2003, (1):  22-27. 
    Abstract ( 2335 )   PDF (916KB) ( 3583 )   Save
    Preliminary data analysis shows that the return rates distribution of SSE is fat-tailed and doesn’t obey normal distribution and there is"leverage effect"in Shanghai Stock market.In this paper,we propose an APARCH model with three different distributions assumption to estimate conditional VaR.This model is then compared with the GARCH model under the corresponding three distributions assumption.Using back-testing of historical daily return series we show that the APARCH model yields statistically valid VaR measures and gives better one-day ahead estimates that the GARCH model.
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    Brown Motion and Duration Method in Government Bonds’ Price Behavior
    CAI Ming-chao, YANG Chao-jun, ZHANG Jing
    2003, (1):  28-32. 
    Abstract ( 2246 )   PDF (1328KB) ( 2450 )   Save
    Brown Bridge model and Macaulay Duration model are adopted to study the risk characters of Chinese government bondsWe find that maturity and holding period are two important factors that influence bond risk,but bond price doesn’tIn Brown Bridge model fluctuation ratio fits well than variance as an indicator of risk.
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    A New Kind of Method of Optimal Pricing for Commodity
    DAI Feng, XU Wei-xuan, LIU Hui, XU Hua
    2003, (1):  33-37. 
    Abstract ( 2173 )   PDF (2207KB) ( 1965 )   Save
    Based on PD[5] and deciding the field of income[6],the method of optimal pricing for commodity in market is given. So we can calculate the optimal selling price and the expect profits of a commodityAnd the way to estimate parameters in PD presented at the same time,so the method in this paper is of more practicability.
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    A Research Method of Cheating Risks Based on Distance
    LIU Bing-xiang, SHENG Zhao-han
    2003, (1):  38-41. 
    Abstract ( 2077 )   PDF (484KB) ( 1645 )   Save
    This paper tells the basic concept of the cheat and analyses the procreant reason of resulting in the cheat.The method of identification,analyzing and estimation of the cheat risks are discussed.It points out the existent problems of the tradition analyzing models in evaluating cheat risks.In the end,this paper puts forward to a research method of cheat risks based on distance and validates this method’s validity by a simulation experiment.The research work supplies a basis for further study of applying data mining for the enterprise cheating risks anglicizing.
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    The Model with Multi-distribution Center and H Control Strategies of Bullwhip Effect in Supply Chain
    HUANG Xiao-yuan, LU Zhen
    2003, (1):  42-47. 
    Abstract ( 2069 )   PDF (2126KB) ( 1558 )   Save
    Based on literature,applying a quantifying warp wave method,a model of supply chain with multi distribution center is developed to describe the bullwhip effectAnd the H control strategies of bullwhip effect is developedIt’s essence is that under the vorst station of demand variability,make the optimal decision of supply chain manageA simulation of petroleum distribute system is done.
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    The Application of Soft Computing Method in Suppliers Selection Multi-round Game
    YAO Jian-ming, ZHOU Guo-hua
    2003, (1):  48-52. 
    Abstract ( 1948 )   PDF (1000KB) ( 1781 )   Save
    The process of suppliers’ election is a coalitional game process.During this course,both the change of suppliers’ subjective game policies and of objective factors can make the process of game dynamic This paper presents a method to make selection by building a synthetic evaluation function based on a rational division to game process and the description of both characters of stages and characters of change of suppliers’ evaluation indices by Fuzzy Membership Function of soft computing.Finally,it is shown that the new method is very effective by a case.
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    The Application of Data Mining Technology in CRM
    ZHANG Zhe, CHANG Gui-ran, HUANG Xiao-yuan
    2003, (1):  53-59. 
    Abstract ( 3445 )   PDF (809KB) ( 5280 )   Save
    Customer relationship management(CRM)is an important application field of data mining.Due to the support of data mining technique,CRM has more and more extensive marketing value and research value.In this paper,a survey of data mining applications for CRM is provided to investigate the use of data mining.The system structure of data mining for CRM is described.From the angles of customer life cycle and industry applications data mining applications are analyzed.Finally,combined with the current development of data mining techniques,further research trends of data mining applications for CRM and research directions of data mining technology application in CRM in China are indicated.
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    The Analysis of R&D Cooperation and The Government Optimal Policy with Game Theory
    LU Wen-long, CHEN Hong-min
    2003, (1):  60-62. 
    Abstract ( 2050 )   PDF (815KB) ( 1454 )   Save
    Under the opening circumstances,this paper analyzed a domestic firm and a foreign one’s R&D behavior and government’s subsidy policy.The results are as follows:first,when there exists little R&D intercommunication,the R&D investment of one firm will increase,and another will decrease;however,when there exists close R&D intercommunication,the two firms’ R&D investments will be promoted each other.Second,intercommunication between firms is necessary,and that will improve social welfare.Third,governments are inclined to subsidize domestic firms.
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    A Possibility-based Method for Priorities of Interval Judgement Matrices
    XU Ze-shui, DA Qing-li
    2003, (1):  63-65. 
    Abstract ( 2227 )   PDF (757KB) ( 2494 )   Save
    This paper introduces a formula of possibility for the comparison between two interval numbers,and gives the lower and upper bounds of the parameters k,m in the method proposed by.A possibility based method for priorities of interval judgement matrices is presented.Finally,a numerical example is also given to verify the developed approach and to demonstrate its feasibility and practicality.
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    A Multi-objective DEA Projection Model and its Applications
    GUAN Jian-cheng, MA Ning
    2003, (1):  66-70. 
    Abstract ( 2078 )   PDF (914KB) ( 1680 )   Save
    Considering the restricted ranges of the input/output factors,we propose a multi-objective DEA projection model and also present the projection of CRS-inefficient DMUs.Then,survey data from 182 innovative enterprises’are used to analyze the relationship of competitiveness and technological innovation capability based on the model.We find that the efficiency distributions got from the model are evidently same with CRS model.Also,the projection results according to different industries,which are based on various competitiveness dimensions,provide the scientific benchmark for auditing competitiveness.
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    The Model Analysis on the Motivations of Enterprises Group Forming
    LIANG Liang, WU Wen-ming, WANG Zhi-qiang
    2003, (1):  71-76. 
    Abstract ( 1977 )   PDF (1764KB) ( 1178 )   Save
    The received literature analyzes the motivations of enterprises to set up group.Then,it gives a cost-constrained serial decition model based on Markov process.The conclusion is that one or several of related enterprises become the core and the others are related to the core as alliances.
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    The Study on the Classification of Coal Resources Assets Based on ARTⅡ Networks
    WEN Guo-feng, WANG Guang-cheng
    2003, (1):  77-80. 
    Abstract ( 1842 )   PDF (1032KB) ( 1452 )   Save
    The ARTⅡ neural networks applied to classify assets of coal resources are built in this paperThe classification results by the Fuzzy Synthetic Judgement models based on cluster being as the base for choosing the patterns,self-organizing networks model to classify is givenRemarkable success has been achieved in training the networks to learn the patterns and in classifying the coal resources assetsOur results show that the ARTⅡ network approach for classification has some advantages such as stability and reliability.
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    Comprehensive Evaluation for a Talent’s Quality of Excellent Young Human Resource Development & Management
    XU Jiu-ping, JIANG Hong-qiang, ZHANG Yong, WANG Nan
    2003, (1):  81-86. 
    Abstract ( 2065 )   PDF (1642KB) ( 1486 )   Save
    An evaluation index system of excellent young human resource development & management is providedThe weights of the personal indexes are determined by AHP and Fuzzy theory is used for comprehensive evaluationAn example is finally given,with the personal evaluation index system for a practice.
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    Study on Qualitative Simulation Oriented Knowledge Representation,Learning and Simulation Method for Enterprise Marketing Decision
    HU Bin, LI Zhi-cheng
    2003, (1):  87-94. 
    Abstract ( 2071 )   PDF (1581KB) ( 2050 )   Save
    For applying qualitative simulation technology in management decision field,the qualitative cause and effect relationship based knowledge representation method and learning method for marketing decision process are studied.The learning algorithm is designed.After that,serving the market share rate as the goal,the qualitative simulation steps for enterprise’s marketing strategies selection process are designed.At last,the qualitative simulation method and simulation steps for enterprise and its competitor’s marketing strategies selection process are developed and designed.In this paper,the above algorithm and simulation steps are realized by computer simulation language ARENA 5.0 The experiments show that,the qualitative simulation oriented knowledge representation,learning and simulation method for enterprise marketing decision,and their learning algorithm and simulation steps developed and designed in this paper are feasible.
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    Absorptive Capacity and R&D Cooperation Innovates and Incentives and R&D Subsidy Policy
    YANG Shi-hui, XIONG Yan, WANG Hong-ling
    2003, (1):  95-100. 
    Abstract ( 1788 )   PDF (2202KB) ( 1779 )   Save
    Base on the above research,a game model of having absorptive capacity non-cooperation R&D is setup,Comparing the R&D investment influence relatively with and without absorptive capacity,we find the enterprise R&D investment takes high with absorptive capacity,analyze the impact on industry and society optimum R&D investment level and subsidy incentive policy of choosing technological overflow in product’s substitute and complementary.
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