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30 August 2010, Volume 18 Issue 4 Previous Issue    Next Issue

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Estimating of Conditional VaR and Analysis of Leverage Effect Based on Dull Variable Quantile Regression Model YE Wu-yi, CHEN Jie-cheng, MIAO Bai-qi 2010, 18 (4):  1-7.  Abstract ( 2743 )   PDF (2417KB) ( 1617 )   Save The leverage effect is often analyzed by ARCH type models in most articles. In This paper,the dull variable quantile regr ession model is used to estimate the CVaR,which is conditioned on the realized volatility. And the leverage effect is analyzed from view of market risk. At last,an empirical analysis of Stock market of China is presented. The CVaR is estimated,and the leverage is also verified. Related Articles | Metrics

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Optimal Design and Pricing of Structured Finance Products：from the perspective of both issuers and investors CUI Hai-rong, HE Jian-min, HU Xiao-ping 2010, 18 (4):  8-13.  Abstract ( 2532 )   PDF (498KB) ( 1603 )   Save According to relevant theories of behavioral finance,from the perspective of both issuers and in vestors,desig ning and pricing of a structured productem bedded barrier option are studied.Firstly,according to behavioral characteristic of issuers and investors,pay off structure of products is designed and pay off function is given.Secondly,under the certain assumption,the closed form solution of the product is obtained.Finally,based on the pricing formula,sensitivity analysis for expiration time,volatility,initial barrier,and initial strike price is conducted.The result shows that these parameters' impact on the theo retical price of the product is different.This result compared with other existing products has some differences. Related Articles | Metrics

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The Bi-objective Stochastic Chance-Constrained Combination Optimization Model of Multi-Project and Multi-Item Overseas Market Development Based on the Perspective of Real Options XU Bin, YU Jing 2010, 18 (4):  14-20.  Abstract ( 2393 )   PDF (1580KB) ( 902 )   Save This paper presents a new stochastic chance-constrained 0-1 integer multi-project multi-item investment combination programming model for investigating overseas investment.The proposed model includes two objectives with stochastic constraints on the demanded cash not more than supported cash to construct a 0-1 integer programming model.On the one hand,the risk value will be measured by negative entropy;on the other hand,the pursued value objective will be composed of two parts including classical NPV and the corresponding realoption value for any it em of any project.Then,how to use DE to solve the optimization model with a small modification of const rain-thandling rule after absorbing some idea of NSGA-II is proposed.Asimulation experiment is employed to illust rate the application of the proposed model to get the Pareto-optimal solutions by applying the modified algorithm DE,and the performance evaluation of DE with random flexing factor and fixed number flexing factor is compared.The performance of the former is better than that of the latter. Related Articles | Metrics

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Utility Indifference Pricing of Mortgage-Backed Securities YE Wen-zhong, YANG Zhao-jun, ZHENG Yi 2010, 18 (4):  21-27.  Abstract ( 2439 )   PDF (1815KB) ( 1177 )   Save The mainstream methods take the mean of disco unted cash flows as the valuation of mortgage-backed securities(M BS),which is actually a risk-neutral price and neglects the significant effect of investors risk at titude in asset pricing.This paper develops a new approach to the valuation of mort gage-backed securities by way of utility indif ferent prices developed by Hodges and Neuberger(1989).Assuming investors have logarithm consumption utility,the paper obtains a formula to value MBS,which is easy to implement.The paper presents both Monte Carlonumeric algorithm and example.Some static analyses are shown in the end. Related Articles | Metrics

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Nonlinear Portfolio Selection Problem Based On Loss Aversion HU Zhi-jun, YE Dan 2010, 18 (4):  28-33.  Abstract ( 2546 )   PDF (467KB) ( 1632 )   Save According to the prospect theory of Kahnem an and Tversky's(1979),this paper pats for ward an optimal port folio selection model to maximize the S-sharp utility function based on loss aversion.For dealing with non-smoothness we have smoothed the S-shar putility function in the vicinity of reference point, by employing cubic splines.Meanw hile,we proposear andom searchalgorithm to deal with the possible presence of several local optima due to the objective function is not quasi-concave.Finally an empirical study using the data from Chinese stock market is given in order to prove the reasonableness and effectiveness of this model. Related Articles | Metrics

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Advancement and Empirical Research of Nonlinear FTR Model as Central Bank’s Foreign Exchange Intervention Reaction Function ZHANG Zai-mei, XIE Chi, SUN Bo 2010, 18 (4):  34-42.  Abstract ( 2310 )   PDF (473KB) ( 1179 )   Save The foreign exchange intervention reaction function of central bank is an important tool to describe the relationship of intervention behavior and some market conditions,and it is significant for revealing the rules and characters of intervention behavior At present,the models of reaction function provided are not good enough to meet the need of explaining the infrequency of intervention,and acquiring high precision simultaneo usly Based on the analysis of related research,and from the view of practical significant and high precision,this paper provides a new nonlinear FTR model,and executes experiments based on the intervention dat a of Japanese central bank.Experiment al results demonstrate that,comparing with linear model and two regime TR model,the FTR model provided by this paper has smaller errors both in in sample fitting and out of sample forecasting processes,that is,it is more precise in describing the intervention behavior,and is more suitable to be the central bank's intervention reaction function. Related Articles | Metrics

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Research on the Overconfidence and the Driving Factors of the Trading Volume WANG Chun-feng, ZHANG Ya-na, FANG Zhen-ming 2010, 18 (4):  43-48.  Abstract ( 2523 )   PDF (314KB) ( 1301 )   Save Based on the hypothesis of state dependent over confidence and information structure,atheoretical model that researches the relationship between pastreturn and trading volume from the view of information flow mechanism and microm echanism is presented.The following two hypotheses drew from the theoretical conclutions are the significant positive impact of the private information shock on the trading volume and a positive correlation between the pastreturn and the trading volume.Then,based on China stock market,the empirical test makes the same conclusions,which supports model. Related Articles | Metrics

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On the Optimization & Equilibrium of Demand in Supply Chain Based on the Value-adding Mechanism of Information Sharing ZHONG Zhe-hui, HU Min-jie, FAN Wen-bo, YE Bao-zhong 2010, 18 (4):  49-55.  Abstract ( 2304 )   PDF (1904KB) ( 1197 )   Save This paper a bilevel prog ramming problem which assumes that the interaction between suppliers and distributors will be pursued to maximize the objectives and the user needs.In the model,the upper planning is the retail price optimization models for uppliers and distributors,the lower model is the equilibrium between purchase and dem and for the user.Such as various information sharing mechanisms for oligopoly,monopoly,social optimum,which reflects the needs in supply chain,responds to the upper pricing behavior.The paper designs sensitivity analysis algorithm and iterative method for solving and optimizing the problem of need equilibrium in supply chain. Related Articles | Metrics

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Supply Chain Contracts Coordination with Consumer’s Strategic Returns Policies under the Service Level Constraint SHEN Cheng-lin, ZHANG Xin-xin, QING Zhi-qiong 2010, 18 (4):  56-64.  Abstract ( 2355 )   PDF (2485KB) ( 1621 )   Save Consider a kind of supply chain system consisting of one manufacturer,one retailer and a group of consumers. Aconsumer strategic returns model involving in consumer individual decisions is formulated,in which the optimal price,ordering quantities as well as returns policies are given under the service-level constraint. Next,since the two-sides-marginalization exists in the decentralized supply chain,three contracts,that is,traditional buy-back contract,differentiated buyback contract and sale-rebate contract are designed to coordinate the supply chain and their coordinat ion mechanisms are further discussed. Results show that the traditional buy-back contract and sale-rebate contract cannotattain the supply chain coordination,while the rest can realize the supply chain coordination.Finally,the impacts of the service-level constraint on supply chain's profits and the effect of differentiated buy-back contract were analyzed by numerical analysis. Related Articles | Metrics

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An Inventory Rationing Policy in the Newsboy Problem with Multiple Customer classes WANG Xiao-jing, LIU Zhi-xue, ZHENG Chang-zheng 2010, 18 (4):  65-72.  Abstract ( 2857 )   PDF (2204KB) ( 1569 )   Save This paper studies an inventory rationing in a new sboy problem with multiple customer class. The customer classes are distinguished by their pur chasing price,and the firmeither fulfills demand or denies the demand.Through discrediting the selling season into a large number of smaller intervals and using a finite difference equation to approximate the optimality equation,this paper charact erizes the retailer's optimal rationing policy,which is depended on the inventory level and rest time.Under the optimal rationing policy,the expected profit function is concave in the order quantity,and there exists an optimal order quantity to maximize the expected profit.Through comparing with the First-Come-First-Served(FCFS) policy,the numerical analyses illustrates that the inventory rationing policy can improve the firm's profit significantly.This is because that the retailer can obtain more profit from the profit able customers by ensuring the high fill rate.Mean time,the order quantity under rationing policy is less than that under the FCFS policy,and then the retailer can benefit from the rationing policy by saving the purchasing cost and holding cost. Related Articles | Metrics

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Study of A Tow-Level Supply Chain Returns Policy Model Based on the Newsboy Model LIU Jia-guo, WU Chong 2010, 18 (4):  73-78.  Abstract ( 3013 )   PDF (307KB) ( 2638 )   Save This paper conducts a research on buy back coordination mechanism in supply chain system of a single supplier and a single retailer.The double marginalization effect under the new sboy model in a two stage supply chain is analyzed.The profit models of the supply chain members are constructed to analyze the way to eliminate the double marginalization effects through wholesale price contracts.The results show that buy back contract can lower the wholesale price increase the order.Thus the total profits in crease and losses reduce while customer's needs meet better.Ultimately,the optimal decision making inde pendently by the supplier and retailer is consistent with the system optimal in the supply chain. Related Articles | Metrics

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Research on Bargaining Power of Supply Chain Members Based on Switching Cost ZHAO Dao-zhi, HAN Jing-wen, QIN Juan-juan 2010, 18 (4):  79-85.  Abstract ( 2460 )   PDF (311KB) ( 1119 )   Save To study the influencing factors of bargaining power of supply chain members and the effect mechanism,we have established a game model between the upstream and downstream members of a supply chain under the threat of exit.The equilibrium solution of the model reveals the influence of swit ching cost to the strategy choice of supply chain members.At the same time,through the model conclusion and the mathematical definition of bargaining power,we conclude that the bargaining power of supply chain members is a decreasing functionof their switching cost.Futhermore,we present the internal mechanism of the effect of marker share,information,study ability and degrees of to lerance on the bargaining power of supply chain members. Related Articles | Metrics

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Supplier-Buyer Stackelberg Game and Supply Chain Coordination with Demand Forecast Updating SONG Hua-ming, YANG Hui, LUO Jian-qiang, DUAN Zi-jun 2010, 18 (4):  86-92.  Abstract ( 2571 )   PDF (1985KB) ( 1730 )   Save This paper investigates the basic issues in a perishable-product supply chain from the perspective of supplie-rbuyer stackelberg game with bayesian demand forecast updating,that is when to order,how many to order and what the who lesale price is.A stackelberg game model in which manufacturer is a leader and retailer is a follower is developed.In the model,the manufacturer trades off between or derquantity and wholesale price,the retailer trades off between the crashing cost and forecasterror.Existence of the optimal solution for the model is analyzed and a piecewise it erative algorithms is developed to solve the bi-level programming.At cast,and a numerical instance is given to validate the algorithm and model.Furthermore,a supply chain contract is put forward to coordinate the supply chain and alleviate the double margin in stackelberg game. Related Articles | Metrics

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Analysis of Market Competition on Product-Supplementary Service by Considering Firm’s Commitment Behavior SHEN Tie-song, XIONG Zhong-kai 2010, 18 (4):  93-100.  Abstract ( 2376 )   PDF (2475KB) ( 1067 )   Save In this paper,we investigate the impacts of commitment on the market structure and Bertrand competition in the produc-tsupplementary service(PSS)market with information asymmetry.Agame theoretic model is employed to look for the Bertrand-Nash equilibrium in three kinds of market structure with are non-commitment PPS market,unilateral commitment PPS market and bilateral commitment PPS market.With the equilibrium on firm's pricing,profit and market share,it is analyzed that the condition of firm'behavior and its relationship with the market structure and consumer welfare.The results show that:(1)Obviously the equilibrium of the market is different by the effect of firm's commitment to PSS level; (2)Firm's commitmentaction is determined by the distribution interval of PPS level and customer's taste of PSS;(3)The dominant firm always is the leader to of fer commitment,which to the PPS level is maximized as possible as it can;(4)Firm's commitment action increase the PPS level,which is beneficial to consumer welfare. Related Articles | Metrics

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Three-Level Supply Chain Coordination under Disruption with Revenue-Sharing Contract PANG Qing-hua 2010, 18 (4):  101-106.  Abstract ( 2521 )   PDF (1794KB) ( 1304 )   Save Revenue-sharing contract can coordinate a three-level supply chain composed of a sing manufacturer,a sing distributor and a single retailer who faces stochastic demand.The coordination may be impaired by an emergent event which results in demand disruption.An optimal strategy for supply chain to deal with the disruption is given and an improved revenue-sharing contract which has anti-disruption ability is proposed.It also analyzes the distribution of profit among the entities.Finally the paper gives an application by simulation. Related Articles | Metrics

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Study on the Production Buffer of Critical Equipment with Petri Net under Grey Information LIU Yuan, FANG Zhi-geng, LIU Si-feng, GUO Ben-hai 2010, 18 (4):  107-113.  Abstract ( 2193 )   PDF (638KB) ( 1092 )   Save In the production system,the critical equipment decides the production cycle and quality.In a sense,the critical equipment can be considered as the "bottleneck" of the whole production system.As a consequence,a certain production buffer should be set up to ensure the critical equipment working continuously.In this paper,in order to get an optimal result under the grey information,the authors firstly define and set up the "Grey Petri Net" and its algorithm applies.Secondy,a Petri Net analyzing model is set up to illust rate the principle of the buffer before the critical equipment.Thirdly,the authors establishe the buffer Petri net then simplify and solve it.Furthermore the authors apply genetic algorithm to get the optimal result.A tlast anexample is applied to show the feasibility and effectiveness of the method,getting a good result. Related Articles | Metrics

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A Hybrid Discrete Differential Evolution Algorithm for Minimizing Weighted Earliness and Tardiness on A Single Batch Scheduling Problem ZHANG Ming-xi, LI Kun-peng 2010, 18 (4):  114-123.  Abstract ( 2327 )   PDF (488KB) ( 1241 )   Save This paper considers a single batch scheduling problem,where the batch processing machine has restricted capacity.The processing time of a batch is equal to the longest time among all the jobs contained in the batch.All jobs have different sizes,different earliness and tardiness punishing weights,but the same due date which is unrestri-ctively late.The objective is to minimize the sum of weighted earliness and tardiness of all jobs,which are the absolute deviations of completion times from the common due date. This problem is proved to be NP-complete.In this paper,we identify several properties of the optimal scheduling.According to these properties,we propose a hybrid discrete differential evolution algorithm (HDDE)based on differential evolution(DE)and dynamic programming(DP)to solve this scheduling problem.Compared to three traditional heuristicalg orithm(genetic algorithm(GA),simulated annealing (SA),it erated greedy(IG)),HDDE shows a subst antially better global searching ability for the batch scheduling problem. Related Articles | Metrics

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Research of Requirements Change Propagation of Complex Trustworthy Software Product Based on Interaction LIU Wei, CHENG Ping 2010, 18 (4):  124-132.  Abstract ( 2362 )   PDF (1532KB) ( 1109 )   Save Requirements change propagation is a key factor to the implementation of complex trustworthy soft ware product evolution.From the perspective of the interaction between trust worthy requirements and functional requirements,a four-stage analysis framework model of requirements change propagation is presented based on fourtiers which are the establishment of Requirements Relation Model,the construction of Requirements Dependency Design Structure Matrix,the measurement of requirement change propagation influence and analysis of requirement change propagation influence.The definition of Functional Requirements Influence Relation Matrix,Trust worthy Requirements Influence Relation Matrix and Requirements Variable Transfer Matrix is given.The concrete realization of requirement change propagation is described and analyzed.A dopting embedded monitoring software of aeronautical engine as the example,the paper explains the application of models and method. Related Articles | Metrics

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The Contracts for Difference between Coal Producers and Electricity Generators and Its Optimal Cooperation Benefit Distributing Model based on Game Theory LI Li, TAN Zhong-fu, LI Ning, WANG Jian-jun, ZHANG Ming-wen 2010, 18 (4):  133-139.  Abstract ( 2543 )   PDF (1378KB) ( 1115 )   Save With the emergence of centralized coal market in large scale,the phenomenon that the coal producers raise up coal market price by exerting their market power will appear naturally,which will raise up the electricity price on grid and electricity sale price.So controling the market power of coal producers can manage the energy price from headst ream.The contract for difference between the coal producer and electricity generator is designed,and then the Cour not model is used to analyze the coal producers producing behaviors and the electricity generators decision behaviors,where the Stackelberg model is used to analyze the generators cooperation behavior.Finally the Shapley principle is applied to present the profits distributing model.The simulation results demonstrate that the contract for difference between the coal producers and electricity generators can promote the coal producers out put,reduce the coal market price and steady the sale capacity.This effects will be enhanced by the generators cooperation. Related Articles | Metrics

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Measure the Contribution of Factor Discount to Scale Efficiency: A Study based on DEA Model YANG Feng, XIA Qiong, LIANG Liang, WU Hua-qing 2010, 18 (4):  140-144.  Abstract ( 2416 )   PDF (1508KB) ( 1055 )   Save Scale efficiency analysis is an important problem in traditional DEA research.However,the existing literatures have not studied the influencing factors and degrees to scale efficiency.This paperuses the weight-variable DEA model in which the input weight is defined by a piecewise linear function,discovers that the factor discount is one source of scale efficiency,and measures the contribution of factor discount to scale efficiency.Anumerical example is given to illustrate that there are differences on the contri-bution of factor discount to scale efficiency for different enterprises and different discountratios.For some enterprises the scale efficiency increases with increasing discountratio,but for some else the scale efficiency decreases. Related Articles | Metrics

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A Group Evaluation Method and Application Based on Collaboration of Subject and Object ZHANG Fa-ming, GUO Ya-jun, YI Ping-tao 2010, 18 (4):  145-151.  Abstract ( 2167 )   PDF (379KB) ( 1078 )   Save Considering the lack of traditional evaluation methods,which do not take the evaluated object into account,this paper proposes a new method of group evaluation group evaluation based on collaboration of subject and object.Firstly,the process for the evaluation of subject and object collaboration is described.Secondly,in order to get the result for subject evaluation,the method of subject information gathering based on density operator is given,so that the result for subject evaluation is got.Thirdly,in order to obt ain the result for object evaluation,the object information is adjusted accordingly.Finally,these results are gathered and then the final result is shown. Related Articles | Metrics

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A New Method of Combination Rules of Evidences Based on Concordance Evidences Conflict LIANG Chang-yong, YE Chun-sen, ZHANG En-qiao 2010, 18 (4):  152-157.  Abstract ( 2643 )   PDF (2378KB) ( 1436 )   Save Aiming to the problem of conflict from intuition decision making and the combination result of dempste-rshafer,a new combination rule was proposed in this paper based on the classes of evidence conflicts. The two types of absurdity were firstly presented according to demand of decision-making in real world,which are "one-vote-down system" and "public clamor can confound right and wrong". Some errors were analyzed,which is caused by the irrational definition of evidence conflicts in view of information streng thened or lessened1 Finally,two numerical examples and experiments were applied toil lustrate the validity of the proposed method. Related Articles | Metrics

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The Evolution of Aviation Market Competition Based on Cellular Automata KOU Yong-gang, WU Tong-shui, LI Hang, FAN Wei 2010, 18 (4):  158-164.  Abstract ( 2393 )   PDF (1134KB) ( 1162 )   Save In order to research the competition evolution of aviation market,this paper builds up the Cellular Automata model of business and travel passengers of the aviation market.Through Matlab software,it takes Shenzhen-Beijing market and the operation of Shenzhen air lines on it as an example to simulate the evolution of competition,tanalysis the effect of ticket price,flight frequency and core competence which affect the airlines market share and payoff status.The results indicate that airlines want to succeed during the acute competition,have to relay on the core competence of it self,and make it become better and better.Especially,the core competence could play the important roles while it is close or excess to surveyor's pole of the industry. Related Articles | Metrics

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The Mechanism Study of Major Stockholder’s Influence on Investment Efficiency of Listed Firms RAN Mao-sheng, ZHONG Hai-yan, WEN Shou-xun, DEN Liu-Sheng 2010, 18 (4):  165-172.  Abstract ( 2555 )   PDF (2377KB) ( 1435 )   Save By assessing investment efficiency based on SFA model and path analysis method,this paper mainly studies major stockholder controlling and corporate governance mechanism,especially their interactive effect on efficiency of investment.The empirical result shows that major stockholder controlling not only has a positive impact on efficiency of investment,but also has a negative impact on efficiency of investment.Overall efficiency of China's stock market is no efficient.The main reason is that the major stockholder controlling has a negative impacton efficiency of investment through ratio of independent directors and capital structure.So it is suggested that all corporate gover nance mechanisms must be perfected. Related Articles | Metrics

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Design of Termination Mechanism in Emergency Management Based-on Optimal Stopping Theory CHEN An, WU Yan-nan 2010, 18 (4):  173-182.  Abstract ( 2888 )   PDF (1888KB) ( 1243 )   Save Termination Mechanism is the last indispensable section of the whole process of emergency management.Even if the governors have realized the importance of termination,it is much possible for them to choose wrong time to terminate emergency managemet which will cause huge damage.To solve this problem,this paper intends to build a mathematical model based on Optimal Stopping Theory,and then discusses some improvements of this model.Finally,Optimal Stopping Theory is applied to the dynamic decision making of emergency management. Related Articles | Metrics

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The Analysis and Forecast of National Accident Trends in Work Safety LIU Zhuo-jun, LIU Gang 2010, 18 (4):  183-192.  Abstract ( 2453 )   PDF (1003KB) ( 1079 )   Save Based on the data query system of accidents in work provided by the State Administration of Work Safety,not only does this paper analyzes the statistics of work safety accidents but also explores the development trend of work safety accidents from 2001 to 2008.(accidents in work safety are classified by the number of deaths).At the same time,the ARIMA-BP、ARIMA-RBF and ARIMA-GRNN nonlinear com bining forecast model are constructed.At last,this paper constructs a double nonlinear combining for ecast model by combining threesingle nonlinear combining fo recast models with RBF net work.The results indicate that the accuracy of the double nonlinear combining forecasting models are higher than the accuracy of the single ARIMA model and three single nonlinear combining forecast models.This study provides a new method for promoting the development and improvement of strategic planning of work safety. Related Articles | Metrics