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Latest Printed Issue
2008 Vol.16 Number 5
Oct. 31, 2008
Content is this issue
01
Li Hongquan, Wang Shouyang and Ma Chaoqun
What’s the nature of volatility in stock prices?
——based on the nonlinear dynamical analysis principle
From the view of financial complexity, this paper aims at discovering mechanism and nature of volatility in stock prices based on the methodology of nonlinear dynamical analysis. Our research results indicate that market volatility exhibits fractal characteristic and long-memory effect. Furthermore, our empirical studies show that capital markets possess an underlying low-dimensional chaotic system and therefore endogenous instability. Our research also indicates that the behavior of stock prices have internal mechanism of nonlinear dynamics, and are the result of positive feedbacks and interactions between heterogeneous investors. Finally, it presents further research guide of nonlinear financial theory and give new insight into investment practice.
2008 Vol. 16 (5): 01-08 [
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09
SU Zhi, FANG Ming and LI Zhi-gang
STAR & ANN Model: Study on Nonlinear Dynamic Characteristics of Securities Price and Its Forecast
In finance, a focus subject is the forecast of securities price movement which foreign scholars applied nonlinear models to describe and predict in recent years, especially using Smooth Transition Auto Regression (STAR) model and Artificial Neural Network (ANN)model. In this paper, we examined the out-of-sample forecasts performance of several linear and nonlinear models for ShangZheng 180 index in short term, middle term and relatively long term as well. We compared their forecast precision by statistical and investment criteria. The results indicate that securities price has nonlinear characteristics in our country, and is able to be predicted in some extent, which put the Efficient Markets Hypothesis (EMH) into question. Furthermore, ANN models mostly produce better forecasts than the RW, AR model as well as STAR model. Nevertheless, on average, investors can obtain a higher net return according to a market-timing strategy based on the forecasts from ANN models than a risk-adjusted buy and hold strategy.
2008 Vol. 16 (5): 09-16 [
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17
Pan Wanbin , Tao Libin and Miao Baiqi
A Nonlinear Model of Term Structure Dynamics
The threshold model is employed to capture the nonlinearity of the drift term in the models of the term structure of interest rates. A generalized pseudo-likelihood ratio test is introduced to test the threshold CKLS model. The results show that the threshold CKLS model can better describe the nonlinearity of the drift term than CKLS model at 0.1 significant level.
2008 Vol. 16 (5): 17-21 [
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22
Tong Zhongwen and He Jianmin
Study on the Default Correlation Based on Risk Neural Copula
The estimation of default probability is a key of the IRB approach，and default correlation affects the default a little. Now study on it most by asset correlation substitution. RISK neural can reduce the estimation error from model risk. Here we design the risk neural Copulas aiming at the nature of CDSˊs，advancing Copula choosing way and have an empirical analysis, then finding the 8 freedom student t-Copula is the best.
2008 Vol. 16 (5): 22-27 [
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28
ZHOU Li-yang and WU Kang-ping
Screening Information and Choice in the Capital Adequacy Ratio of Commercial Banks
The commercial bank’s capital adequacy ratio (CAR) requirement has become the core of the banking supervision system. At present, many of the world’s countries and regions are complying with "CAR no less than 8%", the "Basel Agreement" standard, while it is irrational to ignore individual characteristics. Different from the existing literatures, this paper focuses on the screening information problem about the regulatory standard, and points out that there is a certain substitutive relationship between the regulatory authority’s ability and the minimum CAR. Based on the mathematical model, the results are further explained by numerical analysis. The empirical analysis on some countries and regions also gives support to the model.
2008 Vol. 16 (5): 28-36 [
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37
Bing Xu and Shangfeng Zhang
China’s Nonlinear Philips Curve in Economic Transformation
This paper applies the semi-parametric model to identify the China’s nonlinear Philips curve in economic transformation, which behaves in the form of cube-polynomial function, with good fitness and marked statistical test. Furthermore, this paper interprets the application of nonlinear Philips curve and uses it to predict inflation trend for the years 2007-2010.
2008 Vol. 16 (5): 37-41 [
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42
DAN Bin and CHEN Jun
Coordinating Fresh Agricultural Supply Chain under the Valuable Loss
Fresh agricultural product is deteriorating item, but the theories for deteriorating inventory management are incapable of solving the non-deteriorating valuable loss problem. Based on the truth that the literatures in existence describe the loss just with words, this paper creates an exponential function with downward slope, tries to denote valuable loss with greenness, and study the coordination in two-level fresh agricultural supply chain. The conclusion implies that the centralized decision can’t make the agricultural product supply chain reach coordination under the valuable loss.
2008 Vol. 16 (5): 42-49 [
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50
Wei Chen and Ma Shihua
Research on supply chain collaboration contract based on bottleneck suppliers’ lead time
Concerning bottleneck suppliers constraint of manufacturer procurement lead time，this paper develops two-suppliers-single-manufacturer supply chain models that decisions are made on a decentralized and centralized basis respectively. By comparing the overall supply chain benefit, this paper makes a detail numerical analysis of the importance of lead time coordination in a supply chain system and discusses the revenue sharing mechanism from the view of improving the enthusiasm of suppliers to collaborate, and uses data analysis to prove it in the end.
2008 Vol. 16 (5): 50-56 [
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57
WANG Wen-bin and DA Qing-li
The decision-making model of the electronic product manufacturer about collection and remanufacturing based on premium and penalty mechanism
This paper studies the decision-making problem about the electronic product manufacturer’s collection and remanufacturing. A premium and penalty mechanism is designed to drive the manufacturer to collection and remanufacturing. Three decision-making models are established and the results of these models are compared. Several conclusions are shown. The manufacturer is willing to collect and remanufacture waste products only when he has the advantage of cost. Collection rate increases, new product price decreases and new product demand increases with the premium and penalty mechanism if the manufacturer has the advantage of cost. Collection rate increases, new product price increases and new product demand decreases with the premium and penalty mechanism if the manufacturer has not the advantage of cost. Critical points about having and not having the cost advantage are derived for the profits with the premium and penalty mechanism or not independently. The conclusions can benefit the government for guiding the manufacturer collection and remanufacturing.
2008 Vol. 16 (5): 57-63 [
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64
Bao Xing, Ji Jianhua, Shao Xiaofeng, Ou Tang and Liu Xilong
Capacity Procurement and Recovery Model of Service Operation System during the Disruption
The capacity management mode of large-scale service operation systems during the disruption is analyzed. Mathematic model is created with the capacity recovery and procurement with the consideration of social penalty cost to minimize the total disruption management cost. 4 important managerial insights are obtained through numerical simulation, which are useful for the guidance in policy making of the social administration department and scientific decisions of the service operation systems themselves when capacity is injured after disruption.
2008 Vol. 16 (5): 64-70 [
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71
ZHANG Juliang and CHEN Jian
Vender Manage Inventory under Disruption
This paper addresses a short-life supply chain which consists of one supplier and one retailer and in which the supplier manages the inventory. It is shown that incentive conflict and double marginal effect still exist in Vender Manage Inventory (VMI) mode. That is, the inventory stocked by the supplier under decentralized decision is less than that in centralized decision. A coordinated contract—unsold recoup contract in which the retailer recoups the unsold inventory, is proposed. Then the impact of disruption, which changes the supplier’s production cost (including procurement, transportation cost etc.), on supply chain is studied. A robust contract, which has anti-disruption ability, is proposed. Numerical experiments are done to illustrate the value of the contract.
2008 Vol. 16 (5): 71-76 [
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77
Yu Yingying, Chi Hong and Qi Mingliang
Study on Resource Location/Allocation Problem of Emergencies with Infection
This paper develops a model of location and allocation in view of emergency with infection. Infection means when an emergency occurs in one place, the same emergency may occur in the places near it. The resource supply for the place where the emergency happens will influence the resource demand of the emergency elicited. So the demand of the whole place is some combinations of demand. The model in this paper considers many demand combinations and analyzes the problem in two stages and combines location and allocation in one model. Finally, this paper designs a two-layer tabu search algorithm and gives a numerical example.
2008 Vol. 16 (5): 77-83 [
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84
Meng Jiong , Tang Xiao-wo and Ni De-bing
Consumer-Driving Safety Signaling
of Manufacturer-Retailer Supply Chain Alliance
From the perspective of the Corporate Social Responsibilities－the product safety, and its influence on the consumers, this paper applies the basic idea of game theory, investigates the principle of the signaling of manufacturer-retailer alliance under the supply chain’s asymmetric safety information. The results indicate: g manufacturer-retailer alliance adopt the positive safety signaling strategies, and they send out the signals which are not imitated by the b manufacturer-retailer alliance, the market will disassociate in a balanced and satisfactory. This method can make product difference on safety responsibility, and reinforce competitiveness of g product. The conclusion will provide important decision guidance to each member of the supply chain.
2008 Vol. 16 (5): 84-89 [
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90
YANG Feng, LIANG Liang, LING Liu-yi and DU Shao-fu
DEA Estimation to Frontier Production Functions of Supply Chains
Evaluation to technical efficiency is of great importance for both academic research in management science and the real word applications in market economy. The exact evaluation to technical efficiency should be based on the accuracy of estimation to the frontier production functions. Supply chain management has proven as an effective means to provide high-quality products or serves at the least cost. However, the research on the frontier production functions of supply chains is still in absence. Two reasons can be concluded: the first one is the absence of methods to estimate the frontier production functions of multiple-output process, and the second is the absence of methods to estimate the frontier production functions of multiple-stage process. This paper will advance an approach to estimate the frontier production functions of supply chains and the two obstacles can be overcome. The real world application about commercial banking process demonstrates that the proposed approach can be used to estimate the frontier production functions of supply chains.
2008 Vol. 16 (5): 90-95 [
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96
WANG XiaolongLIU Liwen
A Multi-Supplier Single-Retailer Supply Chain Coordination Model with the Retailer Being Dominant
This paper studies a multi-supplier single-retailer supply chain coordination model with the retailer being dominant, that is, she leads the supply chain and proactively coordinates the upstreamers’ production behavior in order to lower their production cost. Additionally, she would adjust her inventory level according to the market changes. With an analytical methodology similar as that under a Stackelberg Game, we derive the coordination equations and prove that the contracts we study are capable to realize a satisfying profit split between each party in the supply chain. The results show that the horizontal competition between suppliers can reduce the retailer’s pressure for coordination and the retailer can achieve supply chain coordination through lower transfer payment.
2008 Vol. 16 (5): 96-109 [
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110
LI De-fang, LIU Lu, ZHANG Chao-jun, QIAO Ying and WANG Hong-an
Analysis of Timing constraints in Workflow based on Event-condition-action (ECA) Rules
This paper presents a novel method to analyze the timing constraints in term of quantitative temporal relationships among activities in the workflow. In the proposed method, the workflow net is converted into a set of event-condition-action (ECA) rules. A timing constraints graph for the workflow is constructed and the consistency of the quantitative temporal constraints among activities can be checked based on this graph.
2008 Vol. 16 (5): 110-117 [
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118
ZHANG Jun-guang Lv Ting-Jie
Estimation Method of Software Project Effort based on Software Size
To obtain the effort of software projects, an effort estimation method based on software size was presented. First the linear relationship between software effort and size was determined by the scatter diagram generated by the organization's historical data. Next the formula statistics method and the tool statistics method were adopted independently for linearity regression analysis. After the regression analysis, the linearity regression equation was obtained, according to which the effort could be got. To simplify the calculation process, the programming statistics method was also studied. The final study indicated that the outcomes obtained by these three methods are almost consistent. The application of the linearity regression equation proved that these three methods are effective and they could be applied in most software organizations. The estimation error is not higher than 33.57%.
2008 Vol. 16 (5): 118-122 [
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123
KAN Hong-xing and YANG Shan-linSONG Xiao-yun
A Model of Risk judgment and avoidance for Software Test Automation
A model of risk judgment and avoidance for the software test automation based on the Return On Investment（ROI）model and COCOMO measurement results is presented. The maintenance cost of regression test is also taken into account. The model first proposes a concept of mean maintenance cost factor and calculates its threshold, and then analyses each time maintenance cost factor by normal method. According to normal distribution, we can obtain the possibility for the test automation risk occurrence. At last a strategy for the risk avoidance is proposed by the sensitivity analysis. The model provides dynamic guidance and correct method for the whole software test automation in order to avoid risk occurrence.
2008 Vol. 16 (5): 123-127 [
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128
Zhang-Lihui and Qi-Jianxun
Properties of Node Slack and Applications in CPM Networks
Node slack is of great importance in CPM network, and it is the most intuitive and the simplest for computing and applications in a variety of slacks. This paper presents three new properties of the node slack, and the slack theorem and characteristic path theorem are deduced. After that an introduction of applications of node slack in finding the second critical path and constructing equivalent sub-network to simplify large-scale network in time/cost trade-off problems is made, and the methods are theoretically proved.
2008 Vol. 16 (5): 128-133 [
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134
XIE Ye , , WEN Fenghua , YANG Xiaoguang and
Studies on Individual Investor’s Herd Behavior by Questionnaires and Experiments
The paper studies the individual investor’s psychological and behavioral features from microcosmic points of view by questionnaires and experiments, emphasizing on the herd behavior. The results show that the degree of individual investor’s herd behavior is different due to investor’s personality characters and personal backgrounds: high self-efficacy and long-term investors have little herd behavior; the difference of herd behavior is significant among the investors with different investment experiences; and there are more herd behavior when investors purchase stocks than when they sell stocks. Moreover, the herd behavior in purchasing, adventurousness and independent personality have some predicting powers for the investors’ performance. Through the experiment we do not find there is significant evidence that information factor and self-efficacy factor influence the investors’ herd behavior, but the two factors influence the investors’ performance significantly.
2008 Vol. 16 (5): 134-140 [
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141
CUI Jie , and DANG Yao-guo LIU Si-feng
An Improved Approach for Determining Weights of Attributes in Decision Making Based on Grey incidence
In order to determine attribute weights in multiple attribute decision making, this paper analyzes the limitations of the present approaches to determining weights of attributes, and it proposes an improved approach to determining weights of attributes in decision making based on grey incidence ,then studies its properties of the improved method. The approach can fully mine the information from the subjective judgment of experience weight matrix that given by decision makers, a public series of comparison of weights is extracted, and a simple mathematic programming model is constructed, the subjective information of weights given by decision makers and the objective information of the decision matrix are integrated. Finally, the analysis of an example demonstrates the simplicity and validity of the improved approach.
2008 Vol. 16 (5): 141-145 [
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146
CHEN Xiao-xin , and LIU Si-feng
Study on Grey Multiple Attribute Group Decision-making Method without Weight Information
Based on grey system theory, the grey attribute group decision-making problem is discussed, in which the attribute values are interval grey numbers and the attribute weights and authoritative weights unknown. The concept of individual imagined optimum vector, ideal expert, and predominance strength and predominance comparative matrix in the alternatives is presented by using analytical technique. According to essentials of interval grey number, a new definition of deviation degree between two interval grey numbers is given, and an incidence degree coefficient formula based on deviation degree for interval grey numbers is constructed. Two algorithms that are the eigenvector method based on projection and priority method of fuzzy complementary judgment matrix for this grey group decision-making are presented, in which attribute weights and authoritative weights of decision-makers are unknown. These algorithms avoid the calculation of attribute weights and authoritative weights .An example shows the rationality of grey attribute group decision-making method and the validity of the algorithms mentioned above.
2008 Vol. 16 (5): 146-152 [
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153
Li Yuhong, Zhao Er-shuai and Guan Zhong-cheng
Two improved super-efficient DEA models
The traditional Data Envelopment Analysis (DEA) models are unable to discriminate between efficient DMUs. This issue has become the interest of many DEA researchers. AP model is a popular super-efficient model to rank efficient DMUs, but it has infeasibility and instability problems. MAJ model and LJK model recently proposed can overcome these deficiencies but their ability to distinguish efficient DMUs is not strong. This paper analyses the reason of these two models’ shortcomings then improves them and provides theoretical proofs. Through two standard numerical examples, we find the improved models perform better than old ones, especially the improved LJK model.
2008 Vol. 16 (5): 153-156 [
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157
XU Hao , and XU Xiaoyan
A Credit Classification Method for Incomplete Information
This paper analyzes a typical credit evaluation problem with incomplete information, such as incomplete credit reference information and interval data. After analyzing the problem with incomplete credit reference information and the characteristics of the problem, one method based on data envelopment analysis (DEA) theory is presented to set a new reference cells with the collection of rejection cases, and a corresponding DEA model is proposed. Moreover, considering credit evaluation measures in the presence of complicated interval index value, a credit classification method is shown. And a numeric example is employed to illustrate the method. Since the present method can effectively solve the credit evaluation problem with incomplete credit reference information and interval data, it can be easily integrated into many practical applications.
2008 Vol. 16 (5): 157-163 [
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164
Gao Jun-shan, WEI Jing, LI Xiao-fei and GU Dong-yuan
An Analysis of Principal-agent Relationship of Outsourcing Incentive Contract on the Risk Compensative
How to reduce the agent cost , which weighs directly on the core competitive edge of businesses engaged in outsourcing operations, is the essential concern of this paper, which analyzed the mechanism of the agent cost first, considering the important of the risk compensative in the incentive contract which aimed at the “Principal-agent question”, then ameliorated a classical incentive contract model,, looked forward to tries to reduce the agent cost. The result proved: it can reduce the agent cost and the incentive cost through putting the factor of risk compensate into the best inspire with contract. Consequently, the agent cost reduced. Our analysis has the significance at large, which is the same with all kinds of the activity of Outsourcing .it has implications for the design of the best incentive contract .
mechanism of cooperation benefits between producers and suppliers
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2008 Vol. 16 (5): 164-170 [
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171
Shengping Dong, Bin Hu and Jinlong Zhang
Multi-agent Simulation of Team Effectiveness Based on Member-task Interaction
The interactions between the task process and members’ behavior take place through the fitting of members’ ability and demands required by tasks and the enhancement of one’s ability through learning in task process. To address how the interaction affects team effectiveness, a multi-agent model is put forward based on casual analyses of various factors involved in team’s task process. The model is implemented into Member-task Interaction based Team Effectiveness Simulation System by Repast.J 3.1. Experimental scenarios are designed and simulated to validate the system. Then, we use the system to explore how task size and fluctuation magnitude of relationship have effect on team efficiency and task allocation. The results show that team’s member relationship degree and task cost can not achieve optimal at the same time, and suggestions are given on how to enhance team effectiveness.
2008 Vol. 16 (5): 171-181 [
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182
CHEN Sheng, ZHAO Quanwu , MENG Qingguo and Hu Angang
Enterprise IT Application Decisions Game Analysis and Empirical Study
there are few papers to study IT Application Decisions based on Game Theory. This study prove existence and uniqueness pure-strategic Nash Equilibrium of firms’ following three-stage game: the first stage, the enterprise decide IT adoption level ; the second stage, the enterprise decide the level of resources allocated to IT implementation ; the last stage, the enterprise decide its own product quantity ,to participate in Cournot product quantity competition.Then analyze at the state of Nash Equilibrium the relevant factors relationship. The results show that : the adoption motivation on the level of resources allocated to IT implementation, the level of resources allocated to IT implementation on IT application performance exist positive effect significantly ; the adoption level on the level of resources allocated to IT implementation, the adoption motivation on IT application performance exist negative effect significantly .
2008 Vol. 16 (5): 182-192 [
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