基于网络均衡的电力市场排污权交易政策研究

本文构建了电力供应链网络均衡模型,网络中包含三级决策主体,分别是:发电厂、电力服务商和用电市场.在分析各级决策者行为的基础上,得到了基于变分不等式的均衡条件,研究了针对发电厂的排污权交易政策设计问题.研究发现:排污交易政策实施后,总排污量不会超过给定的排污权总量;发电厂清洁生产能力的差异对排污权交易政策影响显著.     

市场势力、排他性交易与平台竞争

2019年以来,关于排他性交易的经济效应和规制政策都存在较大争议.在Armstrong等理论模型基础上,构建并分析市场势力差异化情形下的平台排他性交易模型,旨在为双边平台排他性交易竞争效应提供合理的经济学解释以及反垄断政策依据.研究表明:1)当市场势力较强的平台实施排他性交易时,排他性激励能强化该平台对双边用户的定价优势,扩大其商家用户规模,进而增加其与市场势力较弱的平台间的利润差距.2)当市场势力较弱的平台实施排他性交易时,排他性激励能弥补其与市场势力较强平台在对双边用户议价能力与用户规模上的差距,超过一定阈值时,可反超市场势力较强平台的利润.最后,结合研究结论和平台经济发展实践,为平台治理和反垄断规制提出政策建议.     

基于SE-DEA模型的流域水资源利用效率时空分布及制约因素分析

提高水资源利用效率是解决水资源短缺的有效途径,水资源利用效率研究已成为水科学研究的热点问题.应用SE-DEA模型对流域水资源利用效率进行分析基础上,采用Malmquist指数及其分解模型之一,对流域水资源利用效率开展时空分布分析及制约因素识别分析,并应用于巢湖流域水资源利用效率分析.结果表明,①巢湖流域水资源利用综合效率由上游(西部区域)向下游(东部区域)逐渐降低;②2011-2015年巢湖流域水资源利用效率总体呈衰退趋势,规模效率是巢湖流域水资源效率的主要制约因素,应加大投入,形成流域水资源利用的规模效应,不断提高流域水资源效率,促进巢湖流域水资源可持续利用.     

基于D-S证据理论的C2C交易风险评估模型

随着电子商务广泛展开,越来越多的用户选择C2C网上交易,但交易风险也不可忽视,对于普通用户来说,如何正确认识交易中的风险是确定选择该交易的重要依据.基于D-S证据理论的证据融合法,将C2C交易中的不确定性多级多指标评估问题转化为确定性单一总指标的风险评估问题,构建了一种比较通用的C2C交易风险评估模型.实例表明利用实践证明该方法是有效性的,可以为交易者提供参考.文中实例均来自淘宝网,但方法也适用于其它C2C交易平台,具有一定的应用价值.     

可交易的水权安排对农户灌溉用水行为的影响——基于农户行为模型的理论分析

水资源用水总量控制与定额管理相结合的制度已成为我国水法的重要制度.但目前我国用水定额管理工作仅强调了通过用水定额管理并结合价格机制实行超定额累进加价征收水资源费和水费的办法来激励人们节约用水,没有明确界定这些用水定额的产权归属问题及用水定额的可交易性问题.将通过建立农户灌溉用水行为模型,利用边际分析方法分析可交易的农业用水定额对农户行为的影响.分析表明,当水权可交易时,水价政策与水市场的存在将激励农户节约用水,减少灌溉用水量.农户将通过采用灌溉效率更高的灌溉技术来节约单位面积的灌溉用水量或通过改变种植面积或种植结构的方式来节约总的灌溉用水量,而种植面积或种植结构的变化将进一步促进农地流转市场的发展.但水权交易成本的增加可能削弱出售水权农户的节水积极性并影响农户参与水市场的积极性从而影响水市场的形成与发展.     

求解带有交易费的CVaR投资组合模型的L-S算法

本文假设投资者是风险厌恶型,用CVaR作为测量投资组合风险的方法.在预算约束的条件下,以最小化CVaR为目标函数,建立了带有交易费用的投资组合模型.将模型转化为两阶段补偿随机优化模型,构造了求解模型的随机L-S算法.为了验证算法的有效性,用中国证券市场中的股票进行数值试验,得到了最优投资组合、VaR和CVaR的值.而且对比分析了有交易费和没有交易费的最优投资组合的不同,给出了相应的有效前沿.     

大额资产清仓的自动化交易策略

市场的机构投资者经常需要清仓手中持有的大额资产, 因此清仓的交易策略成为了关心的问题. 以工商银行的股票为例,给出适用于计算机执行的自动化清仓策略. 首先将高频的工商银行股票历史数据在每个交易日分别划分出48个交易期, 将问题简化为处理每个交易日交易期的数据. 在此基础上, 综合考虑用神经网络模拟预测清仓时股票价格随时间下降的风险和用信息流理论模型衡量的价格冲击和交易时刻, 并通过优化模型得到清仓持续的交易日天数. 此后, 再制定出每个交易日的具体自动化交易策略.在制定日内交易策略 时, 首先用神经网络对交易时刻做出预测, 然后综合考虑使用 VWAP 预测出的交易量和通过 Kalman 滤波方法修正过的期权定价公式预测出的各时刻股票的初始价格, 最终给出详细的交易策略及交易的成本.     

基于D-S证据理论的水资源合理配置方案综合评价

由于水资源合理配置具有多目标性、模糊性和不确定性的特点,其方案的综合评价可作为一个数据融合问题.利用改进的D-S证据理论合成公式,并考虑不同指标之间权重,给出了水资源合理配置方案综合评价模型.石羊河流域水资源配置方案评价的实例研究表明,D-S证据理论在水资源合理配置方案评价中有较好的实用性.     

基于模拟退火算法的知情交易研究北大核心CSCD

为了更准确地估计知情交易概率水平(PIN),文章主要使用模拟退火算法并结合交易量时间概念对知情交易模型进行参数估计.算法改进后的知情交易模型已可适用于较高频的交易订单数据,从而更好地捕捉微观市场中PIN的变化.参数估计方面,文章主要使用模拟退火算法对EKOP-PIN、EHO-PIN以及DY-PIN进行带约束的最大似然估计,并将结果与无约束优化的间接估计算法进行了比较,基本解决了以往算法存在的局部最优和数值溢出等问题.数值模拟显示,使用模拟退火算法并运用模式搜索法进行末端优化的混合算法在计算PIN时能够进一步提高估计精度.使用沪深300股指期货高频交易数据的实证结果显示,重新估计的EHO-PIN对波动率有着较高的解释和预测能力,可作为一种有效的市场波动率预警指标.     

基于时间序列建模和控制图的异常交易检测方法

可疑交易识别是打击洗钱犯罪所要面对的一项重要任务.为辅助反洗钱分析人员从海量金融交易信息中甄别客户异常交易,本文提出一种新的基于非线性马尔科夫随机过程、相空间重构和隐马尔科夫链的非线性随机方法,用于对金融交易时序进行建模拟合,然后应用鲁棒控制图对估计误差进行检验以发现异常.应用该算法对实际交易数据和仿真数据的分析验证了所提方法的有效性和可行性,可以被用于异常交易的监测.     

市场经济体制下水资源管理形式探讨

水资源管理是一个动态、多层次、复杂的系统工程。文章分析了传统的水资源管理体制存在的弊端,着重探讨了社会主义市场经济体制下应该采取的水资源管理办法,旨在促进水资源的可持续利用及国民经济和社会的可持续发展。     

高新技术企业中的人力资本股权激励模型

本分析了人力资本参与企业产权划分的理论基础；阐述了现代企业的股权激励模式及其在中国适用性；设计了在高级人才安全竞争的市场条件下，在我国高新技术企业可试行的人力资本股权激励模型。     

Basin-wide cooperative water resources allocation

The Cooperative Water Allocation Model (CWAM) is designed within a general mathematical programming framework for modeling equitable and efficient water allocation among competing users at the basin level and applied to a large-scale water allocation problem in the South Saskatchewan River Basin located in southern Alberta, Canada. This comprehensive model consists of two main steps: initial water rights allocation and subsequent water and net benefits reallocation. Two mathematical programming approaches, called the priority-based maximal multiperiod network flow (PMMNF) method and the lexicographic minimax water shortage ratios (LMWSR) technique, are developed for use in the first step. Cooperative game theoretic approaches are utilized to investigate how the net benefits can be fairly reallocated to achieve optimal economic reallocation of water resources in the second step. The application of this methodology to the South Saskatchewan River Basin shows that CWAM can be utilized as a tool for promoting the understanding and cooperation of water users to achieve maximum welfare in a river basin and minimize the potential damage caused by water shortages, through water rights allocation, and water and net benefit transfers among water users under a regulated water market or administrative allocation mechanism.     

DYNAMIC SUPPLY FROM COMMON PROPERTY RESOURCE: WATER DIVERSIONS FROM THE GREAT LAKES

For many purposes, the five Great Lakes can be classified as an open access resource since there is no well-defined system of property rights governing these water uses in the lakes. Yet the Great Lakes Charter and the Water Resources Act of 1966 establish regulations concerning the diversion of water out of the basin. Thus, for interbasin water diversions the Great Lakes is more like a common property resource with rules governing such transfers. Moreover, water diversion decisions are interconnected since withdrawing water from one point may affect water levels in the entire lake system. This, in turn, can adversely affect hydropower production and commercial navigation. Contributing to the complexity of the problem are the eight U.S. states, two Canadian provinces and two federal governments which are involved in Great Lakes management. Game theory is used to describe this situation. Several games are constructed to describe different market structures. Of particular interest is the number of players who participate in the game, as well as the expectations they hold. Open-loop (where players commit themselves to future actions) and closed-loop (where players do not commit themselves to future actions) are compared for the ten players game (eight states and two provinces), two players game (U.S. and Canada) and one player game (a social planner's solution). The open-loop game is shown to ignore part of the externalities involved, and thus can underestimate the social loss caused by diversions from the lakes.     

上市公司控制权转移的演化博弈分析

在演化博弈理论的框架下建立了控制权转移的接管机制模型.在具有不完全信息的控制权市场,将控制权争夺的参与者分为两个群体:接管者(进入者)群体和管理者(在位者)群体,他们随机配对进行不对称两人博弈.接管者选择进入和不进入且其特性有强、弱之分,在位者选择合作和抵制.通过建立复制者动态模型并对其均衡点进行分析,得到了控制权转移的路径及接管者与管理者的最优策略.     

RISK-BASED MULTIATTRIBUTE DECISION-MAKING IN PROPERTY AND WATERSHED MANAGEMENT

ABSTRACT. Determining best management systems for properties and evaluating their sustainability at the watershed scale are useful and important aspects of integrated watershed management. Multiattribute decision-making (MADM) is very useful for modeling the selection of best management systems for properties in a watershed. This paper reviews four MADM approaches including utility theory, surrogate worth tradeoff, free iterative search and stochastic dominance with respect to a function (SDWF). Emphasis is on determining how the first three methods could be used to determine the best (most preferred) combinations of attributes and associated management systems for a property. An application of the expected utility method with risk neutral preferences is presented in which farmer's preferences for five attributes are used to rank five farming systems for an agricultural watershed in Missouri. A framework is presented for assessing the sustainability of the best management systems for all properties in a watershed and the cost-effectiveness of policies for enhancing sustainable resource management at the watershed scale.     

Risk management in power markets: The Hedging value of production flexibility

Since the 1990s power markets are being restructured worldwide and nowadays electrical power is traded as a commodity. The liberalization and with it the uncertainty in gas, fuel and electrical power prices requires an effective management of production facilities and financial contracts. Thereby derivatives build essential instruments to exchange volume as well as price risks. The challenge for participants in the newly competitive market environment is how to design, price and hedge derivative contracts in particular combination with the flexibility embedded in dispatch strategies of production assets. Accordingly, an adequate basis for management and investment decisions is needed which responds to the highly complex market situation.     

Applying stochastic goal programming: A case study on water use planning

A decision support model to help public water agencies allocate surface water among farmers and authorize the use of groundwater for irrigation (especially in Mediterranean dry regions) is developed. This is a stochastic goal programming approach with two goals, the first concerning farm management while the other concerns environmental impact. Targets for both goals are established by the agency. This model yields three reduction factors to decide the different reductions in available surface water, standard groundwater and complementary groundwater that the agency should grant/authorize for irrigation, this depending on if it is a dry or wet year. In drought periods, the model recommends using more groundwater (in percentage) than in wet periods. A case study using year-to-year statistical information on available water over the period 1941–2005 is developed through numerical tables. A step-by-step computational process is presented in detail.     

仓库容量有限条件下的随机存贮管理模型

以商场的商品销售与存贮为研究对象,建立了一类在仓库容量有限条件下的存贮管理决策模型,并给出了最优存贮策略.针对某个大型超市的三种商品的真实销售数据,我们运用该模型分析求解得出了三种商品的最优订货点L*分别为35、39和40.结合销售存贮管理中的实际情况,我们针对商场同时订购多种商品时的情况对模型进行了初步推广,并依据此推广模型得出了在同时订购三种商品时的最优订货点L*为7.2.最后我们进一步讨论了在商品销售率随存贮时间发生变化及存贮变质性商品时的存贮管理决策模型,以便满足不同商家的订货和存贮策略.