基于复杂网络的金融风险跨市场传导机制研究——以金融危机时期(2007~2009年)数据为例

金融系统具有典型的非线性复杂系统的特征,其多层次和多重反馈特性使得金融风险跨市场传导效应更加复杂多变。选取2007~2009年金融危机时期的相关数据,构建金融网络,并采用最小生成树(MST)的方法对金融风险跨市场传导机制进行实证分析。结果表明:我国金融市场具有明显的小世界特征;金融危机期间金融市场内部各子市场间的关联程度显著加强;股票、债券、房地产和外汇市场是系统重要性市场,需要重点监控;对金融风险跨市场传导的潜在路径进行了识别,为宏观审慎监管提供了理论基础。     

A two stage stochastic equilibrium model for electricity markets with two way contracts

This paper investigates generators’ strategic behaviors in contract signing in the forward market and power transaction in the electricity spot market. A stochastic equilibrium program with equilibrium constraints (SEPEC) model is proposed to characterize the interaction of generators’ competition in the two markets. The model is an extension of a similar model proposed by Gans et al. (Aust J Manage 23:83–96, 1998) for a duopoly market to an oligopoly market. The main results of the paper concern the structure of a Nash–Cournot equilibrium in the forward-spot market: first, we develop a result on the existence and uniqueness of the equilibrium in the spot market for every demand scenario. Then, we show the monotonicity and convexity of each generator’s dispatch quantity in the spot equilibrium by taking it as a function of the forward contracts. Finally, we establish some sufficient conditions for the existence of a local and global Nash equilibrium in the forward-spot markets. Numerical experiments are carried out to illustrate how the proposed SEPEC model can be used to analyze interactions of the markets.     

DG method for numerical pricing of multi-asset Asian options—The case of options with floating strike

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two assets. Further, we focus only on one subclass—Asian options with floating strike—and introduce the concept of the dimensionality reduction with respect to the payoff leading to PDE with two spatial variables. Then the numerical option pricing scheme arising from the discontinuous Galerkin method is developed and some theoretical results are also mentioned. Finally, the aforementioned model is supplemented with numerical results on real market data.     

A model of speculative behaviour with a strange attractor

An asset pricing model for a speculative financial market with fundamentalists and chartists is analysed. The model explains bursts of volatility in financial markets, which are not well explained by the traditional finance paradigms. Speculative bubbles arise as a complex non-linear dynamic phenomenon brought about naturally by the dynamic interaction of heterogeneous market participants. Depending on the time lag in the formation of chartists' expectations, the system evolves through several dynamic regimes, finishing in a strange attractor. Chaos provides a self-sustained motion around the rationally expected equilibrium that corresponds to a speculative bubble. In order to explain the role of Chartism, chaotic motion is a very interesting theoretical feature for a speculative financial market model. It provides a complex non-linear dynamic behaviour around the Walrasian equilibrium price produced by deterministic interactions between fundamentalists and chartists. This model could be a link between two opposite views over the behaviour of financial markets: the theorist's literature view that claims the random motion of asset prices, and the chartist's position extensively adopted by market professionals.     

The impact of illiquidity on the asset management of insurance companies

This paper investigates optimal asset management strategies for property and casualty insurance companies in illiquid markets. Using a cash-flow based liquidation model of an insurance company, we consider the effects of permanent and temporary price impact as well as commonality in price impact. Focusing on the interaction of a single large investor with the financial market makes the main results generally applicable for any institutional investor with stochastic future liabilities and restrictions on short-sales and financial leverage. Our analysis reveals a clear diversification benefit in illiquid markets apart from the one introduced by Markowitz [Markowitz, H., 1952. Portfolio selection. J. Financ. 7, 77-91]. In the presence of commonality, cash-flow matching is shown to be the optimal strategy for a large investor.     

Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions

In this paper, we first determine the existence of structural changes in the dependence between time series of equity index returns of two markets using the change point testing method. The method is based on Archimedean copula functions, which are able to comprehensively describe dependence characteristics of random variables. The degree of financial contagion between markets is subsequently estimated using the tail dependence coefficient of copula functions before and after the change point. We empirically test our method by investigating financial contagion during the subprime crisis between the US S&P 500 index and five Asian markets, namely China, Japan, Korea, Hong Kong and Taiwan. Our results show that a statistically significant change point exists in the dependence between the US market and all Asian stock markets except Taiwan. The upper tail dependence is larger after the time of change, implying the existence of contagion during the banking crisis between the US and the Asian economies. The degree of financial contagion is also estimated and found to be consistent with market events and media reports during that period.     

The affine inflation market models

Interest rate market models, such as the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where two types of swaps, zero-coupon and year-on-year inflation-indexed swaps, are the basic observable products. For inflation market models considered so far, closed formulas exist for only one type of swap, but not for both. The model in this paper uses affine processes in such a way that prices for both types of swaps can be calculated explicitly. Furthermore, call and put options on both types of swap rates can be calculated using one-dimensional Fourier inversion formulas. Using the derived formulas, we present an example calibration to market data.     

Chance and necessity in sociological theory

This paper proposes a mathematical model of financial markets as networks. The model examines the effect of network structure on market behavior (price volatility and trading volume). In the model, investors are arrayed in various network configurations through which they gather information to make trading decisions. The basic network considered is a chain graph with two parameters, number of investors (n) and the length of time in which information is transmitted (k). Closed‐form expressions for price volatility and expected trading volume are provided. The model is generalized to more complex networks, focusing on the hub‐and‐spoke network. The network configurations analyzed do not represent the real (and unknown) communication network among investors, but predictions from the model are consistent with price and volume patterns observed in sociological and economic research on financial markets. The main result is that network structure alone influences price volatility and expected trading volume even though investors are homogeneous and the information introduced into the system is unbiased and random. This result suggests that the structure of the real communication network among investors may influence market behavior.     

Cross-correlations between volatility,volatility persistence and stock market integration: the case of emergent stock markets

In this paper, we investigate the dynamics of the two pairs of relationship, respectively volatility/market integration and volatility persistence/market integration, in the case of 20 emerging stock markets during the period 1999–2013. Employing the rolling windows approach we find that on most markets the persistent positive trend in volatility and volatility persistence is associated with the same trend in market integration. We use the detrending moving-average cross-correlation coefficients and we find positive cross-correlation that appears particularly in the long term and can only partly be attributed to the global financial crisis. The cross-section analysis shows that the markets which are more integrated display stronger volatility and volatility persistence, especially after 2005, when the level of market integration is higher. Our findings have several important implications for international portfolio management and security valuation.     

Real options valuation of forest plantation investments in Brazil

In this paper, we consider investments in eucalyptus plantations in Brazil. For such projects, we discuss real options valuation in the place conventional methods such as IRR or NPV, possibly with CAPM. Traditionally, real options valuation assumes complete markets and neglects market imperfections. Yet, market frictions, such as transaction costs, interest rate spreads, and restricted short positions, can play an important role. We extend real options valuation to allow incomplete and imperfect markets. The value is obtained as a competitive price, given markets of competing investment opportunities, such as real and financial assets. Under perfect and complete markets, such valuation method is consistent with conventional real options theory. Stochastic programming and standard software is used for valuation of eucalyptus plantations. We estimate the underlying interdependent diffusion processes of stock market, interest rates, exchange rates and pulpwood price, and derive novel expressions of stochastic integrals to be employed in scenario generation for discrete time stochastic programming.     

家电行业并购的财务风险预警研究

通过对家电行业的特点及其并购过程中财务风险的分析,建立了家电行业并购的财务风险评价指标体系,运用层次分析法确定各指标权重,给出了我国家电行业并购财务风险预警的模糊综合评价模型,并通过四川长虹与美菱电器的并购案例进行了实证分析,对并购活动中财务风险防范与控制方面存在的问题进行了分析,明确了财务风险防范与控制的重点.     

Phase and multifractality analyses of random price time series by finite-range interacting biased voter system

A random financial price process which is developed by mechanisms of finite-range interacting biased voter model is considered in the present paper. Voter model is one of statistical physics systems as well as a continuous time Markov process, which originally represents a voter’s attitude on a particular topic, namely, voters reconsider their opinions at times distributed according to independent exponential random variables. The empirical mode decomposition method is employed to analyze the behaviors of logarithmic returns for the simulation data of the model and the two real market indexes, Shanghai Composite Index and Deutscher Aktien Index. The multifractal characteristics of the original returns and first 3 intrinsic mode functions (IMFs) after empirical mode decomposition are explored by the multifractal detrended function analysis. The instantaneous phase, amplitude probability distribution of first 4 IMFs, and the multifractal properties of instantaneous amplitude are investigated.     

Contract design and supply chain coordination in the electricity industry

In this article we propose a model of the supply chain in electricity markets with multiple generators and retailers and considering several market structures. We analyze how market design interacts with the different types of contract and market structure to affect the coordination between the different firms and the performance of the supply chain as a whole. We compare the implications on supply chain coordination and on the players’ profitability of two different market structures: a pool based market vs. bilateral contracts, taking into consideration the relationship between futures and spot markets. Furthermore, we analyze the use of contracts for differences and two-part-tariffs as tools for supply chain coordination. We have concluded that there are multiple equilibria in the supply chain contracts and structure and that the two-part tariff is the best contract to reduce double marginalization and increase efficiency in the management of the supply chain.     

基于GAS t-Copula模型的金融市场非对称风险溢出效应测度研究

准确测度金融风险溢出效应对于金融风险管理和构建投资组合具有重要意义,而金融市场之间的非线性及动态相关结构一直是风险溢出效应研究中的难点问题之一。本文通过引入GAS t-copula模型与CoVaR方法,结合能够刻画重要典型事实特征的边缘分布模型,构建了金融市场间的风险溢出效应测度模型,以中国内地等五个股市为研究对象,测度美国股市对中国内地等四个重要股市的风险溢出效应,以检验模型的可靠性与准确性。实证结果表明:中国内地等四个股市与美国股市之间呈现出显著为正且时变相关结构,随着金融危机的爆发,相关系数逐渐增加达到最大值;中国内地等四个股市受到美国股市的风险溢出效应呈现出非对称特征,即下跌风险溢出效应强度显著大于上涨风险溢出效应;中国内地股市受到的金融风险溢出效应显著小于香港、日本以及英国股市。     

金融风险在股票市场的传染效应及联动行为分析

近年来金融危机频发并表现出了易传染性,引起了众多学者的高度关注。以动态条件相关模型研究美欧股市与中、日、韩股市间的时变相关性,并结合内生多重结构突变模型划分危机传染阶段,选用溢出指数模型分析股市间的风险溢出特性;随后,定义股市间相互影响的联动模式并构建不同传染阶段的加权有向网络图分析股市间的联动行为。研究表明:美欧股市对中日韩股市有明显的传染效应,被传染的速度和持续时间均不相同;金融传染和风险溢出展现出一定的不一致性,危机期间日股的风险溢出效应强于美股;传染效应在联动网络中表现为联动模式的高聚类性和高联动性,相比欧债危机,次贷危机时期股市间展现出更强的联动行为;日股与美欧股市在两次危机中均表现出最强的联动性,其所受影响也最大。     

The Dynamic Interaction of Speculation and Diversification

A discrete time model of a financial market is developed, in which heterogeneous interacting groups of agents allocate their wealth between two risky assets and a riskless asset. In each period each group formulates its demand for the risky assets and the risk‐free asset according to myopic mean‐variance maximizazion. The market consists of two types of agents: fundamentalists, who hold an estimate of the fundamental values of the risky assets and whose demand for each asset is a function of the deviation of the current price from the fundamental, and chartists, a group basing their trading decisions on an analysis of past returns. The time evolution of the prices is modelled by assuming the existence of a market maker, who sets excess demand of each asset to zero at the end of each trading period by taking an offsetting long or short position, and who announces the next period prices as functions of the excess demand for each asset and with a view to long‐run market stability. The model is reduced to a seven‐dimensional nonlinear discrete‐time dynamical system, that describes the time evolution of prices and agents' beliefs about expected returns, variances and correlation. The unique steady state of the model is determined and the local asymptotic stability of the equilibrium is analysed, as a function of the key parameters that characterize agents' behaviour. In particular it is shown that when chartists update their expectations sufficiently fast, then the stability of the equilibrium is lost through a supercritical Neimark–Hopf bifurcation, and self‐sustained price fluctuations along an attracting limit cycle appear in one or both markets. Global analysis is also performed, by using numerical techniques, in order to understand the role played by the chartists' behaviour in the transition to a regime characterized by irregular oscillatory motion and coexistence of attractors. It is also shown how changes occurring in one market may affect the price dynamics of the alternative risky asset, as a consequence of the dynamic updating of agents' portfolios.     

An extension of the Clark–Haussmann formula and applications

ABSTRACT

This work considers a financial market stochastic model where the uncertainty is driven by a multidimensional Brownian motion. The market price of the risk process makes the transition between real world probability measure and risk neutral probability measure. Traditionally, the martingale representation formulas under the risk neutral probability measure require the market price of risk process to be bounded. However, in several financial models the boundedness assumption of the market price of risk fails; for example a financial market model with the market price of risk following an Ornstein–Uhlenbeck process. This work extends the Clark–Haussmann representation formula to underlying stochastic processes which fail to satisfy the standard requirements. Our methodology is classical, and it uses a sequence of mollifiers. Our result can be applied to hedging and optimal investment in financial markets with unbounded market price of risk. In particular, the mean variance optimization problem can be addressed within our framework.     

Coordination between long-term decision process and day-ahead unit commitment in deregulated markets: A fuzzy hierarchical bi-level modeling approach

GenCos need the day-ahead unit commitment solutions in deregulated markets which are feasible, applicable in practice and consistent with the long-term planning decisions. However, such decisions are both vast in scope and different in nature so that applying a monolithic approach is subject to some difficulties and shortcomings. This paper aims to coordinate the long-term decision process with the day-ahead market scheduling through developing a profit-based fuzzy hierarchical bi-level approach. First, an annual planning model with monthly periods at power plant-generation technology level; then based upon a monthly scheduling with daily periods at generating unit level. An interactive solution method involving the soft coordination and feedback mechanisms using rolling horizon strategy is also presented. In the developed models, we try to address critical aspects of power system optimization. This approach is implemented for a real case and analytical results are reported.     

人民币汇率波动对我国出口价格的传递效应研究——区分持久性与暂时性汇率变动的不同影响

实体经济的变化和货币政策与金融市场的扰动,分别造成汇率的持久性变动与暂时性变动。为了研究这两种不同的汇率变动对出口价格产生的影响,本文通过研究不完全竞争市场中出口企业的定价行为,建立理论分析框架,并使用Blanchard-Quah方法对汇率变动进行分解,得出两种不同的汇率变动。基于VEC模型,采用1997年1月至2012年12月我国的出口价格数据进行实证分析,结果表明:人民币实际有效汇率的持久性变动和暂时性变动对我国出口价格的传递系数分别为0.84和0.67。因此,加快出口行业的转型与升级以及维持好货币政策与金融市场的稳定,对降低汇率波动对我国出口企业的影响具有重要的意义。