On the existence of business cycles in Asada’s two-regional model

A two-regional five-dimensional model describing the development of income, capital stock and money stock, which was introduced by Asada (2004) [2] is analysed. Sufficient conditions for the existence of one pair of purely imaginary eigenvalues and three eigenvalues with negative real parts in the linear approximation matrix of the model are found. Formulae for the calculation of the bifurcation coefficients of the model are derived. The theorem on the existence of business cycles is presented. A numerical example illustrating the gained results is given.     

Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps

A new family of binomial trees with even numbers of steps as approximations to the Black-Scholes model is introduced. For this class of trees, the existence of asymptotic expansions for the prices of vanilla and digital European options is demonstrated. The rate of convergence is analyzed by discussion of the different cases of the spot stock price. As spacial cases, a tree with third order convergence is constructed in detail. The existence proof of any finite integer order of convergence is given.     

中国股票市场星期效应的实证分析--主成份分析

本文利用主成份分析的方法,构造代表中国股市日收益率波动的第一主成份序列,通过对这一序列的残差进行自相关性与异方差性检验,选用(A(2)-A(1))～GARCH模型,分析中国股票市场"星期效应"的存在性与特征.     

A stock-flow approach to general equilibrium with trade frictions

A dynamic model framework is outlined in which demand and supply are not assumed to match instantaneously. The formalism allows for a wide range of transaction processes and price mechanisms with accompanying externalities and spillovers. The framework comprises both flow variables, such as trade and consumption, and stock variables, such as assets, buffer stocks, and backlog orders. A notion of equilibrium is suggested, and sufficient conditions are given for its existence. The short-side rule and Walrasian equilibrium are identified as limiting cases.     

基于MTAR模型的沪市周期性爆炸泡沫检验

我国股市存在理性泡沫得到了普遍认同.但在现实市场中,股市不存在理性泡沫中的确定性泡沫、持续再生性泡沫、内在泡沫,对于外生泡沫的研究缺乏相关的模型,因此对周期性爆炸泡沫的检验尤为必要.采用非线性的MTAR模型对我国沪市周期性爆炸泡沫的存在性进行研究,研究结果显示,1991年1月至1996年12月期间沪市存在泡沫,而1997年1月至2004年12月泡沫成分消失,2005年1月至2009年12月沪市又出现泡沫成分,从而证实我国沪市存在周期性爆炸泡沫.     

Optimal Dynamics of Innovation in Models of Economic Growth

A nonlinear model of economic growth which involves production, technology stock, and their rates as the main variables is considered. Two trends (growth and decline) in the interaction between the production and R&D investment are examined in the balanced dynamics. The optimal control problem of R&D investment is studied for the balanced dynamics and the utility function with the discounted consumption. The Pontryagin optimality principle is applied for designing the optimal nonlinear dynamics. An existence and uniqueness result is proved for an equilibrium of the saddle type and the convergence property of the optimal trajectories is shown. Quasioptimal feedbacks of the rational type for balancing the dynamical system are proposed. The growth properties of the production rate, R&D, and technology intensities are examined on the generated trajectories.     

沪深股市风险特征分析

本文运用ARMA-GARCH-M计量经济学模型,以及国际上通行的风险评价指标VAR,通过计算沪深两市的VAR值,比较两市的整体投资风险,以及各自的风险特点,并对模型的有效性进行了Kupiec检验,为投资者控制市场风险提供参考.     

基于多分辨分析的沪深股市相关性分析

为了有效地揭示沪深股市不同交易周期股票交易的相关性,本文采用极大重叠离散小波变换,将上证指数和深圳成指高频收益率分解在不同的交易周期上,对各个周期的收益率采用semi-GPD模型作为其边缘分布分别进行拟合,在此基础上采用Copula函数方法建立同周期收益率的联合分布,度量了沪深两市同周期交易的相关性.实证表明,不同交易周期所表现出的相关性存在明显差异,并且随着交易期的增长,沪深两市非对称结构逐步明显。     

An integrated inventory model under conditions of order processing cost reduction and permissible delay in payments

This article develops an integrated inventory model to determine the optimal policy under conditions of order processing cost reduction and permissible delay in payments. Both the vendor and the buyer participate in order processing cost reduction by applying information technologies. The order processing cost can be reduced by certain expenditures and will affect lot-size decisions. Simultaneously, the existence of the credit period serves to reduce the cost of holding stock to the buyer, because it reduces the amount of capital invested in stock for the duration of the credit period. The article derives the total cost function and shows that the function possesses some kinds of convexities. A solution procedure is provided to determine the optimal order policy. Finally, numerical examples are presented to illustrate the solution procedure.     

Resource Dynamics under Partial Cooperation in an Oligopoly

We study the long-run evolution of a renewable resource which is subject to harvest by partially cooperating players who sell the harvested quantities on distinct markets. We derive explicit expressions for the total harvesting quantity of all players in this general framework and investigate the dependence of the total and relative harvest rates on the level of cooperation, available fish stock, and fishing costs. Combining the biological growth model with oligopoly leads to a nonlinear dynamic law for the evolution of the fish stock in the presence of commercial fishing. We provide also existence results for its equilibrium and examine the asymptotic behavior of the equilibrium. We are grateful for the critical comments and suggestions of three anonymous referees.     

Dynamics of a delayed business cycle model with general investment function

The aim of this paper is to study the dynamics of a delayed business cycle model with general investment function. The model describes the interaction of the gross product and capital stock. Furthermore, the delay represents the time between the decision of investment and implementation. Firstly, we show that the model is well posed by proving the global existence and boundedness of solutions. Secondly, we determine the economic equilibrium of the model. By analyzing the characteristic equation, we investigate the stability of the economic equilibrium and the local existence of Hopf bifurcation. Also, the direction of the Hopf bifurcation and the stability of the bifurcating periodic solutions are derived by applying the normal form method and center manifold theory. Moreover, the global existence of bifurcating periodic solutions is established by using the global Hopf bifurcation theory. Finally, our theoretical results are illustrated with some numerical simulations.     

中国股市波动性的非线性结构检验

在随机模型框架下考察股市波动性对于风险控制和管理是至关重要的。本文对沪、深股市收益率波动性的非线性结构方正启体简体进行了检验。首先,通过M cLeod-L i检验初步确定了非线性结构的存在;然后,使用BDS检验做了进一步的验证;最后,通过Hsieh检验对波动性的非线性结构类型进行了区分。     

No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate

In the stock models, the prices of the stocks are usually described via some differential equations. So far, uncertain stock model with constant interest rate has been proposed, and a sufficient and necessary condition for it being no-arbitrage has also been derived. This paper considers the multiple risks in the interest rate market and stock market, and proposes a multi-factor uncertain stock model with floating interest rate. A no-arbitrage theorem is derived in the form of determinants, presenting a sufficient and necessary condition for the new stock model being no-arbitrage. In addition, a strategy for the arbitrage is provided when the condition is not satisfied.     

Asymmetric GARCH processes featuring both threshold effect and bilinear structure

A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric models. Stationarity and existence of moments are discussed. Applications to Korean stock prices are illustrated.     

IN-SEASON FISHERY MANAGEMENT: A BAYESIAN MODEL

A Bayesian model is presented for optimizing harvest rates on an uncertain resource stock during the course of a fishing season. Pre-season stock status information, in the form of a “prior” probability distribution, is updated using new data obtained through the operation of the fishery, and harvest rates are chosen to achieve a balance between conservation concerns and fishing interests. A series of fishery scenarios are considered, determined by the stock size distribution and the timing distribution; the uncertainty in the fish stock is seen to have a rather complex influence on optimal harvest rates. The model is applied to a specific example, the Skeena River sockeye salmon fishery.     

Optimal ordering policies for perishable multi-item under stock-dependent demand and two-level trade credit

In this paper, a multi-item inventory model for perishable items is developed, where the demand rates of the items are stock dependent, two-level trade credit is adopted and the restriction of inventory capacity is also considered. The major objective is to determine the optimal cycle time and order quantities such that the total profit is maximized. The existence and uniqueness of the optimal cycle is discussed by Lagrange approach, and line search algorithms are developed to find the optimal solution of the model. Furthermore, numerical examples are given to illustrate the methods. The sensitivity of the solution to changes in the values of different parameters is also discussed.     

EQUILIBRIUM ABUNDANCE OF SALMON STOCKS IN A LIFE CYCLE MODEL WITH INTERACTING HATCHERY AND NATURAL SUBSTOCKS

This paper develops the equilibrium solutions for an age-structured life cycle model where spawning stock is split between natural and hatchery spawners. Mixing is allowed between the stocks through natural stock take by the hatchery and release of eggs or fry by the hatchery when its capacity is exceeded. The natural stock is assumed to have density-dependent egg-smolt survival while the hatchery stock has linear survival. The model can be applied to any hatchery reared fish stock but is most appropriate for salmon, where hatchery and naturally spawned fish mix completely later in life. Questions about the mix between the hatchery and natural stocks can be addressed by computing the fraction of naturally and hatchery derived stock among the natural and hatchery spawners as well as among the total adult run. Columbia River chinook stock are used as an example for which equilibria and mixing fractions are computed. A Monte Carlo sensitivity study on model parameters showed that the natural stock survival from smoltification to age 1 and the natural basin smolt carrying capacity are most important in controlling the equilibrium age-1 naturally spawned stock. Changing hatchery capacity over two orders of magnitude showed a 50 percent change in the fraction of naturally derived fish in the natural spawning stock, while the relative size of natural and hatchery stocks changed over two orders of magnitude. The model can serve as a tool for quickly assessing the effects of spawning habitat modification and hatchery supplementation practices on long-term stock mixing and stock abundance.     

基于数据挖掘技术的股票收益率方向研究

本文依据数据挖掘技术对股票收益率的变化方向进行探究。通过小波多尺度分解,将股票价格转化为不同频率域下的子序列数据、并对其中的高频序列进行降噪。构建极度梯度提升树(XGBoost)、以及其它主流机器学习算法,对沪深300和中证500指数中成分股的涨跌进行了拟合并预测。研究发现XGBoost的平均准确率分别达到了54.69%和55.13%,同时依据预测信号构建的投资策略可产生稳定收益,表明该方法具备较强的预测能力。在此基础上,对机器学习算法存在的“黑箱”问题进行了阐述和研究,对模型选股的逻辑进行了探析:提出一种因子权重的度量方法,研究发现市净率、市盈率、能量潮等指标在模型中是较为重要的判别指标,并通过偏相依关系度量了模型中各因子对于股价涨跌方向的边际影响,得到模型倾向于选择市盈率、市净率较小的股票等一些结论,使算法的逻辑更为清楚。     

A parabolic variational inequality related to the perpetual American executive stock options

A parabolic variational inequality is investigated which comes from the study of the optimal exercise strategy for the perpetual American executive stock options in financial markets. It is a degenerate parabolic variational inequality and its obstacle condition depends on the derivative of the solution with respect to the time variable. The method of discrete time approximation is used and the existence and regularity of the solution are established.     

基于股票分布模型的平均建仓成本价分析

股票价格分布理论的基础上,对平均建仓成本价及其分散程度进行了分析,发现平均建仓成本价与其一期滞后的分散程度成显著的负相关关系.