Heterogeneous impatience in a continuous-time model

In a continuous-time economy with complete markets, we study how the heterogeneity in the individual consumers’ risk tolerance and impatience affects the representative consumer’s risk tolerance and impatience. We derive some formulas, which indicate that the representative consumer’s impatience decrease over time, and whether his risk tolerance increases or decreases over time depends on the sign of some weighted covariance between the individual consumers’ cautiousness (derivative of risk tolerance with respect to own consumptions) and impatience. These results are then used to show that the short rate tends to decrease over time and the market price of risk is volatile in some special cases of heterogeneous economies.      

A structural model of market dynamics,and why it matters

In this paper, we explore an approach to understanding price fluctuations within a market via considerations of functional dependencies between asset prices. Interestingly, this approach suggests a class of models of a type used earlier to describe the dynamics of real and artificial neural networks. Statistical physics approaches turn out to be suitable for an analysis of their collective properties. In this paper, we first motivate the basic phenomenology and modelling arguments before moving on to discussing some major issues with inference and empirical verification. In particular, we focus on the natural creation of market states through the inclusion of interactions and how these then interfere with inference. This is primarily addressed in a synthetic setting. Finally we investigate real data to test the ability of our approach to capture some key features of the behaviour of financial markets.     

CAPM模型对上海股票市场的检验

本文就 CAPM模型对上海股票市场的有效性进行了检验 ,得出上海股票市场并不符合CAPM模型这一结论 ,并对此结论进行了分析。     

网上技术市场发展模式与运行管理机制--以中国浙江网上技术市场为例

网上技术市场正逐步发展成为技术交易的主要形式.本文以中国浙江网上技术市场为例,从其定位和动力模式两方面探讨了网上技术市场的发展模式,以及从信息资源管理、技术交易管理和市场运作三方面探讨了网上技术市场的运行管理机制.     

冲突分析及其在市场决策中的应用

本文通过案例系统介绍冲突分析方法在市场决策中的应用，它给出了应用冲突分析理论解决经济问题的一般方法。     

Petitioning process for irradiated foods and animal feeds in North America

Sales of irradiated foods clearly indicate that North Americans consumers appreciate the value of irradiated foods. All irradiated foods offered for sale have sold well. The results of North American consumer attitude surveys can be used to predict acceptance of quality irradiated foods, especially when improved food safety is the perceived benefit. Consumers perceive the most benefit when irradiation is used to improve food safety or to reduce the chemicals used on foods. Information about irradiation seems to increase consumer willingness to buy. Consumer activists continue to attempt to prevent the sale of labelled irradiated foods, but they have not been successful.     

股票交叉上市与价格发现——来自中国“A+H”股的经验证据

交叉上市股票由于其对应于同一标的资产但却有着不同的价格表现,因此吸引了大量研究者的关注。本文以内地和香港股市交叉上市的"A+H"股票为研究对象,通过编制各自的综合指数代表两市的价格水平,采用协整检验、误差修正模型以及多元GARCH模型对A股和H股价格发现进行了多层次分析,研究结果显示:内地A股和香港H股价格走势虽然表现各异,但它们之间却存在长期稳定的均衡关系,且显著地受此长期均衡关系的调整;当股价偏离均衡状态时,H股和A股向均衡方向调整速度非常接近,不过,在收益率的引导关系上H股占有优势;在波动溢出关系上,主要表现为H股向A股的溢出效应。这些实证结果说明虽然A股和H股在价格发现功能上都扮演着重要角色,但总体而言,H股较A股具有更强的信息传递效率和价格发现功能。     

Worst-case optimal investment with a random number of crashes

We study a portfolio optimization problem in a market which is under the threat of crashes. At random times, the investor receives a warning that a crash in the risky asset might occur. We construct a strategy which renders the investor indifferent about an immediate crash of maximum size and no crash at all. We then verify that this strategy outperforms every other trading strategy using a direct comparison approach. We conclude with numerical examples and calculating the costs of hedging against crashes.     

Trading grid services – a multi-attribute combinatorial approach

The Grid is a promising technology for providing access to distributed high-end computational capabilities. Thus, computational tasks can be performed spontaneously by other resources in the Grid that are not under the user’s control. However, one of the key problems in the Grid is deciding which jobs are to be allocated to which resources at what time. In this context, the use of market mechanisms for scheduling and allocating Grid resources is a promising approach toward solving these problems. This paper proposes an auction mechanism for allocating and scheduling computer resources such as processors or storage space which have multiple quality attributes. The mechanism is evaluated according to its economic and computational performance as well as its practical applicability by means of a simulation.     

Market model with heterogeneous buyers

In market modeling, one often treats buyers as a homogeneous group. In this paper we consider buyers with heterogeneous preferences and products available in many variants. Such a framework allows us to successfully model various market phenomena. In particular, we investigate how is the vendor’s behavior influenced by the amount of available information and by the presence of correlations in the system.