基于分形理论的金融系统波动行为分数维理论计算

运用分形理论中分数维的定义和方法,对金融系统的波动行为进行了描述和研究,并且对金融系统中的时间序列数据介绍了两种分数维理论计算方法.     

A precursor of market crashes: Empirical laws of Japan's internet bubble

In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention on the relative price defined as X(t) = S(t)/S(0), where S(0), is the stock price for an onset time of the bubble. We selected approximately 3200 stocks traded on the Japanese Stock Exchange, and formed a statistical ensemble of daily relative prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corresponding to the period in which internet Bubble formed and crashed in the Japanese stock market. We found that the upper tail of the complementary cumulative distribution function of the ensemble of the relative prices in the high value of the price is well described by a power-law distribution, P(S>x) ∼x^-α , with an exponent that moves over time. Furthermore we found that as the power-law exponents α approached two, the bubble burst. It is reasonable to suppose that it indicates that internet bubble is about to burst.     

Maximum Principle for a Stochastic Optimal Control Problem and Application to Portfolio/Consumption Choice

We consider mainly an optimal control problem motivated by a portfolio and consumption choice problem in a financial market where the utility of the investor is assumed to have a given homogeneous form. A Pontryagin local maximum principle is obtained by using classical variational methods. We apply the result to make optimal portfolio and consumption decisions for the problem under consideration. The optimal selection coincides with the one obtained in Refs. 1 and 2, where the Bellman dynamic programming principle was used.     

Conjugate processes: Theory and application to risk forecasting

Many dynamical phenomena display a cyclic behavior, in the sense that time can be partitioned into units within which distributional aspects of a process are homogeneous. In this paper, we introduce a class of models – called conjugate processes – allowing the sequence of marginal distributions of a cyclic, continuous-time process to evolve stochastically in time. The connection between the two processes is given by a fundamental compatibility equation. Key results include Laws of Large Numbers in the presented framework. We provide a constructive example which illustrates the theory, and give a statistical implementation to risk forecasting in financial data.     

超竞争环境下企业困境并购定价与时机选择的期权博弈分析

基于期权博弈理论,以超竞争环境为研究背景,在多个主并企业合作的情形下,建立目标企业存在财务困境的并购模型,得出主并方的最优并购时机;并进行数值模拟分析,重点分析了代表超竞争特点的三个变量(竞争强度、竞争不确定性、企业价值损失因子)、主并企业联盟中参与者的重要程度及联盟中发生机会主义的概率、企业困境因子这六个变量对并购阈值的影响。     

财务供应链管理提高企业短期财务绩效的实证研究

近几年来,无论是理论界还是实务界,对供应链管理理念在企业短期财务管理中的应用日益关注.负营运资本管理和类金融模式即是两种典型的形式.对2001-2006年间实施后一年较前一年的79个供应链管理样本进行细分,分为物理供应链样本25个,财务供应链样本54个,运用单样本t检验、单样本位置参数的Wilcoxon符号秩检验和一般线性回归法来深入探究两类供应链管理之间的关系以及二者对企业财务绩效的影响有何差异.实证结果显示:在物理供应链样本中,产成品周转率和存货周转率在10%的水平上有了显著的提高,但并未转化为盈利指标的改善.在财务供应链样本中,营业利润率和净资产收益率在5%的水平上有了显著的提高,即看到了盈利指标的改善.财务供应链管理对业绩的影响更为直接.但回归分析的结果显示:实施类金融模式会阻碍营业利润率的提高.该文的研究结论在更深入的层面上揭示了两类供应链管理之间的关系,有利于提高对供应链管理对企业财务绩效影响机制的认识.     

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.     

宏观调控“两难”新环境下中国CPI运行定量分析——基于改进的BP神经网络

当前,我国经济继续回升向好,但宏观调控面临的"两难"问题增多.如何防止经济快速下滑和防范通货膨胀成为当前宏观经济决策的重要内容,准确预见我国价格运行趋势对宏观决策具有十分重要的意义.1997年和2008年分别发生了对世界经济发展影响深远的两次金融危机.两次金融危机发生后,中国政府均实施了大规模的经济刺激计划,但反映经济运行的主要宏观经济指标CPI月度指数从危机发生当年的次年开始,步入了长达数月负区间运行.研究发现1997年金融危机发生前后月度CPI指数运行相关度非常高,2008年金融危机发生当年月度CPI指数与2007年、2009年月度CPI指数运行相关度也非常高.对此,运用改进的BP神经网络模型对1995-1999年中国月度CPI指数进行学习,以2006-2009年月度CPI指数数据为基础,对2010年中国下半年月度CPI指数进行了预测,显示全年CPI指数预计为102.85.对此,认为2010年我国面临适度的通胀压力,提出了应对政策建议.     

中国债券市场动态利率模型及其实证检验

为了对中国债券市场动态利率期限结构进行深入的研究,本文基于状态空间模型和卡尔曼滤波技术构建了中国债券市场动态利率模型。本文模型根据数据的可观测结构进行建模,通过迭代计算寻找不可观测状态变量的最优估计值和隐含参数,很好地解决了传统计量方法中因为变量不可观测而无法获得真实数据所带来的研究困难。同时通过模型有效性的模拟实验和中国债券市场同业拆借利率的实证研究,证明了模型对利率期限结构在一段时间内的动态变化估计结果准确,在建模样本期内利率的动态变化能够得到有效的分析和预测。本文的研究为中国债券市场动态利率管理和定价问题提供了新的思路和可能的解决渠道。     

Non-equilibrium stochastic model for stock exchange market

We study the effect of the topology of industrial relationship (IR) between the companies in a stock exchange market on the universal features in the market. For this we propose a stochastic model for stock exchange markets based on the behavior of technical traders. From the numerical simulations we measure the return distribution, P(R)$P\left(R\right)$, and the autocorrelation function of the volatility, C(T)$C\left(T\right)$, and find that the observed universal features in real financial markets are originated from the heterogeneity of IR network topology. Moreover, the heterogeneous IR topology can also explain Zipf–Pareto’s law for the distribution of market value of equity in the real stock exchange markets.