Eigenvalue density of cross-correlations in Sri Lankan financial market

We apply the universal properties with Gaussian orthogonal ensemble (GOE) of random matrices namely spectral properties, distribution of eigenvalues, eigenvalue spacing predicted by random matrix theory (RMT) to compare cross-correlation matrix estimators from emerging market data. The daily stock prices of the Sri Lankan All share price index and Milanka price index from August 2004 to March 2005 were analyzed. Most eigenvalues in the spectrum of the cross-correlation matrix of stock price changes agree with the universal predictions of RMT. We find that the cross-correlation matrix satisfies the universal properties of the GOE of real symmetric random matrices. The eigen distribution follows the RMT predictions in the bulk but there are some deviations at the large eigenvalues. The nearest-neighbor spacing and the next nearest-neighbor spacing of the eigenvalues were examined and found that they follow the universality of GOE. RMT with deterministic correlations found that each eigenvalue from deterministic correlations is observed at values, which are repelled from the bulk distribution.     

Multivariate Gaussian criteria in SMAA

We consider stochastic multicriteria decision-making problems with multiple decision makers. In such problems, the uncertainty or inaccuracy of the criteria measurements and the partial or missing preference information can be represented through probability distributions. In many real-life problems the uncertainties of criteria measurements may be dependent. However, it is often difficult to quantify these dependencies. Also, most of the existing methods are unable to handle such dependency information.In this paper, we develop a method for handling dependent uncertainties in stochastic multicriteria group decision-making problems. We measure the criteria, their uncertainties and dependencies using a stochastic simulation model. The model is based on decision variables and stochastic parameters with given distributions. Based on the simulation results, we determine for the criteria measurements a joint probability distribution that quantifies the uncertainties and their dependencies. We then use the SMAA-2 stochastic multicriteria acceptability analysis method for comparing the alternatives based on the criteria distributions. We demonstrate the use of the method in the context of a strategic decision support model for a retailer operating in the liberated European electricity market.     

Treasury Management Model with Foreign Exchange Exposure

In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates connecting dollar and sterling. A two-stage stochastic programming (TWOSP) decision model is formulated using these random parameter values. This model computes currency hedging strategies, which provide rolling decisions of how much forward contracts should be bought and how much should be liquidated.The model decisions are investigated through ex post simulation and backtesting in which value at risk (VaR) for alternative decisions are computed. The investigation (a) shows that there is a considerable improvement to “spot only” strategy, (b) provides insight into how these decisions are made and (c) also validates the performance of this model.     

Evaluating Individual Market Power in Electricity Markets via Agent-Based Simulation

We use agent-based simulation in a coordination game to analyse the possibility of market power abuse in a competitive electricity market. The context of this was a real application to the England and Wales electricity market as part of a Competition Commission Inquiry into whether two particular generators could profitably influence wholesale prices. The research contributions of this paper are both in the areas of market power and market design policy issues for electricity markets, and in the methodological use of large industry-wide evolutionary simulation models.     

我国上海股票市场GARCH效应实证研究

对我国上海股票市场的GARCH效应进行了实证研究，包括3个方面的内容：应用GARCH模型对股票收益率进行事前估计分析；对模型参数进行估计与最优选择；应用GARCH模型进行事后估计分析，结果表明我国上海股票上益率序列的波动具有显著性的异方差性，可以用GARCH（1，1）进行拟合。     

A BLACK－SCHOLES FORMULA FOR OPTIONPRICINGWITHDIVIDENDS

ＡＢＬＡＣＫ－ＳＣＨＯＬＥＳＦＯＲＭＵＬＡＦＯＲＯＰＴＩＯＮＰＲＩＣＩＮＧＷＩＴＨＤＩＶＩＤＥＮＤＳ＊ＸＵＷＥＮＳＨＥＮＧＡＮＤＷＵＺＨＥＮＡｂｓｔｒａｃｔ．ＷｅｏｂｔａｉｎａＢｌａｃｋ－Ｓｃｈｏｌｅｓｆｏｒｍｕｌａｆｏｒｔｈｅａｒｂｉｔｒａｇｅ－ｆ...     

名优产品与劣质产品，孰优孰劣——消费品市场的博弈分析

由于信息不对称,买者通过逆向选择,在消费品市场上形成’伪劣产品”驱逐“名优产品”,类似于货币史上“劣币驱逐良币”,从而伪劣产品泛滥,而在信息畅通的情况下,消费者的选择是购买名优产品,不买劣质产品,厂商的选择是生产名优产品,或者长期生产劣质产品,但产品无人问津.     

不确定性条件下市场特征与市场信息的价值

通过建立一个博弈模型,研究在不确定性条件下,市场特征和市场信息对企业利润的影响.在一定条件下,预测越精确,信息越有价值;而在其他情况下则相反.产品替代程度越高,或市场预期需求越大,都将对企业利润产生积极影响.     

基于误差理论的区间主成分分析及其应用

针对区间数样本,传统的主成分分析需进行拓展。首先讨论了区间样本数据的两种主要来源,即观测误差和符号数据分析。然后将区间数看作一个由中点和半径构成的具有一定误差的数,从误差理论出发,研究基于误差传递公式的区间主成分分析方法,并获得以区间数为表达形式的主成分。最后,结合我国2005年第四季度股票市场的数据进行了实证分析。结果表明,面对海量数据,区间PCA较传统PCA更容易从总体上把握样本的属性。     

允许卖空的资本市场中存在非负均衡价格向量的充要条件

For the capital market satisfying standard assumptions that are widely adopted in the equilibrium analysis,a necessary and sufficient condition for the existence and uniqueness of a nonnegative equilibrium price vector that clears the mean-variance capital market with short sale allowed is derived. Moreover, the given explicit formula for the equilibrium price shows clearly the relationship between prices of assets and statistical properties of the rate of return on assets, the desired rates of return of individual investors as well as other economic quantities.The economic implication of the derived condition is briefly discussed. These results improve the available results about the equilibrium analysis of the mean-variance market.