一般工商业零售电价套餐适应性评估与优化方法

在电力体制改革的大背景下,合理评估零售电价套餐适应性,对控制电网经营风险和推进售电侧改革有重要意义。针对我国电力市场以及一般工商业的特点,首先从竞争、用户以及市场环境角度出发建立了一般工商业零售电价套餐评估指标体系;其次将层次分析法和改进的灰色白化权函数相结合,对电价套餐进行适应性评估;最后针对该评估方法建立了基于蚁群算法的优化模型,以最小成本得到提高电价套餐适应性等级的优化方案,并验证了该方法具有良好的鲁棒性,具有一定的参考意义。     

Solitary wave solutions of nonlinear financial markets :data-modeling-concept-practicing

This paper seeks to solve the difficult nonlinear problem in financial markets on the complex system theory and the nonlinear dynamics principle, with the data-model-concept-practice issue-oriented reconstruction of the phase space by the high frequency trade data. In theory, we have achieved the differentiable manifold geometry configuration, discovered the Yang-Mills functional in financial markets, obtained a meaningful conserved quantity through corresponding space-time non-Abel localization gauge symmetry transformation, and derived the financial solitons, which shows that there is a strict symmetry between manifold fiber bundle and guage field in financial markets. In practical applications of financial markets, we have repeatedly carried out experimental tests in a fluctuant evolvement, directly simulating and validating the existence of solitons by researching the price fluctuations (society phenomena) using the same methods and criterion as in natural science and in actual trade to test the stock Guangzhou Proprietary and the futures Fuel Oil in China. The results demonstrate that the financial solitons discovered indicates that there is a kind of new substance and form of energy existing in financial trade markets, which likely indicates a new science paradigm in the economy and society domains beyond physics.      

The effect of market segmentation with demand leakage between market segments on a firm’s price and inventory decisions

In this paper, we address the simultaneous determination of price and inventory replenishment in a newsvendor setting when the firm faces demand from two or more market segments in which the firm can set different prices. We allow for demand leakage from higher-priced segments to lower-priced segments and assume that unsatisfied demand can be backlogged. We examine the case where the demands occur concurrently without priority and are met from a single inventory. We consider customer’s buy-down behavior explicitly by modeling demand leakage as a function of segment price differentiation, and characterize the structure of optimal inventory and pricing policies.     

收入管理的MMV动态拍卖机制研究

随着互联网上交易的增多,多单位同质产品销售的拍卖机制成为了一个新的研究方向.针对易逝性服务产品的收入管理问题,提出将产品销售分为多个拍卖期的MMV(Multi-period and Multi-unit Vickrey(Auction with Reserve Pricing)动态拍卖机制,给出每期最优拍卖单位数和保留价格的确定方法,证明了最优拍卖单位数分别关于剩余存量和销售时间单增的性质,以及保留价格关于剩余存量的单降性.最后证明MMV机制的每期实际成交价格将高于Vulcano(2002)提出的MSP(Modified Second-Price)机制,根据易逝性服务产品的需求特点得到MMV机制优于MSP机制的结论.     

Simple plant location under uniform delivered pricing

Given a geographical system of demand functions, the simple-plant location problem under uniform delivered pricing consists in determining the delivered price taken as uniform for all customers, the number, the locations, the sizes and the market areas of the plants which supply these customers, in order to maximize the profit of the firm. A model is proposed, which allows, moreover, to integrate some aspects of the commercial policy of the firm, i.e., its decision to satisfy all markets with positive demands or profitable markets only, or to allow a maximum unit loss or require a minimum unit gain on each served market. An efficient algorithm is presented and illustrated by an example. Computational results with a code using recursively Erlenkotter's DUALOC program as a subroutine are summarized.     

事件对国际石油价格影响的时间序列分析

用近来经济分析中应用较多的现代时间序列分析方法 ,以虚拟变量描述突发事件 ,用 ARMAX模型分析事件对国际原油价格的影响 ,并对今年海湾战争后原油价格的趋势进行预测     

证券价格按几何布朗运动变化的微观解释

金融市场研究中经常不加解释地假设证券价格按几何布朗运动变化 .本文通过假定投资者要求来自证券的期望收益率与证券价格无关 ,在理想市场的前提条件下 ,对证券价格运动将遵循有漂移率的几何布朗运动给予严格的证明 .     

EXISTENCE OF STOCHASTIC EQUILIBRIUM WITH INCOMPLETE FINANCIAL MARKETS

This paper analyzes the aritrage-tree security markets and the general equilibrium ex-istence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to puraly financial securities. It isassume that trading takes place in the sequence of spot markets and futures markets for securi-ties payable in units of account. Unlimited short-selling in securities is allowed. Financial markets may be incomplete, some consumption streams may be impossible to obtain by any tradingstrategy. Securities may be individually precluded from trade at arbitrary states and dates. Thesecurity price process is arbitrage-free the dividend process if and only if there exists a stochaticstate price (present value) process : the present value of the security prices at every vertex isthe present value of their dividend and capital values over the set of immediate successors ; thecurrent value of each security at every vertex is the present value of its future dividend streamover all succeeding vertices. The existence of such an equilibrium is proved under the followingcondition: continuous, weakly convex, strictly monotone and complete preferences, strictlypositive endowmenta and dividends processes.     

Numerical treatment of an asset price model with non-stochastic uncertainty

In contrast to stochastic differential equation models used for the calculation of the term structure of interest rates, we develop an approach based on linear dynamical systems under non-stochastic uncertainty with perturbations. The uncertainty is described in terms of known feasible sets of varying parameters. Observations are used in order to estimate these parameters by minimizing the maximum of the absolute value of measurement errors, which leads to a linear or nonlinear semi-infinite programming problem. A regularized logarithmic barrier method for solving (ill-posed) convex semi-infinite programming problems is suggested. In this method a multi-step proximal regularization is coupled with an adaptive discretization strategy in the framework of an interior point approach. A special deleting rule permits one to use only a part of the constraints of the discretized problems. Convergence of the method and its stability with respect to data perturbations in the cone of convexC ¹-functions are studied. On the basis of the solutions of the semi-infinite programming problems a technical trading system for future contracts of the German DAX is suggested and developed. Supported by the Stiftung Rheinland/Pfalz für Innovation, No. 8312-386261/307.     

Cover and Bounded Parallel Faces

We use the cover or the closure of the cover in order to determine when two disjoint closed convex sets have parallel faces, one of them being bounded. Moreover, we show that the study of the closure of the cover gives interesting results about the cover itself.