带风险指数的金融均衡的存在性定理及其结构特征(下)

本文主要论证了在不完全市场条件下带风险指数的金融均衡的存在性，并揭示其均衡结构的特征．本文中建立的模型是一、二期货币投入产出金融经济且具有可微的资产结构，这一模型包括了许多具有特殊资产结构的均衡模型，如实资产结构、虚资产结构、恒秩资产结构的均衡模型．因此本文的这一模型具有广泛的应用前景和实用价值．接着给出了本文的金融均衡的存在性定理，再借助微分拓扑给出它的证明过程，这一证明过程较之以前证明均衡存在性的经典方法（如Duffie，D＆W．Shfer（1985）的方法）要简便得多．同时也应注意到本文的这一结论既适用于资产市场下会随机风险因素的情形，也适用于商品空间为无限维的情形，除此之外，还给出了怎样判别资产结构是否属于T类的判别法，为检验均衡存在性提供了更为便利的途径．最后，本文论证了在金融市场里，尽管由于稀缺性的存在，从而导致均衡分配的多样化，然而均衡分配集却形成了一光滑子流，但该流形的维数与稀缺性有关．换句话说，尽管市场是不完全的，但均市分配不确定性的反却是可比的．如此使得人们对均衡资产结构的认识更进一步．     

An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran

The efficient market hypothesis (EMH) states that asset prices fully reflect all available information. As a result, speculators cannot predict the future behavior of asset prices and earn excess profits at least after adjusting for risk. Although initial tests of the EMH were performed on stock market data, the EMH was soon applied to other markets including foreign exchange (FX). This study uses the detrended fluctuation analysis (DFA) technique to test 01:12:2005–18:04:2010 Iranian Rial/US Dollar exchange rate time series data to see if it can be explained by the weak form of the EMH. Moreover, to determine changes in the degree of inefficiency over time, the whole period has been divided into four subperiods. The study shows that the Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. However, the degree of inefficiency is not constant over time. The findings suggest that profitable risk-adjusted trades could be made using past data.     

The risks and returns of stock investment in a financial market

The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.     

Bidding strategy with forecast technology based on support vector machine in the electricity market

The participants in the electricity market are concerned very much with the market price evolution. Various technologies have been developed for price forecasting. The SVM (Support Vector Machine) has shown its good performance in market price forecasting. Two approaches for forming the market bidding strategies based on SVM are proposed. One is based on the price forecasting accuracy, with which the rejection risk is defined. The other takes into account the impact of the producer’s own bid. The risks associated with the bidding are controlled by the parameter settings. The proposed approaches have been tested on a numerical example.     

Topological properties of stock market networks: The case of Brazil

This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to cluster by sector. We employ a dynamic approach using complex network measures and find that the relative importance of different sectors within the network varies. The financial, energy and material sectors are the most important within the network.     

债券价值对市场利率变化的敏感度

有关长期债券的价值对市场利率变化的敏感度高于短期债券的价值对市场利率变化的敏感度,本文给出了它成立的条件及它不成立的条件.     

Noncooperative exchange using money and broker-dealers

This paper presents a model of exchange where a single commodity serves as a means of payment and trade must pass through designated brokers. Broker buy and sell prices, trader allocations, and broker profits depend on the buy and sell decisions of all the market participants, and the exchange problem is described as a noncooperative game. The existence of an equilibrium is established and bounds are placed on the price spread on each commodity. Finally, the properties of the noncooperative equilibria under replication are examined.     

More than a second channel? Supply chain strategies in B2B spot markets

The emergence of B2B spot markets has greatly facilitated spot trading and impacted supply chain structures as well as the way commercial transactions take place between firms in many industries. While providing new opportunities, the B2B spot market also exposes participants to a price risk. This new business landscape raises some important questions on how the supplier and manufacturer should change their sales channel and procurement strategies and tailor their decisions to this changing environment. In this paper, we study the channel-choice, pricing and ordering/production decisions of the risk-averse supplier and manufacturer in a two-tier supply chain with a B2B spot market. Our analysis shows that, to benefit from the B2B spot market and control the risk exposure, the upstream supplier should develop an integrated channel-choice and pricing strategy. When the supplier adopts a dual-channel strategy, the equilibrium contract price decreases in the supplier’s risk attitude, but increases in the demand uncertainty. However, it first decreases and then increases in the manufacturer’s risk attitude and spot price volatility. We conclude that rather than simply being a second channel, the B2B spot market provides a strategic tool to supply chain members to achieve an advantageous position in their contract trading.     

Optimal consumption and portfolio under inflation and Markovian switching

In this paper, a financial market with Markovian switching and inflation is described, and the problem of maximizing expected utility of consumption discounted by inflation is given. Then, by a generalized Itô formula for Markov-modulated processes, the verification theorems of optimal policies are derived. Finally, the optimal consumption and portfolio policies for the constant relative risk aversion utility are given explicitly, and an economic analysis is made by numerical examples.     

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.