波罗的海运价指数与样本航线期租的协整关系研究

波罗的海运价指数BD I是综合反应干散货航运市场运价总水平的指标,在众多的运价指数中占有公认的主导地位。本文以BD I运价指数为研究对象,通过协整研究,证明了BD I运价指数与BC I4条样本航线期租价格之间稳定的联动关系,并且给出了它们的误差修正模型。     

基于ANCOVA模型的中国沿海化学品船期租水平运价指数及波动研究

通过对中国沿海化学品航运市场三种主要船型船舶运价走势作跟踪分析,建立化学品船航运市场动态预测模型.运用市场变化规律,利用计量经济学就市场各载重吨船型期租水平曲线进行分析以描述市场,并利用变量相关航运市场景气程度的相关关系,应用变量间多元回归模型对实际船舶运营期租水平进行解释,以及回归方程进行敏感性分析,进而优化模型,得到市场化学品船期租水平与各市场变量的系数关系及中国沿海化学品船航运市场的系统性趋势,提出中国沿海化学品船期租水平运价指数概念,为主流船型化学品船远期期租水平指数的远期交易、套期保值等操作做初步研究.     

基于BEKK方差模型的干散货航运市场间波动溢出效应分析

针对灵便型、巴拿马型和海岬型干散货航运市场间的互动关系问题,选取波罗的海干散货运价指数,应用多元广义自回归条件异方差中的BEKK方差分析模型,研究了干散货航运市场间的波动溢出效应.发现海岬型干散货航运市场对灵便型和巴拿马型干散货航运市场存在波动溢出效应,而灵便型和巴拿马型干散货航运市场对海岬型干散货航运市场不存在波动溢出效应,灵便型干散货航运市场和巴拿马型干散货航运市场之间存在双向波动溢出效应,Wald检验验证了上述结论的正确性.从而可为航运经营者规避干散货航运市场波动风险提供决策参考.     

基于ARIMA模型对我国公路物流运价指数的预测

采用ARIMA模型对我国2013年1月至2017年3月的我国公路运价指数月度数据进行预测分析.使用Eviews8对月度数据变化趋势和季节性进行验证结果说明该模型合理、有效,存在12个月左右的波动周期,运用ARIMA(4,1,1)(1,1,1)~(10)模型对2017年4月至2017年6月的我国公路物流运价指数进行了预测,得出到2017年6月我国公路物流运价指数涨幅维持在20%以内,与往年相比下降,但是从整体来看公路运价指数波动依旧较大.     

干散货运价波动的杠杆效应特征研究——基于非对称随机波动模型

由信息冲击引起的干散货运价的剧烈波动给航运实体市场带来巨大风险,同等强度的利空消息通常要比利好消息引起更大的市场波动,本文对干散货航运市场运价波动存在的杠杆效应特征进行研究,为航运企业和租船人等把握市场态势、规避风险提供重要依据。考虑运价收益分布的厚尾特征,改变传统的非对称随机波动模型中随机误差项的正态分布假定,建立基于student-t分布的改进的非对称随机波动模型,在贝叶斯分析的基础上通过MCMC方法进行参数估计。通过实证研究发现,在考虑了极端风险情况后,改进的厚尾分布的非对称随机波动模型对干散货运价波动的杠杆效应特征刻画更加准确和优越。     

化学品市场主船型期租水平运价指数研究及预测

通过对化学品航运市场主流船型船舶营运情况作跟踪分析,建立化学品船航运市场动态预测模型.并运用市场变化规律,利用计量经济学对市场单位载重吨期租水平曲线进行时间序列自回归平稳处理,并利用变量相关航运市场景气程度的相关关系,应用系统动力学进行变量间多元回归模型中对实际船舶运营期租水平进行解释,对回归方程进行敏感性分析,优化模型,得到市场化学品船期租水平与各市场变量的系数关系,并针对化学品船航运市场的系统性风险对回归方程进行修正,提出市场主流船型化学品船期租水平运价指数概念,为主流船型化学品船远期期租水平指数的远期交易、套期保值等操作作初步研究.     

基于GARCH模型的波罗的海干散货运价指数预测

为准确地把握波罗的海干散货运价指数(BDI)的变化趋势,选用一阶对数差分方法,对近期BDI日收益率序列的基本统计量特征进行了分析,验证了BDI日收益率序列的"尖峰厚尾"及波动的集聚性等特征,并进一步运用GARCH(1,1)模型,分析了其波动的持续性和滞后性.在此基础上,基于GARCH模型构造了预测的方法步骤,经优化调整滞后期对BDI日收益率进行了预测,最后,通过将BDI对数日收益率序列还原为指数序列,对BDI进行了预测,实证分析结果验证了模型及方法的适用性和有效性.     

基于GARCH模型的波罗的海干散货运价指数预测北大核心

为准确地把握波罗的海干散货运价指数(BDI)的变化趋势,选用一阶对数差分方法,对近期BDI日收益率序列的基本统计量特征进行了分析,验证了BDI日收益率序列的"尖峰厚尾"及波动的集聚性等特征,并进一步运用GARCH(1,1)模型,分析了其波动的持续性和滞后性.在此基础上,基于GARCH模型构造了预测的方法步骤,经优化调整滞后期对BDI日收益率进行了预测,最后,通过将BDI对数日收益率序列还原为指数序列,对BDI进行了预测,实证分析结果验证了模型及方法的适用性和有效性.     

亚洲市场化学品船期租水平远期运价指数研究

通过建立船舶-货物的亚洲区域化学品船航运市场动态预测模型,对区域内船舶营运情况作了分析.并运用市场变量相关航运市场景气程度的回归关系,应用系统动力学模拟的结果加入到回归模型中对实际船舶运营期租水平进行解释,对回归方程进行敏感性分析,优化模型,得到亚洲市场化学品船期租水平与各市场变量的系数关系,首次提出化学品船期租水平运价指数,并为亚洲航线化学品船远期期租水平指数的交易、与相关产品的价格对冲、套期保值等操作的可能性提出理论基础.     

加征关税下的我国大豆进口航线运价结构突变特征测度模型

就2018年7月我国对美国大豆加征关税前后的主要航线运价结构突变特征进行了深入分析.在构建加征关税的我国进口大豆主要航线运价传导机制的基础上,选取测度指标并借助SVECM构建了我国进口大豆主要航线运价结构突变测度模型,利用2015-2020年6月期间数据进行了实证分析.结果显示:加征关税改变了美国大豆进口量与美国和巴西航线运价的长期负向均衡关系,尽管美国航线运价负向关系得以维持,但是与巴西航线运价的关系已变成正向均衡关系.加征关税在短期内对两条航线运价冲击效应由负向变成了正向.加征关税对美国和巴西两条航线的运价波动贡献了15%-20%的效应.实证结果对于船东、大豆贸易或加工企业应对加征关税事件及时调整航线运力、采购和租船等决策优化具有重要参考价值.     

Improving the adaptability in automated vessel scheduling in container ports using intelligent software agents

Faster turnaround time of vessels and high berth productivity are paramount factors in container terminals for assuring competitive advantage in the shipping industry. An autonomous decision-making capability in the terminal is vital in achieving the required productivity. Vessel scheduling/berthing system in a container terminal is regarded as a very complex dynamic application in today’s business world. The Artificial Intelligence (AI) community has been researching in the field of intelligent (or rational) agents for more than a decade and implementations are found in many commercial applications. The Beliefs, Desires and Intention (BDI) agent architecture is probably the most mature model for many industrial applications in today’s context. However, it is not the best agent model for complex applications that must learn and adapt their behaviours in making rational decisions. We propose a new hybrid BDI framework with an intelligent module to overcome the limitations in the generic BDI model. Learning and the adaptability of the environments are assured with the introduction of the Knowledge Acquisition Module (KAM) in the generic BDI architecture in our proposed framework. The dynamic selection of the intention structures has been improved with a trained neural network. The knowledge required to handle vagueness or uncertainty in the environment has been modelled with an Adaptive Neuro Fuzzy Inference System (ANFIS) in berths. Finally, the benefits and the usability of hybrid BDI model for a vessel berthing application is discussed with experiential results.     

Scheduling vessels and container-yard operations with conflicting objectives

We consider the problem of coordinating the operations of two supply chain partners: a foreign shipping company and a domestic port. The two partners have conflicting business objectives, and the issue is to determine the optimal cycle time, by which the shipping company removes the empty containers from the domestic port, so that the joint profit of the two partners is maximized. The domestic port prefers a shorter cycle time to mitigate its empty container accumulation and land use problems, while the shipping company wishes a longer cycle time to save its expensive vessel capacities. We propose an iterative procedure to search for this optimal cycle time. In each iteration, a candidate cycle time is evaluated by solving a deterministic vessel scheduling problem and a stochastic container-yard capacity optimization problem. We prove the properties of the vessel scheduling problem, derive the optimality condition under which the vessel scheduling problem can be decomposed, and show that the profit function of the domestic port is convex and thus the optimal container-yard capacity can be determined efficiently. Empirical observations on the algorithm computational performance collected from over 300 randomly generated test cases under various problem settings are reported.     

中缅原油管道贯通对进口原油海上运输成本的影响分析

研究了中缅原油管道贯通对我国进口原油海上运输成本的影响.首先分析了我国的主要原油进口地、进口量和海上运输航线等信息,然后选择了三种不同型号油轮,并调查了其载重量、航速、日租金等数据.以不同型号油轮的运输航次及各条航线上的实际运输量为决策变量,总租金(总运输成本)最小化为目标函数,分别建立了中缅原油管道贯通前后我国进口原油海上运输问题的数学模型,并分别给出了求解方法.最后,根据实际统计数据进行计算,分别求出了中缅原油管道贯通前后我国原油海上运输的总成本,结果显示,中缅原油管道贯通后我国进口原油的海上运输成本将降低4.95%.     

工程供应链风险源的识别与控制策略研究

工程项目的复杂性造成了工程风险的普遍性,风险管理是工程管理的主要内容。本文针对传统的工程风险管理与控制的不足,基于工程供应链的视角,立足于工程生命周期角度重新审视了工程风险。从系统的观点出发,工程供应链是一个复杂系统,可划分为供应商管理、供应链运作管理、"制造商"管理三个子系统,系统或子系统在系统内生因素和外生因素的干扰下会产生中断和延迟两种风险结果,因此共形成六种工程供应链风险组合。本文在建立了多维度风险识别框架的基础上,从上述六方面识别了工程供应链风险的来源,并提出了应对策略。     

A Recursive Algorithm for Order Cycle-time that Minimizes Logistics Cost

A firm's logistics cost, including shipping and inventory-carrying, is a substantial percentage of its sales. Nevertheless, typical inventory-control methods ignore or insufficiently represent the shipping cost. This paper describes a recursive algorithm that determines the reorder cycle-time that minimizes total logistics cost. It allows for a realistic accounting of shipping cost, which is modelled here as a function of shipping distance and weight. The algorithm uses a relaxation procedure to identify a suitable initial approximation to the optimal order cycle-time and then, through a series of recursive steps, moves to the optimal result. We demonstrate the algorithm with a single item, with a group of items that share a common order cycle, and with multi-items when item demands are random variables. Experience with this algorithm indicates that it converges to the optimal result in a very few steps.     

Three retirement decision models for defined contribution pension plan members: A simulation study

This paper examines the hypothetical retirement behavior of defined contribution (DC) pension plan participants. Using a Monte Carlo simulation approach, we compare and discuss three retirement decision models: the two-thirds replacement ratio benchmark model, the option-value of continued work model and a newly-developed “one-year” retirement decision model. Unlike defined benefit (DB) pension plans where economic incentives create spikes in retirement at particular ages, all three retirement decision models suggest that the retirement ages of DC participants are much more smoothly distributed over a wide range of ages. We find that the one-year model possesses several advantages over the other two models when representing the theoretical retirement choice of a DC pension plan participant. First, its underlying theory for retirement decision-making is more feasible given the distinct features and pension drivers of a DC plan. Second, its specifications produce a more logical relationship between an individual’s decision to retire and his/her age and accumulated retirement wealth. Lastly, although the one-year model is less complex than the option-value model as the DC participants’ scope is only one year, the retirement decision is optimal over all future projected years if projections are made using reasonable financial assumptions.     

COMPLEXITY,MULTIRESOLUTION, NON-STATIONARITY AND ENTROPIC SCALING: TEEN BIRTH THERMODYNAMICS

This paper presents a statistical methodology for analyzing a complex phenomenon in which deterministic and scaling components are superimposed. Our approach is based on the wavelet multiresolution analysis combined with the scaling analysis of the entropy of a time series. The wavelet multiresolution analysis decomposes the signal in a scale-by-scale manner. The scale-by-scale decomposition generates smooth and detail curves that are evaluated and studied. A wavelet-based smoothing filtering is used to estimate the daily birth rate and conception rate during the year. The scaling analysis is based on the Diffusion Entropy Analysis (DEA). The joint use of the DEA and the wavelet multiresolution analysis allows: 1) the separation of the deterministic and, therefore, non-scaling component from the scaling component of the signal; 2) the determination of the stochastic information characterizing the teen birth phenomenon at each time scale. The daily data cover the number of births phenomenon at each time scale. The daily data cover the number of births to teens in Texas during the period 1964-1999.     

多个期限长度下金融市场对汇率波动的影响分析

自汇率改革后,人民币对美元的汇率不再恒定不变,为汇率的波动性分析提供了研究的可能,利用2005年7月到2008年5月的数据,以我国与美国的货币市场、资本市场的市场利率为基础,先后在不同的期限长度下探讨了其对人民币汇率波动影响.继承国外较为认可的时变风险溢价是非抛补利率平价不成立的主要因素这一结论,拓宽了考虑范围,在现有数据的基础上利用向量自回归对时变风险溢价进行了定量研究.认为汇率波动在短期内主要受资本市场影响,中期主要受控于利率波动即货币政策的变更以及长期下只受宏观经济状况影响的结论,与国外的研究成果较为一致.