Hybrid methodology for technical analysis

Hybrid methodology involving differential equations modeling and statistical regression is developed in order to test basic ideas in asset price dynamics. In particular, the method provides a mechanism for testing the relative importance of price trend compared with valuation. The significance of yearly highs in prices can also be understood through this procedure. A large data set of 52 closed-end funds comprising about 61,500 data points is used with the mixed effects model in SPlus. The model suggests that the role of the trend is as significant as the valuation. Upon determination of the coefficients, one has a model that can be used for short term forecasts of asset prices. The model incorporates the finiteness of assets and the importance of “liquidity”, or “excess cash”. The statistics utilize data on the number of shares and the national money supply. The methodology can easily be extended to other behavioral effects.     

Lotka-Volterra模型参数的灰色估计法及其应用

基于灰色直接建模法,提出了估计Lotka-Volterra模型参数的一种方法,较好的反映了相互影响的两个变量之间的互惠、竞争等关系,为定性预测分析提供了实证支持,并得到了定量预测的结果.实例说明本模型的有效性和适用性.并证明了数乘交换不影响原始序列的模拟精度,为解决灰色预测模型的病态性提供了思路.     

Pricing used products for remanufacturing

Remanufacturing is one of recovery options for used products. As remanufacturing requires a continuous supply of used products, the economic incentive is required to attract customers to return their used products (called cores) and the problem of pricing a core becomes an important issue. Such a pricing problem is analogous to pricing an option, which can be used to sell the remanufactured cores (called core products). As sales price of core products follows a geometric Brownian motion, we propose a model here to evaluate the acquisition price of cores. This model links core acquisition price with the sale price of core product but assumes other costs such as logistics and remanufacturing to be deterministic. We have presented a numerical example to show its applicability. Since the model proposed here is generic, it is believed that the proposed model can be used in setting the core prices in many situations.     

成交量与价格限制对中国股市影响的实证分析

以我国股票市场的12支个股资料为例,研究了日收益相关性、成交量和价格限制的关系.研究发现,增加成交量会减弱自相关性的假设对近一半的股票成立.我们首先采用一般方法来估计模型,但这种方法用于研究这三者的关系存在一定的偏差,所以接下来又采用了广义矩估计(GMM)来观察估计结果的灵敏性.发现用GMM方法得出的结果表明成交量和价格限制的影响要强于一般方法得出的结果,价格限制影响表现出了对自回归系数更强烈的影响.     

基于C-STGARCH模型的大庆原油现货价格波动研究

引用Dueker等(2011)提出的同期门槛平滑转换广义自回归条件异方差(C-STGARCH)模型对我国大庆原油现货价格的波动状态进行了实证分析,以求对大庆原油现货价格的波动有一个新的、更深刻的量度.研究显示:第一,大庆原油现货价格的波动是不稳定的,并且存在显著的非对称和非线性现象;第二,CSTGARCH模型能很好地刻画大庆原油现货价格波动的这些现象,并且发现油价的波动以3.738%为门槛点存在高波动区和低波动区两种状态,低波动区的波动持续性比高波动区强,然而,对平滑转换持续性的影响方面,高波动区要略大于低波动区.     

Equilibrium in an ambiguity-averse mean–variance investors market

In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal uncertainty sets, we derive a closed form portfolio rule based on a worst case max–min criterion. Then, in a market where all investors are ambiguity-averse mean–variance investors with access to given mean return and variance–covariance estimates, we investigate conditions regarding the existence of an equilibrium price system and give an explicit formula for the equilibrium prices. In addition to the usual equilibrium properties that continue to hold in our case, we show that the diffidence of investors in a homogeneously diffident (with bounded diffidence) mean–variance investors’ market has a deflationary effect on equilibrium prices with respect to a pure mean–variance investors’ market in equilibrium. Deflationary pressure on prices may also occur if one of the investors (in an ambiguity-neutral market) with no initial short position decides to adopt an ambiguity-averse attitude. We also establish a CAPM-like property that reduces to the classical CAPM in case all investors are ambiguity-neutral.     

On the value of information sharing and cooperative price setting

We consider a setting of two firms that sell substitutable products under price competition. We show that private signals enable firms to improve market forecast and earn higher profits. Provided that their private signals are not perfectly correlated, firms can benefit from sharing signals with each other. This is irrespective of product substitutability. Moreover, information sharing is a strategic complement to cooperative price setting to improve the profit performance of firms.     

保持新产品最低转售价格最优策略的分析

本文分析在有新产品最低转售价格维持时制造商和零售商的最优策略。制造商将新产品通过零售商出售给消费者，为保持其品牌效应而设立了最低转售价格。本文首先对讨论的问题建立了模型。之后在无最低转售价格维持和有最低转售价格维持情况下，对制造商和零售商的最优策略分别进行了分析和比较，特别讨论了最低转售价格对制造商的影响。     

供应链买卖双方协调订货模型

供需关系贯穿供应链的整个过程;然而,如何促使非一体化供应链协调问题在实践中是非常重要的.因此,供需双方订货批量的研究是供应链管理的一个重要内容之一.本文以订单方式为背景,针对供应链环境下单个供应商和多个订货商在非合作情况下的订货模型进行讨论,并在此基础上给出了一个改进后的线性价格折扣策略,该策略同时考虑了增量折扣和减量折扣两种情况,同时给出了供需上双方订货的S tackelberg博弈模型.数字实验结果表明该折扣模型对于改善供应链运作协调是相当有效的.     

不完全市场下静、动态资产优化配置的等价问题

风险资产个数小于噪声源个数时，市场不完全．通过增加满足一定条件的风险资产，可以构建一个虚构的完全市场。结合路径独立性原则给出静、动态资产优化配置等价的充分必要条件。最后给出几个具体的满足静、动态资产优化配置等价的市场模型。