Bayesian modeling of financial returns: A relationship between volatility and trading volume

The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed. Copyright © 2009 John Wiley & Sons, Ltd.     

On solving integral equations using Markov chain Monte Carlo methods

In this paper, we propose an original approach to the solution of Fredholm equations of the second kind. We interpret the standard Von Neumann expansion of the solution as an expectation with respect to a probability distribution defined on a union of subspaces of variable dimension. Based on this representation, it is possible to use trans-dimensional Markov chain Monte Carlo (MCMC) methods such as Reversible Jump MCMC to approximate the solution numerically. This can be an attractive alternative to standard Sequential Importance Sampling (SIS) methods routinely used in this context. To motivate our approach, we sketch an application to value function estimation for a Markov decision process. Two computational examples are also provided.     

Chain ladder method: Bayesian bootstrap versus classical bootstrap

The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of interest in claims reserving and compare the estimates to those obtained from classical and credibility approaches. In this context, a novel numerical procedure utilizing a Markov chain Monte Carlo (MCMC) technique, ABC and a Bayesian bootstrap procedure was developed in a truly distribution-free setting. The ABC methodology arises because we work in a distribution-free setting in which we make no parametric assumptions, meaning we cannot evaluate the likelihood point-wise or in this case simulate directly from the likelihood model. The use of a bootstrap procedure allows us to generate samples from the intractable likelihood without the requirement of distributional assumptions; this is crucial to the ABC framework. The developed methodology is used to obtain the empirical distribution of the DFCL model parameters and the predictive distribution of the outstanding loss liabilities conditional on the observed claims. We then estimate predictive Bayesian capital estimates, the value at risk (VaR) and the mean square error of prediction (MSEP). The latter is compared with the classical bootstrap and credibility methods.     

Joint decision on production and pricing for online dual channel supply chain system

Online dual channel supply chain system and its joint decision on production and pricing under information asymmetry are investigated. First, optimal production and pricing strategies are depicted according to the centralized system. Next, two kinds of contracts are designed for the decentralized system to coordinate the channel system, and their production and pricing decisions are depicted using a principle-agent method for the asymmetric information on the traditional channel. Finally, some interesting insights are found: the centralized system is not always being better than the decentralized system with a feasible contract if the traditional and professional retailer has lower selling cost. When uncertainty in the traditional channel information is higher, the manufacturer prefers a menu of contracts according to different channel settings. When uncertainty is lower, the manufacturer prefers a single contract. Furthermore, the higher the uncertainty in the traditional channel, the more the information welfare of the traditional retailer will gain. Performance with a menu of contracts cannot outperform that with a single contract integrating optimistic and pessimistic market setting well; their difference in performance is bigger when uncertainty in the traditional channel information is less.     

Revised multi-choice goal programming for multi-period,multi-stage inventory controlled supply chain model with popup stores in Guerrilla marketing

In this paper, we consider a supply chain network design problem with popup stores which can be opened for a few weeks or months before closing seasonally in a marketplace. The proposed model is multi-period and multi-stage with multi-choice goals under inventory management constraints and formulated by 0–1 mixed integer linear programming. The design tasks of the problem involve the choice of the popup stores to be opened and the distribution network design to satisfy the demand with three multi-choice goals. The first goal is minimization of the sum of transportation costs in all stages; the second is to minimization of set up costs of popup stores; and the third goal is minimization of inventory holding and backordering costs. Revised multi-choice goal programming approach is applied to solve this mixed integer linear programming model. Also, we provide a real-world industrial case to demonstrate how the proposed model works.     

Molecular Ordering in Liquid Crystals and the Effect of End-Chains on the Even-Odd Effect

The second and fourth orientational order parameters [Pbar]₂, [Pbar]₄ of the homologous series of 4-n-alkyl-4′-cyanobiphenyls (nCB, n = 5 ～ 8) in the nematic liquid crystalline state have been determined from the Raman depolarization ratios by the resonance Raman probe method. It was found out that not only [Pbar]₂ but also [Pbar]₄ exhibits evident even-odd effect when they are compared at the same reduced temperature. For understanding the mechanism of the even-odd effect, a theoretical calculation has been carried out on the basis of the mean field theory of Marcelja, in which the effect of the end alkyl-chain on the liquid crystalline state is taken explicitly into consideration. The observed trend in [Pbar]₂, [Pbar]₄, nematic-isotropic transition temperature were well reproduced. Detailed inspection of the results shows that the presence of anisotropic molecular field plays an important role in the appearance of the even-odd effect. The anisotropic molecular field produces redistribution of the statistical weight of various conformers in such a way that the end chains of odd-members align better along the direction of the rigid core part than those of even-members.     

Numerical Studies of Ground State Phase Diagrams for the MMX Chains

Abstract

We study ground state phase diagrams for the MMX chains, using a one-dimensional dimerized 3/4-filled extended Hubbard-Peierls model with site diagonal and off-diagonal electron-lattice interactions. The ground states are obtained mainly in the Hartree-Fock approximation, and their accuracy is checked by the exact diagonalization of small clusters. We find a new phase in addition to frequently considered phases and compare our results with experimental results.     

Measurement-induced disturbance and thermal negativity in 1D optical lattice chain

We study the measurement-induced disturbance (MID) in a 1D optical lattice chain with nonlinear coupling. Special attention is paid to the difference between the thermal entanglement and MID when considering the influences of the linear coupling constant, nonlinear coupling constant and external magnetic field. It is shown that MID is more robust than thermal entanglement against temperature T$T$ and external magnetic field B$B$, and MID may reveal more properties about quantum correlations of the system, which can be seen from the point of view that MID can be nonzero when there is no thermal entanglement and MID can detect the critical point of quantum phase transition at finite temperature.     

Off-diagonal Bethe ansatz solution of the XXX spin chain with arbitrary boundary conditions

Employing the off-diagonal Bethe ansatz method proposed recently by the present authors, we exactly diagonalize the XXX spin chain with arbitrary boundary fields. By constructing a functional relation between the eigenvalues of the transfer matrix and the quantum determinant, the associated T–Q$T\text{–}Q$ relation and the Bethe ansatz equations are derived.