An utilities based approach for multi-period dynamic portfolio selection

This paper proposed a multi-period dynamic optimal portfolio selection model. Assumptions were made to assure the strictness of reasoning. This Approach depicted the developments and changing of the real stock market and is an attempt to remedy some of the deficiencies of recent researches. The model is a standard form of quadratic programming. Furthermore, this paper presented a numerical example in real stock market.     

Order decision making based on different statement strategies under stochastic market demand

Based on the stochastic market demand,this paper considers the order decision-making strategies of the supply chain by introducing statement strategies.Consequently,the time-variant variance in the demands of the market is incorporated into the model.The retailer simultaneously determines the purchase time(i.e.,lead time)and order quantity,and the manufacturer determines the statement strategy and the reserved profit rate.The results show that the no overtime statement strategy can induce the retailer to place more orders in advance by limiting the available order quantity within the available time.Finally,we also adopt numerical examples to support the conclusion of this paper.     

Strategic Bidding Model for Power Generation Company Based on Repast Platform

： The bidding strategies of power generations in the market are a dynamic and complex problem. It is difficult to analyze and compute with the traditional mathematical methods, which is conspicuous in the middle or long-term transactions. This paper pro- poses a modelity which is the middle or long-term bidding strategy in two-tiers electricity market that is based on the optimal power flow （OPF）. Uncertainties in the outside world are regarded as the agent （Agent） of ＂external environment.＂ Under this conditions, Agent through environment evaluation judges to select viable strategic. Through learning from experiences and opponent＇s behaviors, Agent guides the purpose of the best production. The adaptability and superiority of this model is tested based on Repast with a standard IEEE-5 bus 6 notes test system.     

Pricing convertible bonds and change of probability measure

The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market. By using the method of numeraire changes to evaluate convertible bonds when the value of firm, and those of zero-coupon bonds follow general adapted stochastic pro- cesses in this paper, using Ito theorem and Gisanov theorem. A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.     

CLAIM HEDGING IN AN INCOMPLETE MARKET

In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomplete market. Both payoffs are expressed by the signed variance-optimal martingale measure. Our results are applied to the claim hedging under partial information.     

The Evolution Dynamic and Long-Run Equilibrium in a Stock Market with Heterogeneous Traders

This paper uses ideas from biological evolution to analyze the evolution of the securities market in which rational and irrational traders coexist.A market evolutionary model is developed to describe the dynamic trajectories of rational and irrational traders'wealth.The main question is,are irrational traders eliminated as the securities market evolves.The paper considers the impact of new entrants on the security market long-term equilibrium.In addition,it discusses the existence and uniqueness of the long-term equilibrium The paper finds that,under some market conditions,irrational traders could survive in the long run.     

Appraisal on the Regional Technological Innovation Ability Based on Unascertained Measure Method

In market economics, the regional technological innovation ability has become an important factor in the sustainable development of this region and important position in the region＇s competition. In this paper, the application of unascertained measure method in the ability of the regional technological innovation is studied. The appraisal index system is setup and the unascertained measure model is given . At last, an example is given to verify the theory model.     

Technical Notes ：STUDIES ON THE VALUE OF SECONDARY MARKET TO THE SUPPLY CHAIN

This paper investigates the impact of a secondary market, where retailers can buy and sell excessinventories, on the supply chain. We develop a two-period model with a single manufacturer and tworetailers. At the beginning of the first period the retailers order and receive products from themanufacturer, but at the beginning of the second period, they can trade surplus products betweenthemselves in the secondary market. We investigate the impact of the correlated dependence ofretailers' demand on both the quantity effect and the allocation effect under the secondary market.Lastly,we study potential strategies for the manufacturer to increase sales with the existence of thesecondary market.     

THE EFFECTS OF MARKET DEPTH ON THE ARRIVAL RATE OF ORDERS

This paper presents a model to describe the dynamic trading process in limit order book. By studying the dynamic pattern of execution probabilities of limit orders with both time and the depth of limit order book, the authors conclude with the following properties： Arrival rates of market buy orders increase as the depth of buy queue in the book increases and decrease as the depth of sell queue increases, and vice versa; similar regularities for the arrival rate of market sell orders; both the arrival rate of market buy order and market sell orders increase as the depth of both sides in the book increases by the same amount. Furthermore the authors describe more detailed temporary and permanent effects of the market depth on the arrival rates of orders.     

Analysis of Policy Factors in the Stock Market

One model of stochastic time series - Markov chain was presented in this paper. We study and discuss the application of this model. Some results that the policy factor make to stock price were offered when this model is applied to analyze the index of Shanghai stock market quantitatively.     

中国的可转换债券与市场价格有效性研究

可转换债券是公司债券的一种,其持有人有权利在一定期间将债券转换成相应公司的股票,因此可转换债券价格与股票的价格之间应该具有一定的相关性,如果市场价格与这种相关性不相符合,投资者就可能获得无风险套利的机会.在价格有效的证券市场上,这种无风险套利的机会是不存在的.本文将对中国证券市场上可转换债券的价格及其相应股票价格之间的关系进行分析,通过这种分析来推断我国证券市场上的价格有效性.     

货币市场与商品市场共同均衡下的货币需求建模与预测

在货币市场与商品市场共同均衡下研究货币需求建模与货币需求预测问题．首先利用1980－1996年的季度数据给出了Johansen检验的经验结果，得到两个协整向量，分别对应货币市场和商品市场相关经济变量之间的长期稳定关系；然后建立了误差矫正模型，并比较了单方程估计和我们的两个市场共同均衡下的联立方程估计的预测能力．     

国际股市联动条件下中国股市与汇市的非线性相依性关系研究

与以往仅对市场间相依关系进行静态、孤立的研究不同，基于全局化视角，在国际股市联动条件下研究中国股市与汇市间的相依关系。选取2006-01-04~2019-02-28沪深300指数、人民币兑美元汇率中间价、美国S&P500指数、欧洲STOXX50指数、香港恒生HSI指数、日本N225指数、英国FTSE100指数以及全球股市MSCI指数为研究样本，聚焦于2008年全球金融危机和2015年中国股灾两次极端波动事件，采用R-vine Copula方法研究国际股市联动条件下中国股市与汇市间的非线性相依关系，并构建参数动态化的动态R-vine Copula方法进行稳健性检验。研究结果表明：国际股市与中国股市和汇市之间分别存在着正向联动关系；在国际股市联动条件下，中国股市对汇市具有引导作用，且两者间的相依关系可以由资产组合平衡模型解释；中国股市与汇市在国际股市联动条件下间的相依关系弱于不考虑国际股市联动条件时的相依关系，且这种偏差在金融危机、股灾等极端波动后会显著增加。本研究对国际投资者合理配置资产规避风险、政府监管部门制定相关政策具有重要参考意义。     

金融市场的效率与分形市场理论

简要回顾了通常描述金融市场效率的有效市场理论并指出其缺陷 ,将非线性系统理论中的分形理论引入金融市场有效性的研究 ,阐述了分维时间序列的经济涵义以及分形市场理论 ,并指出分形市场理论提出的意义 .最后给出实证研究 .     

Cointegration and Causality Relationship Between Stock Market,Money Market and Foreign Exchange Market in Pakistan

This paper examines the relationship between stock market(KSE-100), money market(M2 and 180 days T-bill rate), and foreign exchange market(ER: PKR/USD) in Pakistan by using monthly data covering the period from 2000:M1 to 2015:M12. The study investigates long-run equilibrium relationship between these three financial markets by employing Johansen and Juselius[1]cointegration tests. Long-run and short-run causality relationship between stock market and other macroeconomic variables is also established by employing vector error correction model(VECM) and pairwise granger causality tests. The results of multivariate cointegration test(trace test) indicate a one cointegrating vector, and the significant normalized cointegrating coefficients are evident of long run equilibrium relationship between all the selected variables. Negative and significant ECT(-1) for all variables during full sample period witness the presence of long-run causality connection among variables, while during the military regime and democratic regime, significant difference of long-run causal connections are identified across the regimes. Moreover, the results of granger causality test also indicate that there are significant variations in the causality relationship among variables across the regimes. Therefore, it is essential for forecasting, planning and policy making to consider the importance of political governance system while analyzing the historical cointegration among financial market and make the necessary adjustments accordingly.     

股票市场弱势有效与股票价格的随机游走

对股票市场弱势有效和股票价格的随机游走两个概念及它们之间的关系进行分析和论述，在此基础上运用R／S模型对中国股票市场的弱势效率进行实证分析并得出相关的结论。     

具有激励的计划和市场均衡

提出在经济系统中的中心机构具有激励机制,根据物价和定量标准影响市场;证明了市场均衡存在,并最终形成一个连续更新的互补性规则系统。     

中国房地产市场与金融市场的Granger因果关系分析

在中国1997到2003年间房地产市场与金融市场的月度数据基础上,建立了两个市场之间相互作用的误差修正模型(ECM模型).通过基于ECM模型的线性Granger因果检验,发现中国房地产市场的发展与金融市场的发展在长期和短期都存在着双向线性因果关系,它们具有一定程度的共生性.     

Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model

In this paper, M-Copula is used to analyze the correlation between Shanghai Composite Index and Shanghai Fund Index. By analyzing the characteristics of the logarithmic yields sequence of two samples, the marginal distribution model is established by using EGARCH-M-GED model.According to the correlation between two logarithmic yields sequence, the M-Copula model is selected to model its correlation structure, and its parameters are estimated by EM algorithm. Because MCopula combines characteristics of different Copulas, it has more flexible distribution forms and more prominent ability to describe the fat tails and correlation characteristics of data, and more importantly,the effect is better than single Copula.     

“小非”减持影响了市场质量吗?——基于沪深股市的实证

随着我国资本市场步入后股改阶段,"小非"减持套现速度不断增加,"小非"减持是否影响市场质量,哪些公司受其影响显著等一系列问题越来越受社会关注.本文以已完成股权分置改革的400多家公司为样本,从样本总体、公司所在市场、公司规模、市盈率、公司的控制人、股改流通比例、股改时间等不同的角度将样本分成不同的样本组进行实证对比研究,实证结果显示样本的股价的波动性受"小非"减持在资本市场上有不同程度的体现,一些样本公司有显著性波动.