The influence of Disposition Effect on Stock Return in China

This paper introduces the disposition effect into asset pricing process, and sets dynamic equilibrium model on which we can discuss the pattern of risk assets＇ returns. On base of theory results, we use data of China stock market to analyze the influence of disposition effect on stock return. The empirical study result confirms the disposition effect＇s existence in China stock market and it does affect the stock return.     

Dependence between stock returns and investor sentiment in Chinese markets: A copula approach

Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index,the authors employ the time-varying copula-GARCH model with Hansen’s skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns.The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China,that is to say,stock prices will increase(decrease) more when investors become more bullish(bearish).Also, results show that the dependence between investor sentiment and stock returns is time-varying,which means that the traditional Pearson’s correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior.     

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.     

The Inherent Law of the Unpredictability of Financial Asset Price Fluctuations: Multistability and Chaos

This paper aims at understanding the price dynamics generated by the interaction of traders relying on heterogeneous expectations in an asset pricing model. In the present work the authors analyze a financial market populated by five types of boundedly rational speculators-two types of fundamentalists, two types of chartists and trend followers which submit buying/selling orders according to different trading rules. The authors formulate a stock market model represented as a 2 dimensional piecew...     

Modeling and forecasting of stock markets under a system adaptation framework

This paper adopts the concept of dynamic feedback systems to model the behavior of financial markets,or more specifically,the stock market from a dynamic system point of view.Based on a feedback adaptation scheme,the authors model the movement of a stock market index within a framework that is composed of an internal dynamic model and an adaptive filter.The output-error model is adopted as the internal model whereas the adaptive filter is a time-varying state space model with instrumental variables.Its input-output behavior,and internal as well as external forces are then identified.Special attention has also been paid to the recent financial crisis by examining the movement of Dow Jones Industrial Average(DJIA) as an example to illustrate the advantage of the proposed framework.Supported by time-varying causality tests,five influential factors from economic and sentiment aspects are introduced as the input of this framework.Testing results show that the proposed framework has a much better prediction performance than the existing methods,especially in complicated economic situations.An application of this framework is also presented with focuses on forecasting the turning periods of the market trend.Realizing that a market trend is about to change when the external force begins to exhibit clear patterns in its frequency responses,the authors develop a set of rules to recognize this kind of clear patterns.These rules work well for stock indexes from US, China and Singapore.     

American option pricing under GARCH diffusion model: An empirical study

The GARCH diffusion model has received much attention in recent years, as it describes financial time series better when compared to many other models. In this paper, the authors study the empirical performance of American option pricing model when the underlying asset follows the GARCH diffusion. The parameters of the GARCH diffusion model are estimated by the efficient importance sampling-based maximum likelihood （EIS-ML） method. Then the least-squares Monte Carlo （LSMC） method is introduced to price American options. Empirical pricing results on American put options in Hong Kong stock market shows that the GARCH diffusion model outperforms the classical constant volatility （CV） model significantly.     

DOES INVESTOR SENTIMENT PREDICT STOCK RETURNS？ THE EVIDENCE FROM CHINESE STOCK MARKET

This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that net added accounts （NAA）, SSE share turnover （TURN）, and closed-end fund discount （CEFD） are leading variables to stock market. The average first day return of IPOs （RIPO） and relative degree of active trading in equity market （RDAT） are contemporary variables, while number of IPOs （NIPO） is a lagging variable of stock market. Using the sentiment proxy variables with most possible leading order, and forward selection stepwise regression method, the empirical results on monthly stock returns reveal that three leading proxy variables can be used to form a sentiment index. And the out of sample tests prove that this sentiment index has good predictive power of Chinese stock market, and it is robust.     

A Continuum Percolation Model for Stock Price Fluctuation as a Lévy Process

This paper concerns with two reasons for stock price fluctuation,the instinctive stochastic fluctuation and the fluctuation caused by the spread of information.They are constructed by compound Poisson process and continuum percolation model separately.Combining the two models,the authors get a Levy process for the price fluctuation that can explain the fat-tail phenomenon in stock market.The fat-tails are also presented in numerical simulations.     

Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal

This paper investigates the statistical behaviors of fluctuations of price changes in a stock market.The Sierpinski carpet lattice fractal and the percolation system are applied to develop a new random stock price for the financial market.The Sierpinski carpet is an infinitely ramified fractal and the percolation theory is usually used to describe the behavior of connected clusters in a random graph.The authors investigate and analyze the statistical behaviors of returns of the price model by some analysis methods,including multifractal analysis,autocorrelation analysis,scaled return interval analysis.Moreover,the authors consider the daily returns of Shanghai Stock Exchange Composite Index,and the comparisons of return behaviors between the actual data and the simulation data are exhibited.     

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.     

Legendre transform-dual solution for investment and consumption problem under the Vasicek model

This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.     

THE COMPARISON BETWEEN THE CHAOTIC DEGREES OF CHINESE AND AMERICAN STOCK MARKETS

1 IntroductionAt present most researches on the chaotic fluctuant law of stock market are restricted inseeking the proof that chaos edests in stock markets. But nothing has been done on the differencebetween the chaotic statuses of differellt coteries and the causes. That might relate to the highcomplealty of chaotic economic system so that ac simple variable cannot eXPlain its complexityand irregularity well. Song[1] put forward the degree of chaos for analyzing stock market, andit is a brid…     

Information identification in different networks with heterogeneous information sources

Traditional cheaptalk game model with homogeneous information sources provided a con clusion that dishonest information sources will not be identified if he changes strategy stochastically. In this paper, the authors incorporate different information diffusion networks and heterogeneous in formation sources into an agentbased artificial stock market. The obtained results are different with traditional results that identification ability of uninformed agents has been highly improved with diffu sion networks and heterogeneous information sources. Additionally, the authors find uninformed agents can improve identification ability only if there exists a sufficient number of heterogeneous information sources in stock market.     

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.     

一种备件多级库存系统的仿真模型

针对预测性维修（Predictive Diagnostic Maintenance,PDM）策略中维修备件库存优化配置问题,提出了融合故障预测与健康管理（Prognostics and Health Management,PHM）信息的维修备件库存决策方法。在多级库存模型的基础上,建立了基于PHM的维修备件多级库存仿真模型。最后,通过模型求解和Matlab仿真分析,结果表明了基于PHM的维修备件多级库存模型的可行性和有效性。

Abstract：

Aiming at spare parts stock allocation problem under the surrounding of Predictive Diagnostic Maintenance, a new method on spare parts multistage stock system was proposed including the message of Prognostics and Health Management. The PHM-based multistage stock model was built based on model of multistage stock. With the resolving of the model and the simulation by Matlab 7.0., the validity and feasibility of the PHM-based multistage stock model are confirmed.     

Empirical Analysis of Seasonality Anomalies in Chinese Stock Market Based on Rolling Sample Tests

The paper uses rolling sample tests to investigate calendar effect in Chinese stock market, the method is very suitable for emerging market. We utilize GARCH （1,1）- GED model to identify the time varying nature of calendar effect. Friday effect existed with low volatility at the early stage, but it seems to disappear since 1997, and positive Tuesday effect began to appear then. There is small firm January effect with high volatility.     

Electronic market models for decision support systems on the Web

With the prevalence of the Web, most decision-makers are likely to use the Web to support their decision-making. Web-based technologies are leading a major stream of researching decision support systems (DSS). We propose a formal definition and a conceptual framework for Web-based open DSS (WODSS). The formal definition gives an overall view of WODSS, and the conceptual framework based on browser/broker/server computing mode employs the electronic market to mediate decision-makers and providers, and facilitate sharing and reusing of decision resources. We also develop an admitting model, a trading model and a competing model of electronic market in WODSS based on market theory in economics. These models reveal the key mechanisms that drive WODSS operate efficiently.     

Analysis for Influence of Market Information on Firms＇ Optimal Strategies in Multidimensional Bertrand Game

The Bertrand model of two firms‘ static multidimensional game with incomplete information for two kinds of product with certain substitution is discussed in the paper,and analyzes influences of the firms‘ forecasting results of total market demands on their optimal strategies according to marxet information. The conclusions are that the more a firm masters market information, the greater differences of forecasted values and expected values of market demands for products have influence upon equilibrium strategies; conversely, the less they have influence upon equilibrium strategies.     

Asymmetry of the Conditional Volatility of Chinese Stock Market

This paper mainly investigates the asymmetry of the conditional volatility of Chinese stock market by using the GARCH models. We collect the dally data of Shanghai composite index to analyze the volatility asymmetry. The empirical results show that there exists a distinct volatility asymmetry for return. In addition, we extend G JR model to the case with the information flow that is represented by the volume, and the results imply that the volume can＇t substitute the information flow to account for the conditional volatility asymmetry.     

Study of Regime Switching in Chinese Stock Market

This paper applies Markov switching techniques to examine the different conditions of Chinese Stock Market from 1995 to 2004, Three contrasting regimes are identified： a bear market, a bull market and a speculative market, This paper also surveys the time period and probability of each regime, The timing of regime switching reflects the strong policy market feature of Chinese stock market.