NATREX AND DETERMINATION OF REAL EXCHANGE RATE OF RMB

1 IntroductionIn the past decades, a lot of 1iteratures appeared in the determination of excfiange rate, boththeoretic and empirical. One preValing paradigm is that the puxchasing power parity (PPP)holds in the long run either in weak--fOrm or in strongform. Under this hyPothesis, fluctuationsin real exchange rates are often regaJrded as temporary deviations from the long--run equllibriumexchange rate. However, these ekisting models fail to eXPlain the 1arge fluctuations in the realexchang…     

A GENERAL APPROACH BASED ON AUTOCORRELATION TO DETERMINE INPUT VARIABLES OF NEURAL NETWORKS FOR TIME SERIES FORECASTING

Input selection is probably one of the most critical decision issues in neural network designing, because it has a great impact on forecasting performance. Among the many applications of artificial neural networks to finance, time series forecasting is perhaps one of the most challenging issues. Considering the features of neural networks, we propose a general approach called Autocorrelation Criterion (AC) to determine the inputs variables for a neural network. The purpose is to seek optimal lag periods, which are more predictive and less correlated. AC is a data-driven approach in that there is no prior assumption about the models for time series under study. So it has extensive applications and avoids a lengthy experimentation and tinkering in input selection. We apply the approach to the determination of input variables for foreign exchange rate forecasting and conduct comparisons between AC and information-based in-sample model selection criterion. The experiment results show that AC outperforms inf     

System simulation and reliability assessment of Chinese carbon sequestration market

This study builds a simulation of Chinese carbon sequestration market（CSM） based on the Swarm platform and complex adaptive system（CAS） theory.The simulation results represent that the total assets and profits of the carbon sequestration project（CSP） buyer and seller are steadily on the increase in the carbon trading maxket.The market regulatory efficiency is determined by the market investment and the improvement of regulation policy.Furthermore,the real sample simulation of Sichuan Daduhe Forest CSP demonstrates that the profit of CSP traded in the CSM is higher than the profit from the transactions of outside exchange.It implies that establishing CSM is an effective way to improve the CSP business for investors and a positive action to response to global warming as well.Finally,this study applies an Analytic Hierarchy Process-Fuzzy Comprehensive Evaluation（AHPFCE） approach to evaluate the reliability of CSM simulation.It concludes that the CSM simulation is ＂more creditable＂,which indicates that the CSM simulation results can be used as a proxy to observe the market uncertainties.     

Empirical Analysis of Value-at-Risk Estimation Methods Using Extreme Value Theory

1. INTroDUCTIONFinancial institutes often hold asset portfolios consisting of bonds, stock, etc., whose values often vary due tothe change of market factors such as interest rate and exchange rate. The induence on the value of portfoliosmade by the bad variation of majrket factors is watched specially by the financial institutes. That is to say, it isnecessary to estimate the probability and degree of the decrease in the value of portfolios during a given timeperiod. As an integrated frame…     

ON LIMITATIONS OF THE SAMPLED—DATA FEEDBACK FOR NONPARAMETRIC DYNAMICAL SYSTEMS

In this paper, we study a basic class of first order sampled-data control systems with unknown nonlinear structure and with sampling rate not necessarily fast enough, aiming at understanding the capability and limitations of the sampled-data feedback. We show that if the unknown nonlinear function has a linear growth rate with its "slope" (denoted by L) being a measure of the "size" of uncertainty, then the sampling rate should not exceed 1/L multiplied by a constant (≈ 7.53) for the system to be globally stabilizable by the sampled-data feedback. If, however, the unknown nonlinear function has a growth rate faster than linear, and if the system is disturbed by noises modeled as the standard Brownian motion, then an example is given, showing that the corresponding sampled-data system is not stabilizable by the sampled-data feedback in general, no matter how fast the sampling rate is.     

Exchange rate forecasting with optimum singular spectrum analysis

Forecasting exchange rate is undoubtedly an attractive and challenging issue that has been of interest in different domains for many years. The singular spectrum analysis （SSA） technique has been used as a promising technique for time series forecasting including exchange rate series. The SSA technique is based upon two main choices： Window length, L, and the number of singular values, r. These values are very important for the reconstruction stage and forecasting purposes. Here the authors consider an optimum version of the SSA technique for forecasting exchange rates. The forecasting performances of the SSA technique for one-step-ahead forecast of six exchange rate series are used to find the best L and r.     

AN EMPIRICAL ANALYSIS OF SAMPLING INTERVAL FOR EXCHANGE RATE FORECASTING WITH NEURAL NETWORKS

Artificial neural networks (ANNs) have been widely used as a promising alternative approach for forecast task because of their several distinguishing features. In this paper, we investigate the effect of different sampling intervals on predictive performance of ANNs in forecasting exchange rate time series. It is shown that selection of an appropriate sampling interval would permit the neural network to model adequately the financial time series. Too short or too long a sampling interval does not provide good forecasting accuracy. In addition, we discuss the effect of forecasting horizons and input nodes on the prediction performance of neural networks.     

A STUDY ON THE CHAOS MODEL OF LIQUIDITY IN STOCK MARKET

For a Stock Market, the critical problem is the maintenance of its liquidity. Market liquidity can be described in various ways, in particular, in terms of the bid/offer spread and the market depth. Model of market liquidity dynamics has been proposed in Schmidt, A.B.' literate. In our study, we improve his model. On one hand, we think that trading volume is determined by the total number of traders, as well as the relations between the numbers of buyers and sellers, while the model of Schmidt only considers the first, item. On the other hand, Schmidt assumes that the number of "newcomers" in the market is in proportion to the current number of trades. However, we all know that the continual rise or fall of the price will also attract more buyers or sellers, that, is, "newcomers", into the market, which he has not taken for granted. We also prove it, to be a chaos model through analysis of Lyapunov exponent. On the assumption that price variation can be neglected, we discuss the conditions in which chao     

ANALYSIS OF INCOMPLETE STOCK MARKET WITH JUMP-DIFFUSION UNCERTAINTY

This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-diffusion uncertainty and have random but predictable jumps. The space of risk-neutral measures that are associated with the market is identified and related to fictitious completions. The construction of replicating portfolios is discussed, and convex duality methods are used to prove existence of optimal consumption and investment policies for a problem of utility maximization.     

STUDY ON REVENUE SHARING CONTRACT IN VIRTUAL ENTERPRISES

1. Introduction A virtual enterprise (VE) is a temporary consortium of autonomous, diverse, and possibly geographically dispersed organizations that pool their resources to meet short-term objectives and exploit fast-changing market trends (Dewey et al. 1996). In the 1990s, the rapid rate of technological change, shortened product life cycles, diversified and individual customer requirement, and the globalization of markets have increased the pressure to improve new product development proces…     

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.     

ELECTRONIC DISCLOSURE AND FINANCIAL KNOWLEDGE MANAGEMENT

1. Introduction Majority of financial information are disseminated through the Internet, every day, huge amount of financial information are generated but the utilization is not good enough: according to the 10th WWW User Survey by the Graphics, Visualization, and Usability Centre (GVU 1998), more than 45 percent of the respondents felt that they were not able to find the information they needed. A study of the Internet demography showed that searching, retrieving, and utilizing the avail…     

人民币汇率的稳定机制及其动态过程(Ⅱ)——实证分析

首先应用协整方法检验人民币汇率、外汇储备、进出口及国际外汇市场的汇率（日元对美元的双边汇率）变化的可积性和变量之间的协整关系,进而建立用来描述人民币汇率由短期波动向长期均衡非线性调整的动态过程的误差修正模型．实证分析结果表明,模型的所有估计系数具有我们建模时设定的符号;并且人民币汇率、外汇储备及美元／日元汇率之间存在唯一的长期稳定关系,即协整关系;短期预测模型不仅具有令人满意的拟合效果和预测能力,而且具有结构稳定性     

Technical Note ：SINGLE-PERIOD TWO-PRODUCT INVENTORY MODEL WITH SUBSTITUTION： SOLUTION AND PROPERTIES

In this paper, we study a single-period two-product inventory model with stochastic demands and downward substitution. The optimal order quantities are presented and some properties are provided. Comparing with newsboy model, we prove that both the profit and the fill rate can be improved by using the substitution policy. This work was supported partly by NSFC/RGC Joint Research Program under grant 79910161987 and the National Science Foundation of China (79825102, 70231010, 70321001). Lianqiao CAI is lecturer of School of International Business, Beijing Foreign Studies University. He received his B.S. and M.S. from School of Economics and Management, Tsinghua University, in 1995 and 1998, and Ph.D of Management Science from Tsinghua University in 2002. His research areas include supply chain management, optimization techniques. Jian Chen is Professor and Chairman of the Management Science Department and co-director of the Research Center for Contemporary Management, Tsinghua University. He has over 80 papers published in some leading international journals and first class Chinese journals, and has been a principal investigator for over 20 grants or research contracts with National Science Foundation of China, governmental organizations, and companies. His main research interests include supply chain management, E-commerce, modeling and control for complex systems, decision support systems and information systems, and forecast and optimization techniques. He serves as associate editor of the “IEEE Transactions on Systems, Man and Cybernetics: Part A” and “IEEE Transactions on Systems, Man and Cybernetics: Part C”, and on the Editorial Board of “The International Journal of Electronic Business” and “System Research and Behavioral Science”. He is the recipient of the Outstanding Contribution Award of IEEE Systems, Man, and Cybernetics Society in 1996, and the Young Scientist Award of China in 1992. He was Secretary General of the 1996 IEEE International Conference on Systems, Man, and Cybernetics in Beijing, Co-chair of the IPC of 1998 International Conference on Systems Science and Systems Engineering, Chair of the First Asian eBiz Workshop in 2001, Co-chair of the Asian eBiz Workshop in 2002 and 2003, and Co-chair of the international conference on Global Supply Chain Management in 2002. Houmin Yan received his B.S. and M.S. from the Department of Automation, Tsinghua University, in 1982 and 1985, respectively, and his Ph.D. from the Faculty of Management, University of Toronto in 1993. From Jan. 1994, he is with the Department of Systems Engineering and Engineering Management, the Chinese University of Hong Kong as an Assistance, Associate and Full Professor. He was a tenured Associate Professor at School of Management, the Univ. of Texas at Dallas. His main research areas are operations management, stochastic models, simulations, and supply chain management. He has published in journals such as Operations Research, Manufacturing and Service Operations Management, Production and Operations Management, Journal of Optimization: Theory and Applications, IIE Transactions and IEEE Transactions. He consults several high-tech companies, such as Motorola, C&K Systems, and Oriental Power, on issues spanning from production planning and scheduling, supply chain management to business process re-engineering. He is a member of INFORMS.     

ON IMPROVING AN INTEGRATED INVENTORY MODEL FOR A SINGLE VENDOR AND MULTIPLE BUYERS WITH A RELAXED MATERIAL ORDERING CYCLE POLICY

1. Introduction With the development of information technology and the increasing market competition, simultaneously reducing inventory costs of raw materials, work-in-process, and finished items in different stages has become a major focus for supply chain management. Industrial practice and academic research have shown that VMI (Vendor Managed Inventory) can improve supply chain performance by decreasing inventory levels and costs. VMI is a collaborative business initiative where the vend…     

外汇市场与股票市场间波动溢出效应——基于汇改后数据的小波多分辨分析

随着金融全球化与自由化进程的加快以及人民币汇率体制改革和中国企业股权分置改革的深化,外汇市场与股票市场间的信息流动和风险传递进一步加强。通过小波多分辨分析能够从不同尺度研究外汇市场与股票市场间的波动溢出效应,以达到从时频2个角度同时进行研究的目的。实证结果表明,人民币汇率波动与股票价格波动的低频信号具有协整关系。其独到之处在于发现不同交易周期上波动溢出效应存在非一致性:短期主要表现为股票市场向外汇市场的单向波动溢出;而随着交易周期的加长,则表现为双向波动溢出效应。     

Simulating the supply disruption for the coordinated supply chain

There are many disruptive accidents in the supply chain operations system and achieving the coordination of supply chain is main objective for supply chain research. While disruptive accidents have increasingly influenced the coordinated operation of the supply chain, existing research literature on the supply chain coordination is setting in a stationary environment. The answer for how the disruptive accidents affect the coordinated supply chain is given in this paper. Based on the benchmark supply chain which is coordinated by the negative incentive mechanism, we study the impacts of supply disruption on the supply chain system by using simulation approach in which two different distribution function of random variable are used to express the supply disruption. Comparison between these two simulation results and possible coordination mechanism under the supply disruption are proposed. From the perspective of supply chain risk management, we provide the inspiration for the manager.     

A NOTE ON THE STOCHASTIC ROOTS OF STOCHASTIC MATRICES

In this paper, we study the stochastic root matrices of stochastic matrices. All stochastic roots of2×2 stochastic matrices are found explicitly.A method based on characteristic polynomial of matrix isdeveloped to find all real root matrices that are functions of the original 3×3 matrix, including allpossible(function)stochastic root matrices. In addition, we comment on some numerical methods forcomputing stochastic root matrices of stochastic matrices.     

人民币汇率、沪港通交易与股指波动

伴随着沪港通等资本市场开放政策的深入实施,人民币汇率、外资流动与内地股市间的联动效应将如何演变?本文运用SV-TVP-SVAR模型深入考察研究了人民币汇率、沪股通资金净流入与上证50指数三者之间互动关系的时变特征,研究发现:从同期关系看,人民币汇率贬值显著负向影响着沪股通资金净流入和上证50指数,而沪股通资金净流入对上证50指数有着显著正向影响;从时变脉冲响应走势看,人民币汇率贬值总体上导致了沪股通资金净流出,并拖累了上证50指数表现;沪股通资金流入对人民币汇率贬值有着显著的时变影响,且推高了上证50指数;上证50指数上涨导致了人民币汇率升值和沪股通资金流出,证实了沪股通资金的逆向投资风格.因此本文的实证结果首次刻画了人民币汇率、沪股通交易与内地股市三者之间的联动效应,然后提出了维护人民币汇率基本稳定、完善沪港通交易机制和促进资本市场健康发展相关政策建议.     

基于前景理论和区间二元语义MULTIMOORA的多属性决策方法

针对属性值为不确定语言,属性权重为部分已知或完全未知的多属性决策问题,提出一种新的决策方法。运用前景理论计算出每个属性的二元语义前景值,建立二元语义前景决策矩阵。在考虑主、客观影响因素的基础上,构建属性权重优化模型,得到属性的综合权重。基于区间二元语义对MULTIMOORA进行扩展,并对方案进行排序。在此基础上,运用占优理论得到方案的最终排序。最后,通过算例验证了该方法的可行性与有效性。