An empirical investigation on the risk-return relationship of carbon future market

This paper examines the risk-return relationship for the carbon future market during Phases I, II and III of the European Union Emission Trading Scheme (EU ETS). The risk factors derived from the newly developed LSW model, are embedded into a GARCH framework. This new specification is compared with several GARCH-M type models analyzing the risk-return relationship in the carbon market. The results show that the new specification consistently achieves a good fit and possesses superior explanatory power for the European Union Allowance (EUA) data. Some policy suggestions regarding market efficiency are also provided.     

Solving the perspective-three-point problem using comprehensive Gröbner systems

A complete solution classification of the perspective-three-point (P3P) problem is given by using the Gröbner basis method. The structure of the solution space of the polynomial system deduced by the P3P problem can be obtained by computing a comprehensive Gröbner system. Combining with properties of the generalized discriminant sequences, the authors give the explicit conditions to determine the number of distinct real positive solutions of the P3P problem. Several examples are provided to illustrate the effectiveness of the proposed conditions.     

A two-dimensional improvement for Farr-Gao algorithm

Farr-Gao algorithm is a state-of-the-art algorithm for reduced Gröbner bases of vanishing ideals of finite points, which has been implemented in Maple as a build-in command. This paper presents a two-dimensional improvement for it that employs a preprocessing strategy for computing reduced Gröbner bases associated with tower subsets of given point sets. Experimental results show that the preprocessed Farr-Gao algorithm is more efficient than the classical one.     

An M-Objective Penalty Function Algorithm Under Big Penalty Parameters

Some classical penalty function algorithms may not always be convergent under big penalty parameters in Matlab software, which makes them impossible to find out an optimal solution to constrained optimization problems. In this paper, a novel penalty function (called M-objective penalty function) with one penalty parameter added to both objective and constrained functions of inequality constrained optimization problems is proposed. Based on the M-objective penalty function, an algorithm is developed to solve an optimal solution to the inequality constrained optimization problems, with its convergence proved under some conditions. Furthermore, numerical results show that the proposed algorithm has a much better convergence than the classical penalty function algorithms under big penalty parameters, and is efficient in choosing a penalty parameter in a large range in Matlab software.     

The complexity and on-line algorithm for automated storage and retrieval system with stacker cranes on one rail

This paper considers an on-line scheduling and routing problem concerning the automated storage and retrieval system from tobacco industry. In this problem, stacker cranes run on one common rail between two racks. Multiple input/output-points are located at the bottom of the racks. The stacker cranes transport bins between the input/output-points and cells on the racks to complete requests generated over time. Each request should be accomplished within its response time. The objective is to minimize the time by which all the generated requests are completed. Under a given physical layout, the authors study the complexity of the problem and design on-line algorithms for both one-stacker-crane model and two-stacker-crane model. The algorithms are validated by instances and numerical simulations.     

A Hyper-Erlang Jump-Diffusion Process and Applications in Finance

This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang distribution. The authors give the explicit closed-form expression for the joint Laplace transform of the first passage time and the overshoot for the reflected process. Finally, the formula is applied to the ruin problem under the barrier dividend strategy and the pricing of the Russian option.     

The effect of corporate governance on debt financing cost of listed companies

In recent years,bank credit business is booming with the increasing borrowing intention of China’s listed companies,and debt financing has become the major approach among listed companies’financing strategies.As a series of institutional arrangements about rights,responsibilities and benefits between different shareholders,corporate governance mechanism has a significant influence on the cost of debt financing.This paper employs variable coefficient panel data model to investigate the relationship of the listed company’s debt financing costs and corporate governance mechanism in terms of structural characteristics and time series characteristics.The results show that optimizing the structure of both Board of Directors and Board of Supervisors,establishing a reasonable management incentive system and reducing the concentration of ownership properly can directly contribute to a lower company’s debt financing costs.Meanwhile,property rights have an interactive influence on corporate governance from four aspects,which indirectly effect in company’s debt financing costs.     

Generalized Multivariate Gumbel Distributions——Dependence,Aging Properties and Applications

This paper introduces a generalized multivariate Gumbel (GMG) distribution using a survival copula. Various dependence properties of the GMG distribution and some analytical properties of the generators of the GMG distribution are studied. Furthermore, the authors also investigate the dependence behavior of the residual lifetime vector of the GMG distribution. As an illustration, the GMG distribution is applied to fit a real data set.     

Bounding the inefficiency of the C-logit stochastic user equilibrium assignment

Compared with standard logit-based stochastic user equilibrium assignment model, the C-logit model describes route choice behavior in a more realistic way by considering the overlapping effect between routes. This paper investigates the inefficiency upper bounds of this model against the deterministic system optimum and the C-logit stochastic system optimum in terms of the total network travel time. It is found that the commonality factor of overlapping routes significantly affects the inefficiency bound, besides link congestion degree, total demand and the number of feasible routes. If the commonality factor is not considered, the efficiency loss resulting from selfishly stochastic travel behavior will be to large extent underestimated.     

Semi-global stabilization via homogeneous output feedback for a class of nonlinear time-delay systems

The semi-global stabilization problem for a class of nonlinear systems with state time-delay is addressed in this paper. By using Lyapunov-Krasovskii functional method and homogeneous domination approach, a homogeneous observer and an output feedback controller with a scaling gain are designed. Then the scaling gain is adjusted such that the closed-loop system is semi-global asymptotically stable. A numerical example is presented to illustrate the effectiveness of the obtained results in this paper.