资金价格双轨制对企业融资的影响研究

以中小企业为主要研究对象,围绕日益背驰的双轨利率,论证资金价格双轨制产生的原因及传导机制,进而设计实验内容,通过对样本数据进行实证分析,将借款难易程度作为变量解释中小企业选择非正规金融市场的融资行为,以及双轨利率差距日益扩大的原因,并针对资金价格双轨制带来的一系列负面影响,提出相关建议。     

考虑驾驶行为的租赁预订控制与激励策略研究

通过构建随机动态规划模型分析了考虑两类顾客驾驶行为可转变的汽车租赁预订容量控制问题,系统的考察了当企业运用智能设备对顾客行为进行监测,并事后对顾客实施价格补贴策略时,对汽车租赁的预订限分配以及顾客行为转变的动态影响过程.由于动态规划模型维度较高,提出单日决策收益与多日决策收益(周期性决策)两种近似算法进行求解,并通过数值模拟验证了两种算法的有效性.研究给出了提前期随机和租期不确定前提下,预订限的基本分配原则,得到以下结论:1)多日决策收益更逼近最大期望总收益;2)当顾客行为不变时,租赁企业在实施补贴策略时,期望总收益会随着补贴的增加而单调不增;3)当补贴策略促使顾客选择良好行为的可能性增加时,增加补贴反而会增加企业的期望总收益.研究结果将为汽车租赁企业的预订决策提供支持.     

浅析杜儿坪矿南九3号煤盘区的优化设计

以杜儿坪矿南九3号煤盘区为例,详细介绍了盘区设计优化的原则、技术方案、技术创新点,分析了盘区设计优化的社会经济效益以及盘区设计优化对提高矿井生产能力的重要性。     

基于遗传算法的Markowiz策略模型与股票价格行为

将Markowiz投资组合模型的思想引入到做市商市场出清价格模型中的投资策略选择人数比例的确定中,构造了极小化用收益率的方差来表示投资风险的优化模型,并应用遗传算法求解该模型。研究认为,引入Markowiz投资组合模型思想后:①价格及收益率序列的波动性减小,提高了价格发现效率,有助于保证市场稳定。②策略选择人数比例演化出现了较大变化。     

Predicting opening spot prices using extended futures trading

Previous studies found that extended futures trading contains useful information in explaining subsequent overnight spot returns. This study therefore compares the performance of using the extended trading of the TAIFEX (Taiwan Futures Exchange) index futures and single‐stock futures to predict their opening underlying spot prices. Furthermore, according to the efficient market hypothesis, the share price fully reflects all the information available and should adjust to new information instantaneously. However, several studies have demonstrated that short‐sales restrictions delay the speed of price adjustment to negative information. The relevant question is whether short‐selling restrictions also slow down the speed at which the opening spot price adjusts to the new information revealed through extended futures trading, and thus reducing the price prediction function of extended futures trading. The empirical results find that using the opening futures price and the prediction method proposed in this study can more accurately predict the opening spot price on the same day. Furthermore, the performance of using the extended trading of index futures to predict the opening spot index price is superior to that of using the extended trading of single‐stock futures to predict the opening stock price. Finally, as found in previous studies, short‐selling restrictions also slow down the speed of stock price adjustment to the new information revealed through extended futures trading. Thus both the up‐tick rule and the short‐selling bans (especially the latter) negatively affect the price forecasting performance of extended futures trading.     

Forecasting energy prices: Quantile-based risk models

The goal of this paper is to use a new modelling approach to extract quantile-based oil and natural gas risk measures using quantile autoregressive distributed lag mixed-frequency data sampling (QADL-MIDAS) regression models. The analysis compares this model to a standard quantile auto-regression (QAR) model and shows that it delivers better quantile forecasts at the majority of forecasting horizons. The analysis also uses the QADL-MIDAS model to construct oil and natural gas prices risk measures proxying for uncertainty, third-moment dynamics, and the risk of extreme energy realizations. The results document that these risk measures are linked to the future evolution of energy prices, while they are linked to the future evolution of US economic growth.     

新电改背景下输配电价测算及传导参数分析

根据新一轮电力体制改革要求,结合我国电力市场特点,提出了电价的传导路径,构建了不同电压等级、不同类型用户的电价传导模型,确立了输配电成本在电价中的传导机制。根据"准许成本加合理收益"的总体要求,提出了基于虚拟设备容量的成本分摊和基于电量的收益分配理念。基于上海电网2015年实际运行数据,确定了不同电压等级、不同类型用户的成本与收益分配。同时,以网损为因变量,分析了其与交叉补贴、购电成本及售电价格间的传导关系。     

基于Bayes方法的炼油厂采购策略

国际原油现货市场价格剧烈波动,炼厂常用的采购策略不能应对由此产生的价格风险,该文针对这一问题提出了采购策略。以最小化总成本现值的期望为目标,根据原油采购的特点建立了动态规划模型,采用随机微积分方法分析了最优静态策略,并引入Bayes决策方法得到了动态策略。利用国际石油市场中某种基准原油近26年的历史价格数据,验证了模型的可行性和有效性。结果表明:基于Bayes方法的采购策略相比炼厂目前使用的策略能显著降低总成本,适用于原油采购问题。     

The bound of price of anarchy for multi-class and multi-criteria traffic equilibrium problem

In this paper,we use the variational method to study the efficiency loss of user equilibrium for the multi-class,multi-criterion traffic equilibrium with general tolls and a discrete set of value of time.By introducing three important parameters k₁k₂,k₃,we derive several bounds of price of anarchy for this problem when tolls are considered and not considered as part of the system cost,with the cost-based criterion.     

基于经济计量模型的当前通货膨胀成因分析

根据经济学背景选取了影响通货膨胀的可能经济要素,并采用相关统计数据,从定量的角度看待通货膨胀问题,实证分析表明,粮食、矿产品等初级产品和煤油电等生产资料价格大幅上涨、人民币汇率的大幅升值、外汇储备的增加是此轮通货膨胀的主要成因。