Table of Content

30 December 2009, Volume 17 Issue 6 Previous Issue    Next Issue

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Modeling financial volatilities based on price range： theoretical research and empirical study LI Hong-quan, WANG Shou-yang 2009, 17 (6):  1-8.  Abstract ( 2550 )   PDF (828KB) ( 3056 )   Save The classical volatility models, such as GARCH, are return-based models, which are constructed with the data of closing prices.It might neglect the important intraday information of the price movement, and will lead to loss of information and efficiency.This study introduces and extends the rangebased autoregressive volatility model to make up for these weaknesses and obtain satisfactory volatility predicting performance.The results consistently show that the new model successfully captures the dynamics of the volatility and gains good performance relative to GARCH model.Furthermore, we find that the inclusion of the lagged return can significantly improve the forecasting ability of the volatility model, and the leverage effect does exist in volatility. Related Articles | Metrics

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The Fuzzy Binomial Option Pricing Model under Knightian Uncertainty LI Wei, HAN Li-yan 2009, 17 (6):  9-16.  Abstract ( 2572 )   PDF (964KB) ( 2119 )   Save Taking the Knightian uncertainty of financial market into consideration, the randomness and fuzziness of stock price should been evaluated by both probabilistic expectation and fuzzy expectation.We make use of parabolic type fuzzy numbers to discuss the fuzzy binomial option pricing model with uncertainty of both randomness and fuzziness, and derive expression for the fuzzy risk neutral probabilities, along with fuzzy expression for the fuzzy call prices As a consequence, we obtain weighted intervals for the risk neutral probabilities and for the expected fuzzy call price.The empirical research of an actual warrant from the China financial market shows that the fuzzy models presented in this paper could do better than the traditional binomial tree model in forecasting market price.This will allow a financial analyst to choose the European price at his acceptable degree of belief and make his investment strategies. Related Articles | Metrics

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Study on Dynamic Risk Measure of Financial Markets Based on Skew-t-FIAPARCH Model LIN Yu, WEI Gui-wu, WEI Yu, TAN Bin 2009, 17 (6):  17-24.  Abstract ( 2894 )   PDF (1009KB) ( 1761 )   Save This paper Appies FIAPARCH and skew student t distribution to capture conditional volatility and skew distribution in financial return respectively, then measures dynamic Value at Risk(VaR), and uses Back-testing and Dynamic Quantile Regression(DQR) to test accuracies of different risk models.Our results indicate that RiskMetrics model and GARCH-Normal model can not measure dynamic financial markets risk accurately;skew student t distribution is a more fit distribution of financial conditional return than standard student t distribution and standard Normal distribution;and, AR-FIAPARCH-SKST model is the best risk measurement model among all models studied in this paper. Related Articles | Metrics

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Research on the Model of Risk Measurement in China’s Open-end Fund Market XIAO Yuan, HU Xiao-ping, DANG Feng-shun 2009, 17 (6):  25-32.  Abstract ( 2365 )   PDF (867KB) ( 1550 )   Save As an integrated investment instrument in commonly sharing revenue and risk, open-end fund has increasingly become the favor of the investors.Besides the summary of characteristics of the Bangia, Diebold, Schuermann &Stroughair's mo del, Hisata &Yamai's model based on L-VaR and Shamroukh's model based on VaR, this article gives a summary of the traditional risk measurement methods of open-end fund and finds out their applicability and limitations.Based on this, the article introduces a series of improved indices of open-end fund and replaces the turnover ration by turnover ration of indexation to avoid the distortion of liquidity risk measurement caused by the difference between the turnover ration and turnover ration of indexation, so that the article gives a measurable model based on CVaR and VaR of assets' liquidity in China's open-end fund market.Meanwhile, the paper not only considers the factors of stock's suspension and stock's heavyweight, but also considers the liquidity risk of China'sopen-end fund in Empirical Analysis, so as to propose an assets'liquidation method of open-end fund based on the adjustment of liquidity risk. Related Articles | Metrics

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Analyze the SSE(Shanghai Stock Exchange) Composite Index Week Returns Ratio with Time Series Analysis Method Based on Markov Switching Model YAN Tai-hua, CHEN Ming-yu 2009, 17 (6):  33-38.  Abstract ( 2635 )   PDF (744KB) ( 2911 )   Save This paper first does non-linear time series test on the SSE Composite Index returns ratio, then carries on the constitutive change examination to the time series, andfinds that the SSE Composite index is the sequence proceeds of non-linear time series as well as structural changes.After Constructing a three conditions, third-order lag's different variance Markov switching model, we do empirical analysis to SSE Composite Index week returns ratio from December 21st, 1990 to August 22nd, 2008, using the maximum likelihood estimation method to estimate the model parameter, and identifying the three main conditions of stock market fluctuations:slo wup, slow down and speed up.Empirical results indicate that the Markov switching model can portray stock market's gradual fluctuation characteristics effectively. Related Articles | Metrics

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Optimization Decision on Multi-Customer Churn Retrieval under the Non-restraint Condition HU Li-zeng, CHENG Jian-jun 2009, 17 (6):  39-43.  Abstract ( 2318 )   PDF (692KB) ( 1635 )   Save The research is given to optimization decision on multi-customer churn retrieval under the nonrestraint condition.Through modeling and analyzing with the help of generalized customer lifetime value, it is found that to retrieve a churn customer is necessary, the optimized retrieval expense exists, and the reasonable retrieval sequence among various customers also exists, only when the value of retrieve-action-judgment-coefficient is greater than one. Related Articles | Metrics

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An Investigation about the Game of the Consideration WU Bin, LI Chun-nian, HE Jian-min 2009, 17 (6):  44-50.  Abstract ( 2251 )   PDF (628KB) ( 1154 )   Save The core of consideration in the share structure reform is to determine the compensation of circulating shareholders to non-circulating ones.This article is trying to build a bargaining model to discuss the consideration within a limit period of time and without a limit of time.Studies have shown that the results of consideration game between circulating shareholders and non-irculating ones depend on the ratio of each one's discount factor.Considering that government's supervision and the introduction of time restricdons increase the cost of non-irculating shareholders, the final stock-based compensation solutions can only be implemented within a certain range, which is a function determined by the proposal cost of noncirculating shareholders, the game number and the punishment cost. Related Articles | Metrics

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Weak Form Market Efficiency Test of Oil Markets Based on Generalized Spectrum Method LV Wen-dong, PAN Hui-feng 2009, 17 (6):  51-56.  Abstract ( 2437 )   PDF (556KB) ( 1275 )   Save Understanding of market efficiency is the cornerstone of market analysis.Oil market efficiency test can not only provide the theoretical foundation for oil price forecast but offer evidence of comparing the information efficiency of different markets.The generalized spectrum method is applied on the daily data from January 2001 to July 2008 to test the weak form efficiency of main crude oil markets in the world Allowing for the stylized facts of high frequency data, this method can capture linear and nonlinear serial dependence while being robust to unknown form of conditional heteroskedasticity and checking all the lags.The results indicate that WTI of US and Brent of Europe have reached weak form efficiency, however, OPEC's and China's oil markets do not.The main cause is analyzedfrom the angles of market trading systerns and market participants structure. Related Articles | Metrics

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Supply Chain Coordination Analysis with Deductible Insurance Contract LIN Zhi-bing, ZHANG Qi-shan, LI Mei-juan 2009, 17 (6):  57-62.  Abstract ( 2374 )   PDF (566KB) ( 1546 )   Save Considering the risk transfer problem between the supply chain agents, we introduce the deductible insurance contract based on the wholesale price contract, and clearly define the loss and its probability distribution.Then we discuss the effects of optimal deductible on the decision makers'objective function in risk averse situation and give the condition to get the optimal value.We also make a comparative analysis on the optimal order quantity in the risk neutral situation.The results show that under certain condidons the supply chain can be coordinated Finally, numerical analysis is offered to study the effects of parameters on the premium, and the finds can be used as decision references while the decision makers confirm the insure contract. Related Articles | Metrics

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The Product Logistic Process Model and the Time Bottleneck Identification CHEN Ju-hong, SHI Cheng-dong, YANG Yang 2009, 17 (6):  63-69.  Abstract ( 2518 )   PDF (1118KB) ( 1817 )   Save Time bottleneck identification is the principal procedure of time compression in supply chain.Based on the supply chain network model, and the thought of supply chain cooperation and integration without borders, this paper views the production process as a product logistic process among the links in supply chain.After analyzing this logistic process, a logistic process model is established.Then using the transfer probability of the product logistics moving among the links in supply chain, combined with the thought of the Value Engineering(VE), this paper presents an identification method of supply chain time bottleneck and the procedure of the time compression.At the end of this paper, a practical simulation is gmen. Related Articles | Metrics

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Coordinate Supply Chain via Auction Mechanisms under Procurement with Incomplete Information MA Jun, ZHANG Jie 2009, 17 (6):  70-77.  Abstract ( 2389 )   PDF (874KB) ( 1273 )   Save This paper examines the problem of supply chain coordination under procurement environment with incomplete information.Auction is not only a price-determination mechanism, it could also serve as a coordination mechanism.Previous works have shown that auction mechanisms could have a significant impact on the players'payoffs and the system efficiency.In this paper, it is studied that how different procurement auction mechanisms influence the players'payoffs, when there are n suppliers and 1 buyer under IPVM settings, and the market inverse demand function is logarithmic.Finally, it is proven that the wholesale price auction and the catalog auction can't realize channel coordination, while only the two-part contract auction with intermediary can achieve channel coordination for the supply chain. Related Articles | Metrics

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Study on Decisions of Dual Channel Supply Chain with Different Pricing Schemes WANG Hong, ZHOU Jing 2009, 17 (6):  84-90.  Abstract ( 2436 )   PDF (696KB) ( 1553 )   Save For a supply chain with a direct channel and a traditional channel, the optimal decisions are studied when the demand depends on prices and advertising expense. The Stackelberg game model are analyzed respectively under different pricing scheme: the consistent pricing scheme under which retailer decides the channel prices and the inconsistence pricing scheme under which manufacturer and retailer decide their own channel prices respectively. Furthermore, the impact of cooperative advertising on the optimal decisions are investigated. The numerical analysis compares the optimal decisions and the profits under different schemes and centralized decision model. The research shows that the inconsistent pricing scheme is superior to the consistent pricing scheme for manufacturer and the dual channel supply. The consistent pricing scheme is benefit to retailer under certain conditions. Related Articles | Metrics

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Performance Based Entire Outsourcing Mechanism in Weaponry Support Supply Chain LIU Li-wen, GUO Xiang-lei 2009, 17 (6):  91-97.  Abstract ( 2372 )   PDF (837KB) ( 1331 )   Save The traditional weaponry support function is performed within the military system.Suppliers only provide weapons, thus they have no motive to improve the weaponry reliability.The cost of weaponry support is high.To solve this problem, we bring forward a new mechanism of the entire supply outsourcing based on the performance.The suppliers are responsible for the whole supply chain tasks from providing weapons to weaponry support.The military gives rewards or punishments according to the suppliers' performance.The advantages of this kind of mechanism are analyzed through a principal-agent model.The results show that the military can use certain incentive policies to induce the suppliers to improve the weaponry reliability and meanwhile enhance their incomes.The total cost of the military's weaponry supports al so can be reduced, and the performance of the whole supply chain is improved. Related Articles | Metrics

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Performance Based Entire Outsourcing Mechanism in Weaponry Support Supply Chain LIU Liwen , GUO Xianglei 2009, 17 (6):  91-97.  Abstract ( 2083 )   PDF (857KB) ( 1643 )   Save The traditional weaponry support function is performed within the military system. Suppliers only provide weapons, thus they have no motive to improve the weaponry reliability. The cost of weaponry support is high. To solve this problem, we bring forward a new mechanism of the entire supply outsourcing based on the performance. The suppliers are responsible for the whole supply chain tasks from providing weapons to weaponry support. The military gives rewards or punishments according to the suppliers’ performance. The advantages of this kind of mechanism are analyzed through a principal-agent model. The results show that the military can use certain incentive policies to induce the suppliers to improve the weaponry reliability and meanwhile enhance their incomes. The total cost of the military’s weaponry supports also can be reduced, and the performance of the whole supply chain is improved. Related Articles | Metrics

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A Study on the Supplier Selection and Order Quantity Allocation Problem Based on Improved Particles Swarm Optimization Algorithm WANG Lin, CHEN Can, ZHANG Jin-long, YI Jue 2009, 17 (6):  98-103.  Abstract ( 2504 )   PDF (626KB) ( 1598 )   Save The vendor selection and the order quantity allocation problems with stochastic demand are studied.A multi-objective and stochastic constraint planning model is constructed with the objective functions under three criteria of quality, cost and delivery, and the other goals as constraint conditions with the stochastic demand.By using the weighted way and the penalty function, the stochastic model with uncertainty and multi-objective is converted into a single target optimization model.Then, an improved particles swarm optimization algorithm(PSOA) with inertia and contraction factors is designed to solve the propo sed mo del, and comparative analysis with commonly-used genetic algorithm is given to verify the feasibility and efficiency of the PSOA applied to such issues. Related Articles | Metrics

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Reverse Logistics Network Design Based on Customers’ Choice Behavior HE Bo, MENG Wei-dong 2009, 17 (6):  104-108.  Abstract ( 2301 )   PDF (620KB) ( 1579 )   Save Reverse logistics network design is a strategic decision for enterprise.Taking the enterprises and customers'different benefits into account, this paper addresses the reverse logistic networks design for repair service.A bi-level programming model is proposed The upper level of the model optimizes the total cost of logistics and service level simultaneously, and the lower level of the model describes the customers choosing the return center.An algorithm is designed to solve the model to get a set of Pareto solutions which constitute the efficient boundaries.An example is given to illustrate the application of the model and algorithm.The role of efficient boundaries has also been analyzed. Related Articles | Metrics

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Research on Coordination of Pricing and Inventory Strategies in Mass Customization SHAO Xiao-Feng, JI Jian-Hua 2009, 17 (6):  109-115.  Abstract ( 2322 )   PDF (841KB) ( 1389 )   Save This paper analyzes the pricing and inventory coordination problems in mass customization supply chains with uncertain, price-dependent and substitutable demands.The manufacturer produces two kinds of products, i.e.custom products and common products.Common products are sold by a retailer, and custom products are directly provided by the manufacturer according to customers'orders.We analyze and compare the strategies made in centralized and decentralized supply chains.A kind of buyback contract based revenue-sharing is designed.We show that the price of custom products, inventory of common products, and supply chain profit in the decentralized supply chain are lower than those in the centralized one.We demonstrate the effectiveness of the buyback contract based revenue-sharing. Related Articles | Metrics

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Optimal Inventory Model With Completely Returning Defective Items LI Qun-xia, ZHANG Qun, ZHU Xiao-ning, HAN Xiao-lei 2009, 17 (6):  116-121.  Abstract ( 2324 )   PDF (764KB) ( 1466 )   Save The paper proposes an optimal inventory model by completely returning defective items.Assuming that the defective percentage is uniformly distributed and the sale profit is a target function, the derivation method is applied to achieve the optimum order size and maximal sale profit value.Finally, simulation analysis is used to investigate the influences of the defective percentage on order size and sale profit. Related Articles | Metrics

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Distribution Network Design Model for Deteriorating Items Based on Stackelberg Game HUANG Song, YANG Chao, YANG Jun 2009, 17 (6):  122-129.  Abstract ( 2410 )   PDF (1115KB) ( 1216 )   Save The distribution network design model for a class of deteriorating items with short selling seasons is investigated in this paper.It is assumed that the shortage costs of the retailers are dependent on the holding costs of the distribution centers which are assigned to serve the retailers, re sp ecti vel y, and the supplier offers a second order opportunity to the retailers at the end of the selling season.The suppliers choose the optimal locations to set up distribution centers, as well as determining each retailer served by which distribution center, and to minimize the total operation costs(facility location cost, transportatio n co st, inventory co st and deterioratio n co st), where the transportation cost and inventory cost of the distribution centers are dependent on the order quantities of the retailers'.The retailers determine the optimal replenishment decision according to the supplier's deci sio n, respectively.The method of Stackelberg game analysis is introduced, and a class of distribution network design models for deteriorating items is established A Lagrangian relaxation algorithm is also presented to solve the proposed models.At last, a numerical example is given to illustrate the sensitivity of the optimal solution on the change of the parameter. Related Articles | Metrics

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Leveling Optimization of Parallel Adjustment to Resource Divided Period and Work Translation Based on Modified Differential Evolution PANG Nan-sheng, JI Chang-ming, QI Jian-xun 2009, 17 (6):  130-138.  Abstract ( 2302 )   PDF (406KB) ( 1222 )   Save The mean square variance of resource is taken as an evaluation function in this paper to measure the balance of network planned resource Based on the resource intensity of non-critical work, which is used in different period of time, a strategy of dynamically parallel adjusting the flexible time of non-critical work and the associated resource intensity in each of the period in the same time is proposed, and an optimization model of network planned resource is also established Moreover, aiming at the feature of optimization model of network planning, which is a nonlinear optimal function with multi-peak values, global optimal solution is searched by using the modified differential evolution, which is based on the global searching of population, so that starting and ending times of every norr critical work can be optimized, and the optimal arrangement can be also obtained.At last, the superiority and the practicality of the new proposed optimization method are proved by doing case study and being compared with other algorithms. Related Articles | Metrics

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Estimating Travel Time Reliability in Urban Transportation Using Gram-Charlier Distribution HOU Li-wen, TAN Jia-mei 2009, 17 (6):  139-146.  Abstract ( 2360 )   PDF (1029KB) ( 1715 )   Save The deteriorative traffic condition in many cities significantly augments travel cost, and hence resulting in so-called fat tail effect.This paper aims at depicting such phenomenon by employing such concept as travel time reliability(TTR) to recapitulate the variational character.Firstly, a no vel metho d to predict travel time, i.e.grid method, is designedfor the sake of integrating driving time and queuing time.And then, Gram-Charlier as a powerful probability tool is applied to describe the extrusive character of TTR based on its four parameters.Two approaches are discussed to assist derive those parameters in closed form.Finally, a simulation result illustrates that the method works, and further research is indicated as well. Related Articles | Metrics

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Study on Attacks on Cascading Model of Overload Edgeswith Breakdown Probabilities WANG Jian-wei, RONG Li-li 2009, 17 (6):  147-156.  Abstract ( 2447 )   PDF (1297KB) ( 1598 )   Save Since there exists a certain degree monitoring and control in real-life networks, not all overloaded edges will be removed from networks.We propose a mechanism of the breakdown probability of an overload edge, and construct a cascading model with the breakdown probabililty.We compare the universal cascading phenomena on BA scale-free and WS small-world networks subject to two different attacks on edges, investigate the effects of the breakdown probability and different network structures on edge attack strategies, and analyze coping strategies to prevent cascading failures.The consistency of numerical simulation and theoretical analysis also verifies the correctness of the conclusions. Related Articles | Metrics

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DEA Efficiency Evaluating Models for DMUs with Parallel Structure YANG Feng, LIANG Liang, LING Liu-yi, ZHA Yong 2009, 17 (6):  157-162.  Abstract ( 2317 )   PDF (622KB) ( 1420 )   Save DEA efficiency evaluation to complex production systems is an important tool to help to improve the operational efficiency.The parallel system is a typical complex system.The existing researches have proposed several efficiency evaluating models.However, the existing researches have not considered the frontier production ability of parallel systems.Then, this paper analyzes the frontier production ability, develop s a multiplier model and an envelopment model for efficiency evaluation to parallel systems, and approves the relationship of our models and previous studies.Relative to the traditional CCR model, our models have higher discriminability, and can find out the potential for system improvement more greatly.Finally, a real world application about agriculture evaluation demonstrates the proposed models and approves related conclusions. Related Articles | Metrics

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A Software Trustworthiness Evaluation Model Considering Correlation of Information Sources YANG Shan-lin, DING Shuai, FU Chao 2009, 17 (6):  163-169.  Abstract ( 2316 )   PDF (949KB) ( 1407 )   Save This paper studies a software trustworthiness evaluation model, considering the correlation of information sources.Firstly, an improved Denoeux cautious conjunctive rule and a horizontal evidence combination algorithm are introduced.Secondly, an association coefficient is defined to the index or group opinion aggregation.Finally, on the analysis of objective problems, such as information uncertainty and correlation of information sources in the process of evaluation, a software trustworthiness evaluation model based on evidence theory is proposed.Experimental results show the rationality and validity of the model. Related Articles | Metrics

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The Choice of Technological Innovation Strategy From Slack Visual Angle(Based on the Real Options Model) ZHANG Hong-bo, WANG Guo-shun 2009, 17 (6):  170-176.  Abstract ( 2416 )   PDF (694KB) ( 1303 )   Save Organizational resource is importont for enterprises'innovation.This paper analyzes the relationship between slack resources and technological innovation strategy through building mathematic model and real options approach.The results show, the slack resources that are explored and employed reach to a critical point, where it can promote to choice the independent innovation strategy based on R &D;and it is important to identify, explore and employ slack resources correctly for strengthening the organizational independent innovation capability and raiseing its performance when it is more and more difficult for technological innovation strategy based on technological introduction. Related Articles | Metrics

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Ultimate Controlling Shareholders, debt Financing and the Firms’ Inefficient Investment ZHANG Dong 2009, 17 (6):  177-185.  Abstract ( 2387 )   PDF (966KB) ( 1307 )   Save This paper has established a model that ultimate controlling shareholders influence the corporate investment behavior by expanding LLSV model.Our results indicate when the ultimate controlling shareholders figure for private benefit of control, the tunneling cost is small, the investor protection is bad, and the ultimate controlling shareholders will process over-investment.But debt financing can heighten the cutoff point of ultimate controlling shareholders'investment and suppress ultimate controlling shareholders' over-investment. Related Articles | Metrics

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The Theoretical Analysis and Empirical Research on the Relationship between Stakeholders and Enterprises’ Financial Performance JI Jian-yue, LIU Yan-qing, WANG Cui, LV Shuai 2009, 17 (6):  186-192.  Abstract ( 2659 )   PDF (895KB) ( 2568 )   Save Incorporating the insights of the value chain theory, the contract theory and the prospect theory, this paper analyzes the internal mechanism how stakeholders affect enterprise's financial performance.It concludes that, the stakeholders'satisfaction is the key to influence enterprise's financial performance, and that how to rationally meet stakeholders'interests plays a pivotal role in enhancing the maximization of enterprises'financial performance.An empirical study on Chinese listed companies is conducted based on the panel data model.The analysis shows that, the stakeholders'satisfaction and the enterprises financial performance are significantly correlated, and the satisfaction level of different stakeholders is unreasonable.This according to Rvalue, an enterprise can further enhance its financial performance by rationally adjusting the input-output efficiency of different stakeholders. Related Articles | Metrics