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20 June 2016, Volume 24 Issue 6 Previous Issue    Next Issue

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Research on the Natural Gas Futures Pricing Based on Incomplete Market and Influences of Seasonality ZHANG Zong-yi, XING Wen-ting, WU Sheng-li 2016, 24 (6):  1-9.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.001 Abstract ( 1701 )   PDF (1431KB) ( 2073 )   Save The futures price is the core element of the futures trading, and also reflects the state of market operation. Reasonable and effective futures price can play a leading action and make up for the deficiency of spot prices hysteresis. The importance of exchange-traded natural gas grows the necessity to find accurate pricing models for the different contracts.This lack of economical transportation and the limited storability of natural gas makes its supply unable to change in view of seasonal variations of demand, therefore natural gas prices are strongly seasonal.Natural gas as a commodity, its weak liquidity has led to the incompleteness of the futures market. Taking into account of the incompleteness of the futures market and the stochastic seasonality of natural gas prices, a novel pricing model of natural gas futures is proposed by using the basic theory of the stochastic discount factor. In this paper, focuses are put on the degree of incompleteness of the natural gas futures market generated by short-term deviation, middle-term deviation and the seasonal factor. The differential equations of short-term deviation, middle-term deviation , long term equilibrium and the seasonal factor are taken as a breakthrough point, the volatilities caused by four factors are divided into complete and incomplete part, the transition equation of state space is built, the parameters are estimated by the Kalman filter and maximum likelihood estimator. The data sets used in this paper consist of daily observations of Henry Hub natural gas futures prices traded at NYMEX. In order to account for structural changes in the natural gas price dynamics and estimate properly the relationship between the three non-seasonal factors (short-term deviation, middle-term deviation and long term equilibrium), it is desirable to consider different data sets with different sample periods, that is to say, futures contracts with short-term, middle-term and long-term maturities are also necessary to estimate properly the parameters of the non-seasonal factors. It is expected that the seasonal factor in the particular models has one year period, futures contracts with more than one year to maturity are needed to account for it. The results indicate that the volatility on the natural gas futures market caused by the incompleteness should be attributed to theshort-term deviation, middle-term deviation and the seasonal factor; the natural gas price is seasonal, and the seasonal period is one year; There is strong mean-reversion in the short-term and middle-term deviations, the expected appreciation of futures prices is positive; the Sharpe Ratio of the natural gas futures market is about 1.5 times of complete market price of risk, so risk compensation and the incompleteness of the market should be considered when natural gas futures pricing. By comparing with the five-factor model of Garcia, the proposed model has better goodness of fit and forecasting ability. The researches of natural gas futures pricing not only solve the problem of natural gas futures pricing, but also provide the valuable reference information for hedging and investment decisions, which has an important significance on the theory and practice. References | Related Articles | Metrics

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Spatial Interaction Theory-based Credit Risk Contagion Model for the CRT Network CHEN Ting-qiang, LI Xin-dan, HE Jian-min 2016, 24 (6):  10-18.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.002 Abstract ( 1465 )   PDF (1804KB) ( 1508 )   Save Based on the entropy spatial interaction theory, an entropy spatial model of credit risk contagion that combines with the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of the banks, and the appetite for risk of investors is build. By means of numerical simulation and the sensitivity analysis, it is found that the model can well describe the effect of the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of the banks, the concentration of credit risk of investor, the appetite for risk of investors, and the risk capacity on credit risk contagion in the CRT network. In addition, it is also indicated that credit risk contagion of the CRT network has "home market effects" and "correlation inhibition effects". References | Related Articles | Metrics

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The Study of Real Option Valuation Method on the Patent Value in the High Technology Firms: Modelling and Simulation of American Optionwith Jump Diffusion and Stochastic Volatility ZHOU Yan-li, WU Yang, GE Xiang-yu 2016, 24 (6):  19-28.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.003 Abstract ( 1791 )   PDF (528KB) ( 1374 )   Save Since the hypotheses of the classical Black-Scholes option pricing model ignore the impact of sudden change on asset prices and the "volatility smile" on the option value, particularly, it deviates from the actual situations. Many improvements of the Black-Scholes model are based on two directions: one is the option pricing model with jump-diffusion, and the other is the option pricing model with stochastic volatility. But very few researches combine these two factors into a model. In this paper, based on the previous work of the option pricing model with jumps or stochastic volatility, an improved option pricing model is firstly constructed by taking into account jump diffusion and stochastic volatility at the same time. The corresponding partial differential equation of the asset pricing, stochastic volatility and option pricing is derived by Ito lemma. Then, the stochastic distribution of asset price is obtained by the characteristic function method and Fourier transform approach. The numerical solution of the American option with jump diffusion and stochastic volatility is obtained by employing the Markov Chain approach. Finally, by the empirical research, the real option price of the patent of the project investment in a high-tech company is evaluated by using our developed model, and the effects of value changes of jump diffusion strength parameters and stochastic volatility parameters on the value of the patent option price are reported. It is concluded that the overvaluation of the patent option price, due to the ignorance of the uncertainty of the financial market, can be avoided effectively by introducing the jump-diffusion process of project profit and the stochastic volatility of market environment into the patent real option pricing model. References | Related Articles | Metrics

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Method for Venture Capital Project Selection Considering Decision Maker's Regret Aversion YU Chao, FAN Zhi-ping 2016, 24 (6):  29-37.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.004 Abstract ( 1704 )   PDF (1399KB) ( 1325 )   Save In recent years, venture capital industry develops rapidly in China and the number of venture capital deals increased substantially. However, fewer venture capital projects may bring significant returns. The fault in the selection of venture capital project is the main reason which causes the failure of venture capital. Thus, the selection of venture capital before investment is especially important. The value of venture capital project is the critical factor which the decision maker concerns in the process of the venture capital project selection. Usually, the decision maker may take into account a number of venture capital projects among multiple industries the process of the venture capital project selection and choose the most satisfactory one or more venture capital projects to invest considering the prospect of each market and the value of each venture capital project. In the process of the venture capital project selection, the decision maker is usually bounded rational. The decision maker may compare the venture capital project under consideration with other venture capital projects and may feel regret when choosing other venture capital projects may bring better result. In reality, the decision maker will forecast the values of venture capital projects among multiple industries in different market states before investing. The deviation between venture capital projects may make decision maker generate feelings of anticipated regret. The feelings of anticipated regret will affect the selection of venture capital project, which shows that the decision maker tends to avoid choosing the regrettable venture capital project. How to consider decision maker's psychological behavioral factors in the process of the venture capital project selection among multiple industries needs to be especially concerned. In this paper, a method for selecting venture capital project among multiple industries considering the decision maker's regret aversion is proposed. In the method, firstly, the value of each venture capital project in different market states is calculated. Then, the probability of combined market state is calculated. Furthermore, the regret function is constructed to describe the decision maker's psychological perception of regret and the overall utility value of each venture capital project is calculated so as to determine a ranking of venture capital projects in different industries. Finally, an example is used to illustrate the feasibility and validity of the proposed method. References | Related Articles | Metrics

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Analysis of Supply Chain Shock and Coordinating Contract with Retailer's Exiting Risk SUN Cai-hong, TIAN Zhen-zhen, YU Hui 2016, 24 (6):  38-45.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.005 Abstract ( 1409 )   PDF (1853KB) ( 1103 )   Save Nowadays, the incidents often occur that retailers terminate the cooperation with their suppliers. Retailers' exiting the supply chain will not only cause loss of profits to itself and the suppliers, but also have shocks on basis the of supply chain cooperation.In this paper, whether the supply chain need to cooperation to cope with the problems when it has retailers' exiting risk is studied. The coordinated supply chain with quantity discount contract as the research foundation is chosen. By judging the adaptability of traditional quantity discount contract in the supply chain with retailers' exiting risk, the improved quantity discount contract which can coordinate the supply chain with exiting risk is then introduced. A two-level supply chain with one supplier and one retailer is built.Through the theoretical analysis and the numerical simulation of centralized and decentralized decision-making of the the model, it is found that retailers' exiting risk may have the great shock on the supply chain operations.At the same time, it is surprisingly found that although the quantity discount contract can not coordinate the supply chain under the great shock, the efficiency is very high. Therefore, it is suggested that in the supply chain with retailers' exiting risk, if the cost of coordination between the retailers and suppliers is very high, they can still use the traditional quantity discount contract contract since in this case it can achieve higher efficiency. But if the cost of coordination between enterprises is lower than the benefits the coordination brings, it is more beneficial to retailer and suppliers to adopt our recommended quantity discount contract. References | Related Articles | Metrics

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Study on the Propagation and Control of Financial Distress on the Perception of Supply Chain LI Li-jun, LIU Jie, SUN Shi-min 2016, 24 (6):  46-51.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.006 Abstract ( 1705 )   PDF (832KB) ( 1151 )   Save Financial distress of an enterprise in a supply chain will pass on to others by quantity of goods etc., which may lead to a distress of the whole supply chain. In a supply chain with single manufacturer and retailer, on the condition that demand is random and influenced by business effort level(e), taking costs of efforts(g(e)) into account, how the financial distress of different level goes from the retailer to the manufacturer is described, and then decisions are made according to the value of financial distress(D). The result shows: When the distress is in different levels, there will be three kinds of decision groups: (max∏m(Q,e),max∏r(Q,e)), (max∏m(Q,e),max∏r(Q,e)), (max∏r(Q,e),max{Rm(Q,e)+Rr(Q,e)}); As the distress is lighter, the supply chain has a certain ability to repair itself; On the contrary, enterprises should change their decisions to protect themselves from the financial distress. At last, a numerical example verifies the conclusion: when D is less than 576, the distress will not be transferred; and when D ranges from 576 to 1871, the distress will be controlled a little; and when D is over 1871, the distress will be passed to the manufacturer. So the financial distress cannot be totally controlled under Decentralized decision-making. In this study, a new perception and a valuable guidance are provided to the supply chain coordination. References | Related Articles | Metrics

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Return Guarantee and Pricing Decision in Online Sales CHEN Chong-ping, CHEN Zhi-xiang 2016, 24 (6):  52-60.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.007 Abstract ( 1476 )   PDF (1387KB) ( 1486 )   Save In online sales, customers purchase commodities directly online, which may increase the likelihood of product return since customers would dissatisfy with what they purchase, which results in that return policy becomes a key factor for sellers. A full return policy may be able to raise the customers' confidence and increase the demand, which in turn will increase the cost of the sellers due to increase of possibility of product return. For a partial return policy, it may decrease demand, however which will decrease the cost of the sellers due to decrease the likelihood of product return. How to decide the return policy and the price becomes the critical issue for network operation managers. At the same time, the pricing is always the key problem in operation management. In this paper a return guarantee option combined with the advantages of the full return policy and the partial return policy is proposed. A profit-maximization model is developed to prove the existence of the optimal profit, and to obtain the existed conditions. The existed conditions combined with the actual situation of the market are also analyzed. Two situations are considered in the model, one is the seller provide the return policy and the return guarantee option for the consumers. The other is the seller only provide the return guarantee option for the consumers. The optimal price, the optimal return policy and the optimal return guarantee option price are achieved based on our model analysis in two situations. Providing the return policy and the return guarantee option for the consumers is the best strategy for the sellers compared the two situation profits. Furthermore, the influence of parameters on the variables is analyzed and managerial guidelines for managers are presented. The managers can adjust their decisions according to the change of the market parameters to maximize their profit. The above conclusions are verified by the numerical studies and images. Our research results theoretically elaborate the significance of a return guarantee option in online sale, and provide theoretical guidance for the online seller to maximize their profit. References | Related Articles | Metrics

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Research on Optimal Production-Inventory Control Policy for Erlang Assemble-To-Order System LI Zhi, TAN De-qing 2016, 24 (6):  61-69.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.008 Abstract ( 1494 )   PDF (9089KB) ( 1003 )   Save In today's business environment, with the increasing competitiveness of the global market, many manufacturing companies tend to adopt a hybrid operations strategy to deal with a variety of market environments. An assemble-to-order ATO system has emerged and became more popular. Most literature has focused on the production demand system, considering only one type of demand in ATO. However, in real market, there exists individual component demand. For example, in computer market, users not only need the PC, but also need some component such as monitor, keyboard, or hardware to repair or update their computer. That is the background of this paper. Here, two types of demand ATO system are considered: product demand and individual component demand, which are both lost sales. The system produces multiple components with one end product. The production time follows Erlang distribution and demand takes place continuously over time according to an independent Poisson process. The object is to find the optimal controlling policy, and the influence of different production stage on production and inventory allocation. This problem can be formulated as a Markov Decision Process (MDP), and the stochastic dynamic programming is used to solve the model. A simulation is applied in our numerical study to find out the optimal policy. In the simulation section, the software Matlab is used to calculate the average cost per period of system. In order to get the more general results, the example that we choose is three-component-four-demand ATO system. The behavior of the optimal production and allocation policies are studied for a variety of cases, each with a different combination of the system parameters. For instance, the lost cost rates of the system satisfy the condition c0>c1+c2+c3, and loading rate must be:μk>λ0+λk,for k=1,2,3. The holding cost rate of the component should be less than the lost sales cost rate, that is hk<ck, hk<c0, for k=1,2,3. The dynamic programming theory, optimal control theory and numerical calculation method are used to study the existence of the optimal control strategy, and optimal value calculation. Then some results are obtained: the optimal policy of Erlang production time system can be characterized by two thresholds for components: a production base-stock level and an inventory rationing level. For any component, its base-stock level and rationing level are both non-increasing in the production stage. Besides, the influence of production stage on component' base-stock level and on the average cost are significant. Moreover, the impact of different production stages and system parameters on the average cost of the system is also investigated. In this study the decision model that corresponds better to the practical ATO system has been built, the theory has been established and the experimental validation has been carried out. To our knowledge, this study is the first one that works on the optimal policy of Erlang production time ATO system with both individual component demand and end-product demand. The results of Erlang distribution system are important and useful for further research, such as the batch production with batch demands ATO system. In addition, since Erlang production distribution is more approach to the real production time in manufacturing system, our work provides a new view and new method to study ATO system for a general case, thus it is more meaningful. References | Related Articles | Metrics

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Pricing Strategies in Dual-channel for Small and Medium-Sized Manufacturers LI Li, HE Jie, ZHAO Jie 2016, 24 (6):  70-77.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.009 Abstract ( 1559 )   PDF (1429KB) ( 1321 )   Save When SMMs (Small and Medium-sized Manufacturers) sell their products in both the traditional retail channel and online direct channel, they usually suffer prices conflicts with their retailer as they are non-dominant in the traditional retail channel. In this paper, a spatial competition equilibrium model is developed to describe pricing and coordination in dual-channel. The impact of digital attributes of product on the demand of dual-channel is also quantified in our model. Then optimal pricing strategies are presented in two power structures, a manufacturer and a retailer making decisions independently, and a retailer leading and a manufacturer following in Stackelberg game. Furthermore, the impact of the digital attributes of product and power structure changing on optimal pricing is investigated. Our analyses show that, the non-dominant SMMs' pricing should depend on the dominant retailers'. This strategy helps SMMs and the retailers to optimize their profits, and to improve the total profit of dual-channel. Online direct price increases with the increase of digital attribute of product, while the retail price decreases with the increase of digital attribute. The retail price and the direct price in the retailer leading and the manufacturer following situation are both higher than those in independent decision-making situation. The results are helpful for a large number of SMMs to determine their strategies of pricing and coordinating in dual-channel. References | Related Articles | Metrics

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A Study on Violation Behavior Control of “Making in Own Factory by Others” Type Manufacturing Outsourcing Based on Game CHEN Zhan-duo, QIN Xue-zhi 2016, 24 (6):  78-89.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.010 Abstract ( 1393 )   PDF (2268KB) ( 1372 )   Save The "Making in Own Factory by Others" type manufacturing outsourcing has become one of the important modes of manufacturers in practice. However, the problem of production quality is increasingly serious. In this paper, the controlling question of the violation behavior in manufacturing outsourcing is studied. The game method is used in this study. More deeply, three kinds of game models are discussed: violation and penalty, violation and inspect with penalty, violation and inspect with both penalty and bonus. This provides a new way of thinking for manufacturer who outsourcing its production to others to solving the quality control matter.The results of the study indicate that: (1) In addition to the effectiveness effect of penalty to violation in reducing the violation actions which has been proven by other researchers, we find that reward to the contractor who complies with the rules also can effectively reduce the violation behavior. Of course, both penalty and reward must be applied in certain conditions. If V-(1-a)(R+F+I)<0, then the contractor will select comply with rules, when both reward and penalty are used together. (2) Inspect can reduce the violation benefit of the contractor, but it can not reduce the possibility of violation behavior. So inspect is no notable effect on reducing violation behavior. (3) It has great effect on reduce the violation behavior if the outsourcer can raise the probability to find the violation behavior. According to the study results, the outsourcer can use three methods to control the manufacture quality: to use penalty and bonus together, or raise the probability to find the violation behavior, or reduce the violation benefit. Theoretical basis and practical guidance can be provided to the manufacture quality management of the enterprise who adopts "Making in Own Factory by Others" Type Manufacturing Outsourcing. References | Related Articles | Metrics

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The Analysis of Evolution Game Model and Simulation between Governments and the Third-Party in ProductQuality Regulation YU Tao, LIU Chang-yu 2016, 24 (6):  90-96.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.011 Abstract ( 1667 )   PDF (1786KB) ( 1844 )   Save The product quality has always been a hot academic issue. However there is a wide gap between the situation of product quality and the consumers' growing demand. Quality accidents not only show that the enterprises do not have strong sense of quality, but also reveal the poor efficiency in product regulation. Governments and the third-parties are two important bodies of the product quality regulation, however previous research just proposed the importance of the third-parties, the relationships and behaviors were less considered between them using the quantitative method. Under limited reason conditions, the model of governments and the third-party is constructed based on the evolutionary game. Game analysis shows that the governments' incentives and regulation cost as well as the penalty of the third-party is the critical factor which affects the evolutionary stable strategies. The effect of those critical factors is also discussed by numerical simulation with the variations of the different parameters. The results show that it is helpful to regulate the third-parties by lowering the regulatory costs of governments, increasing subsidies for the third-parties and the punishment of the third-parties's illegal behavior. Finally valuable and practical suggestions are provided for governments to guide the behavior of the third-parties towards the excepted evolution direction. References | Related Articles | Metrics

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Research on Closed-loop Supply Chain Based on Processing Funds and Dismantling Subsidies GONG Yan-de, DA Qing-li, ZHAN Ji-zhou 2016, 24 (6):  97-105.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.012 Abstract ( 1384 )   PDF (1494KB) ( 1128 )   Save Used electrical and electronic products have entered a peak period in China. According to statistics, the amount of annual scrapped electrical and electronic products is about 50 million to 80 million units, average annual growth is 20%, to the end of the Twelfth Five Year Plan, the amount of annual scrapped electrical and electronic products will exceed 160 million units. Wasted electrical and electronic products have become a urgent challenge for China and the world.Based on "processing funds collection management approach of wasted electrical and electronic products", electrical and electronic products manufacturers require to pay dismantling funds, dismantling enterprises get dismantling subsidies, closed-loop supply chain system is changed as policy changes. But now, the processing funds and the dismantling subsidies are not considered in analyzing closed-loop supply chain model. Based on this, the processing funds and the dismantling subsidies are introduced to the electrical and electronic products closed-loop supply chain model in this paper, under three kinds of recovery mode, from the perspective of dismantling qualification, models are constructed respectively, using game theory, manufacturers' dismantling strategy is analyzed for each type of recovery mode. By comparing the three recovery modes, it is found that, if f<Ht, then regardless of the recovery mode, manufacturer who has dismantling qualification can get extra income from reverse recovery channels. If Ht< f< Hm, then it is beneficial for manufacturers to apply for the dismantling qualification on manufacturer recycling or retailer recycling, on the contrary, manufacturers cannot maximize its profits by applying for the dismantling qualification on third-party recycling. If Hm< f< Hr, then manufacturers who have dismantling qualification can increase their profits on retailer recycling, manufacturers' optimal strategy is to deal with the dismantling process by the dismantling companies on manufacturer recycling or third-party recycling. If f>Hr, then regardless of which recovery mode, handling the dismantling process by the dismantling companies is manufacturers' optimal strategy. For manufacturers who have dismantling qualification, retailer recycling is manufacturers' optimal strategy under decentralized decision. Under collaborative decision-making, iff>HΣ, system earnings is declined when manufacturer makes the application of dismantling qualification. If f<HΣ, then the manufacturer applying for the dismantling qualification can increase system earnings.Therefore, supply chain system may is still not stable under collaborative decision-making. So, manufacturers who have dismantling qualification should increase recovery efforts level, and ensure recovery rates is not less than the value of unit processing funds divided by unit subsidies, the manufacturer who has not dismantling qualification should measure the competitiveness of recycling channels, and then decide whether to apply for dismantling qualification. These conclusions provide theoretical support for government departments to develop subsidy policies. Finally, a examples is given to prove the conclusions. References | Related Articles | Metrics

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System Optimization based Bus-lane Network Design Model and Algorithm SI Bing-feng, YANG Xiao-bao, GAO Liang 2016, 24 (6):  106-114.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.013 Abstract ( 1501 )   PDF (2348KB) ( 1180 )   Save It is one of the important means to set bus lane on certain roads for "bus priority" strategy, however, the road capacity for different means of transportation will be changed by setting bus lane. In this paper, the effects of bus lane on the travel times of buses and cars are analysed and then the corresponding travel cost functions are formulated while considering the change of road lanes. Simultaneously, the complex travelers' choice behaviors (including mode choice and route choice) are analyzed in urban multimodal network consisting of bus and car. A variational inequality model is proposed to describe user equilibrium assignment for such a system. Further, a bi-level model is proposed to describe the urban bus-lane network design problem, in which the minimum travel cost of whole system is regarded as optimization objective and the equilibrium flows of both bus and car on the road are considered. The branch and bound algorithm is also given for solving 0-1 bi-level programming. Finally, a numerical example is provided to illustrate the model and algorithm. References | Related Articles | Metrics

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Emergency Optimal Scheduling of Multi-resource Flow Considering the Public's Risk Perception in Public Opinion Propagation WANG Zhi-ying, YUE Chao-long 2016, 24 (6):  115-123.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.014 Abstract ( 1493 )   PDF (2003KB) ( 1734 )   Save According to the particularity of emergency resource scheduling problem under the background of possible panic buying behavior resulted from public opinion propagation, the specific characteristics of the emergency resource scheduling problem are firstly described and analyzed by applying the approach of multi-case study. The results show that this problem is an optimal scheduling problem characterized by capacity expansion, multi-supply points, multi-distribution centers, multi-demand points, and multi-resource flows. Then, through considering the public's bounded rationality, the public's risk perception behavior is described, and the reservation supply rate is defined based on prospect theory to represent the preferential behavior of decision-makers when managing the public's risk perception behavior. Next, supply condition of resources of the public recalled is denoted using fuzzy theory. In addition, taking into account the capacity expansion of supply points and distribution centers simultaneously, a 0-1 mixed integer nonlinear fuzzy programming model (0-1MINFPM) for emergency optimal scheduling of multi-resource flows is proposed. Finally, The Great East Japan Earthquake in 2011 is taken as an example to verify the validity of this study and test the influence of decision-makers' preferential behavior on optimal scheduling scheme. The studies find that the emergency resource scheduling system is likely to has the different minimum total costs, the different optimal capacity expansion plans and the different optimal scheduling results under the different preferential behaviors of decision-makers. References | Related Articles | Metrics

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A Semi-Supervised Co-Training Model for Customer Credit Scoring XIAO Jin, XUE Shu-tian, HUANG Jiing, XIE Ling, GU Xin 2016, 24 (6):  124-131.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.015 Abstract ( 1614 )   PDF (1598KB) ( 1297 )   Save Customer credit scoring is one of the most important issues in customer relationship management (CRM). In some real credit scoring issues, many customer samples without class labels are abandoned and just only a few samples with class labels can be used to train the classification models, because it costs a lot of manpower, financial and material resources for labeling the samples. Furthermore, single classification model is difficult to achieve the accurate classification of the whole sample space as the current customer credit scoring problem with class imbalance characteristic. To solve the two problems, semi-supervised learning is introduced and combined with random subspace (RSS) in multiple classifiers ensemble, and then RSS is proposed based semi-supervised co-training model for class imbalance, RSSCI. This model includes the following three phases: 1) Obtains many base classifiers by RSS; 2) Labels some most appropriate samples in U which obtains lots of samples without class labels. Firstly, 3 base classifiers with the best performance are selected to classify the samples in U, the samples with the same forecasted class are put into the candidate set, and then the label confidence of each sample is calculated. Considering the class imbalance of the training data, the candidate are divided set into the positive and negative subsets, and the samples with higher confidence are selected from the two subsets according to the ratio of two classes in the original training set and added the original training set; 3) Trains the classification model in the final training set, and classifies the test set. Empirical analysis is conducted in three credit scoring datasets (German, Australia, UK-thomas, all of them are imbalanced data sets of a type distribution ; moreover, German and Australia are from the UCI international public database) , and the results show that the performance of RSSCI model is superior to the common used supervised ensemble credit scoring models and some existing semi-supervised CO-training credit scoring models, demonstrating the superiority of the RSSCI model of selective mechanism of labeling samples. In CRM, there are a lot of customer classification problems, such as customer churn prediction, customer targeting, which are similar to customer credit scoring. Thus, the model proposed in this study can also be used to solve the above problems, and thus is expected to achieve satisfaction classification performance. References | Related Articles | Metrics

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Multi-Attribute Group Decision Making Based On Extend VIKOR and Induced Generalized Intuitionistic Trapezoidal Fuzzy Choquet Integral ZHAO Shu-ping, LIANG Chang-yong, LUO Da-wei 2016, 24 (6):  132-142.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.016 Abstract ( 1535 )   PDF (1008KB) ( 1488 )   Save With regard to multi-attribute group decision making problem with conflicting attributes and interdependent subjective preference of decision makers in a fuzzy environment where preferences of decision makers with respect to attributes are represented by intuitionistic trapezoidal fuzzy numbers, are investigated. Combing the definition of fuzzy measure and induced aggregation operator, some new aggregation operators based on Choquet integral are proposed, such as induced generalized intuitionistic trapezoidal fuzzy Choquet integral average(IG-ITFCA)operator and induced generalized intuitionistic trapezoidal fuzzy Choquet integral geometric(IG-ITFCG)operator, some desirable properties of these aggregation operators are investigated in detail. The extended VIKOR decision procedure based on the proposed operator is developed for solving the multi-attribute group decision making problem where the interactive attributes weight is measured by Shapley value. An illustrative example is given for demonstrating the applicability of the proposed decision procedure for solving the multi-attribute group decision making problem in intuitionistic trapezoidal fuzzy environment. References | Related Articles | Metrics

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A Group Evaluation Method and Application Based on Collaboration of Subject and Object under Interval Information ZHANG Fa-ming, LI Xiao-shuang 2016, 24 (6):  143-150.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.017 Abstract ( 1497 )   PDF (2082KB) ( 1603 )   Save In classical single criterion group evaluation methods, the ratings that experts (the subject) have given for the object evaluated are usually exact data. In addition, the evaluation process is also generally dominated by the subject with lack of the object participation. However, the ratings given are human judgements including preferences that may be vague; using interval data should be more suitable. Otherwise, with the circumstance of emphasizing democracy and freedom, participation of the object (especially when the object is human) in evaluation process is rather essential. Therefore, a group evaluation method based on collaboration of subject and object is put forward under interval information. In this paper, an Interval Induced Density Weighted Algorithm-IIDWA is presented to aggregate interval data. Firstly, completeness of subject information-μand integrity of object information-ωare calculated, by which original interval data are clustered into right group. Secondly, ultimate weight vector of each group are synthesized by their attribute weight vector-ξ? and scale weight vector-ξe, so it will possess the superiority of containing the characteristics of attribute and scale of each group. Finally, information of subject and object are aggregated respectively by IIDWAto obtain interval comprehensive results and then possibility degree approach of interval data is conducted for ranking. In the end, a numerical example is given to illustrate the feasibility and validity of this paper. Meanwhile, the result based on the TOPSIS method with interval data is also calculated in order to compare the existing difference with ranking of this paper. As the result of the two methods show, the ranking is different, which indicates that participation of the object can make contribution to the ranking result. In this paper, the complementation of the subject and object information has been implementated. References | Related Articles | Metrics

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The Effect of Financial Characteristic of Guarantors' on the Pricing Policy of Loan Guarantees: An Empirical Study LENG Ao-lin, ZHANG Jun-rui, XING Guang-yuan 2016, 24 (6):  151-158.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.018 Abstract ( 1445 )   PDF (1381KB) ( 1642 )   Save After the implementation of No.120 announcement issued by China Securities Regulatory Commission and China Banking Regulatory Commission, according to our survey, from 2007 to 2014, over 40% of the list firms provide loan guarantees to a third party; and the average leverage and return on asset (ROA) of those firms which provide loan guarantees to third party is 54.07% and 3.07% separately. Compared with that, the average leverage and return on asset (ROA) of firms without the provision of loan guarantees is 43% and 4.5% separately. The large difference in financial characteristics between firms with and without loan guarantee indicates that the financial characteristics may affect the provision of loan guarantees. To interpret this phenomenon, a theoretical model is built based on the rational pricing policy: (1) a guarantee contract must has positive net cash flow, and (2) a guarantee contract must not change the ration of equity and debt. And then using the sample from Chinese stock exchange from year 2007 to 2014, it is found that (1) at beginning, the provision of loan guarantee positively related to the leverage of guarantor and the performance of guarantor. But these relation turn to the opposite side after a threshold value. (2) The threshold values of leverage and performance are different between state-owned companies and non-state-owned companies. At the threshold values, non-state-owned companies showed lower leverage and better performance. These results indicate that because of the implicate guarantee of government, even with the same financial characteristic, state-owned companies have better credit score than non-stated-owned companies. References | Related Articles | Metrics

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Optimization Model and Algorithms for Large-scale Rail Passenger Transport Network Operation LAN Bo-xiong, WANG Tong-shu 2016, 24 (6):  159-170.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.019 Abstract ( 1730 )   PDF (1242KB) ( 1692 )   Save China has operated the largest high-speed railway network in the world. However, the existing methods of operation management are not adjusted to fit the technology advantage and the new operation environment, leading to the restriction of the service improvement. The application of optimization technology and revenue management method to the rail passenger operation practice is necessary for improving the operation and service efficiency. A optimization model for large-scale rail passenger transportation operation is proposed in this paper, which combines line planning model and revenue management model. The new model can solve more complicated operation problem of the railway network with multi-lines, multi-trains, multi-discount levels and dynamic demand. It optimizes seat allocation among trains and finds the optimal train departure schedule to maximize the total operational revenue. The passengers' purchase behaviors is also considered in the model with estimated transfer probabilities between different ticket discount level. A column generation algorithm and two fast heuristic algorithms are introduced in this paper, which solve the large-scale mixed integer program model more efficiently. Using randomly generated data, a group of test models with two by two line network structure are solved by XPRESS software. Numerical results shows that the column generation algorithm and fast heuristic algorithms can reduce the model scales and computational complexity. The heuristic algorithms may increase the solving efficiency more than ten to hundred times with tiny sacrifice of solution accuracy. It's concluded that the new model and algorithm is suitable to solve large scale railway network optimization model which is close to real application. References | Related Articles | Metrics

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A Research of Debt-Free Firms' Performance CHEN Yi-ping, ZHANG Xin-dong, SHI Jin-feng 2016, 24 (6):  171-176.  doi: 10.16381/j.cnki.issn1003-207x.2016.06.020 Abstract ( 1506 )   PDF (834KB) ( 1699 )   Save Some firms give up debt financing and choose the extreme financial conservative strategy-zero leverage in reality, although the traditional theories of capital structure argue that there is benefit to maximize the shareholder value if the firm has moderate debts. This phenomenon is referred to as the mystery of zero leverage and it has raised the attention of the researchers. Using China A share listed firms during the years from 1993 to 2012 as the research objects, the debt-free firms are matched with leverage firms according to the rules of year, industry and size firstly. Second, debt-free and leverage firm portfolio are built respectively. The difference of the financial and market performance between debt-free and leverage firms is further analyzed. It compares to the debt-free and leverage firmportfolios' market performance and buy-and-hold abnormal returns, tests the financial performance of debt-free firms and their matched firms. Specially, according to the characteristic of controlling of sample companies, the debt-free and leverage firm performance difference because of firms controlling is tested. The results indicate that debt-free firm financial performances, both state and non-state controlling firm', are better than the leverage firm'. Comparing to the debt firm, the state controlling debt free firms have better market performance, although there is no significant difference between debt-free and leverage firm portfolios market performance. As well, state-controlled debt-free firm has still significantly positive excess returns after controlling risk factors such as market, book-market ratio and size. In all, the research evidence of debt-free firms is expanded on one hand. At the same time, its conclusions have a guiding significance and reference value for investors to identify the effect factors on the firm's performance, and help them to make investment decision. References | Related Articles | Metrics