Table of Content

30 October 2011, Volume 19 Issue 5 Previous Issue    Next Issue

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Analysis and Forecasting of Financial Returns Based on Symbolic Time Series Method XU Mei, HUANG Chao 2011, 19 (5):  1-9.  Abstract ( 2345 )   PDF (643KB) ( 1818 )   Save Symbolic time series analysis method is introduced into the analysis of the characteristics of return change from the angle of large scale.The method of determining the principal return change patterns and forecasting return levels is proposed.Firstly,the return series is transformed into symbolic series.Different words in symbolic series represent different return change pattern.The principal return change patterns can be determined according to symbolic series histogram.Then,on condition that the return levels of the former several time points are determined,according to the probability distribution of various return change patterns,the probability of different return levels of the next one or several time points can be deduced to realize the forecasting of return levels.The return series of six indexes which are Shanghai composite stock,Shenzhen component stock,Shanghai industrial stock,Shanghai commercial stock,Shanghai property stock and Shanghai utility stock are analyzed.The principal return change patterns of each index are determined and the return levels based on the principal return change patterns are forecasted to prove the effectiveness and feasibility of the method. Related Articles | Metrics

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A Research on Investment Style Drift Risk Measure of Stock Funds Based on SKT-ARFIMA-HYGARCH-VaR Model XU Lin, SONG Guang-hui, GUO Wen-wei 2011, 19 (5):  10-20.  Abstract ( 2709 )   PDF (606KB) ( 2355 )   Save Fund investment style drift is a double-edged sword,in obtaining short-term excess returns,while also reflects the enormous drift risk.This paper chooses 8 open-end stock funds for the research sample founded in 2004,introduces skewed-t distribution to decipt new variables based on the peaks and heavy tails characters of fund investment style drift return series,adopt ARFIMA-HYGARCH-VaR model to measure fund investment style drift risk value,and with 5kinds of the Risk Metrics and GARCH family models to comparative analysis the VaR risk measures accuracy under skt distribution,and make fails backtest and dynamic quantile test for various VaR risk measure models,research results show that: In the different confidence level,the VaR value is more accurate based on ARFIMA-HYGARCH model;P erson goodness of fit test confirmes skt distribution can be well fitted for investment style drift return series.The conclusion of this study is undoubtedly of great theoretical and practical significance for controlling the investment style drift and standarding the fund products innovation and distribution. Related Articles | Metrics

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The Best ARMA Model Group Selection and Combined Forecasting Based on Kullback-Leibler Information ZHAO Xin-dong, QIAN Guo-qi 2011, 19 (5):  21-28.  Abstract ( 2424 )   PDF (481KB) ( 2312 )   Save ARMA models are widely used in the field of management science.Combined forecasting can impove the effect of forecasting.However,how to select the best model group is very important but not well done.In this paper we propose a best model group selection method based on the Kullback-Leibler (K-L) information.First we measure the so called K-L distances between every candidate model and the true model using the K-L information,and then derive the confidence intervals of the gap between the K-L distence of each candidate model and the best model using the central limitation theory.Furthermore based on the confidence intervals we identify agroup of models,which are not different significantly with the best model,as the best model group.Finally we compare the forecast ability of the best model group and the best model.The results show that the proposed method can improve the forecast with high probability when the best model is not the true model. Related Articles | Metrics

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The Study on Pricing and Coordination of Closed-Loop Supply Chain Considering Channel Power Structure WANG Wen-bin, DA Qing-li, NIE Rui 2011, 19 (5):  29-36.  Abstract ( 2731 )   PDF (588KB) ( 2638 )   Save This paper studies the pricing problem of closed-loop supply chains under three channel power structures,the pricing and profits are compared,and the two-part tariff contract is applied to discuss the coordination of closed-loop supply chains.The results show that the total profit of closed-loop supply chain under the case MS is the same as the profit under the case RS,and they both are lower than the profit under the case VN.The prices of the new and remanufactured products and the profit of the manufacturer and the retailer increase with the increase of the substitution coefficient.The prices of the new and remanufactured products increase with the increasing of collection effort,but the profit of the manufacturer and the retailer decreases as the increasing of collection effort.The two-part tariff contract is appropriate to coordinate closed-loop supply chains through the leader part or the third part. Related Articles | Metrics

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Study the Free Free-riding Riding’s Impact on Horizontal Competition for Two Retailers YU Ai-min, LIU Li-wen 2011, 19 (5):  37-41.  Abstract ( 2477 )   PDF (318KB) ( 2026 )   Save The paper studies two retailers in a supply chain,in which one retailer makes use of free-riding to get part of the demand.The paper studies the impact of free-riding on horizontal price competition.The results show that the equilibrium profit of the online channel will increase and the price competition gets intense when the service level of the retail channel and the original demand of the online channel gets up.What's more,when the margin cost of promotion is low,the equilibrium profit of the retail channel is higher than the online channel and free-riding will exist,which will soften the competition between two channels; when the margin cost of promotion is high,the retail channel can't get profit from promotion,so she will not promote by providing service and free-riding will not exist in this situation. Related Articles | Metrics

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Joint Decision of Lot-Sizing and Trade Credit in Supply Chain ZHANG Xiao-jian, SHEN Hou-cai, WU Ting 2011, 19 (5):  42-49.  Abstract ( 2830 )   PDF (495KB) ( 2319 )   Save The contract with trade credit is one of the most important means to coordinate the supply chain.In a two level supply chain composed of one manufacturer and one retailer,the inventory models are described,and the joint decision of the retailer's optimal order quantity,the manufacturer's optimal lot-sizing and the optimal periodic trade credit period is proposed using heuristic algorithms.Then the profits distribution program is provided to coordinate the supply chain.Finally,the model and propositions are validated by an example.To conclude,this paper provides a theoretical basis to realize the supply chain coordination using the contract with trade credit. Related Articles | Metrics

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Study on Location Model of Facility Competition for Closed Loop Supply Chain Network YANG Yu-xiang, ZHOU Gen-gui 2011, 19 (5):  50-57.  Abstract ( 2413 )   PDF (489KB) ( 2281 )   Save To grasp the change of market competition trend,and fully acquaint industry competition situation,the most important thing for an entering enterprise to do is to choose locations which have the competitive advantage and developing prospect for the new facilities of the entering one.A large-scale enterprise will set up a number of manufacture/remanufacture firms and distribution/recycling centers and enter into a geographical market.There are already the same kinds of facilities in the market.Under the conditions,the entering enterprise and all competitors in the market form one-leader-multiple-follower Stackelberg strategies problem that is analyzed.An equilibrium model is developed to capture the change of the network equilibrium state caused by the entering one,and the change captured is led to the location decision process.A facility competition location model is build to determine location decision of these facilities to maximize the profit of the entering one under competitive condition,the amount of products produced,the amount of products transacted and the price,etc.According to characteristic of the model,a solution method integrates the genetic algorithm and QPADM method is built to solve the problem.Finally,numerical examples are solved and analyzed by using the proposed model and algorithm. Related Articles | Metrics

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Strategy on Combined Transport of Vehicle Logistics for Multi-franchisers Competition LIU Jian-guo 2011, 19 (5):  58-63.  Abstract ( 2368 )   PDF (511KB) ( 2107 )   Save This paper studies the combined transports of vehicle logistics.In order to save the cost,according to the current feature of independent transports model of vehicle logistics,this paper puts forward the conception of combined transports for the franchisers in the same region,and proves that the merge-factor is the main factor affecting the combined transports.By further analysis,when competitive relation exists among the franchisers,the related coefficient corresponds to the cost saving. Related Articles | Metrics

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E-Business Customer Churn Prediction Based on Integration of Objective System Analysis and Group Method of Data Handling Network ZHU Bang-zhu, ZHANG Qiu-ju, ZOU Hao-fei, WEI Yi-ming 2011, 19 (5):  64-70.  Abstract ( 2559 )   PDF (517KB) ( 2845 )   Save Facing with the high dimensional,nonlinear and unbalanced data problems of churn prediction of E-business customers,it is difficult to improve the accuracy of churn prediction of E-business customers by applying traditional methods.Hence an integration model for churn prediction of E-business customers based on objective system analysis (OSA) and group method of data handling (GMDH),two important selforganized data mining (SODM) algorithms,is presented in this paper.Firstly,the key attributes are automatically selected using OSA algorithm.Then GMDH network is trained with training samples,which is used to identify customer churn status of testing samples.Up-sampling metod is also used in this paper to balance the churn-customer data and unchurn-customer data to improve the forecasting accuracy.This proposed approach is applied for chum prediction of an online shop,which proves that compared with some common approaches such as artificial neural networks and support vector machines,more accuracy forecasted results can be obtained. Related Articles | Metrics

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Channel Selection Based on the Demand Forecast of E-channel TENG Wen-bo, ZHUANG Gui-jun 2011, 19 (5):  71-78.  Abstract ( 2327 )   PDF (548KB) ( 2099 )   Save Based on Jerath's demand forecast model,this paper studies the impact of the information-gathering capability of e-channel on the profit of the channel members and total channel,then further analyzes the strategies of channel selection and information-sharing.By solving the model,we have got the channel members' equilibrium strategies and the factors that affect the strategies.The conclusion implies that retailers always choose not to share its private information and the manufactories make the channel selection based on the accuracy of the e-channel's prediction information,the market's uncertainty,the proportion of potential consumers who would like to buy through the e-channel and other factors.The channel's equilibrium strategy may be no information sharing in traditional channel or no information sharing in e-dual channels.And when some conditions are satisfied,information sharing in e-dual channels would be a Pareto strategy by some coordination mechanism. Related Articles | Metrics

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DEA Model for Parallel Production System with Environmental Constraint BI Gong-bing, FENG Chen-peng, DING Jing-jing 2011, 19 (5):  79-86.  Abstract ( 2365 )   PDF (738KB) ( 2377 )   Save Since parallel models measure the efficiency of DMU without considering the environmental constraint in the selection of reference unit in DEA literature,the evaluation results subject to efficiency underestimation.In this paper,we improve the parallel model by taking into account the environmental attribute of DMUs,which adds practical significance to the obtained efficiency scores.Finally,the proposed model is applied to the efficiency evaluation of pollution control in China to demonstrate the rationality of the model. Related Articles | Metrics

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Actuarial Study on Capital Allocation of Insurance Business and the Scale of Business ZHAN Meng-ya, Wu Shu-jin 2011, 19 (5):  87-93.  Abstract ( 2227 )   PDF (417KB) ( 2043 )   Save Based on a two-objective decision-making model,The paper proposes that the convexity is the natural character of residual risk and interpretes that the economic capital allocation is the result of maximizing the profit and minimizing the residual risk.Furthermore based on hierarchical model under the conditions of non-strictly increasing and continuous marginal distribution,The unique capital allocation is the sub-optimal solution.Finally,based on a two-objective decision-making model and under the condition of given capital,the scale of insurance business is optimized. Related Articles | Metrics

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A Method for Multiple Attribute Group Decision Making with Complete Unknown Weight Information and Its Extension GUO Kai-hong, LI Wen-li 2011, 19 (5):  94-103.  Abstract ( 2413 )   PDF (572KB) ( 2689 )   Save In view of the hard problem that the weights of decision makers and criteria are usually vague and imprecise in group decision making process,we propose a linear method of multi-attribute group decision making with complete ignorance of weight information,with the emphasis on how to objectively determine the weights of decision makers and the weights of criteria only by decision matrices.We firstly introduce information entropy and evidence distance to determine the weights of decision makers,and then combine the weight vector of decision makers with the entropy weight matrix of criteria by the principle of fuzzy transformation to obtain the united weights of criteria in group decision making.Finally a linear weighted method is utilized to aggregate individual opinions of decision makers for rating the importance of alternatives.Two numerical examples for supplier selection and some relevant discussion are given to examine the feasibility and validity of the presented approach,which is characterized by clear concept,moderate computational complexity,strong objective,and easy machine implementation.In the end we extend it to hybrid multiple attribute group decision making with attribute values in the various forms of precise numbers,linguistic terms,i ntervals,and intuitionistic fuzzy numbers Related Articles | Metrics

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Study on the Dynamic Adjusting Method for Emergency Decision JIANG Yan-ping, FAN Zhi-ping, SU Ming-ming 2011, 19 (5):  104-108.  Abstract ( 2424 )   PDF (376KB) ( 2175 )   Save With respect to the problem of alternatives adjusting in emergency decision,a risk decision method is proposed.According to the characteristics of scenarios evolution in emergency event,the whole procedure of dynamic adjusting is firstly described,and the correlation between different alternatives is identified.Then,the generation of adjusting alternatives is described.Further more,some factors are also considered in this paper,such as the performance of alternatives,the loss during the procedure,the switching costs between the emergency alternatives and so on,and the dynamic adjustment method is given.Finally,an example is given to show the validity and feasibility of the proposed method. Related Articles | Metrics

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Study on Bidding Rank Based on GSP Auction in Incomplete Information CAO Wen-bin, PU Xu-jin, LI Lei 2011, 19 (5):  109-114.  Abstract ( 2621 )   PDF (381KB) ( 2401 )   Save This paper discusses the bidding rank of search engines based on GSP auction in an incomplete information setting,differently from extensively studied by the literature in a complete information setting.Based on static game theory,the existence and performance of Bayes-Nash equilibrium of advertisers on GSP auction and its sufficient condition about click through rate have been discussed.The relation among click through rate and existence of equilibrium has been analyzed.Lastly the effects of click-through on the search engine's revenue have been analyzed.Interestingly,our results are in sharp contrast with the previous literature that adopts a complete information framework and provide decision basis for bidding strategy of bidders and auction mechanism of search engine under incomplete information. Related Articles | Metrics

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The Retailer’s Optimal Replenishment and Responsive Pricing Strategies in a Heterogeneous Market XU He, DUN Cai-xia, ZOU Xu-xia 2011, 19 (5):  115-121.  Abstract ( 2638 )   PDF (380KB) ( 1993 )   Save This article investigates the retailer's optimal replenishment and responsive pricing strategies in a heterogeneous market where consumers have various utilities over similar products.We find the optimal pricing and replenishment quantities in analyzing a two-stage model.We also demonstrate the replenishment strategies when the retailer adopts market clearance price (a special case of price postponement)or no-postpone price.Through numerical examinations,we explore the effects of different parameters on the retailer's replenishment quantities and profit in these different pricing modes (responsive,clearance and non-postpone pricing). Related Articles | Metrics

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E-Retailer’s Strategy of Disclosing Competitor’s Price Based on Customer Trust LI Xin-jian, WU Chun-mei, HUANG Ming-xue, LI Chong-guang, LI Xiao-ling 2011, 19 (5):  122-128.  Abstract ( 2234 )   PDF (458KB) ( 2631 )   Save Whether to disclose competitor's price is a dilemma for an E-retailer.To analyze this question,our research builds a utility model of consumer demand,based on E-retailer's reputation,product price,and customer trust.Our game analysis results points out that there would be different results contingent on the different orientation and the reputation of E-retailer.For demand increasing,homogeneous E-retailers should maintain previous choice.For revenue improving,homogeneous E-retailers should disclose competitor's price,heterogeneous E-retailer prefer to set higher price under his demand predominant situation.For consumer surplus improving,homogeneous E-retailer should maintain his previous strategies; if these E-retailers have different reputations,the E-retailer with high reputation will improve more if both of them disclose competitive price,the E-retailer with low reputation will benefit more if there is only one discloses competitive price. Related Articles | Metrics

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Heterogeneous Beliefs of Investors and Recognition of Earnings Information of Listed Companies： Evidences from A-share and H-share Segmented Markets LU Jing 2011, 19 (5):  129-137.  Abstract ( 2387 )   PDF (590KB) ( 2035 )   Save By analyzing the panel data of abnormal returns during quarterly announced earning information from 2002 to 2006 between A-share market and H-share market,we study the influences of heterogeneous beliefs on the stock pricing.This research points out that the results based on PRC-GAAP are not different from those based on IASs.All investors,no matter they are from the A-share market or H-share market,can correctly read the earning information announced by stock exchanges respectively,there is much obvious private information in A-share market than in H-share market and this asymmetry information will persist until post announcement,the investors from H-share market have superior information processing abilities than those from A-share market,heterogeneous beliefs playing a role in stock pring and trading system is one of the reasons why result in the different stock price performances in segmented capital markets. Related Articles | Metrics

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Design of Incentive Cooperation Bidding Mechanism for Independent Power Suppliers and Grid Corporation Based on Carbon Emission Reduction Dispatching HUANG Shou-jun, REN Yu-long, SUN Rui, SHEN Wei 2011, 19 (5):  138-146.  Abstract ( 2723 )   PDF (710KB) ( 2874 )   Save Market mechanism is the basic institutional arrangement to establish long-term carbon emission reduction mechanisms.In view of the current energy saving based generation dispatching lacks market price discovery,this paper studies the decision-making problem about IPSs and the grid corporation's cooperative bidding mechanism based on carbon emission reduction dispatching.The optimal parameters of the mechanism are discussed.Several conclusions are derived.The cooperative bidding mechanism contributes to the supply and operation indices optimization in electricity market.Thus,the policy guidance of generation scheduling is conformed.The profit of the low carbon unit with the cooperative bidding mechanism is higher than which of the case without the mechanism.Thus,the independent power supplier's enthusiasm increases.The research is expected to provide a method and basis for practice of CO2 emission reducing. Related Articles | Metrics

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Cooperation Investment-Price Game Theoretic Model in the Intermodal Freight Transport LIU Jian, YU Jian-ning, LI Yin-zhen, NIU Hui-min 2011, 19 (5):  147-152.  Abstract ( 2249 )   PDF (421KB) ( 1803 )   Save This study focuses on the collaborative behavior analysis of the different carriers in the intermodal freight transport,a making-decision problem on Cooperation and competition between the two oligopoly transportation firms which provide complementary transport service is considered.Based on the game theory,a two stage dynamic game model with complete information on cooperation investment and price strategies is formulated.We discuss the existence of unique subgame perfect Nash equilibrium of the game.Using backward induction approach to solve the problem,and some important conclusions are then deduced.In the end,a numerical example based on the immune genetic algorithm for solving the proposed model is provided to verify the validity of conclusions. Related Articles | Metrics

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Research on Managers’ Incentive Mechanism Based on Value Creation and Dynamic Basis Compensation SUN Shi-min, WANG Ang, JIA Jian-feng 2011, 19 (5):  153-159.  Abstract ( 2607 )   PDF (538KB) ( 2340 )   Save Nowadays,research on managers' incentive mechanism usually takes net profit as performance standard,applies the system of fixed basis compensation and mostly confines to salary incentive.This paper regards value creation as performance standard,integrates salary and non-salary incentive into managers' incentive model with dynamic basis compensation system and has three conclusions beyond principle-agent model: firstly,the system of dynamic basis compensation may increase manager's effort level; Secondly,the means of salary and non-salary incentive's combination should be adopted in manager's incentive and the flexible assembled proportion of salary and non-salary incentive should be designed by non-salary incentive sensitivity; Thirdly,managers in monopoly industries make less effort than ones in competitive industries,so it is necessary to introduce competitive mechanism. Related Articles | Metrics

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CIOs’ Behavior and Decision-making in Their Evaluation of Information Service DING Fang, TAO Xing, WEN Le, WANG Qi-wen 2011, 19 (5):  160-166.  Abstract ( 2355 )   PDF (390KB) ( 2140 )   Save This research focuses on evaluation of information service in the process of IT investment decision-making by means of theoretical and empirical study.After investigating Chinese companies in which IT intensity is high,we analyze IT investment context and CIOs'risk attitude.Next,Based on Bayesian decision theory,a mathematical model is presented which describes how CIOs analyze and assess the value of information service provided by external IT advisers.Survey results reveal most of Chinese CIOs are risk-neutral in the process of IT investment decision-making.Then,comparing the increase in expected revenue or aversion in expected loss with the cost of information service,we reach the conclusion.This research will help CIOs make the decisions whether they need to buy the information service and whether they invest in the IT assets.In the case the theoretical model is applied to evaluation of information service in a large Chinese e-business company.We conducts interviews and analyzes the data collected in the process of IT investment decision-making.The application shows that conclusion of this paper provides industries in which IT intensity is high with useful evaluation criteria of information service in Chinese context. Related Articles | Metrics

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Evaluation Credit Risk of an Enterprise Group’s Parent Company in View of Compound Option Basket Option and Ownerships CHEN Lin, ZHOU Zong-fang, Gu Jing 2011, 19 (5):  167-172.  Abstract ( 2517 )   PDF (417KB) ( 1985 )   Save As the major client of commercial bank,an enterprise group can take huge profit for bank,o n the other hand,it also may expose the bank to the huge cumulative credit risk.An enterprise group's credit risk is the parent company's credit risk,but parent company's credit risk also affected by subsidiary company's credit risk.According to this problem,based on the theory of compound option and basket option,this paper studies how to evaluate the parent company's credit risk,and gets a conclusion that the parent company's default probability is a function with independent variable of the subsidiary company's default probability.It can analyze the default contagion between parent and subsidiary company by this function,and the shareholding ratio is one of parameter in this function,it reflects the relationship of parent &subsidiary company.Furthermore,numerical simulation analysis showes that the shareholding ratio is an impor tan t impact factor on credit risk of parent and subsidiary company. Related Articles | Metrics

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Motivation-Behavior Model of Customers’ Participation in Product Development on Internet HE Jian-min, CHANG Chuan-wu, LIU Ye-zheng 2011, 19 (5):  173-181.  Abstract ( 2690 )   PDF (783KB) ( 2056 )   Save Companies can incorporate customers' explicit and tacit knowledge into product development process by listening to voice of customers actively,which can raise the success rate of launching new products.We first construct an integrated model "Motivation-Behavior" model based on hierarchy of needs theory,flow theory,trust theory and technology acceptance model,then we evaluate our model using survey data.The empirical results show that intrinsic motivation and extrinsic motivation originate from different factors and they have different influences on customer participation.The research results can be of theoretical and practical significance when companies listen to voice of customers actively to support collaborative product development with customers. Related Articles | Metrics

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The Influence of the Heterogeneity of Institutional Investors and Corporate Ownership on Firm Performance——An Analysis Based on the Split-Share Structure Reform LIU Xing, WU Xian-cong 2011, 19 (5):  182-192.  Abstract ( 2865 )   PDF (548KB) ( 3263 )   Save Collecting 2003-2009A-share Chinese listed companies having institutional ownership as samples,based on different corporate ownership,this study investigates the influence of different institutional investors on firm performance around the split-share structure reform,within simultaneous equations by using 2SLS.First,the associations between the fund on behalf of domestic institutional investors and firm performance,and qualified foreign institutional investors (QFII) and firm performance are discussed,t he results show that fund ownership improves firm performance,but QFII does not.Then,this article studies the influence of the split-share structure reform on the relationship between different institutional investors and firm performance,and the influence on the association between different institutional investors and firm performance around the split-share structure reform.The results indicate that the factors of the reform and corporate ownership impede domestic institutional investors participate corporate governance but not affect QFII's behavior of corporate governance. Related Articles | Metrics