Table of Content

31 October 2008, Volume 16 Issue 5 Previous Issue    Next Issue

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What’s the Nature of Volatility in Stock Prices?——Based on the Nonlinear Dynamical Analysis Principle LI Hong-quan, WANG Shou-yang, MA Chao-qun 2008, 16 (5):  1-8.  Abstract ( 2707 )   PDF (917KB) ( 3160 )   Save From the view of financial complexity,this paper aims at discovering mechanism and nature of volatility in stock prices based on the methodology of nonlinear dynamical analysis. Our research indicates that market volatility exhibits fractal characteristic and long-memory effect. Furthermore,our empirical studies show that capital markets possess an underlying low-dimensional chaotic system and therefore endogenous instability. Our research also indicates that the behavior of stock prices has internal mechanism of nonlinear dynamics,and is the result of positive feedbacks and interactions between heterogeneous investors. Finally,it presents further research guide of nonlinear financial theory and gives a new insight into investment practice. Related Articles | Metrics

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STAR & ANN Model： Study on Nonlinear Dynamic Characteristics of Securities Price and Its Forecast SU Zhi, FANG Ming, LI Zhi-gang 2008, 16 (5):  9-16.  Abstract ( 2878 )   PDF (1170KB) ( 1514 )   Save In finance,scholars applied no nlinear models to describe and predict securities price movement in recent years,especially using Smooth Transition Auto Regression(STAR)model and Artificial Neural Network(ANN)model.In this paper,we examine the out-of-sample fo recasts performance of several linear and no nlinear models for ShangZheng 180 index in short term,middle term and relatively long term as well.We compare their forecast precision by statistical and investment criteria.The results indicate that securities price has nonlinear characteristics in our country,and is able to be predicted in some extent, which put the Efficient Markets Hypothesis(EMH)into question.Furthermore,ANN models mostly produce better forecasts than the RW,AR model as well as STAR model.Nevertheless,on average,investors can obtain a higher net return according to a market-timing strategy based on the forecasts fro m ANN models than a risk-adjusted buy and hold strategy. Related Articles | Metrics

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A Nonlinear Model of Term Structure Dynamics PAN Wan-bin, TAO Li-bin, MIAO Bai-qi 2008, 16 (5):  17-21.  Abstract ( 2721 )   PDF (693KB) ( 1322 )   Save The threshold model is employed to capture the nonlinearity of the drift term in the models of the term structure of interest rates. A generalized pseudo-likelihood ratio test is introduced to test the threshold CKL,S model. The results show that the threshold CKL,S model can better describe the nonlinearity of the drift term than CKL,S model at 0.1 significant level. Related Articles | Metrics

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Study on the Default Correlation Based on Risk Neural Copula TONG Zhong-wen, HE Jian-min 2008, 16 (5):  22-27.  Abstract ( 3947 )   PDF (819KB) ( 2517 )   Save The estimation of default probability is a key of the IRB approach,and default correlation affects the default a little. Now most studies on it take asset correlation as substitution. Risk neural can reduce the estimation error from model risk. Here we design the risk neural Copulas aceording to the nature of CDSs,advance Copula choosing way and have an empirical analysis,then find the 8 freedom student t-Copula is the best. Related Articles | Metrics

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Screening Information and Choice in the Capital Adequacy Ratio of Commercial Banks ZHOU Li-yang, WU Kang-ping 2008, 16 (5):  28-36.  Abstract ( 2072 )   PDF (1274KB) ( 1647 )   Save The commercial bank's capital adequacy ratio (CAR) requirement has become the core of the banking supervision system. At present,many countries and regions are complying with "CAR no less than 8%",the "Basel Agreement" standard,while it is irrational to ignore individual characteristics. Different from the existing literatures,this paper focuses on the screening information problem about the regulatory standard,and points out that there is a certain substitutive relationship between the regulatory authorny's ability and the minimum CAR. Based on the mathematical model,the results are further explained by numerical analysis. The empirical analysis of some countries and regions also gives support to the model. Related Articles | Metrics

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China’s Nonlinear Philips Curve in Economic Transformation XU Bing, ZHANG Shang-feng 2008, 16 (5):  37-41.  Abstract ( 2393 )   PDF (543KB) ( 2384 )   Save This paper applies Semiparametric model to identify the China's nonlinear Philips curve in economic transformation,which represents in the form of cube-polynomial function,with good fitness and marked statistical test. Furthermore,this paper interprets the application of nonlinear Philips curve and uses it to predict the trend of inflation during 2007-2010. Related Articles | Metrics

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Coordinating Fresh Agricultural Supply Chain under the Valuable Loss DAN Bin, CHEN Jun 2008, 16 (5):  42-49.  Abstract ( 2546 )   PDF (170KB) ( 2772 )   Save Fresh agricultural product is deteriorating item, but the theories for deteriorating inventory management are incapable of solving the non-deteriorating valuable loss problem. Based on the truth that the literatures in existence descmbe the loss just with words, this paper creates an exponential function with downward slope, tries to denote valuable loss with greenness, and studies the coordination in two-level fresh agricultural supply chain. The conclusion implies that the centralized decision can't make the agricultural product supply chain reach coordination under the valuable loss. Related Articles | Metrics

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Research on Supply Chain Collaboration Contract Based on Bottleneck Suppliers’ Lead Time WEI Chen, MA Shi-hua 2008, 16 (5):  50-56.  Abstract ( 2661 )   PDF (1154KB) ( 1459 )   Save Concerning bottleneck suppliers constraint of manufacturer procurement lead time,this paper develop s two-suppliers-single-manufacturer supply chain models that decisions are made on a decentralized and centralized basis respectively. By comparing the overall benefit of supply chain,this paper makes a detail numerical analysis of the importance of lead time coordination in a supply chain system,discusses the revenue sharing mechanism from the view of improving the enthusiasm of suppliers to collaborate,uses data analysis to prove it in the end. Related Articles | Metrics

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The Decision-Making Model of the Electronic Product Manufacturer about Collection and Remanufacturing based on Premium and Penalty Mechanism WANG Wen-bin, DA Qing-li 2008, 16 (5):  57-63.  Abstract ( 2575 )   PDF (330KB) ( 1234 )   Save This paper studies the decision-making problem about the collection and remanufacturing of elect tronic product manufacturers. A premium and penalty mechanism is designed to drive the manufacturer to collection and remanufacturing.Three decision-making models are established and the results of these models are comparedl Several conclusions are shown. The manufacturer is willing to collect and remanufacture waste products only when he has the advantage of cost. Collection rate increases, new product price decreases and new product demand increases with the premium and penalty mechanism if the manufacturer has the advantage of costl Collection rate increases, new product price increases and new product demand decreases with the premium and penalty mechanism if the manufacturer has not the advantage of cost. Critical points about having and not having the cost advantage are derived for the profits with the premium and penalty mechanism or not independently.The conclusions can benefit the government for guiding the COLA lection and remanufacturing of manufacturers. Related Articles | Metrics

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Capacity Procurement and Recovery Model of Service Operation System during the Disruption BAO Xing, JI Jian-hua, SHAO Xiao-feng, TANG Ou, LIU Xi-long 2008, 16 (5):  64-70.  Abstract ( 2501 )   PDF (1099KB) ( 1210 )   Save The capacity management mode of large-scale service operation systems during the disruption is anal yzed Mathematic model is created with the capacity recovery and procurement,considering the social penalty cost to minimize the total disruption management cost. 4 important managerial insights are obtamed through numerical simulation,which are useful for the guidance in policy making of the social administration department and scientific decisions of the service operation systems themselves when capacity is injured after disruption. Related Articles | Metrics

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Vender Manage Inventory under Disruption ZHANG Ju-liang, CHEN Jian 2008, 16 (5):  71-76.  Abstract ( 2433 )   PDF (678KB) ( 1488 )   Save This paper addresses a short-ife supply chain which consists of one supplier and one retailer and in which the supplier manages the inventory. It is shown that incentive conflict and double marginal effect still exist in Vender Manage Inventory (VMI) mode. That is,the inventory stocked by the supplier under decentralized decision is less than that in centralized decision. A coordinated contract-unsold recoup contract in which the retailer recoups the unsold inventory,is proposed. Then the impact of disruption, which changes the supplier's production cost (including procurement,transportation cost etc.),on supply chain is studied. A robust contract,which has anti-disruption ability,is proposed. Numerical experimenu are done to illustrate the value of the contract. Related Articles | Metrics

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Study on Resource Location/Allocation Problem of Emergencies with Infection YU Ying-ying, CHI Hong, QI Ming-liang 2008, 16 (5):  77-83.  Abstract ( 2557 )   PDF (606KB) ( 978 )   Save This paper develop s a model of location and allocation in view of emergency with infection. Infection means when an emergency occurs in one place,the same emergency may occur in the places near it. The resource supply for the place where the emergency happens will influence the resource demand of the emergency elicited. So the demand of the whole place is combinations of demand. The model in this paper considers demand combinations and analyzes the problem in two stages and combines location and allocation in one model. Finally,this paper designs a two-layer tabu search algorithm and gives a numerical example. Related Articles | Metrics

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Consumer-Driving Safety Signaling of Manufacturer-Retailer Supply Chain Alliance MENG Jiong, TANG Xiao-wo, NI De-bing 2008, 16 (5):  84-89.  Abstract ( 2708 )   PDF (727KB) ( 1262 )   Save From the perspective of the Corporate Social Responsibilities-the product safety,and its influence on the consumers,this paper applies the basic idea of game theory,investigates the principle of the signaling of manufacturer-retailer alliance under the supply chain's asymmetric safety information. then the results indicate:g manufacturer-retailer alliance adopt the positive safety signaling strategies,and they send out the signals which are not imitated by the b manufacturer-retailer alliance,the market will disassodate in a balanced and satisfactory. This method can make product difference on safety responsibility,and reinforce competitiveness of g product. The conclusion will provide important decision guidances to each member of the supply chain. Related Articles | Metrics

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DEA Estimation to Frontier Production Functions of Supply Chains YANG Feng, LIANG Liang, LING Liu-yi, DU Shao-fu 2008, 16 (5):  90-95.  Abstract ( 2318 )   PDF (364KB) ( 1542 )   Save Evaluation to technical efficiency is of greatimportance for both academic research in management science and the real world applications in market economy. The exact evaluation to technical efficiency should be based on the accuracy of estimation to the frontier production functions. Supply chain management has proven as an effective means to provide high-quality product so rserves at the least cost. However,the research on the frontier production functions of supply chains is still in absence. Two reasons can be concluded:the first one is the absence of methods to estimate the frontier production functions of multiple-out put process,and the second is the absence of methods to estimate the frontier production functions of multiple-stage process. This paper will advance an approach to estimate the frontier production functions of supply chains and the two obstacles can be overcome. The real world application about commercial banking process demonstrates that the proposed approach can be used to estimate the frontier production functions of supply chains. Related Articles | Metrics

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A Multi-Supplier Single-Retailer Supply Chain Coordination Model with the Retailer Being Dominant WANG Xiao-long, LIU Li-wen 2008, 16 (5):  96-109.  Abstract ( 2265 )   PDF (2199KB) ( 1351 )   Save This paper studies a multi-supplier and single-retailer supply chain coordination model,in which the retailer leads the supply chain and proactively coordinates the up streamers'production behavior in order to lower their production cost. Additionally,the retailer would adjust his inventory level according to the market changes. With an analytical methodology under the Stackelberg Game,we derive the coordination equations and prove that the contracts we study are capable to realize a satisfying profit split between each party in the supply chain. The results show that the horizontal competition between suppliers can reduce the retailer's pressure for coordination and the retailer can achieve supply chain coordination through lower transfer payment. Related Articles | Metrics

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Analysis of Timing Constraints in Workflow based on Event-condition-action(ECA) Rules LI De-fang, LIU Lu, ZHANG Chao-jun, QIAO Ying, WANG Hong-an 2008, 16 (5):  110-117.  Abstract ( 2325 )   PDF (767KB) ( 1336 )   Save This paper presents a novel method to analyze the timing constraints in term of quantitative temporal relationships among activities in the workflow.In the proposed method,the workflow net is converted into a set of event-condition-action(ECA)rules.Atiming constraints graph for the workflow is constructed and the consistency of the quantitative temporal constraints among activities can be checked based on this graph. Related Articles | Metrics

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Estimation Mathod of Software Project Effort based on Software Size ZHANG Jun-guang, LV Ting-Jie 2008, 16 (5):  118-122.  Abstract ( 2500 )   PDF (773KB) ( 1815 )   Save To obtain the effort of software projects,an effort estimation method based on software size is presented. First,the linear relationship between software effort and size is determined by the scatter diagram generated by the organizations historical data. Next,the formula statistics method and the tool statistics method are adopted independently for linearity regression analysis. After the regression analysis, the linearity regression equation is obtained,according to which the effort could be got.To simplify the calculation process,the programming statistics method is also studied. The final study indicates that the outcomes obtained by these three methods are almost consistent. The application of the linearity regression equation proves that these three methods are effective and they could be applied in most software organizadons. The estimation error is not higher than 33.57%. Related Articles | Metrics

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A Model of Risk Judgment and Avoidance for Software Test Automation KAN Hong-xing, YANG Shan-lin, SONG Xiao-yun 2008, 16 (5):  123-127.  Abstract ( 2217 )   PDF (638KB) ( 1181 )   Save A model of risk judgment and avoidance for the software test automation,based on the Return On Investment (ROI) model and COCOMO measurement results,is presented. The maintenance cost of regression test is also taken into account. The model first proposes a concept of mean maintenance cost factor and calculates its threshold,and then analyzes the each time maintenance cost factor by normal method. According to normal distribution,we can obtain the possibility for the test automation risk occurrence. At last a strategy for the risk avoidance is proposed by the sensitivity analysis. The model provides dynamic guidance and correct method for the whole software test automation in order to avoid risk occurrence. Related Articles | Metrics

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Properties of Node Slack and Applications in CPM Networks ZHANG Li-hui, QI Jian-xun 2008, 16 (5):  128-133.  Abstract ( 2166 )   PDF (491KB) ( 1054 )   Save Node slack is of great importance in CPM network, and it is the most intuitive and the simplest for computing and applications in a variety of slacks. This paper presents three new properties of the node slack, and the slack theorem and characteristic path theorem are deduced. After that, an introduction of applications of node slack in finding the second critical path and constructing equivalent sub-network to simplify large-scale network in time/cost trade off problems is made, and the methods are theoretically proved. Related Articles | Metrics

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Studies on Individual Investor’s Herd Behavior by Questionnaires and Experiments XIE Ye, WEN Feng-hua, YANG Xiao-guang, 2008, 16 (5):  134-140.  Abstract ( 3538 )   PDF (943KB) ( 1561 )   Save The paper studies the individual investors' psychological and behavioral features from microcosmic points of view by questionnaires and experiments,emphasizing on the herd behavior. The results show that the degree of individual investors herd behavior is different due to investors personality characters and personal backgrounds:high self-efficacy and long-term investors have less herd behavior;the difference of herd behavior is significant among the investors with different investment experiences;and there are more herd behavior when investors purchase stocks than when they sell stocks. Moreover,the herd behavfor in purchasing,adventurousness and independent personality have some predicting powers for the investors'performance. Through the experiment we do not find significant evidence that information factor and self-efficacy factor influence the investors'herd behavior,but the two factors influence the investors' performance significantly. Related Articles | Metrics

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An Improved Approach for Determining Weights of Attributes in Decision Making Based on Grey incidence CUI Jie, DANG Yao-guo, LIU Si-feng 2008, 16 (5):  141-145.  Abstract ( 3165 )   PDF (528KB) ( 2641 )   Save In order to determine attribute weights in multiple attribute decision making,this paper analyzes the limitations of the present approaches to determining weights of attributes,and proposes an improved approach to determining weights of attributes in decision making based on grey incidence,then studies the properties of the improved method. The approach can fully mine the information from the subjective judgment of experience weight matrix given by decision makers. A public series of comparison of weights is extraded,a simple mathematic programming model is constructed,and the subjective information of weights given by decision makers and the objective information of the decision matrix are integrated. Finally,the analysis of an example demonstrates the simplicity and validity of the improved approach. Related Articles | Metrics

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Study on Grey Multiple Attribute Group Decision-making Method without Weight Information CHEN Xiao-xin, LIU Si-feng 2008, 16 (5):  146-152.  Abstract ( 2729 )   PDF (761KB) ( 1846 )   Save Based on grey system theory,the grey attribute group decision-making problem is discussed,in which the attribute values are interval grey numbers and the attribute weights and authoritative weights are unknown. The concepts of individual imagined optimum vector,ideal expert,and predominance strength and predominance comparative matrix in the alternatives are presented by using analytical techpique. According to essentials of interval grey number,a new definition of deviation degree between two interval grey numbers is given,and an incidence degree coefficient formula based on deviation degree for interval grey numbers is constructed. Two algorithms that are the eigenvector method based on projection and priority method of fuzzy complementary judgment matrix for this grey group decision-making are presented,in which attribute weights and authoritative weights of decision-makers are unknown. These algorithms avoid the calculation of attribute weights and authoritative weights. An example shows the rationality of grey attribute group decision-making method and the validity of the algorithms mentioned above. Related Articles | Metrics

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Two Improved Super-Efficient DEA Models LI Yu-hong, ZHAO Er-shuai, GUAN Zhong-cheng 2008, 16 (5):  153-156.  Abstract ( 2438 )   PDF (210KB) ( 1852 )   Save The traditional Data Envelopment.A nalysis(DEA) models are unable to discriminate between ef ficient DM Us. This issue has become the interest of many DEA researchers. AP model is a popular super-efficient model for ranking efficient DMUs, but it has infeasibility and instability problems. MAJ model and LJK model recently proposed can overcome these deficiencies but their ability to distinguish efficient DMUs is not strong. This paper analyzes the reason of these twomodels' shortcomings, then improves them and provides theoretical proofs.Through two standard numerical examples, we find the improved models perform better than old ones, especially the improved LJK model. Related Articles | Metrics

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A Credit Classification Method for Incomplete Information XU Hao, XU Xiao-yan 2008, 16 (5):  157-163.  Abstract ( 2492 )   PDF (324KB) ( 905 )   Save This paper analyzes a typical credit evaluation problem with incomplete information,such as incomplete credit reference information and interval data. After analyzing the problem with incomplete credit reference information and the characteristics of the problem,one method based on data envelopment analysis(DEA)theory is presented to set a new reference cells with the collection of rejection cases,and a corresponding DEA model is proposed. Moreover,considering creditevaluation measures in the presence of complicated interval index value,a credit classification method is shown. And a numeric example is employed to illustrate the method. Since the present method can effectively solve the creditev aluation problem with incomplete credit reference information and interval data,it can be easily integrated into many practical applications. Related Articles | Metrics

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An Analysis of Principal-agent Relationship of Outsourcing Incentive Contract on the Risk Compensative GAO Jun-shang, WEI Jing, LI Xiao-fei, GU Dong-yuan 2008, 16 (5):  164-170.  Abstract ( 2392 )   PDF (499KB) ( 1620 )   Save How to reduce the agent cost,which directly influnces the core competitive edge of businesses engaged in outsourcing operations, is the essential concern of this paper. This paper analyzes the mechanism of the agent cost first, considering the importance of the risk compensation in the incentive contract which aimed at the "Principal-agent question", then ameliorates a classical incentive contract model, in order to reduce the agent cost. The results prove: it can reduce the agent cost and the incentive cost through putting the factor of risk compensation into the best inspire with contract. Consequently, the agent cost reduces. Our analysis has the significance at large, which is the same with all kinds of the activity of Outsourcing. It has implications for the design of the best incentive contract mechanism of cooperation benefits between producers and suppliers. Related Articles | Metrics

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Multi-agent Simulation of Team Effectiveness Based on Member-task Interaction DONG Sheng-ping, HU Bin, ZHANG Jin-long 2008, 16 (5):  171-181.  Abstract ( 2462 )   PDF (1151KB) ( 1361 )   Save The interactions between the task process and members'behavior take place through the match of members'ability and demands required by tasks and the enhancement of one's ability through learning in task process. To address how the interaction affects team effectiveness,a multi-agent model is put forward based on casual analyses of various factors involved in team's task process. The model is implemented into Member-task Interaction based on Team Effectiveness Simulation System by Repast. J 3. 1. Experimental scenarios are designed and simulated to verify and validate the system. Then,we use the system to explore the effect of task size and fluctuation magnitude of member relations on team effectiveness and task allocation. The results show degree of that team's member relationship and task cost can not achieve optimal values simultaneously,and suggestions are provided on how to enhance team effectiveness. Related Articles | Metrics

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Enterprise IT Application Decisions Game Analysis and Empirical Study CHEN Sheng, ZHAO Quan-wu, MENG Qing-guo, HU An-gang 2008, 16 (5):  182-192.  Abstract ( 2702 )   PDF (1529KB) ( 1119 )   Save There are few papers to study IT application decisions based on game theory. This study proves existence and uniqueness of the pure-strategic Nash Equilibrium of nfirms'following three-stage game: in the first stage,the enterprise decides IT adoption level Mi;in the second stage,the enterprise decides the level of resources allocated to IT implementation ki;in the last stage,the enterprise decides its own product quantity qi,to participate in Cournot product quantity competition. Then at the state of Nash Equilibrium the relevant factors relationship is analyzed. The results show that:the adop donmotivation on the level of resources allocated to IT implementation,the level of resources allocated to IT implementation on IT application performance exist positive effect significantly;the adoption level on the level of resources allocated to IT implementation,the adoption motivation on IT application performance exist negative effect significantly. Related Articles | Metrics