Table of Content

30 June 2011, Volume 19 Issue 3 Previous Issue    Next Issue

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Bayesian Compound State Credit Spread Models Based on MCMC Simulation ZHU Hui-ming, HAO Li-ya, YU Ke-ming, ZENG Hui-fang, LI Su-fang 2011, 19 (3):  1-10.  Abstract ( 2549 )   PDF (1010KB) ( 1318 )   Save Traditional models used to describe the dynamic behavior of credit spreads didn't concentrate on different time scales of the mean-reversion process. This stud investigutes this proposition in the Chinese corporate bonds context by proposing a kind of compound state credit modd.Based on the mixture normal distribution, a kind of multi-step MCMC simulation is used to deal with the model's Bayesian inference. On different pay period indexes we find that the credit spreads indices with different pay periods have different structures of heteroscedasticity and the mean-reversion states can include the long and short time scales by using compound state credit modd.The results show that the long scale process captures the trends, while the short one captures the extreme events. At last, the superiority of compound state credit modd is illustrated by being compared with the classical mean-reversion model. Related Articles | Metrics

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Volatility Spillover from International Stock Index Futures and Spot Markets to Chinese Stock Market Based on ICA Model CHAI Shang-lei, GUO Chong-hui, SU Mu-ya 2011, 19 (3):  11-18.  Abstract ( 2321 )   PDF (584KB) ( 1783 )   Save Independent Component Analysis(ICA)is introduced to study volatility spillovers from financial derivative markets to basic markets.It remedies the deficiency of using traditional methods to solve high dimensional financial time series volatility problem in the past.By comparing with multiv ariate GARCH models,such as VECH,BEKK and DCC,ICA-EGARCH-M model in this paper shows some advantages of solving high dimensional problem.In empirical study,ICA-EGARCH-M model is employed to examine volatility spil lovers effects from stock index futures and spot markets of the US,UK,Japan and Hongkong to Chinese stock market.The results show that the ICA-EGARCH-M model not only confirms that there exists volatility spillovers,but also reflects the main resource of volatility spillovers.It can better resolve volatility spillovers problem of high dimensional financial time series. Related Articles | Metrics

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The Study of Commercial Bank Liquidity Risk Management Method and Improvement——Application of Dynamic Programs with Simple Recourse Under Fuzzy Qualitative Constraints LI Yan-ni, RAN Mao-sheng 2011, 19 (3):  19-25.  Abstract ( 2643 )   PDF (1312KB) ( 1703 )   Save Commercial bank liquidity management has been seriously concerned by bank managers.Operational research planning is the main methods of management of bank liquidity.Some parameters in model are assumed deterministic or random variables whose distributions are decided by historical data regression.But in reality,these parameters are of ten uncertain,and there are no statistical basis for their probability distribution,leading to results contrary to the scientific decision making.This paper presents an improved method to solve this problem that firstly the fuzzy set so funcertain parameters should be established,then converted into the definite distributions which be embedded in the dy namic programming model,which builds the multi stage dynamic linear prog ramming with simple recourse.Through the change of partial parameters in model the model gives different fluidity management strategy choices for different risk at titude treasures. Related Articles | Metrics

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Innovation Modes Selection Considering Endogenous Spillovers and R&D Investment ZHANG Chun-hui, CHEN Ji-xiang 2011, 19 (3):  26-32.  Abstract ( 2270 )   PDF (1281KB) ( 1074 )   Save In order to obtain competitive advantage,anenter prise needs to select a rational innovation mode under limited resources and competence.This paper analyzes the innovation modes selection of enterprise with evolutionary game theory,based on which impacts of endogenous spillovers and R&D investment on innovation modes selection are discussed.The results show that,the impacts of endogenous spillovers and R&D investment are reverse with stronger endogenous spillovers from competitor,an enterprise would selectradical innovation mode in higher probability and select incremental innovation mode in lower probability;while with increase of R&D investment,an enterprise would select incremental innovation mode in higher probability and selectradical innovation mode in lower probability. Related Articles | Metrics

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The Convergence of Taylor Series and the Selection of Expansion Point in Portfolio Optimization WANG Fu-sheng, PENG Sheng-zhi 2011, 19 (3):  33-38.  Abstract ( 2407 )   PDF (1816KB) ( 1755 )   Save Convergence conditions of Taylor series to expected utility function are studied to guarantee the convergence of approximate solution to real solution.Under the setting of HARA utility,it is deducted that the convergence property of Taylor series is decided with how the rate of return deviates from the expansion point,then the approach is suggested of how to select expansion pointreasonably to guarantee the convergence of Taylor series to expected utility function.Based on the suggested approach,when return distribution is positively skewed,the general expansion point,i.e.the expectation of port folioreturn,is unreasonable.Finally the suggested approach is verified through numerical examples. Related Articles | Metrics

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An Analysis on Stock Market Evolutionary Based on Birth-Death Process ZHAO Peng-ju, LIU Yu-min 2011, 19 (3):  39-45.  Abstract ( 2172 )   PDF (1234KB) ( 1058 )   Save Alchian and Friedman consider that financial market should eliminate the irrational traders.This essayest ablishes a model adopt birth death process to research the stock market which have rational traders and irrational traders.We studies the velocity of rational traders and irrational traders enter and quit the stock market.Based on this we can analysis the dynamic rule of the increase or decrease of the numbers of rational traders and irrational traders in stock market.Our conclusion is that the irrational traders may not be eliminated from the stock market.Their survival or disappear depend on many factors which include the initial wealth of irrational traders,the profits and losses of irrational traders,etc. Related Articles | Metrics

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Interactions of Investment and Financing Decisions：On the View of Tax Benefit and Bankruptcy Cost PENG Cheng, YANG Hong, HUANG Rong 2011, 19 (3):  46-54.  Abstract ( 2499 )   PDF (499KB) ( 1202 )   Save This paper analyzes interaction relationships of investment and financing decisions on the view of tax benefit and bankrupt cost by the mean of real options.It discloses some kind of coordination relationships of investment and financing decisions,which would be different under the conflicts of equity-holders and debt-holders because of overinvestment resulting from ove-rchasing of tax benefit of equity-holders and the consequent high debt financing cost,which means non-efficient financing decisions,caused by non-efficient investment decisions.Nevert heless,overinvestment under debtagency conflicts would be abated by tax substitution of depreciation and thus relieves non-efficient decisions of financing decisions. Related Articles | Metrics

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Three-level Supply Chain Coordination of Fresh Agricultural Products with Time Constraints LIN Lue, YANG Shu-ping, DAN Bin 2011, 19 (3):  55-62.  Abstract ( 2299 )   PDF (380KB) ( 1792 )   Save For a fresh agricultural supply chain consisting of one manufacture and one distributor and one retailer,this paper respectively figures out the optimal expected profit under three levels of supply chain and also figures out the profit distribution of each member in the supply chain under the coordination of revenue-sharing contract.The results show that the revenue-sharing contract is able to coordinate the three-level fresh agricultural supply chain effectively.This model allows the system efficiency to be achieved as well as improve the profits of all the SC actors by tuning the contract parameters.And the optimal expected prof it decreases as the increases of the dem and price elasticity and transportation time.In the end,anumerical example is given to verify the correctness of the findings. Related Articles | Metrics

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Study on Wholesale Price Contract of Short-Life-Cycle Product with Permitting Delay in Payments ZHANG Yi-gang, TANG Xiao-wo 2011, 19 (3):  63-69.  Abstract ( 2094 )   PDF (1795KB) ( 1051 )   Save When the demand is random and the retailer is permitted delay in payments,the manufacturer will take some risks of the marketif the retailers sale amount can not pay off the debt.The model of the who lesale price contract has been found within the framework of the new svendor model while the product is short life cycle.Through discussing the model it indicates that the retailer has optimal order quantity to the giving wholesale price if the distribution of the demand is IGFR.The expected profit of the manufacturer is increasing with the who lesale price.The manufacture decides the who lesale price based on the reserved profit of the retailer.The supply chain cooperation can be obtained with certain conditions,but the profit sharing is not flexible. Related Articles | Metrics

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Multi-Product Newsvendor Problem with Budget Constraint and Strategic Customers HUANG Song, YANG Chao, ZHANG Xi 2011, 19 (3):  70-78.  Abstract ( 2347 )   PDF (397KB) ( 1544 )   Save The widespread use of dynamic pricing strategy has trained customers to be more and more strategic,that is,when customers time their purchase,they not only consider whether the price offered is be-yond their reservation prices,but also consider the possibility of getting it when the price is marked down, therefore,they may delay their purchase.Aclass of multi-product new svendor problem with a budget constraint when considering strategic customer behavior is studied.The rational expectation equilibrium analysis is int roduced and the rational expectation equilibrium solution to the static game between the new svendor and the strategic customers is obtained.The impact of quantity commitment on the equilibrium quantity and equilibrium price is further analyzed.The properties of the optimal solutions are analyzed and asolution procedure is also presented.At last,numerical examples are given to illust rate the conclusions of the proposed model. Related Articles | Metrics

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Dynamic Analysis on a Type of Sewage Treatment Projects Operation and Polluters Behavior LIU Xiao-feng, CHENG Shu-ping, SHENG Zhao-han, Xu Feng 2011, 19 (3):  79-87.  Abstract ( 2246 )   PDF (735KB) ( 1372 )   Save Aiming at the high-risk of sewage treatment projects operation and the difficulty of control illegal emission,four kinds of computational experiment scenarios are constructed based on whether fluctuations between discharge information and sewage disposal price or not.Then the mechanism of formation of pollution charge,polluters.behaviors,government regulation and public restriction are built,simult aneity, some indexes,such as to lerance degree,demand elasticity,are chosen to analysis the changes of behaviors and nature of enterprises or residences under the triple restriction from economic pressure,social influence and governmental regulation.Finally,computational experiment is used to simulate the dynamic changing of sewage treatment project operation and polluters.behavior in four kinds of situations.The result shows that reasonable static pricing strategy superior to dynamic operator-leading pricing strategy,dynamic external environment lead to high risk for both sewage treatment project operation and illegal emission control,neither pure market-driven pricing regimenor governmental regulation can preventillegal emission or improve residents to save water and reduce emission,the profi-tpur suiting nature of firms and operators will fail to fulfill the objective. Related Articles | Metrics

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Study on the Dynamic Scheduling Problem of 4S Auto Dealership Maintenance Service System Based on Theory of Constraint YANG Qin, ZHOU Guo-hua, YU Wei 2011, 19 (3):  88-93.  Abstract ( 2354 )   PDF (1202KB) ( 1322 )   Save Based on the analysis of the differences and similarities between the scheduling problem of 4S autodealership maintenance service system and the manufacturing system,the form erresearches designing the former scheduling problem with the goal of minimized customers waiting time and describing it as a dynamic FJSP problem exists obvious bottleneck.Then this paper decompose and simplify the problem by the theory of constraints,set the buffer and build the buffer management mechanism to realize the scheduling schemes coordination between the bottleneck and non bottleneck resources.The rescheduling strategy is designed with the consideration of bottleneck and non bottleneck resources characteristic and the dynamic scheduling is achieved.Finally,the example verifies the algorithms feasibility and effectiveness. Related Articles | Metrics

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Building and Research on Consumer’s Perceived Utility Model in Network Environment WANG Chong, LIU Jian, WU Jia-bao 2011, 19 (3):  94-102.  Abstract ( 2559 )   PDF (1940KB) ( 2676 )   Save Merchandise utility is the basis by which consumer makes purchase decision.Taking perceived utility as the angle of view,this paper analyses e-shopper's compensatory and non compensatory choice processes,and builds e-shopper's perceived utility model.Based on the model,the paper makes profound analysis on such variables as information search costs,quality evaluation costs,price and purchase risk impacting on consumers perceived utility in e-shopping.The results indicate that improvement of merchan dise quality may augmente shopper's perceived utility whether e-shopper is risk averse or risk,however the increasing of price and risk result's in the decreasing of e-shopper's perceived utility.But the increasing of price doesn't enhance consumer's risk cost's in psychology for risk e-shopper on account of enduring bigger risk.Whereas consumer's risk costs in psy chology accordingly rise for risk-averse e-shopper as price increasing. Related Articles | Metrics

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The Comprehensive Risk Measure Model of Enterprise Technological Innovation Based on Matter-element and Extension Set Theories LI Xiao-feng, XU Jiu-ping 2011, 19 (3):  103-110.  Abstract ( 2318 )   PDF (1610KB) ( 1464 )   Save The technological innovation is not only the power ful headspring that increases competitive advantage of enterprises,but also important guarantee that improves the viability and development of enter prises.However,the technological innovation is a kind of high risk activity.In order to avoid and reduce the loss,enter prises must manage and control the technological innovation risk.And accurate measure ment is the basis for enterprises to manage and control the technological innovation risk.In this paper,on the basis of matter-element and extension set theories,the mult idimensional extension matter-element model of comprehensive risk measure of enterprise technological innovation is established,and the extension measure method of technological innovation risk is proposed.This method can take into comprehen sive considerationall kinds of subjective information and objective information of enterprise technological innovation,and reflect the risk factors states in the process of enterprise technology innovation.It can not only measure the comprehensive risk of enterprise technological innovation,but also evaluate the objective risk and subjective risk of enterprise technology innovation.T heoretical analysis and experimental results show the feasibility and validity of the model.The research work supplies a new way for technological innovation risk measure. Related Articles | Metrics

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A Combination Forecasting Model based on Drift LI Mei-juan, CHEN Guo-hong, LIN Zhi-bing 2011, 19 (3):  111-117.  Abstract ( 2445 )   PDF (289KB) ( 1414 )   Save As different methods diverse in providing information and forecast precision,the combined forecasting model is employed.Combination forecasting model based on drift is proposed on basis of the study on drift and complementarity of different single forecasting models.A new thought of combination forecasting model is given.Finally some practical examples are given to show that combination fo recasting model based on drift can improve for ecasting precision and is effective in practice. Related Articles | Metrics

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Fuzzy C-OWG Operator and Its Application of Priority in Triangular Fuzzy Number Reciprocal Judgment Matrix GONG Yan-bing 2011, 19 (3):  118-122.  Abstract ( 2423 )   PDF (227KB) ( 1497 )   Save The multi-attribute decision making problem is studied in this paper,in which the information on alternatives preference is given in the forms of triangular fuzzy reciprocal judgment matrix.Firstly,we introduce the fuzzy C-OWG(FC-OWG)operator,and the expected fuzzy C-OWG(EFC-OWG)operaor, and study some of its charact eristics.Based on these operators,we develop a new method for priority of triangular fuzzy number reciprocal judgment matrix,which is adjusted according to decision-maker's preference degree.The method to make sensitivity analysis for the results by decision-maker's preference degree is proposed.Anumerical example shows the new method is easier to calculate,feasible and effective. Related Articles | Metrics

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Study on New Control Charts Based on the Latent Structure of Covariance Matrix JIANG Jia-dong, FENG Yun-cheng 2011, 19 (3):  123-133.  Abstract ( 2546 )   PDF (2094KB) ( 1556 )   Save Based on deeply analyzing statistical shortcomings of applying generalized variance control charts to monitor covariance matrix changes of multiv ariate process,this paper puts forward two new control charts,C control chart and S control chart,which are respectively applicable to monitor the consistency of the coordinate system and the similarities among ellipsoids,which are composed by eigenvectors and eigenvalues of the covar iance matrix correspondingly.It can effectively improve statistical monitoring ability of covariance matrix changes of multivariate process.Simulation analysis showed that through combined use of C control chart,S control chart and regular mean T2 control chart,systematic and efficient monitoring of mean and covariance of the multivariate process can be achieved. Related Articles | Metrics

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Empirical Research on Finance of Science and Technology Development Index in China CAO Hao, YOU Jian-xin, LU Rui, CHEN Hai-yang 2011, 19 (3):  134-140.  Abstract ( 2589 )   PDF (394KB) ( 2906 )   Save The integ ration of science and technology(S&T)and finance is an important tool and fundamental guarantee for building innovation-oriented country.However,there has not been a special evaluation system and index system for the finance of S&T development status in China.This paper at tempts to fill this gap to constructs finance of S&T development index in China based the integration of S&T and finance,establishes finance of S&T resource index,finance of S&T out layindex,finance of S&T out put index and finance of S&T loan index from 2001 to 2008,and applies the method of between-groups linkage to cluster analyze the finance of S&T development index.It is found in the study that,the finance of S&T resource input is on the increase,the finance of S&T outlay index presents the ascendant trend year by year,but the finance of S&T out lay index shows a downward trend.Especially the finance of S&T loan index does not get big change,it is reflected that there are structural contradiction between the finance institution and the S&T enterprise financing requirement. Related Articles | Metrics

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Information Translation and Aggregation Approach on Three-Point Linguistic and Complementary Preference in Group Decision Making ZHU Jian-jun, LIU Si-feng, TIAN Fei 2011, 19 (3):  141-147.  Abstract ( 2149 )   PDF (429KB) ( 999 )   Save The aggregation approach of three-point interval linguistic judgment matrix and complementary preference judgment matrix is studied in this paper.Firstly,the translation approach of two kinds of preference information is put forw ard.Secondly,the information change during the translation process is studied according to the angle of the order consistency and complete consistency.Thirdly,the definition of the group consistency degree based on the grey relationship is put forw ard and the decision maker's weight is suggested.Finally,the aggregation method of the two kinds of three-point interval preference is suggested.The application steps are showed by an example. Related Articles | Metrics

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Double Platform Learning and Coordination Model for Two-Level Group Decision Making LI Chun-hao, DU Yuan-wei 2011, 19 (3):  148-157.  Abstract ( 2357 )   PDF (650KB) ( 1003 )   Save There are two draw backs in current decision making approaches,i.e.,the real risk attitudes of decision makers are rarely reflected,and the efficiency or the effectiveness of coordination and learning are difficult to ensure in current approaches.To over come above draw backs,a double plat form mode for deriving decision information and a structure for learning and coordination between double plat forms are established.After that,single platform model for learning and revising decision information,double platform systematic model for coordinating basic prospect values and double plat form learning and coordination analysis method are proposed.The proposed new model and method can not only employ value plat form and risk plat form to derive the decision information efficiently in allusion to two levels'dist ributing know ledge structure,but also coordinate diversity decision making information,and thus to make decision scientifically and effectively.A Monte Carlo simulation case shows the new model and method are scientific,reasonable and well applicable. Related Articles | Metrics

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Study on Multi-issue Negotiation Model Based on Kuipers Qualitative Simulation CHEN Pei-you, LI Yi-jun, GAO Tai-guang 2011, 19 (3):  158-165.  Abstract ( 1965 )   PDF (1081KB) ( 1148 )   Save This paper summarizes the relational study of negotiation theory and simulates the multi-issue negotiation with Kuipers qualitative simulation method.The process of qualitative simulation accorded with the logic of real negotiation and the intuitionistic conjecture of people,which could reflect the change direction clearly.The qualitative simulation negotiation mode has good adapt ability to real negotiation and settles the problems that are engendered in traditional quantitive simulation by uncertain problems.It could also offer support for decision-making to each part of negotiation. Related Articles | Metrics

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An Empirical Research:The Impact of Customer Emotion on Customer Satisfaction in Service Recovery ZHENG Dan 2011, 19 (3):  166-173.  Abstract ( 2420 )   PDF (2084KB) ( 1506 )   Save In the research of customer service recovery satisfaction,this paper intr oduces emotional variables,proposes a research model including service failure and service recovery as an entire process,adopts scenario simulation method in the empirical study.The study shows that customer service recovery satis faction is affected by their post-service recovery emotion instead of their initialemotion.Customers' positive emotion after service recovery has significantly positive impact on their service recovery satisfaction. Customers' externally at tributed negative emotion after service recovery has significantly negative impact on their service recovery satisfaction. Related Articles | Metrics

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Research on the Classification of Incentive Mechanism about Money Managers Based on Psychological Contract WANG Jian, ZHUANG Xin-tian 2011, 19 (3):  174-181.  Abstract ( 2270 )   PDF (341KB) ( 1174 )   Save This paper applies the psy chological contract theory to resolve the money managers.incentives problem.By setting up the principle-agent model,firstly,the paper classifies the incentive mechanism about money managers according to the money managers.psychological contractunder the symmetric information condition;Secondly,under the asym metric information condition,the paper researches the classification of incentive mechanism about money managers according to their external feature,such as the risk preference,the cost of the job,the ability of investment and the risk of the fund,and the vary direction of the market environment;Finally,by extending to muti-agent,the paper reviews the impact of the cooperation of money managers on their incentive mechanisms.This research not only makes up the standard prin-ciple-agent theory,but also provides newideas for motivation system design of money managers. Related Articles | Metrics

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The Ecosystem Evaluation Model Based on Kernel Principle Component Analysis and Its Applications CHENG Yan-qiu, CHI Guo-tai 2011, 19 (3):  182-192.  Abstract ( 2291 )   PDF (695KB) ( 1499 )   Save This paper constructes the ecosystem comprehensive evaluation index system framework using Driving-force-Pressure-State-Impact-Response(DPSIR)conceptual model. The evaluation model is established using kernel principle component analysis(KPCA)to deter mine the index weight and improved normalization method to compute index score. At the same time,the paper makes empirical analysis on the tenvice-province cities. The contributions lie on four aspects. Firstly,the paper constructes index system using DPSIR conceptual framework,and bring human dem and,economic development and social progress into the system. It is much better than the existing research which only considered the status of environment and resources or the status of environmental protection and pollution treatment. Secondly,the paper determines the optimal kernel function and the optimal kernel parameters by comparing the similarity of the best kernel matrix and the kernel matrix of the alternative kernel function. This solves the problem of choosing the kernel function and kernel parameters. Thirdly,the paper analyzes the key factors of ecological condition through Rclustering. This changes the conditions that the meaning of principle component is not clear and the existing researches are unable to determine the key factors. Fourthly,the result reflects that the major factors affecting the ecological condition are the percapita green GDP,the percapita green area,the air quality and the SO2 emission intensity of perten thousand yuan GDP. Where as the percapit a electricity consumption of resident,population density and the natural growth rate of population have less effects1 Viewing from criteria layer,the importance of criteria layers can be ordered as followed:Driving- force,State,Pressure and Response. Related Articles | Metrics