We expand HS model's hypothesis, consider constrain of short sale and contrarian trader's effect, build Momentum and Contrarian Effect Model under Constrain of Short Sale, which clearly characterizes stock price's movement track affected by positive and negative news and directly describes momentum and contrarian effect's extent affected by news watchers and trend traders. We identify that: Constrain of short sale makes Losers seldom present contrarian effect in long period movement.

The paper uses the BP artificial neural network to establish a model of financial crisis warning for the purpose of testing the accuracy of the methods used for financial crisis warning. The model's sample is consisted of the cross section financial indexes of 120 listed companies of which 60 companies is used as a testing sample. After repeated training and studying of the samples, we got a distinguishing-positive rates of 90.8% to the sample model setting and 90% to the testing sample.. This is a large ...

The aim of this paper is to analysis the relations between information and portfolio selections. In a L~2-frame and given information, the optimal mean-variance payoff and mean-variance efficient frontier are expressed explicitly. The payoff-risk coefficient of information is introduced in order to describe the effect of information to portfolio. The mean and variance of the optimal payoff is determined by both the payoff-risk coefficient of information and the risk aversion parameter, but the risk price is...

We study on the interactions between abandon options and growth options by using the probabilistic methods, and obtain the analytic formula for the measurement of interactions.

Based on the analysis of combinatorial double auction, this paper establishes the related mathematical model and respectively studies single-round bargaining mechanism and a multi-round bargaining mechanism. The paper proves that multi-round combinatorial double auction will improves the social welfare and provides a foundation for future research on market efficiency, competition balance bidding strategy and simulative experiment by computer.

A kind of relative reduction algorithm based on hybrid genetic algorithm was proposed. Genetic Algorithm combining with Simulated Annealing produces HGA in order to improve performance of GA. And the HGA is utilized to search of minimum condition attributes and their values. The algorithm is introduced into construction management so some decision rules can be extracted. Construction managers ensure to finish expected task in provided period according to the decision rules. The whole construction process wi...

This paper is a further investigation into the problem of ruin probability in correlated aggregate claims model. We generalize one of the claims from a compound Poisson process to a generalized Poisson process. Explicit expressions are derived for the ultimate survival probabilities under the assumed model when the claim sizes are exponentially distributed, and a tail equivalence relationship of φ(u) is proved under the assumption that the claim size is heavy-tailed.

In this paper we deal with the relationship of China's transportation freight volume, freight ton-kilometers and gross domestic product(GDP) using cointegration analysis. We search for appropriate ARIMA model for freight volume, ton-kilometers and GDP respectively. Standard granger noncausality tests are used to further study the relationship of freight volume, ton-kilometers and GDP. Furthermore, a vector ARMA model is built to analyse the dynamic relationships among them. The results show that there is...

On base of establishing the principle of indication system, this paper builds up indication system of mining area city′s sustainable development including three levels structure and twenty-one indications. According to comparing all kinds of methods of sustainable development, and considering the advantage of methods and character of mining area city, this paper put forward appraisal model, which is a combination of AHP and statistic. It not only responses the level sustainable development of mining area ci...

This paper studies the evolution of geographic market formation. The way agents utilize information from trading history is crucial to the evolution process and the emergence of geographic market structures. Three ways to utilize information are proposed in this paper. Two out of the three are in uttermost conditions namely public information sharing, personal information keeping; and one is in the middle of the former two in the sense of the degree of information sharing, namely information communication w...

Use a group of methods that difference quotient replaces the derivative in grey differential equation, present a great deal minimization criterions of estimating GM(1,1) model parameter, study systematically that different difference quotient or linear combination of different difference quotient combine with different minimization criterion may gain a class of algorithms for estimation GM(1,1) model parameter, point out that the algorithms given in many articles belong to a class of algorithm. Generally, d...

Plant growth simulation algorithm aiming at the global optimization of integer programming is a kind of bionics random algorithm which occurs in nature. Characterizing plant phototropism, the algorithm looks the feasible region of integer programming as plant growth environment, and determines the growth probability on different growth points according to the changes of the object function. It then makes power model simulating plant rapid growth towards the light(global optimization). The algorithm proposed...

An information-structuring model to support group argumentation is presented in this paper. The purpose is to improve efficiency and effectiveness of group argumentation using structured comments to propose and debate on alternatives, and to provide group memory in the computer-mediated group argumentation. We believe that in the task-oriented group argumentation, the comment has the specific purpose and orientation, and different relationships exist among the comments. Based on above concept, in this grou...

In grey forecasting model, there are two unsolved problem, the theoretical basis of transformation from discrete form to continuous form and the forecasting stability, which puzzled those who are absorbed in grey theory. Many scholars used all kinds of methods to revise the model, and they have made some progress, but they didn't solve it absolutely in principle. To solve these two problem and on the basis of the angle from discrete to discrete, discrete grey forecasting model(which is called DGM(1,1)) is c...

To solve the problems of AHP((Analytical Hierarchy Process), some concrete advices were put forward according to the practice of the achievement's assessment of Beijing Normal University. The major advice is to enhance the combination between AHP and FCA (Fuzzy Comprehensive Assessment).At first ,as many experts as possible should be invited to improve the quality of judgement matrix. At the same time, the value of quantitative information should be developed efficiently and the quantitative and qualitative...

We first research the development of simulation system based on HLA, then take the tanks warfare scenario as an example to illustrate the development and the realization of the weapon countermine simulation system based on HLA, and propose a strategy for system safety.

We consider a deterministic framework for nonlinear programming involving interval coefficients. A new interpretation of nonlinear programming under uncertainty is proposed by the introduction of the decision making risk coefficient. We present different formulations for controlling the effects of parameter uncertainty present in the objective function or constraints. An algorithm combining Genetic Algorithm (GA) is presented applying the hierarchical optimization structure. The simulation example shows the...

On an arbitrary subset of K-quasi-additive fuzzy measures space, aim at an given -integrable fuzzy number valued function, we establish the K-quasi-additive fuzzy number valued integrals, and regard all of this kind of integrals as set functions being taken valued fuzzy number valued on the measurable spaces, applying the integrals transformation theormem, we discuss their null-additivity and absolute continuity etc.

In order to enhance objectivity in the traditional Analytic Hierarchy Process (AHP), an improved AHP method integrated with orthogonal experimental design is presented here. The new method combined AHP and orthogonal design principles in performance assessment where criteria,their objects in system and values computed by mapping and satisfying functions are seen as the corresponding factors, levels and results in orthogonal experimental design. Then with software SAS, priorities on performance are according...

A kind of advanced complicated data analysis technology -Symbolic Data Analysis (SDA)-has been used in this paper, regarding style indices of Chinese international trust & investment company (CITIC) as the research object, and the relationship between financial statement and market behavior in Chinese stock market is analyzed by using canonical correlation analysis method. The research result indicates that the relationship between financial statement and market behaviour in Chinese stock is significantly d...

Water consumption forecasting is the basis and precondition for the optimization and operation of water supply system, whose accuracy influences directly the reliability and feasibility of control and operation. A modified support vector machine (SVM) model with peak recognition theory is proposed. By this model weight to the error of big value was input to loss function of structural risk minimization. According to the hourly water demand forecasting results of Hangzhou city, the accuracy of peak value for...

According to the needs of power coal transportation on Yangtze River of shanghai power joint-stock company, we make a plan on power coal transportation route system using optimization model. And then, based on the transportation route system, the scheme of optimized fleet allocation on Yangtze Rive for shanghai power coal is putted out.