We develop a cross-market simulation trading platform of stock and stock index futures based on investors' behavior, and propose an evaluation system during abnormal fluctuations. We analyze the impact of stock index futures' trading limits on market quality as well as the effectiveness on different market structure, where we find that strict trading limits are effective in short term, while barely effective in long term. In addition, the impact of trading limits in a less-leveraged market is the best in short term. However, proper amount of speculation and arbitrage activities may offset the impact of trading limits in long term, which provides liquidity necessary for the market. Thus, trading limits of stock index futures during abnormal fluctuations in the spot market should be temporary and must restore the original rules when market stabilized.
Considering the heterogeneity of the leveraged investors, this paper build a dynamical financial system composed of two leveraged investors and one non-leveraged investor, to analyze the cyclical nature of the leverage of financial intermediaries from the perspective of risk asset price. Exploiting a quarterly panel data of the listed banks and securities firms in China during 2006-2015, the empirical results indicate:the leverage heterogeneity, which could reduce the target leverages of financial intermediaries, benefits the stability of financial system; the leverage of list banks and securities firms in China is procyclical over the asset price cycle, but there are differences in the periodical behaviors of financial intermediaries; securities companies leverage present a much more significant positive correlation with the stock prices than banks leverage; corresponding to housing prices, the pro-cyclical behavior of banks leverage is more significant than securities companies leverage; and the leverage adjusting directions of banks and securities companies during the boom and bust period are opposite. In this paper, we provide new evidence for the financial intermediaries to use leverage and for the regulatory authorities to improve the regulatory system.
Since China's participation into the World Trade Organization (WTO), especially the implement of the managed floating exchange rate system in 2005, China's economy has become more and more open and the impact that the exchange rate has on domestic price has been being strengthened. The variation of exchange rate is becoming a significant factor, determining whether China's economy is in inflation or deflation. Therefore, study on the transmission rate that the exchange rate has on the variation of domestic price is of great meaning. By structural VAR model, with the quantitative analysis on quarterly data from 2000 to 2013, this paper finds the transmission rates that the variation of exchange rate has on import prices index (IPI), producer price index (PPI) and consumer price index (CPI) are around 0.41, 0.32, 0.11 respectively, which means the appreciation of the RMB can contain inflation to some extent. Besides, the variation of exchange rate has different transmission rates on consumer price index of different varieties. Namely, the transmission rates on food, clothing and residential price index are higher, which are 0.15, 0.24, 0.15 respectively; the transmission rates on household equipment, transportation and communication, entertainment and health care price index are lower, which are 0.03, 0.05, 0.08, 0.10 respectively. Moreover, the real economy and monetary policy have stronger impact on the variation of domestic price than the variation of exchange rate.
This paper extends the theory of the European option pricing under fractional Brownian motion, particularly breaking the assumptions that the Hurst index and volatility are constant. When the Hurst index of fractional Brownian motion is time varying, with using the GARCH model to describe the volatility of yields sequence we can deduce a closed type solution of the European call option pricing. Using this model and the day trading data of the Korean stock index options Kospi200, the empirical test suggest that the volatility of Kospi200 is followed the GJR process. The time-varying volatility under the fractional Brownian motion that can describe the dynamic characteristics of the financial market is more suitable than the standard Brownian motion. The option theory prices of this model is closer to the market price, which is better than the traditional pricing model.
Credit rating has an extremely important impact on modern society. It will mislead the creditors and social public if the credit rating division is unreasonable. In 2011, Standard & Poor's lowered the sovereign credit rating of United States to AA+ from AAA which caused the turmoil in the global financial markets. The essence of credit rating is to classify the customers according to their credit level which means customers with different credit risk level should be included in different credit rating. The internationally popular credit rating agencies like Moody, often has the unreasonable phenomenon that customers with higher loss given default (LGD) while the credit level not low for China's loan customers. Our research constructs nonlinear programming model to divide the credit rating according to the LGD pyramid and maximum credit difference degree as the standard, and then we make an empirical research with the loan data of a bank in China. The special and contributions of this paper lie in three aspects:Firstly, we build up a nonlinear programming model to divide the credit rating with the objective function that the sum of credit score difference ∑(Pmkk-P1k+1) is maximum, which ensure customers with different credit status are more likely to be divided into different credit level, we can avoid the unreasonable phenomenon that customers with big credit status difference are divided into the same level. Secondly, we construct a nonlinear programming model to divide the credit rating with the constraint that the LGD is strictly increasing with credit rating from high to low, which can meet the pyramid standard that customers with lower LGD should be divided in higher level, we can avoid the unreasonable phenomenon that customers with higher LGD while the credit level not low. Thirdly, we make an empirical study with 1814 small business loan data of a Chinese commercial bank in recent 20 years and its research result indicates that the method of credit rating division in this paper not only meet the pyramid standard that customers with lower LGD should be divided in higher level, but also own the advantage that it can ensure the customers with different credit status are divided into the different level.
The determinants of litigation risk have received much attention from academics, while the study from the perspective of corporate financing is limited. This paper explores the relation between excess bank loans and litigation risk using Chinese A-share listed corporates from 2003 to 2015. The empirical results show that the excess bank loans are significant positive with litigation risk while the improvement of internal control as well as the improvement of regional legal environment can weaken the positive correlation. Besides, internal control quality and regional legal environment can substitute for each other in the process of weakening the relationship. This paper extends the research perspective of determinants of litigation risk from excess bank loans and also enriches the research of the effects of macro environment on corporate behavior combining internal control quality and regional legal environment.
This paper addressed the issue of loan-to-value ratios optimization on exporting offshore/in-transit inventory financing under the condition that the collateral price follows geometric Brownian motion process and shows a liner negative correlation with demand. Firstly, the probabilities of the events occurred in the exporting offshore/in-transit inventory financing were figured out through the analysis of conditional probability. After that, the piecewise function model of the shipping company's financing (expected) profit was established concerning both the land storage costs and ocean freights. Finally, this paper gave the optimization solution steps of the algorithm by using the numerical approximation method and analytical method. Numerical example verified the applicability and validity of the proposed model and algorithm. The results of sensitivity analysis show that the optimal loan-to-value ratio has a negative correlation with the price of collaterals and a positive correlation with the volume of collaterals, respectively; the maximum expected profit of the shipping company has a positive correlation with the price of collaterals. An additional finding is that the maximum expected profit of the shipping company rises firstly and then declines with the increasing of the volume of collaterals. The findings of this paper can provide a scientific reference for the shipping company in financing optimization decisions.
This paper focuses on the mechanisms that promote the evolution of cooperation in the prisoner's dilemma. The controls based on cooperation recognition and defection recognition are designed and the evolution paths of cooperation under different controls are analyzed. Under the control based on cooperation recognition, the population is divided into two parts:cooperation-subpopulation and cooperation-and-defection-subpopulation. Non-uniform interaction rates is defined as the probability of interaction between two players is dependent of their strategy. It can increase the interaction rates between two subpopulations with the same strategy. It promotes the evolution of cooperation by protecting cooperation. Under the other control, based on defection recognition, the evolution of cooperation is promoted by punishing defection. We find that the control based on cooperation recognition can promote cooperation when the cooperation rate is low. But cooperation can't become the evolutionarily stable strategy (ESS) under this control. The control based on the defection recognition can translate cooperation to ESS with highly initial cooperation rate, but defection will always be ESS. So we design a new control, called switching control. Based on these two controls, cooperation is translated to the only one ESS. The experiments show the affection of different switching control on the evolution path of cooperation.
A single item dynamic lot sizing problem integrated with storage capacity and inventory decisions is considered. Given a T-periods planning horizon being partitioned into a series of sections, storage capacity decisions are made at the beginning of each section, and the ending inventory of each period is limited by the storage capacity of section containing it. Assume that section storage capacity cost is a non-decreasing function, ordering cost is a fixed charge, and holding cost is a linear function. By applying decomposition techniques and geometric techniques, an O(T3) algorithm is presented. Comparing with commercial MIP solver, the saving in computation times of this algorithm is excellent.
Considering that the government implemented remanufactured product replacement subsidy intervention and recycling amount bonus-penalty intervention simultaneously, this paper constructed four different dual-sale-channel closed-loop supply chain models, namely, without government intervention, with remanufactured product replacement subsidy intervention, with recycling amount bonus-penalty intervention and with government double intervention. On the basis of endogenous government intervention, the effect of government double intervention on closed-loop supply chain decision was discussed and compared with government single intervention. At the same time, we quantified the government optimal decision on the basis of social welfare maximization. The results showed that:under the government double intervention, the sale price and the market demand of the new products would decline, and the sale price and the market demand of the remanufactured products would rise; When the government implemented double interventions, the intervention effect of the two policies would be superimposed, which would further promote the sales of remanufactured products and recycling of waste products; By designing a reasonable interference threshold, the government can improve the profits of manufacturer and consumer surplus and enhance the social welfare; By sharing profits, manufacturer and retailer can compensate for the loss of retailer profits, guarantee the stability of supply chain and achieve a win-win situation of supply chain members.
It is a common phenomenon that there is interaction of aggregate fluctuations among countries (areas) in the era of globalization, while lacking of quantitative studies on the interaction strength. Based on the transmission of shocks on the asymmetric inter-regional industrial network, the interaction mechanism of inter-regional aggregate fluctuations is analyzed. On the basis of inter-regional product linkages, this paper builds a regional weighted interaction network with regions for nodes, then quantitatively measures the interaction of aggregate fluctuations among regions, by analyzing the degree linkage structure, the foundational linkage structure, the core linkage structure, and the asymmetry structure of network. Example analysis shows that this model and the related measure dimensions can quantify the interaction of aggregate fluctuations among different regions, and quantitatively describe the roles of different regions in the multi-regional economic system, which is of theoretical and practical significance to regional economic cooperation, the formulation of trade rules and global value chain.
Based on the classical EPQ model, considering the periodic imperfect preventive maintenance strategy, construct the optimal decision model of economic production quantity with the goal to minimize the total cost per unit of product. In the production total cost model, considering the practical problem that the equipment failure rate and defective rate increased with time, the age reduction factor and equivalent service age concept are introduced to construct the dynamic preventive maintenance cost, fault recover costs and defective repair cost. Considering the complexity of the objective function, this paper uses PSO algorithm to solve the model, and verify its rationality.
In the condition of complex economic system for the nonlinear residual characteristics of small sample time series, the paper chooses nonlinear grey Verhulst model to solve the problem for less residual information and not high prediction accuracy by correcting traditional econometric model. On this basis, we choose EGA algorithm with elitist strategy to establish grey Verhulst metering combination forecasting model, design the modeling algorithm logic flow and overall idea of nonlinear residuals grey Verhulst combination forecasting model, provide a new method to improve the multi-objective optimization criteria NP-complete problems, compare the forecasting model results with other models. Empirical studies show that:the nonlinear algorithm EGA residuals grey Verhulst metering combination forecasting model of small sample based on EGA algorithm converges fast, with good fitting results and more accurate predictions.
Based on the theory of fuzzy mathematics and cooperative game, this paper measures haze costs thoroughly from social health costs of people, direct control cost and opportunity costs of enterprises, social stability costs of government. Firstly we present haze prevention and control strategy model using interval cooperative game over Beijing-Tianjin-Hebei. Then haze costs for governing or not in Beijing, Tianjin, and Hebei are calculated separately by non-cooperation and cooperation game. Finally we also analyze the haze governance strategy influenced by government subsidy in Beijing-Tianjin-Hebei, and allocate minimum government subsidy among them. The conclusion shows that Beijing-Tianjin-Hebei are unable to bear the cost of governance haze without government subsidies; and the required government subsidies is minimum while the grand coalition works.
Technology change is one of the most important way of enterprise transformation, this paper analyzed technology change in the transformation process under the environment of information. System dynamics method was used to construct cause and effect diagram and system flow chart of technology change; we obtained the key influencing factors through case simulation, i.e. R&D input and the online rate of enterprise information system. Dynamic simulation results show that these two factors can effectively improve ability of economic transformation, but its inputs must be controlled in a reasonable range.
This paper determined the boundaries of model, designed the system flow chart through on analyzing the causal feedback figure based on using system dynamics theory as the main method, it also established "ILSD" model by building the quantitative formula between variables in model. On the basis of all the content, this paper started to do analogue simulation, and it checked the validity of the model by using the error between the simulation value and the real value of GDP, the tertiary industry output value, import volumes and export volumes. The results showed that the transforming and upgrading of functions in industry park had an impact on the transforming and upgrading in logistics park's functions, they linked closely in functions. It came to the conclusion that logistics park would strengthen the value-added service and the supporting service function, while weaken the basic service functions in the near future. About the year 2017, the value-added service volumes of logistics park in China will be more than basic service volumes, become the main service function, about the year 2020, the growth rate of logistics park's value-added service volumes is about twice as much as the supporting service function volumes, and is about three times as the basic service functions volumes.
This paper constructed a two-layer social network model and studied the public opinion spreading process. The model consists of two layers of networks with one layer is online social network and the other is offline social network. Through theoretical calculation we draw the density of spreaders in steady state, and find that the spreading threshold in two-layer network is larger than in online social network, but smaller than that in offline network. Further, through numerical simulations we find that the two-layer network could enhance the spreading speed and expand the spreading scale under the action of online social network. Besides, the studies about the effect of spreading rate on the density of spreader show that the spreading rate in one layer only affects the spreading process within the same layer but almost have no effect on the spreading process in the other layer, and the number of spreaders that transfers from offline social network is less effective than that from online social network.
Multi-location coordinated terrorist attack is the latest form of terrorist attacks to lead to serious disasters and the wild range of social panics. The public security agents not only have to consider speed of policing rescue, but also consider many criterions emergency strategies with efficiency of policing rescue, effectiveness of policing rescue and fairness of policing rescue in process of policing emergency logistics scheduling to enable quickly and efficient policing emergency relief to demand points of terrorist attacks. This study proposes improved NSGA-Ⅱ algorithm to solve policing emergency rescue scheduling model that is non-linear model. The algorithm adjusts policing emergency rescue schedules from policing command center according to the requirements at demand points in order to minimize unsatisfied for resources, max arrival time, and deprivation costs. The proposed algorithm is applied to scenario of coordinated terrorist attacks in city of China to test its performance. Experimental results verify rationality and effectiveness of model and algorithm. The results show that attacking site importance and shortest distance priority rescue strategy is more effective than the nearest rescue distance priority strategy, and reasonable policing resources scheduling center has better effects on rescue scheduling, and decentralization of police can reduce the impact of terrorist attacks.
To improve the retrieval efficiency of the inbound full container block, as well as reduce the waiting time of the external container truck, the scheduling optimization of multi-yard cranes is studied within a fixed time period. Considering the time and location of those stacked boxes upon the container needed to be retrieved, along with the non-crossing and safe distance among cranes during working period, a nonlinear programming model is built to minimize the weighted sum of the total waiting time and the time exceeding the tolerance limit. Then an improved harmony search algorithm is put forward to solve the model, which not only embeds the crossover and mutation strategy but also integrates the tabu search algorithm. Finally, numerical experiments are conducted to validate the effectiveness of the proposed model and algorithm.
Pedestrian dynamics of counter flow on an inclined tunnel is a base of the safety evacuation research. With increasing of crowd density, the pushing forces and the conflicts among pedestrians could be increased, besides, the slope of ramp restricts the stability of walkers. Hence, these elements easily result in potential stampede accidents, which are also the premises of the proposed potential field cellular automata model of counter flow. This model is used to simulate the dynamics of crowd and the falling phenomena. The conclusions of numerical results show that the falling rate of uphill walking pedestrians could be 40% of the whole pedestrians, and the falling rate of downhill walking pedestrian could reach 60% of the whole pedestrians, with the increasing of the ramp angle and the entrance density of the pedestrian. Finally, to consider that right-moving preference behavior of Chinese, and the following effect in crowd, we introduce a segregating strategy to prevent the falling stampede accidents. This strategy is to divide the entering location of two pedestrian groups, and to ensure that two groups would not be obstructed by each other. This strategy could effectively prevent the falling accidents, which is verified by numerical simulations.
This paper analyzes the peak-period riding behavior of commuters in many-to-many transit systems. Commuters make their optimal time-of-use decision by trading off the time cost, travel fare, congestion cost against the schedule delay cost. Mathematical programming models are proposed to characterize the user equilibrium state and system optimization state respectively in the cases with seats and without seats. By analyzing these models, variable fare management schemes are presented, which can lead commuters to make their selection decision as system optimization state. Numerical examples are carried out, which prove the effectiveness of the models and the variable fare management schemes. In addition, we find that there is an "extrusion effect" by short distance commuters against relatively long distance commuters on the trains with small schedule delay costs.
As it is difficult to describe the malicious software spreading mechanism in Cyber-physical systems (CPS), a spreading dynamics model is proposed, and its dynamic behaviors are analyzed based on the stability theorem and Hopf bifurcation theorem. To control Hopf bifurcations that are caused by the malicious software spreading, a hybrid bifurcation controller combining the parameter adjustment method and state feedback method is designed. The effect of its parameters on the position of Hopf bifurcation point and the amplitude of limit cycle is discussed in detail. The numerical simulation results show that the hybrid bifurcation controller can not only make the Hopf bifurcation occur early or later, but also change the amplitude of the limit cycle. The hybrid bifurcation controller makes CPS generate the expected dynamic behaviors, and effectively reduces the impact of the malicious software.