Under the background of increasing the price index of China's stock market, the revised EMD denoising method and BEKK-GARCH model are used to study the fluctuation spoillover effect before, during and after the financial crisis. For the high synchronization features of stock price and huge energy of trading noise, the improved EMD denoising method is used to denoise the industrial data, and then the BEKK-GARCH model is used to estimate the spoillover effect coefficients. The results show that the improved EMD denoising method has better denoising effect than the wavelet denoising method, the spoillover effect between the industries surges during the financial crisis and then falls, the factors of development of the traditional industries before and after the financial crisis have changed.
Most HAR-RV-JUMP models of high frequency volatility only include the endogenous variables related to high frequency volatility, but ignore the impact of external information, which may lead to errors and bias in estimation and prediction. This paper introduces the impact of the external information into the existing HAR-RV-JUMP models by constructing a high-frequency volatility model with signed jump variation. These new models take into account not only the common influence of endogenous factors and external information, but also the asymmetric effect of multi-information on high frequency volatility. Then, high-frequency trading data of CSI 300 Index and CSI 500 Index is collected to make estimates and prediction, and rolling time window prediction method and SPA test are used to evaluate the forecasting capacity of HAR-V-RV-JUMP model. The result shows HAR-V-RV-JUMP models boast higher prediction accuracy in high frequency volatility than HAR-RV-JUMP models. However, the result also shows the performance of HAR-V-RV-JUMP models is better in predicting high frequency volatility during the stable period.
In this paper, fractal analysis methods are used to study the complexity characteristics of multivariate cross-correlations between the metal futures and spot markets in China. Firstly, the widely used multifractal detrended cross-correlation analysis (MF-DCCA) is extended to multivariate case, and the multivariate multifractal detrended cross-correlation analysis (MV-MFDCCA) is proposed. Then, the daily returns series of the futures and spot markets for China's basic metal copper, aluminum and zinc are regarded as two systems, and the multifractal analysis methods including the MV-MFDCCA are used to empirically investigate the multivariate cross-correlation between the two systems from the perspective of system theory. The results show that there are long-range power law cross-correlations and multifractal characteristics within and between the two systems, and the multifractal strengths of autocorrelations and cross-correlations for the spot system and its components are greater than those of the futures system and its corresponding components. In addition, in the situation of large fluctuations, the cross-correlation between the futures and spot systems is mainly influenced by the relationship between the futures copper and spot copper, while in the small fluctuation situation, mainly influenced by the relationship between the futures zinc and spot zinc.
We investigate the global spillover effects of identified credit market shocks from China and the US by employing a structural GVAR model with sign restrictions. We find that the tighten credit market shocks from China have a significantly negative spillover effect on domestic output, but only in short term. However, the tighten credit market shocks from the US have a significantly negative effect on domestic output, and strong and persistent effects on the GDP in other countries. We also find that spillover effects of the credit market shocks from China on the GDP in other countries are small and transmitted only through the trade channel. The credit market shocks from China explain about 10% of output fluctuations in China, suggesting that the aggregate demand shocks are still the most important driving force for China's business cycle.
This paper studied the accumulation and occurrence mechanisms of the international capital inflow surge risks. In addition to the existing identification and measurement methods of international capital inflow surges, we adopted the volatility of three macroeconomic indicators (exchange rate, inflation rate and interest rate), which are closely related to surge risks, to construct a more reasonable method to quantitatively define and measure the international capital inflow surge risks. Using the data of 38 emerging markets from 2000 to 2016, this paper empirically studied the affecting factors of the international capital inflow surge risks in these emerging market economies by Logit model, Probit model and Gompit model. The results show that, capital inflow surges do not necessarily lead to risks by itself, it will result in risks only when it brings fragility to a country's macroeconomic development and financial stability. Global push factors, domestic pull factors and contagion factors are all closely related to the capital inflow surge risks:VIX and interest rates in developed economies are important global push factors for the occurrence of capital inflow surge risks, foreign exchange reserves and domestic capital controls are important domestic pull factors, and contagion effect is also significant, to the occurrence of the capital inflow surge risks. Moreover, the shock of financial crisis will lead to change in affecting factors on the capital inflow surge risks.
Based on the dynamics of inter-bank money flow, a bank money storage network model driven by fractional Brownian motion and involving central bank is proposed. Each bank borrows money from other banks at a specific rate and, in certain circumstances, can borrow money from the central bank, but that creates borrowing costs. The money store of the bank in the system satisfies the stochastic differential equation given in the paper. The mathematical expression of system risk index-the overall probability of bankruptcy and total system activity is given, the optimal cost of borrowing funds from the central bank is obtained by linear quadratic control method.
This paper studies the impact of urban basic public service differences on the housing market. We focus on the role of urban basic public service in the housing market and the underlining mechanism. We employ the public service data of 29 large and medium-sized cities in China from 2006 to 2014 and use the entropy method to calculate the basic public service index of different cities in each year. By employing panel regression models, we investigate the impact of urban basic public services on housing prices. We find that the impact of medical resources on housing market is very significant. This is especially true for first-tier cities. The concentration of medical resources is an important factor that drives up the housing prices in first-tier cities. The policy implications of this study are that rationally coordinating resources such as medical care and education, and promoting the equalization of regional basic public services will help promote the healthy development of housing market in China and help build a long-term regulation mechanism for the housing market. At the same time, coordinating urban public services and formulating housing control policies should be tailored to local conditions and urban policies.
Based on the Cobb-Douglas production function, this paper introduced the construction land as the production factor into the resource misallocation model of Hsieh & Klenow. First, the resource misallocation index of the three types of the construction land, such as industry, commercial and residential, was calculated during 2006-2015. In addition, the factor of the resource misallocation index was decomposed to investigate its sources. Finally, the output loss rate which caused by the resource misallocation of the construction land was estimated. The result shows three types of the construction land all had different levels of the resource misallocation during 2006-2015. Industrial and residential land had excessive allocation, while commercial land had insufficient allocation. The low price of the industrial land was the main cause of its excessive allocation. The high price and the low marginal output of the commercial land were the main reasons of its misallocation. The excessively high profit margin was the main reason for the excessive allocation of the residential land. If the resource misallocation of the construction land was eliminated, the economic output would increase by about 30%. Based on the above research, this paper gained some inspiration to correct the misallocation of the construction for consulting.
From the dual perspective of the insured and the investment institutions, this paper studies the impact of minimum return guarantee system and investment management fee system on the optimal asset allocation of pension funds. We assume that the insured entrust the pension fund to the investment institutions for operation and management. The optimization goal of the insured and the investment institution is to maximize the expected utility of their wealth at the end of the investment period respectively. Under the framework of random interest rate, the solution of pension fund investment strategies under different models is obtained by stochastic dynamic programming. Research shows that:the minimum return guarantee system and profit sharing mechanism can both reduce the proportion of the risk assets, improve the insured's expected utility. If the minimum return guarantee is higher or the profit sharing rate is lower, the proportion of the risk assets will be lower. The insured can set different investment management rates for investment institutions with different risk preferences to ensure that the investment institutions can simultaneously maximize the expected utility of the insured.
Because of the widespread double marginalized phenomenon in green supply chain and dual externality of product green innovation, it needs coordination mechanisms to motivate member cooperation to make investment in eco-design. In view of it, this article formulated supplier-dominated cost sharing mechanism and revenue distribution mechanism based on information sharing using game models, and then investigated their impacts on the eco-design effort and supply chain benefits. Results show that the cost sharing mechanism leaded by suppliers has little incentive effects, however, increasing the level of shared information can greatly improve the revenue distribution proportion and eco-design effort of supply chain members. Furthermore, the green R&D investments of non-core members can be significantly stimulated by more green information shared by core enterprises, which plays a positive role in improving the environmental benefits of green supply chain, in other words, leading innovation and coordinating partnership. From the perspective of eco-design, this study provided the theoretical suggestion and decision support for optimizing the green supply chain performance and promoting industrial green transformation.
This paper studies the optimal decision and coordination strategy of differential pricing for members and the whole system under the consideration of the fairness concerns of the members of the closed-loop supply chain, and analyzes the influence of fair concerns on the decision-making by comparing the results of fair neutral and fair concerns. The results show that the manufacturer's fairness concern affects the decisions of the closed-loop supply chain members and the whole system, and it's bad for the manufacturer, the retailer and the whole system. The retailer's fair concern behavior is unfavorable to the manufacturer and beneficial to the retailer, which makes the profit of both decrease and increase, but the whole system profit remains the same and the product price, the sales volume is not affected by the retailer's fair concern behavior. When both the manufacturer and retailer have the behavior of fair concerns, it is beneficial to the manufacturer when the level of fair concern of both sides increases gradually, and it is beneficial to the retailer when the level of fair concern of manufacturer decreases, and the degree of fair concern of the retailer increases. At the same time, this paper adopts the revenue-sharing contract to coordinate the closed-loop supply chain when only the manufacturer has fairness concern and only the retailer has fairness concern behavior to achieve Pareto improvement of both parties.
This paper studied the optimal inventory decision of a retailer selling a single product in two sales periods in the presence of the myopic consumers and the strategic consumers who were averse to disappointment. Specifically, we focused on the impact of the disappointment aversion level and the proportion of strategic consumers on the retailer's inventory decision and revenue respectively. In addition, we also considered the situation that the retailer increased the salvage price during the clearance period. The results show that, for high-profit products, if and only if the disappointment aversion level is higher than a critical value, disappointment aversion can mitigate consumers' strategic buying behavior, and improve the retailer's inventory and revenue. For low-profit products, as long as the strategic consumers are averse to disappointment, disappointment aversion can always mitigate consumers' strategic buying behavior, and improve the retailer's inventory and revenue. In addition, when the disappointment aversion level is low and the proportion of strategic consumers is high, the retailer's revenue will increase by raising the salvage price; on the contrary, when the disappointment aversion level is high, the retailer will suffer loss of profit by raising the salvage price. The numerical examples show that, with the disappointment aversion level from 1.7 to 2.1, the retailer can increase revenue by as much as 12.5% and 10.6% for high-profit and low-profit products respectively when the proportion of strategic consumers is 0.2, while the retailer can increase revenue by as much as 200% and 61.8% for high-profit and low-profit products respectively when the proportion is 0.8.
The foundation of the enterprises' safety production and management is relatively weak in our country at present. The total quantity of sudden accidents remains high. Major and extraordinarily serious accidents still occur from time to time. In order to reduce social harm caused by sudden accidents, our governments specifically state that the productive and operational firms should reserve a certain number of emergency equipment. In fact, the goals the governments and the enterprises pursue are generally inconsistent, and the information the governments and the enterprises get is often asymmetric. The enterprises may pay less for pursuing its economic benefit, so the total effort will decline, which brings potential risk to equipment supply when an unexpected accident occurs. In view of this, this paper considered emergency equipment reservation system as a supply chain with one government and one enterprise, and analyzed the interest game between two sides. The incentive model of emergency equipment reservation system is constructed under the asymmetrical information. According to the constraint condition of government's subsidy, the government's optimal reward-punishment coefficient, the enterprise's optimal effort level, and their profits were attained. We compared the model's results under two different conditions. Furthermore, a numerical example and sensitivity analysis are used to verify the effectiveness of the proposed model, and we discussed the influence of several important exogenous variables on the optimal decision strategies of the enterprise and the government and their benefits. Finally, some practical management implications were put forward.
The paper studies on the two-echelon location-routing-allocation problem arising in post-disaster rescue. In view of the limited supply of various types of relief supplies in the first time after a disaster, a multi-objective two-echelon location-routing-allocation optimization model considering multi-depot and heterogeneous materials is proposed. The arriving time, satisfaction degree of demand nodes and the fairness of materials supplies are the optimization goals. The multi-objective optimization problem is solved by three single-objective sub-iterative processes and a multi-objective iterative process based on the method using the differential evolution strategy and the constrained optimization strategy. The vehicle routes and distribution of materials are optimized at the same time. Experiments show that transport different kinds of materials using the same vehicle can effectively reduce the number of vehicles used and the driving time of vehicles.
According to the different supply and demand relationships of by-products between the upstream and downstream enterprise in the industrial park, the Stackelberg game model for pricing of waste recycling was established in three scenarios:non-symbiotic, partially symbiotic, and fully symbiotic. Through the comparison of model results and the analysis of parameters, the condition of establishment for eco-industry symbiosis, pricing decisions for waste recycling and recycled products were studied, and a case was introduced to verify the results of the model and applied to the waste value circulation process. The research results show that in the game model where the downstream enterprise is a leader, when the marginal cost of recycling is lower than the cost of purchased raw materials, it is easier for enterprises to establish the relationship of eco-industry symbiosis; with the increase in the amount of supply of by-products and the gradual improvement of the symbiotic degree, pricing of waste recycling continues to decline, and enterprises get more profits; internal and external factors of enterprises affect the formation of the symbiotic relationship and the pricing of recycling, and the coordination of interests among enterprises is needed to promote the waste recycling in the industrial park and the value circulation of waste.
Using data from Chinese traffic logistics listed companies for the years 2007-2016, this paper empirically examines the driving effect of operating risk and financial risk on the cost reduction of logistics enterprises. The results show that operating risk and financial risk drive logistics enterprises to reduce costs, and the two kinds of risks have an interactive effect on the cost reduction of logistics enterprises. Then, this paper empirically analyzes the impact of operational risk and financial risk on the cost of logistics enterprises under three different ownership structure scenarios, including the nature of ownership, equity restriction and institutional investors holding. The results show that operating risk and financial risk have more significant driving effect on cost reduction in state-owned logistics enterprises compared with non-state-owned logistics enterprises; equity restriction and institutional investors holding have moderating effect on financial risk driving cost reduction in logistics enterprises, that is, the higher the equity restriction and the proportion of institutional investors holding, the more significant the financial risk to reduce the cost of logistics enterprises, but they have no moderating effect on operating risk driving cost reduction in logistics enterprises.
Activities overlapping can accelerate the project process, but not all overlappable activities can reduce project duration effectively in an overlapped way. It has important theoretical and practical significance for solving the resource constrained project scheduling problem in identifying the effectiveness of activities overlapping and avoiding the invalid activities overlapping as well as resources wasting. In view of the shortage of existing schedule generation scheme in dealing with the resource constrained project scheduling problem with activities overlapping, an integer linear programming model is proposed to solve small-scale instances. Statistical analysis is held on the overlapping scheduling results obtained by exact algorithm to identify the key factors that affect the effectiveness of activities overlapping, thus providing guidance for developing overlapping strategies in project scheduling. A numerical example is given to demonstrate the effect of pre-identified valid activities overlapping in improving heuristic algorithm's performance and optimizing the project scheduling result.
A complicated manufacturing process is mainly characterized by the high nonlinear relationship between its input factors and output response. Moreover, the response usually has more than one local extremum. This paper proposed a sequential design and modeling approach for parameter optimization of the complicated processes by using least squares support vector regression and nested orthogonal design. Firstly, the statistical distribution of support vector is given, and therefore a hypothesis test for the significant of corresponding sample point is developed. Secondly, by using an orthogonal design as the initial design, a LS-SVR model is built and the significant samples are detected out. Furthermore, a nested orthogonal design with different run numbers and factor levels is located around the significant samples, and a new LS-SVR model is set up iteratively. The theoretical and numerical researches show that, the significant test for sample point is fit for the statistical dispersion of support vector. The nested orthogonal design provides an easy way to regular partition the sub-regions where the new design points are to be added. Compared with those of the "one-shot" LHS and traditional "path-oriented" sequential design, the mean squared predictive errors and max predictive deviation of the proposed approach decreases 27% and 2% respectively; Furthermore, the proposed approach reaches a better response by finding many local extremums as well as a 13% decrease of sample size.
A two-sided matching method considering satisfaction, fairness and stability of the matching is proposed to solve two-sided matching problems with linguistic preference information. Firstly, linguistic preference information of agents on both sides are transformed into matching satisfaction degree by developing the calculating rules of matching satisfaction degree. Secondly, concepts on satisfaction, fairness and stability of the matching are given. Furthermore, considering the stable matching constraint condition, a multiple objective optimization two-sided matching model is constructed. Then, the ideal point method is used to convert the multiple objective optimization model into a single objective programming model, which produces the two-sided matching results. Finally, an example is given to prove the feasibility and validity of the proposed method.
This paper addressed the issues of optimizing resource allocation in transportation investment planning for financial agencies. Based on the actual business data of a large commercial bank, the paper builds a quantitative model from industry mix and regional difference to measure the effects of environmental index on performance, predict the performance contribution of each subsystem in the transportation industry, and establish a comprehensive planning model for transportation investment, which proposes the new resource allocation strategy based on industry concentration and the regional differentiated development strategy of transportation finance. The conclusion shows that there is a correlation between the external environment and the performance of bank's transportation finance, and the contribution rate of each sub-industry is different. Financial resource should agglomerate in developed areas. Overall planning can improve the traffic bank financial liquidity risk and control the resource supply, which can optimize financial balance sheet. The findings of this paper can provide a decision-making reference for financial agencies.
To solve the problem of hard requirement of shipboard missile storage rack to resist vibration, the rigidity requirement of vibration isolation damper was analyzed under the condition of compound vibration including high and low frequency. The conclusion was gotten that it couldn't meet the requirement of low frequency vibration with heavy bearing. Against high frequency vibration, a new compound damper was developed using metal rubber and metal spring. Its effectivity for high frequency was determined through simulation experiment. The static mechanics test and dynamic test were done at last after model was produced and the result shown that its rigidity was 806.5 N/mm and its frequency-arrange to resist vibration effectively is no less-than 12.78 Hz, which meet the requirement of vibration isolation. And the cause of two formants occurred on the curve of accelerate transmission rate was explored that the pitch freedom was appeared for the dampers.
From the perspectives of "reduction emission" and "congestion releasing", a vehicle pollution reducing management model is established based on the relevant data of 2005-2017 in Beijing. Firstly, the graphical function is constructed by using the approach of integrating system dynamics and grey model theory. It has improved the prediction precision of the parameters and put forward a new method of system dynamics modeling. Secondly, the integrity test (such as qualified verification of the degree of incidence) is used to test the model, in order to overcome some insufficient of the local testing method. Moreover, three kinds (including the low, medium and high policy) of schemes are simulated, and the results show that the low policy has a "double inflection-point effect". In addition, there is a "marginal diminishing effect" between the medium and high policy. Finally, taking the medium policy as an example, mid-long term dynamic simulation is carried out for the major variables (such as CO, HC, NOx, PM, and per vehicle area of roads). In particular, in the short term, the effect of high scheme is quite significant, but from the long-term perspective, the effect will be gradually weakened. Therefore, it can provide decision-making basis for the government.