A gradient boosting decision tree approach for insider trading identification: An empirical model evaluation of China stock market

Insider trading is a kind of criminal behavior in stock market by using nonpublic information. In recent years, it has become the major illegal activity in China’s stock market. In this study, a combination approach of GBDT (Gradient Boosting Decision Tree) and DE (Differential Evolution) is proposed to identify insider trading activities by using data of relevant indicators. First, insider trading samples occurred from year 2007 to 2017 and corresponding non-insider trading samples are collected. Next, the proposed method is trained by the GBDT, and initial parameters of the GBDT are optimized by the DE. Finally, out-of-samples are classified by the trained GBDT–DE model and its performances are evaluated. The experiment results show that our proposed method performed the best for insider trading identification under time window length of ninety days, indicating the relevant indicators under 90-days time window length are relatively more useful. Additionally, under all three time window lengths, relative importance result shows that several indicators are consistently crucial for insider trading identification. Furthermore, the proposed approach significantly outperforms other benchmark methods, demonstrating that it could be applied as an intelligent system to improve identification accuracy and efficiency for insider trading regulation in China stock market.     

A formal description of open distributed processing (ODP) trading based on guidelines for the definition of managed objects (GDMO)

New requirements of growing computer networks and information systems have an influence on extended client/server models with increased functionality. This forms the basis for service management in distributed systems which is realized by a service trading concept. This paper studies the requirements derived from the Open Distributed Processing (ODP) Reference Model in order to consider an open service market. Furthermore, it examines management possibilities for describing the service trading scenario. Because of similar architectures and properties ODP services, service offers, types, exporters and traders are mapped onto management components and modeled as managed objects. Therefore, the Guidelines for the Definition of Managed Objects (GDMO) are used. The final concept allows a precise and unambiguous study of the service trading scenario and provides means for exporting and importing of service offers in a distributed environment.     

An evaluation of possible EU air transport emissions trading scheme allocation methods

The European Commission has been requested by member states to study the incorporation of air transport into their existing emissions trading scheme (ETS). Only CO₂ is to be included, at least initially.     

考虑排污权交易的有限理性企业博弈模型研究

在有限理性基础上建立寡头垄断博弈模型,将其引入到排污权市场中,同时考虑了生产成本、污染治理成本、排污权交易价格的影响,使该模型更符合实际。将不同理性层次,不同结构的非线性成本函数,不完全信息等因素引入到博弈模型中,对改进后的模型的演化过程进行分析,找出博弈均衡点,并分析其稳定性。由于具有有限理性的双寡头Cournot博弈模型会产生丰富的动力学行为,因此对其进行数据模拟后并对混沌现象进行分析。在此基础上,运用延迟反馈控制法对寡头垄断博弈模型的混沌控制进行了解析分析,结果表明选择合适的控制因子可使模型稳定在Nash均衡。     

考虑需求侧管理和碳交易的电-气互联网络分散式低碳经济调度

在能源互联网和低碳背景下,提出一种考虑需求侧管理(demand side management, DSM)和碳交易的电-气互联网络分散式低碳经济调度模型。首先,根据碳交易市场的实际情况建立阶梯型碳交易机制,并利用电转气(power to gas, P2G)的低碳特性,得到P2G参与碳交易市场的激励机制;其次,由现有DSM的机理与实现方式,在负荷侧考虑不同的DSM来最大化地协调网络的低碳性与经济性;然后,根据所建模型的非凸特性,对气网潮流进行二阶锥松弛且采用连续锥规划算法对松弛间隙进行检验,逐步缩小气潮流的仿真误差,保证松弛的严格性。为了满足不同决策主体的分散自治权与信息私密性,在上述基础上建立分散式优化模型并引入基于嵌套连续锥规划的同步交替方向乘子法(synchronous-alternating direction method of multipliers, S-ADMM)进行求解;最后,通过算例仿真对不同场景下网络的调度结果及不同的调度策略下的运行结果进行比较分析。结果表明,在阶梯型碳交易机制下,虽然总碳交易成本增加了0.02%,但碳排量、运行成本分别减少了4.53%和3.74%;DSM参与到所提模型中使碳排量、弃风量分别降低了9.87%和75.4%,进而有效地提升了电-气互联网络的低碳经济性。     

基于配额制的自备电厂参与新能源消纳日前交易模式

国内风电和光伏等新能源发电迅速发展,而部分地区本地消纳和电网外送能力均有限,当地自备电厂未充分发挥调峰作用,出现日趋严重的弃风弃光现象,因此难以完成配额制目标。为利用市场手段充分调动当地自备电厂参与新能源消纳,促进新能源配额制目标的完成,同时避免因强行完成指标导致的社会整体消纳成本升高的问题,提出了一种基于竞价摘牌的新能源日前交易模式。通过具有引导效应的市场化手段,调动具备自备电厂用户的主动消纳意愿,进而提升配额制目标完成度,并降低整体消纳成本。最后,以新疆地区算例为例,分析验证了所提交易模式在提升配额制目标完成度及在尽量降低社会整体消纳成本方面的价值,为新疆等类似地区电力市场建设提供了一种新的思路。     

基于区块链的分布式光伏就地消纳交易模式研究

目前配电网中分布式光伏发电渗透率越来越高,利用区块链技术的去中心化、难篡改等特点,有助于分布式发电就地或就近消纳,提高配电网运行的经济性。提出了一种基于区块链的光伏就地消纳交易模式,建立了光伏发电用户和分布式光伏聚合商的效益函数,运用Stackelberg博弈模型确定内部电价,通过边缘计算制定最优用电计划,设计了基于信誉值的就地消纳交易机制,对就地消纳程度低的用户进行惩罚,鼓励用户通过可时移负荷消纳光伏出力。配电网仿真结果表明,在采用区块链的交易模式下,配电网的就地消纳情况得到改善,用户的综合效益得到提升。     

基于区块链的电力数据交易方案设计

电力数据交易是数据发挥价值的重要途径,当前数据交易存在中心化交易信任、交易规则不明确、交易监管难度大等问题。提出基于区块链的电力交易方案,首先论述电力数据特性,并分析电力数据交易面临的问题,阐述区块链对电力数据交易场景的适用性;然后,论述区块链技术基本特征和分类;再次,详细设计智能合约,确保电力数据交易安全自动执行,并结合共识机制、交易账户等因素,提出区块链电力数据交易方法,提出区块链电力数据交易基本框架,并分析关键支撑技术,保证电力数据交易安全顺利进行。     

计及综合能源系统全寿命周期碳排放和碳交易的电转气设备和光伏联合优化配置

综合能源系统(IES)能够提高能源利用效率,合理配置低碳设备可有效降低碳排放,促进碳中和.提出了一种计及IES全寿命周期碳排放和碳交易机制的电转气(P2G)设备和光伏(PV)容量联合配置方法.对基于某分布式能源站的IES进行设备建模,构建了IES全寿命周期碳排放模型,给出了P2G设备和PV的全寿命周期碳排放计算方法;以基于阶梯罚金机制的碳交易成本、含用水成本和考虑分时电价的购能成本以及设备成本之和最小为优化目标,建立了P2G设备和PV的联合优化配置模型.基于某分布式能源站的实际参数进行算例分析以验证所提方法的正确性和有效性,并探讨了碳交易机制对优化配置结果的影响.     

基于异构能源区块链的综合能源系统交易模型

综合能源系统是对电、气、热、冷能进行统一规划调度的综合系统,顺应了供给侧改革的趋势.目前综合能源系统的用户呈现个体化、分散化的趋势,传统的单向集中式输配电服务模式逐渐不适应这种趋势.基于区块链技术,设计了一种综合能源系统交易模型.采用异构能源区块链的结构模式,利用智能合约建立了基于价格约束的匹配拍卖机制,保障了清洁能源用户的供能优先级,并采用双重认证机制,保障了交易的可靠性.在实验环境下对所设计模型进行分析,仿真结果验证了所提综合能源系统交易模型的有效性和可行性.