A multi-echelon production–inventory system with supply disruption

The article investigates an integrated multi-layer supply chain model consisting of supplier, manufacturer and retailer while supply disruption, machine breakdown, safety stock, maintenance breakdown occur simultaneously. At beginning of the production, manufacturer keeps some raw materials in stock received from second supplier at high price, as safety stock due to supply disruption of first supplier. Corrective maintenance is done immediately to restore its normal stage when machine breakdown occurs. Stock out situations at manufacturer and retailer are considered due to disruption of production for machine breakdown. The integrated expected costs of the chain in centralized (collaborating) and decentralized (Stakelberg approach) system are compared. A numerical example and its sensitivity analysis are provided to test feasibility of the model.     

股票投资短期预测的多模匹配识别算法

从股票投资预测的技术发展方向来看,不同人工智能学习算法之间的组合学习日益得到关注。基于组合学习的思想,提出了股票投资短期预测的多模匹配识别算法（ MPMA）。算法通过迭代计算数据采样频率、聚类分组、模式匹配将股价预测和涨跌预测纳入到一个统一的学习框架中,建立起不同人工智能学习算法之间的组合学习模型。实验结果表明,所提算法具有较好的预报和泛化能力。     

2003年上半年原油价格走势分析及预测

2003年上半年委内瑞拉供应量剧减，以及美伊战争等因素影响，上半年布伦特油价为28．17美元/桶，同比上涨19．7％，其中一季度为30．62美元/桶，二季度为25．80美元/桶。三、四季度世界石油需求增长有所回升，但欧佩克履约情况、伊拉克产量恢复情况及美国石油库存等是影响未来石油市场的不确定因素。预计三季度油价仍将起伏不定，布伦特油平均价格可能维持在28美元／桶左右，四季度为25．5美元/桶。     

An intelligent stock trading system using comprehensive features

The aim of this study is to predict automatic trading decisions in stock markets. Comprehensive features (CF) for predicting future trend are very difficult to generate in a complex environment, especially in stock markets. According to related work, the relevant stock information can help investors formulate objects that may result in better profits. With this in mind, we present a framework of an intelligent stock trading system using comprehensive features (ISTSCF) to predict future stock trading decisions. The ISTSCF consists of stock information extraction, prediction model learning and stock trading decision. We apply three different methods to generate comprehensive features, including sentiment analysis (SA) that provides sensitive market events from stock news articles for sentiment indices (SI), technical analysis (TA) that yields effective trading rules based on trading information on the stock exchange for technical indices (TI), as well as the trend-based segmentation method (TBSM) that raises trading decisions from stock price for trading signals (TS). Experiments on the Taiwan stock market show that the results of employing comprehensive features are significantly better than traditional methods using numeric features alone (without textual sentiment features).     

股指期货套利管理系统

针对我国股指期货市场存在的问题——理论与实际应用脱节,造成股指期货市场的发展需求和实际发展条件不平衡,提出构建股指期货套利管理系统的策略. 依据实地调研资料进行系统设计,使用C#实现股指期货套利管理系统（SIFAM-System）. 系统实现了基于基差的跨期套利和基于无套利区间的跨期套利,以及与套利相关的信息管理功能. SIFAM-System利用计算机实现模型计算、行情监控、套利机会的判断及开平仓,达到了辅助投资者决策的目的,也为股指期货市场的发展问题提供了从理论到实现的解决策略.     

库存周转率在涂料企业库存管理中的应用

介绍了库存周转率的理论基础,结合企业的实际运用情况,论述了库存周转率在涂料产品库存管理中的重要作用及其在涂料企业库存管理中的具体应用:运用库存周转率,建立涂料产品库存管理分析模型,提高库存管理水平,并取得了较好的经济效益,涂料产品的库存金额大幅度减少。     

Temporal aggregation and spurious instantaneous causality in multiple time series models

Large aggregation interval asymptotics are used to investigate the relation between Granger causality in disaggregated vector autoregressions (VARs) and associated contemporaneous correlation among innovations of the aggregated system. One of our main contributions is that we outline various conditions under which the informational content of error covariance matrices yields insight into the causal structure of the VAR. Monte Carlo results suggest that our asymptotic findings are applicable even when the aggregation interval is small, as long as the time series are not characterized by high levels of persistence.     

2009年度中国股市IPO抑价实证研究

在阐述我国IPO现状及回顾国内外经典册抑价理论的基础上,本文对所选取样本新股的高抑价率影响因素进行了多元回归实证分析,通过分析找出了新股抑价率与影响因素之间的相关关系,最后在结论的基础上提出了政策建议．     

证券监管机构与基金管理者的进化博弈分析

为了改善目前我国证券监管机构与基金经理之间的"严格监管-守法经营-不严格监管-违规经营"的死循环,采用进化博弈的方法对证券监管机构与基金管理者之间的博弈进行了分析,发现在一定的条件下没有进化稳定策略,基金管理者的违规经营与守法经营两种策略交替出现,无法消除基金管理者的违规经营,针对这种情况,提出了大力发展基金公司与机构投资者;加大对违规经营的基金管理者的处罚力度;减少监管机构采取严格监管时额外增加的成本;加强对监管机构不作为行为的督促与处罚.     

过滤准则下基金经理跳槽的进化博弈分析

为了防止基金经理人的频繁跳槽对于基金持有人的利益以及基金公司的经营风格等造成不利影响,结合进化博弈论与行为金融学的有关动量交易策略(momentum trading strategy)的过滤准则观点建立模型—即只有当私募基金给基金经理提供的待遇与公募基金提供的待遇之差大于某一个正值时,才会诱使公募基金的经理跳槽到私募基金.通过模型对基金经理的跳槽行为进行了分析,并根据模型得出增加基金经理的激励、提高基金经理的跳槽成本限制基金经理频繁跳槽的一些措施.