中国科学院数学与系统科学研究院期刊网

Systems Engineering - Theory & Practice 2018 Vol.38

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Option pricing for the dynamics of jump-diffusion model with jump self-exciting and asymmetric cross-feedback
ZHU Fumin, ZHENG Zunxin, WU Hengyu
Systems Engineering - Theory & Practice    2018, 38 (1): 1-15.   DOI: 10.12011/1000-6788(2018)01-0001-15
Abstract770)      PDF(pc) (1023KB)(760)       Save
Jump clustering and volatility asymmetric feedback are important features in stock markets. This paper studies the option pricing issues for a dynamics of jump-diffusion process, which considers the mechanism of time-varying jump arrival rates, diffusion volatility clustering and the asymmetric cross-feedback effect. First, this paper presents the no-arbitrage conditions of equivalent martingale measures for the general jump-diffusion process based on local risk neutral valuation relationship; and then estimates the parameters and jump risk premium of the dynamic jump-diffusion model using the sequential Bayesian learning approach; Finally is the empirical research on the standardized European options of S&P500 Index and Dow Jones Industrial Average, APPLE, IBM and JP Morgan. Our study shows the significant evidence of the jump self-exciting, volatility clustering and asymmetric cross-feedback; these jumps also have a higher persistent influence and show a greater leverage effect to the stock markets; the dynamics of the cross-feedback jump-diffusion model have better performance in option pricing compared with these one-way-feedback jump-diffusion models. Jump risk premium is significantly higher than that of diffusion risk, which plays a dominant role in the process of asset pricing.
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Optimal high-frequency market making strategy research based on limit order book
SONG Bin, LIN Mu, TIAN Yijia
Systems Engineering - Theory & Practice    2018, 38 (1): 16-34.   DOI: 10.12011/1000-6788(2018)01-0016-19
Abstract2766)      PDF(pc) (2237KB)(1891)       Save
Based on considering the execution and inventory risk, the spread process is modelled and the inventory penalty function is also introduced. The market-making strategy is to maximize the expected utility function. The solution of the strategy can be considered as a stochastic optimal control problem. Employing the dynamic programming principle, the stochastic optimal control problem can be written as related variational inequality and solved by finite difference method. The order submissions given by the strategy are in accord with the assumption for execution density, spread and inventory' effect on order submission. The empirical and reliable tests of the strategy show that it has stable profitability under reasonable assumptions.
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Spatial dynamic nonparametric Durbin model and its application
QIAN Minghui, HU Ridong, CHEN Jianwei
Systems Engineering - Theory & Practice    2018, 38 (1): 35-45.   DOI: 10.12011/1000-6788(2018)01-0035-11
Abstract994)      PDF(pc) (831KB)(669)       Save
To study the nonlinear effects of different spatial units, we focus on the estimation and corresponding hypothesis test of the spatial dynamic nonparametric Durbin model with fixed effects. Since the spatial dynamic nonparametric Durbin model is a special kind of spatial dynamic panel model, we propose an iterative approach and corresponding hypothesis test of the spatial dynamic nonparametric Durbin model with fixed effects at first. Then, based on the results of Monte Carlo simulation, we use a three-stage iterative approach to improve the iterative approach. Through simulation experiments and empirical application, it proves that the three-stage iterative approach is stable and effective for the spatial dynamic nonparametric Durbin model with fixed effects, especially when T and N are large.
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Internet public opinions, response and listed firms' information efficiency
TIAN Gaoliang, SI Yi, QIN Ling, YU Zhongbo
Systems Engineering - Theory & Practice    2018, 38 (1): 46-66.   DOI: 10.12011/1000-6788(2018)01-0046-21
Abstract575)      PDF(pc) (1067KB)(912)       Save
Recently rising internet public opinions have been bringing profound influences to the capital market, as well as new challenges to regulators and listed firms. Using 1,325 questionnaires collected by regulators, this study empirically tests whether and how listed firms' response to the internet public opinions (hereafter RIPO for short) can affect information efficiency in the capital market. This study document that public opinion crisis results in current-year stock price crash and reproduction from the we-media will magnify the negative effect to the stock price, but firms that emphasize and invest more in the RIPO can decrease the negative effect. Listed firms can spread the firm-specific information to the capital market to lower the stock price synchronicity and the probability or magnitude of future stock price crash by emphasizing and investing in the RIPO. The conclusions we draw from this study show that RIPO can increase the information efficiency in the capital market, RIPO is not a beauty-show project, but play a pragmatic role in the capital market. This study also shows practical significance to perfect the information management system and improve the transparency of the capital markets.
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Model analysis of equity financing problem for the enterprise under market competition
WANG Yu, YU Hui
Systems Engineering - Theory & Practice    2018, 38 (1): 67-78.   DOI: 10.12011/1000-6788(2018)01-0067-12
Abstract585)      PDF(pc) (747KB)(799)       Save
Since equity financing has been an important part in boosting the rapid growth of enterprises, the competition in the product market takes tolls on enterprises' financing decision in the capital market. An equity financing model based on the perspective of market competition is constructed to analyze the effects of market competition on equity financing decision when one of the two retailers is in the process of exploiting a promising market. Core research indicates that the retailer with high growth, high valuation or strong product substitution must consider the "double effect" of market competition on financing, while the retailer with opposite features is seldom influenced by market competition. In addition, market competition restrains the retailer's equity financing and improves the proportion of its original shareholders and their profits, however reduce the development of high growth retailer.
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Design of the safety Jieke system of “intelligent production & service network”
TAN Qingmei, WANG Lei
Systems Engineering - Theory & Practice    2018, 38 (1): 79-92.   DOI: 10.12011/1000-6788(2018)01-0079-14
Abstract529)      PDF(pc) (1731KB)(718)       Save
The promotion of "China made 2025" strategy needs to be supported by the new industry internet system-"intelligent production & service network". How to ensure its stability and can be operated orderly? This is the core problem of this research. Therefore, firstly, based on the "logistic mapping model" to discuss the biggest safeguard ability of "intelligent production & service network" network Jieke, and combining with "Jieke theory" to put forward the scheme of constructing network Jieke system. Secondly, the problem of its Jieke opening degree is discussed, and then the "Pan-system theory" is introduced to research the observocontrol problem of Jieke opening degree; system network Jieke opening degree has upper limit, according to the actual situation can increase or decrease, if necessary, can be reduced to 0 in order to protect system security. Finally, the network effect principle and its economic and managerial significance of the system are discussed under certain opening degree. This research theoretically expand the "Jieke theory" and "pan-system theory" applications, from the practical level, perfect "intelligent production & service network" operation mechanism and safeguard function. It is of great significance to push forward the structural reform of supply-side in China.
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Study on the effect of rent-seeking on carbon emission trading market performance under free carbon emission allowances
CHEN Xiaohong, WANG Jing, HU Dongbin
Systems Engineering - Theory & Practice    2018, 38 (1): 93-101.   DOI: 10.12011/1000-6788(2018)01-0093-09
Abstract651)      PDF(pc) (950KB)(834)       Save
Current mandatory carbon reduction policies and environmental regulation provides too much space for both government and enterprises to seek rent, which also generates a strong intention of enterprises to avoid emission reduction responsibilities through rent-seeking behavior. Based on the SWARM model of carbon emission trading (CET) market, we simulated emissions trading in CET market in different rent-seeking scenarios. This paper studied on the effect of different rent-seeking scenarios in free carbon emission allowances distribution system on the operation efficiency of CET market through market liquidity, volatility and effectiveness. The results prove that rent-seeking affects liquidity and effectiveness of CET market while it has no significant impact on the market price fluctuations. The positive, rather than negative impact of rent-seeking on market efficiency reflects that the initial allocated free carbon allowance cannot realize optimal allocation of resources in free market. Reducing the government's intervention on CET market and changing the distribution system from free emission allowance to fixed-price or auction mechanism will not only strengthen price signals and improve energy utilization efficiency, but also cut off the possibilities of rent-seeking behavior at the source.
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Robust project scheduling based on the integrated optimization between resource flow network and time buffers
CUI Nanfang, LIANG Yangyang
Systems Engineering - Theory & Practice    2018, 38 (1): 102-112.   DOI: 10.12011/1000-6788(2018)01-0102-11
Abstract532)      PDF(pc) (1182KB)(826)       Save
For solving the resource constrained project scheduling problem (RCPSP) with stochastic durations, robust resource allocation and time buffer insertion are combined effectively. A two-stage integrated optimization algorithm is proposed to generate robust project schedules against disruptions. In the first stage, a myopic expected penalty cost (MEPC) procedure is designed to construct a stable resource flow network by efficiently allocating resources among project activities. To further improve the schedule stability, an expected penalty cost (EPC) algorithm that relies on the fixed resource flow network is proposed in the second stage to minimize the expected penalty cost through inserting time buffers in front of the activities with higher delay risks. Finally, extensive computational experiments are performed to verify the feasibility and effectiveness of the two-stage algorithm from two aspects of solution robustness and quality robustness. The results indicate that the project schedule generated by the integration of the resource flow network and time buffers not only can achieve shorter completion times, but also can deal with disruptions more effectively during project execution.
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Joint pricing and ordering decision based on resales of custom returns in online retailing
FAN Shuangjiao, WANG Xuping
Systems Engineering - Theory & Practice    2018, 38 (1): 113-121.   DOI: 10.12011/1000-6788(2018)01-0113-09
Abstract616)      PDF(pc) (933KB)(950)       Save
In this paper, we established the inventory model considering resales of custom returns for seasonal sales, sales of the last period or the promotional period. We addressed the simultaneous determination of price and order quantity to maximize the profit. We derived the analytic solution for the deterministic problem, and demonstrated the existence condition and algorithms of the optimal solution for the stochastic demand obeying uniform distribution. The results show that online retailers could gain more profits when they develop inventory strategy considering resales of returns, and customers could also buy products at lower price. The advantages of using this strategy are more obvious when the product value is high, the amount of returns is large or return ratio is sensitive to price.
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The optimization of cold chain operation based on fresh food safety
WANG Jing, LIU Haotian, ZHAO Ran
Systems Engineering - Theory & Practice    2018, 38 (1): 122-134.   DOI: 10.12011/1000-6788(2018)01-0122-13
Abstract701)      PDF(pc) (993KB)(1031)       Save
For the high cost of cold chain and highly perishable for fresh food, we integrate food quality in decision-making of food cold chain storage and distribution management. We provided a methodology to describe the food quality degradation and designed a multi-stages multi products fresh food cold chain operation mode, which can be integrated in a mixed-integer linear programming model to optimization distribution center location, route planning and temperature selection in order to ensure food quality and safety while minimize the logistics cost. Finally the numerical simulation and comparative study was given to verify the feasibility of the model and the algorithm.
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Research on equilibrium of supply chain finance decision with retailer's sale effort level
FANG Lei, XIA Yu, YANG Yueming
Systems Engineering - Theory & Practice    2018, 38 (1): 135-144.   DOI: 10.12011/1000-6788(2018)01-0135-10
Abstract663)      PDF(pc) (793KB)(782)       Save
Retailers' sales efforts not only influences the capital expenditures, but also directly impact on the demand of the supply chain. However, it has not gained enough scholarly attention in supply chain finance research. Therefore, this paper develop an supply chain financial model with retailers' sales efforts, and study the optimal operation strategy and financing strategy of supply chain when the capital constrained retailer obtain bank loan or equity financing, then analyse how the retailer choose the best financing way. The results show that the retailer's capital level has great impact on the decision equilibrium and revenue of supply chain; limited funds are seriously restrict the retailer's sales efforts and reduce the operational efficiency of the supply chain; to some extent, financing services can alleviate the constraints and the affection on the decision equilibrium of the supply chain is different in each financing way. When retailers obtain financing, if the capital level is extremely low, they should choose equity financing, but with capital level rise, they should choose bank loan for financing.
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The weighted Shapley value for games with restricted cooperation
ZOU Zhengxing, ZHANG Qiang, LI Meiling
Systems Engineering - Theory & Practice    2018, 38 (1): 145-163.   DOI: 10.12011/1000-6788(2018)01-0145-19
Abstract616)      PDF(pc) (651KB)(906)       Save
This paper analyzes the weighted Shapley value for cooperative games in which partial cooperation is based on a set system, which is the set of feasible coalitions that can be formed by players in a game, and the structure of feasible coalitions is completely free. In this context, we define the weighted Shapley value which distributes the Harsanyi dividends proportional to the weights of players. We provide two axiomatic characterizations of the weighted Shapley value:one by means of component efficiency and proportional fairness, and the other with efficiency and weighted balanced contributions. Moreover, the stability of feasible coalitions is analyzed, and some properties of the weighted Shapley value are obtained. Finally, we give two examples about assignment games showing that our method is feasible and effective.
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A multi-skilled staff scheduling model for new product R&D project portfolio under stochastic turnover
CHEN Rong, LIANG Changyong, YE Chunsen, JIANG Li
Systems Engineering - Theory & Practice    2018, 38 (1): 164-176.   DOI: 10.12011/1000-6788(2018)01-0164-13
Abstract494)      PDF(pc) (999KB)(798)       Save
Random turnover of R&D staff influences new product R&D project portfolio scheduling. Using discrete Markov chain to describe staff's turnover processes with multi-skilled R&D staff as the scheduling object, we proposed a stochastic multi-objective constraint optimization model for the new product R&D project portfolio scheduling. Specifically, three objectives are strategic gains for talent cultivation, R&D cycle and R&D costs. The proposed model is solved by an adaptive Pareto sampling algorithm which utilizes the sampling method of Markov chain Monte Carlo, we calculate objective values for the deterministic model by serial schedule generation scheme, and obtain the Pareto set by the nondominated sorting genetic algorithmⅡ for the multi-objective expected value model. Both model and algorithm were tested by a real-world case of staff scheduling for a new electric energy-saving product R&D project portfolio in a Chinese company. Since the algorithm converged well and obtained the Pareto set effectively, results indicated that the stochastic model is more suitable to reflect company's reality than the deterministic model. Practically, enterprises can use our model and algorithm to make an effective decision on multi-skilled staff scheduling scheme for a new product R&D project portfolio under the stochastic turnover scenario.
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Research on pilots' two-stage transfer and promotion planning problem of civil aviation in China
DING Ruo, SHA Mengyi, GAO Min'gang
Systems Engineering - Theory & Practice    2018, 38 (1): 177-186.   DOI: 10.12011/1000-6788(2018)01-0177-10
Abstract543)      PDF(pc) (696KB)(454)       Save
Pilots' transfer and promotion planning has many typical characteristics such as complex routes and long cycle, thus, making effective and economic human resource allocation is the critical problem the civil aviation is faced with. The paper makes a quantitative study on the problem. With the constraints of the demand of pilots, the paper builds a nonlinear integer programming model to minimize the generalized cost, and then converts it into a corresponding network flow model in order to solve the problem conveniently and designs algorithms. At last, a practical example is illustrated to verify the efficiency of the method.
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Characteristic adaptive GM(1,1) model and forecasting of Chinese traffic pollution emission
XU Ning, DANG Yaoguo
Systems Engineering - Theory & Practice    2018, 38 (1): 187-196.   DOI: 10.12011/1000-6788(2018)01-0187-10
Abstract582)      PDF(pc) (793KB)(779)       Save
Improvements of fitting precision and tendency similarity are of vital importance for forecasting analysis. To promote data characteristic adaptation of grey prediction model, this paper analyzes the relationship of grey differential equation and whitenization equation, and studies the restoring process of response function, then proposes a novel characteristic adaptive GM(1,1) model, namely CAGM(1,1) model. This model uses the novel background formula with quantile variable to construct grey differential equation, and employs the transformed model to derive the process of parameters evaluation. Further, we construct the time response formula based on background series; to improve forecasting performance, we propose a new fitness function according to grey incidence method and utilize the particle swarm algorithm to search optimal values of the variables in restoring process. The new model is used to analyze traffic pollution emission in China, and we construct GM(1,1) and CAGM(1,1) for comparison. The results confirm that the model proposed in this paper outperforms traditional GM(1,1) model and could be useful and effective in practice.
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Medium and long term probability density forecasting based on Box-Cox transformation quantile regression and load relation factor identification
HE Yaoyao, ZHENG Yaya, YANG Shanlin
Systems Engineering - Theory & Practice    2018, 38 (1): 197-207.   DOI: 10.12011/1000-6788(2018)01-0197-11
Abstract556)      PDF(pc) (894KB)(711)       Save
Medium and long term load forecasting is an important prerequisite for the power sector's development planning and stable operation. According to the multiple factors of influencing the medium and long term power load forecasting accuracy, this paper uses the stepwise regression method to identify the key influencing factors from a number of factors associated load forecasting, and proposes a probability density forecasting method based on the Box-Cox transformation quantile regression combined with kernel density estimation. The probability density forecasting results of load under the different quantiles at any year in the next few years are evaluated. The proposed method is likely to realize the accurate range prediction of future annual electricity consumption. The historical load and socio-economic data of Anhui province are adopted as simulation experiment. The results show that the proposed method not only realizes the medium and long term load forecasting, but also well improves the precision of medium and long-term power load probability density forecasting by means of introducing strong relation factors, and effectively solves medium and long term power load probability density forecasting problem considering multiple factors.
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An exploration of foreign research on enterprise architecture
ZHANG Mengmeng, CHEN Honghui, FU Jiong, LUO Aimin, LIU Junxian
Systems Engineering - Theory & Practice    2018, 38 (1): 208-219.   DOI: 10.12011/1000-6788(2018)01-0208-12
Abstract559)      PDF(pc) (1823KB)(937)       Save
Enterprise architecture has become increasingly emphasized as a crucial role of requirement elicitation, decision making and budget planning in recent years. Still, many problems seem far from being solved because enterprise architecture is a discipline with abstract and macroscopic. In order to deal with the problems, this paper analyzes 186 articles of enterprise architecture in three years based on other persons' research, obtaining the results concluding lists of conferences and journals, co-authorship network, research universities and research topics. Then we predict the future enterprise architecture research after comparing with other persons' results.
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Equipment support agent communication language based on extended FIPA-ACL
PU Wei, LI Xiong
Systems Engineering - Theory & Practice    2018, 38 (1): 220-228.   DOI: 10.12011/1000-6788(2018)01-0220-09
Abstract474)      PDF(pc) (1051KB)(648)       Save
Aiming at the problem that the semantic description of primary FIPA-ACL in the equipment support agent communication is not enough, the communication efficiency is low and the semantic recognition is not accurate, design and implementation of agent communication language based on extended FIPA-ACL is proposed. Firstly, the communication performatives of FIPA-ACL are extended, and the formal semantics of the primitive is described. Secondly, the communication ontology is defined. Thirdly, the content grammer is defined and the communication content is described based on FIPA-SL. Finally, the agent communication language is implemented. The feasibility and effectiveness of the proposed language is verified by a study case of military equipment support simulation demonstration and effectiveness evolution system.
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The aerospace cooperative planning model for maritime moving target continuation observation
LIANG Xingxing, XIU Baoxin, FAN Changjun, CHEN Chao
Systems Engineering - Theory & Practice    2018, 38 (1): 229-240.   DOI: 10.12011/1000-6788(2018)01-0229-12
Abstract584)      PDF(pc) (971KB)(729)       Save
Continuous observation on moving targets at sea has important implications to maintain the safety of the navigation barrier. Existing methods either rely on satellite observations, or only rely on UAV observation, did not solve the problem of continuous observation of the maritime moving target. On the basis of analysis of the current methods, we constructed the aerospace collaborative continuous observation model for moving target at sea, and put forward aerospace collaborative continuous observation strategy (ACCOS) to reduce the complexity of solving the model. ACCOS extracted five sub problems to solve the problem:Satellite planning, UAV flight plan, UAV observation sequence, target potential area and distribution probability density prediction, UAV path planning. In order to realize the optimization goal of the model, the five sub problems are modeled and solved in turn. Finally, the simulation results show that the proposed method can greatly reduce the average observation period of the target, and effectively solve the problem of the continuous observation of the moving target in the sea.
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Research on operational efficiency evaluation of anti-tank missile weapon system based on combination weighting
CHENG Cheng, GAO Min, CHENG Xude, FANG Dan, YAO Shaolin
Systems Engineering - Theory & Practice    2018, 38 (1): 241-251.   DOI: 10.12011/1000-6788(2018)01-0241-11
Abstract717)      PDF(pc) (1354KB)(804)       Save
Under the condition of modern combat, operational effectiveness evaluation of anti-tank missile weapon system is the key to this kind of weapon equipment. The traditional methods of evaluating operational effectiveness are mainly focused on one subsystem of the whole equipment, which cannot fully reflect the combat capability of weapon system of authenticity and integrity. So that, an evaluation method for anti-tank missile weapon system based on combination weighting is proposed in this paper. The first step of evaluation is to establish the index system of anti-tank missile weapon operational efficiency, including index set and evaluation set, and optimize the index system according to the different expert opinions and suggestions. Then combining with the idea of combination weighting, the entropy algorithm and hierarchical weighted algorithm are weighted combination to calculate the final weights of each index in index set and attribute to each index, thus, this method can reduce the evaluation error due to subjective factors. Finally, the proposed evaluation method is verified in anti-tank missile hardware in the loop simulation platform. The experimental results show that the feasibility of the algorithm.
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A new method for determining parameters of system complexity measures and its application
LI Xungui, WEI Ning, WEI Xia
Systems Engineering - Theory & Practice    2018, 38 (1): 252-262.   DOI: 10.12011/1000-6788(2018)01-0252-11
Abstract533)      PDF(pc) (2208KB)(712)       Save
The parameters of m and r for approximate entropy (ApEn) and sample entropy (SampEn) have important influences on complexities. Effective approaches for selecting the common optimal parameters of m and r for ApEn and SampEn are still absent. The consistency requirement of comparisons between ApEn and SampEn and the characteristics of intersection between the two curves of ApEn and SampEn were considered. A new intersection method for determining the common optimal parameters of m and r was presented in terms of coefficients of correlation. The time series of runoff at the Zhangjiashan station and the precipitation above the station in the Jinghe watershed during 1956-2010 were taken as the object of investigation. Results show that:(I) The common optimal parameters were determined as the values of m=2 and r=0.11 times the standard deviation of time series for both ApEn and SampEn. (Ⅱ) The complexities of the precipitation and runoff present increasing significant trends. (Ⅲ) There are significant decreasing relationships between both runoff and precipitation and their complexities. The decreasing trend of precipitation impacts greatly the increase of runoff complexity. The ApEn is better than the SampEn for describing the general changing trends of time series; while the SampEn has a better performance than the ApEn for identifying the changes of peak and valley of time series. There is a good applicability for the new intersection method presented in this study for selecting the common optimal parameters of m and r for both ApEn and SapmEn.
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Study on the systematic characteristics of 24Model
FU Gui, SUO Xiao, WANG Chunxue
Systems Engineering - Theory & Practice    2018, 38 (1): 263-272.   DOI: 10.12011/1000-6788(2018)01-0263-10
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In order to carry out more comprehensive accident analysis and prevention work via accident causation model 24Model, the authors analyze the relationship between hazards and accidents. Then the system characteristics of 24Model is expounded. The study shows that the hazards are the sources of the accident which equates to the accident causations. 24Model is a systematic accident causation model which involves features of integrity, relevance, hierarchy and dynamic. The characteristics of integrity, relevance, hierarchy and dynamic of 24Model are illustrated with an example which is the capsized accident of the "Eastern Star" ferry analyzed via 24Model.
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An information diffusion-based model of stock market cycle analysis: International experience and domestic application
LI Ziran, QIAO Zhaorong, WANG Shouyang, ZU Lei
Systems Engineering - Theory & Practice    2018, 38 (10): 2449-2465.   DOI: 10.12011/1000-6788(2018)10-2449-17
Abstract655)      PDF(pc) (3152KB)(1189)       Save
This paper builds an information diffusion framework, in which investors gradually modify their ex ante over optimistic expectation and causes the asset price trajectory to exhibit a trade-off relationship between duration, amplitude and volatility. Empirical analysis using data from international stock markets confirms the existence of this trade-off relationship and shows its ability to explain the shape of China's bear stock markets. It is revealed that the sudden stock market crash in 2015 is a recurrence of its own periodicity. Our analysis reveals that volatility, as a conveyor of information, relates duration and amplitude of a bear market, and proposes a new theoretical perspective and analytical tool for government control over market fluctuation and long term investment strategy.
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The borrowers' credit risk assessment in P2P platform based on fuzzy proximal support vector machine and its application
ZHANG Weiguo, LU Yuanyuan, LIU Yongjun
Systems Engineering - Theory & Practice    2018, 38 (10): 2466-2478.   DOI: 10.12011/1000-6788(2018)10-2466-13
Abstract579)      PDF(pc) (965KB)(1002)       Save
It is the fact that the sample distributions of trusted users and default users in P2P platform are unbalanced and the investors have different acceptable degrees in classification error. This paper establishes the disequilibrium fuzzy proximal support vector machine (DFPSVM) to assess the borrowers' credit risk in P2P platform by using the bilateral weighted error measuring method and mapping distance to measure fuzzy memberships of the positive and negative samples error term. Next, it proposes the borrowers' credit scoring and credit rating model in P2P platform. Finally, the empirical results based on the borrowers' information in Renrendai platform show that the proposed DFPSVM model has better generalization ability and higher classification accuracy than other existing models. It can effectively reduce the effect of disequilibrium samples and increase the classification accuracy of negative samples. The obtained borrowers' credit score, credit rating and the distribution of default rate is helpful to control the default risk of P2P platform and support the decision making process.
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Trade credit loan pricing and supply chain financing pattern choice based on retailers' heterogeneity
CHEN Yonghui, MENG Ziliang, ZENG Yan
Systems Engineering - Theory & Practice    2018, 38 (10): 2479-2490.   DOI: 10.12011/1000-6788(2018)10-2479-12
Abstract546)      PDF(pc) (921KB)(822)       Save
Trade credit and bank financing are two main patterns of supply chain finance. Based on retailers' heterogeneity, this paper proposed a core enterprise leading trade credit financing model. We analyze how retailers' heterogeneity affects the core enterprise's optimal choice of supply chain financing pattern. The results show that the optimal trade credit distribution strategies for the core enterprise uniquely exist, and that the core enterprise prefers retailers with severe capital-constrained while it refuses to distribute trade credit to other retailers under some circumstances. By comparing trade credit to bank financing, we find that under the condition that the external financing cost is not absolutely advantageous or disadvantageous, the core enterprise prefers trade credit financing pattern when the heterogeneity of retailer is large, but it prefers bank financing pattern when the heterogeneity of retailer is small.
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The non-parametric estimation of volatility in high frequency data and its bandwidth selection
WANG Jiangtao, ZHOU Yong
Systems Engineering - Theory & Practice    2018, 38 (10): 2491-2500.   DOI: 10.12011/1000-6788(2018)10-2491-10
Abstract574)      PDF(pc) (709KB)(923)       Save
The non-parametric estimator of volatility based on high frequency data is the current focus due to its high accuracy. All of these estimator have to choose their optimal bandwidth in the application. However, it is difficult to calculate the optimal bandwidth from the real data and to apply these estimator, since optimal bandwidth always take some awkward unknown parameters. In this paper, taking realized kernel as the representative, a new data-driven algorithm for selecting the bandwidth has been constructed. The stability of algorithm is proved and the selected bandwidth is consistent estimator of optimal bandwidth without bias. The convergence rate is O(n-1/5). It is shown from the numerical examples that the algorithm is adaptive and the finally selected bandwidth is independent on the original value. Simulation result shows that the estimator for volatility with bandwidth selected by our algorithm has higher accuracy. The proposed algorithm could be modified to select optimal bandwidth for other non-parametric estimator of volatility as well.
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Analysis on the determinants and peaking paths of CO2 emissions in China's high energy-consuming industries
YANG Mian, LU Xin, DUAN Hongbo
Systems Engineering - Theory & Practice    2018, 38 (10): 2501-2511.   DOI: 10.12011/1000-6788(2018)10-2501-11
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Reducing the CO2 emissions of China's high energy-consuming industry is one of the most important prerequisites in achieving the target of peaking its total CO2 before 2030. In this paper, we build a theoretical model on identifying the determinants of CO2 emissions by incorporating the energy-augmenting technical progress in the analytical framework. Based on this work, the growth rates of CO2 emissions in China's six high energy-consuming industries are decomposed into four aspects including energy mix effect, scale effect, factor substitution effect, and energy-saving technical progress effect; and the peak paths of each industry's CO2 emissions are also studied using scenario analysis method. The results indicate that:1) the scale effect plays a dominant role in increasing the CO2 emissions for all the industries, especially during the tenth five-year plan; on the contrary, energy-saving technical progress effect and factor substitution effect have limited the increase of industrial CO2 emissions to a certain extent; the energy mix effect is extremely minor. 2) The energy-saving technical progress is the most effective way to reduce the CO2 emissions for four industries although the effect decreased gradually, and the rest two mainly rely on factor substitution effect. 3) In the high emission scenario, the total CO2 emissions of the six high energy-consuming industries continue to grow rapidly, and it is difficult to reach the peak before 2030; in the medium and low emission scenarios, the total CO2 emissions of China's high energy-consuming industry will peak around 2017 and 2023, respectively.
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Research on embedded low-carbon service mechanism based on energy saving service
WU Jiepeng, ZHOU Yanju, ZHOU Xiongwei
Systems Engineering - Theory & Practice    2018, 38 (10): 2512-2525.   DOI: 10.12011/1000-6788(2018)10-2512-14
Abstract505)      PDF(pc) (658KB)(552)       Save
By introducing embedded low-carbon services, carbon emission-dependent enterprises are often faced the project risk of low-carbon energy saving level information asymmetry. In view of this, this paper considers the investment level of low carbon service provider (LCSP) and the design of the optimal incentive contract between embedded low-carbon service participants with unobservable low-carbon energy saving capabilities under the background of low-carbon economy. In the meantime, by analyzing the optimal incentive contracts in this situation, we introduce "embedding degree" to describe the common value of the embedded low-carbon service participants. The influence of the embedding degree on the optimal incentive contracts is analyzed. The research shows that low level of embedding degree will lead to a larger project risk for low carbon service providers and a contract mode that requires the low carbon service providers to advance the deposit on each period. High level of embedding degree can promote low carbon emission reduction efficiency of embedded low-carbon services.
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Diversified dominant modes of closed-loop supply chain under the recycling fund
WANG Yuyan, SHEN Liang
Systems Engineering - Theory & Practice    2018, 38 (10): 2526-2541.   DOI: 10.12011/1000-6788(2018)10-2526-16
Abstract471)      PDF(pc) (979KB)(718)       Save
Since 2011, the Chinese government has issued a series of fund policies (The Fund Policy) on recycling and disposal of waste electrical and electronic equipment (WEEE). This has had a great impact on the Chinese closed-loop supply chain (CLSC), causing structure reorganization. We study this structure reorganization and the dominant modes of CLSC. There are four dominant modes formed by The Fund Policy's impact, are studied in this paper. And the optimal decisions of the four dominant modes are compared analysis. This study found the following:1) In the four dominant modes, manufacturers and retailers are not motivated to adjust the selling price of products; the differences between the manufacturers and the retailers' bargaining power is reflected in the wholesale price. 2) The dominant power of each member of the CLSC is closely related to the profit of the members, which means whichever member holds the greater portion of the channel power, the higher their profits are. However, the profit of the sellers is not affected by the reverse channel dominant mode, the profit of the dismantling enterprise is not affected by the forward channel of the dominant mode, and both the recycling and transfer prices are not affected by the forward channel of the dominant mode. 3) The effect of Chinese Disposal Fund to the manufacturers could be either positive or negative. The research conclusion has the certain reality instruction value, and beneficial to implement and perfect The Chinese Fund Policy.
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Market clearing strategy in dual channel of fresh agricultural products considering quality loss
TANG Run, LI Qianqian, PENG Yangyang
Systems Engineering - Theory & Practice    2018, 38 (10): 2542-2555.   DOI: 10.12011/1000-6788(2018)10-2542-14
Abstract647)      PDF(pc) (1430KB)(853)       Save
The research background is about the sales of fresh agricultural products in "agriculture-supermarket jointing" and E-commerce channel. Not only the effect of factors such as channel price and cross-price elasticity coefficient of channel are considered, but also the factor of quality loss of fresh agricultural products which change with time is taken into consideration. Then the market demand function of fresh agricultural products is set up and the model is built. The agricultural cooperatives and supermarkets' different optimal discount rates and the market clearing strategies in different situations of disperse policy decision and centralized decision-making are analyzed in different conditions such as no-discounting, one-time discounting and multiple discounting. Furthermore, it analyses the impact of market share of traditional channels, sensitivity of channel price, cross-price elasticity coefficient of channel on the optimal discount rate of farm cooperation, supermarkets and supply chain profit. Accordingly, management suggestions are provided by example simulation. Finally, the influence of different times on the supply chain profits is analyzed and it shows that the times of discounting do not affect the trend of impact of dual channel's parameters on the supply chain profit.
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Research on option advance sales model under consumers' risk aversion
GU Yanhong, LUO Xinxing, ZHU Mingxun
Systems Engineering - Theory & Practice    2018, 38 (10): 2556-2563.   DOI: 10.12011/1000-6788(2018)10-2556-08
Abstract517)      PDF(pc) (658KB)(669)       Save
In recent years, advance sales has become a popular way to launch new products. However, in the advance sales transactions may occur the situation that the physical value and consumer valuation are quite different, so that the consumers who choose advance sales run a big risk. As one of the financial instruments to avoid risks, the option can make up for the shortcomings caused by the difference between the consumer valuation and the physical value in the advance sales strategy. So the option theory is introduced into the advance sales strategy in this paper, the option advance sales model is established to obtain the optimal order quantity and the optimal option execution price, then compared with the ordinary advance sales strategy. The study find that there are certain critical values of the range of the consumer and purchase cost, which are the key for the retailer to choose the advance sales strategies. When the consumer is risky, if the valuation reference is greater than zero, the retailer implements the option advance sale strategy; If the valuation reference is less than zero, the choice of the advance sales strategy depends on the cost:if the cost is greater than the critical value, the option advance sales strategy is better, if the cost is less than the critical value, the general advance sales strategy is better. When the consumer is risk aversion, due to the existence of risk resistance items, implementing the option advance sales strategy has more relaxed conditions. Meanwhile, and the bigger the risk aversion coefficient is, the more obvious the advantages of option advance sales.
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The choice between energy saving modes for competing manufactures
OUYANG Jianjun, SHEN Houcai, LUO Zican
Systems Engineering - Theory & Practice    2018, 38 (10): 2564-2577.   DOI: 10.12011/1000-6788(2018)10-2564-14
Abstract526)      PDF(pc) (1839KB)(594)       Save
In this paper, we will discuss how two competing energy-intensive manufacturers facing self-saving and shared savings options choose their optimal energy saving modes. First we develop a multi-stage game model based on the assumption that two manufactures are symmetric, then analyze the equilibrium strategies on the choice between energy saving modes for two manufactures. We show that there are two symmetric Nash equilibriums and that two manufactures will prefer the second mode to the first when the investment cost coefficient ratio of the energy service company to the manufacturer is small; otherwise, two manufactures will prefer the first mode to the second. Furthermore, the basic model is extended to situations with asymmetric investment coefficients of two manufactures, asymmetric initial energy efficiencies of two manufactures, shared time less than the life cycle of the energy system and we also show that the equilibrium strategies on the choice between energy saving modes in these situations. Interestingly, we find that the competition intensity between two manufactures has no impact on the equilibrium strategies in the four situations.
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Quantity competition in intelligent electronics supply chains with limited capacity
JI Qingkai, HU Xiangpei, ZHAO Da
Systems Engineering - Theory & Practice    2018, 38 (10): 2578-2586.   DOI: 10.12011/1000-6788(2018)10-2578-09
Abstract472)      PDF(pc) (701KB)(1018)       Save
Motivated by the phenomena in intelligent electronics supply chains, we study capacity/output decision-making in a supply chain with limited capacity. Based on game theory and constrained extreme value theory, we build a three-stage game model, characterize the corresponding equilibrium and the profit division amongst the supply chain. We also conduct sensitivity analysis to see the effect of the parameters. We find that the supplier (also as a competitor to the buyer) may leverage the limited capacity to push the buyer out of the market, while an additional buying option does not necessarily neutralize the supply shortage threat for the buyer. Our conclusions can provide meaningful managerial insights with respect to the quantity competition in intelligent electronics supply chains.
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Research on production decision-making considering consumers' environmental awareness and enterprise's bounded rationality
ZHENG Junjun, WANG Lu, WANG Xiangmin, XU Mingyuan
Systems Engineering - Theory & Practice    2018, 38 (10): 2587-2599.   DOI: 10.12011/1000-6788(2018)10-2587-13
Abstract484)      PDF(pc) (905KB)(922)       Save
This paper studies how enterprise makes production decision of traditional product and green product based on the assumption of perfect rationality and bounded rationality respectively, considering consumers' environmental awareness, under the cap-and-trade mechanism of emission permits. Through the analysis of joint production and separate production of the two products under the above assumptions, some conclusions are drawn. Under the assumption of perfect rationality, there is a range of green subsidy when the two products are jointly produced, which makes the company's total output increases and total discharge decreases with the consumer's environmental awareness increases. At the same time, the output and discharge of joint production are all smaller than those of the separate production, while the total profit is quite the contrary. The above results are still valid under the assumption of bounded rationality. The difference is that the difference of expected production, expected discharge, and expected profit under the two modes are decrease with the increases of the degree of bounded rationality. No matter which production mode the enterprise adopts, the expected production and expected discharge under the assumption of bounded rationality are always higher than Nash equilibrium, while the expected profit is the opposite. What else, the former and the latter increases and decreases with the degree of bounded rationality respectively. Therefore, when enterprises produce multi-category products, joint production has more advantages than separate production, but the advantages will decrease with the degree of bounded rationality increases. What's more, bounded rationality can lead to the formation of "bullwhip effect", which must be taken seriously by enterprises.
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Research on post-disaster emergency material's mobilization production considering raw material supply
GONG Lingjun, ZHANG Jihai, LI Bing
Systems Engineering - Theory & Practice    2018, 38 (10): 2600-2610.   DOI: 10.12011/1000-6788(2018)10-2600-11
Abstract419)      PDF(pc) (878KB)(561)       Save
After a disaster, emergency production will become significant method for ensuring emergency material's demand, if the storage can not satisfy emergency material's demand. Implementation of the government's mobilization policy and change in raw material supply was introduced to describe its influence to emergency material production capacity. A multi-objective programming model for emergency material production and transportation was established to minimize the time of emergency material to the disaster area and minimize the total production and transportation cost. The model contained multiply species of raw material suppliers, multiple emergency material manufacturers and one affected area. The paper applied the NSGA-Ⅱ (Non-dominated Sorting Genetic Algorithm Ⅱ) to the solution of the model and produced Pareto optimal solution set, which could provide decision makers with a variety aids decision-making solutions of emergency materials mobilization production. Simulation case analysis shows that the government needs to implement a plan to mobilize manufacturers and suppliers in order to maximize the manufacturer's productivity advantage.
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Game analysis of enterprises' replacement of emergency supplies and government's monitoring
ZHANG Lin, TIAN Jun, DANG Chuangyin, FENG Yingjie
Systems Engineering - Theory & Practice    2018, 38 (10): 2611-2619.   DOI: 10.12011/1000-6788(2018)10-2611-09
Abstract538)      PDF(pc) (724KB)(902)       Save
Government, who has a primary stake in social safety and welfare, undertakes the task of monitoring enterprises to make sure that they reserve and replace emergency supplies and equipment as required. Nevertheless, the reality is unsatisfactory, which is caused by the hidden information about the reserves' quality and performance. This paper considers a kind of emergency supplies and equipment that are needed to be replaced periodically to guarantee their usability and availability. A government-enterprise game model is established to analyze the enterprise's shirking behaviors and the government's monitoring strategies. The experience based equilibria are generated from a reinforcement learning algorithm. Results demonstrate the effectiveness of utilizing the experience-learning method to solve this kind of moral hazard problem. This study further puts forward managerial implications by analyzing enterprise's replacement strategies and government's monitoring patterns when the enterprise faces different levels of social losses.
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Analysis of anti-terrorism repeated game with different time preference
BAI Yuntao, LIU Dehai
Systems Engineering - Theory & Practice    2018, 38 (10): 2620-2628.   DOI: 10.12011/1000-6788(2018)10-2620-09
Abstract452)      PDF(pc) (707KB)(500)       Save
Governments, civilians and terrorists have different time preferences as terrorism becomes increasingly permanent. The article constructs the anti-terrorist repeated game model with different time preference. Firstly, the paper establishes the stage game model including the two anti-terrorism scenarios:government-civilian collaboration, anti-terrorism failure. Secondly, the players' strategies in the repeated game designs as two types of randomized strategy:one tends to the equilibrium and the other deviates from the equilibrium, then the influence of different time preferences and participant's deviating behaviors on the standardized payment function is compared under the two randomized strategies. Some results are showed in the article:Firstly, as governments or terrorists adopt a strategy of randomization, they will focus on long-term gains and as governments or terrorists adopt strategies that are increasingly irrational and destabilizing, their behaviour will tend to be short-lived. Secondly, due to the government, the civilian and the terrorists are close to a zero-sum game in the game against terrorism, any one taking the disequilibrium randomized behavior will lead to other two sides increasing incomes, but there is a collaborative effect between governments and civilians where all is lost or all is glory. Thirdly, if terrorists adopt a randomized strategy closed to equilibrium, governments take full advantage of the terrorists' mistakes to maximize the governments' short-term gains. However, if terrorists take a randomized strategy tendency to deviate from equilibrium, governments are focused on developing a long-term counter-terrorism strategy.
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Game research on process conflicts under the bounded rationality of science and technology innovation team members
WAN Tao, Hiroshi Otsuki
Systems Engineering - Theory & Practice    2018, 38 (10): 2629-2637.   DOI: 10.12011/1000-6788(2018)10-2629-09
Abstract515)      PDF(pc) (882KB)(668)       Save
Due to the difference of individuals in the team of science and technology innovation, team members are prone to team process conflict due to the differences in tasks and team goals. Based on the moderating effect of process conflict on team collaboration, this paper constructs a process conflict evolutionary game model that focuses on the self-interest of members of S&T team and analyzes the evolutionary stability of the strategy (keeping proper process conflict). The results show that when the net income of team members choosing conflict is greater than the excess return of choosing cooperation, the team members will gradually produce destructive conflict (non-cooperation) in the process of long-term evolutionary learning; the net income of team members choosing conflict is less than the choice during the long-term evolutionary learning process of members, due to the limited rationality of the team members, they can not achieve full cooperation with each other through the learning ability of the members of the game. However, by influencing the team members in the outcome of the evolutionary game, strategic choice of the key parameters of the adjustment, you can gradually generate constructive conflicts, so that the team members to maintain the purpose of cooperation with each other.
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Ship scheduling optimization in multi-harbor basin port considering tidal influence
ZHENG Hongxing, LIU Baoli, WANG Zehao, KUANG Haibo
Systems Engineering - Theory & Practice    2018, 38 (10): 2638-2651.   DOI: 10.12011/1000-6788(2018)10-2638-14
Abstract992)      PDF(pc) (1097KB)(750)       Save
To optimize the ship scheduling in multi-harbor basin port, this paper focuses on the influence of large ships in/outbound harbor with tidal condition. A safe navigation distance for ships in/outbound harbor in one-way channel, in/outbound harbor time alternating conditions and berth limit of continuous berth is considered. A mixed integer linear programming model is proposed to minimize the total waiting time of all ships. Based on the characteristics of ship scheduling optimization, the original problem is decomposed into five sub-problems to obtain initial solution, and the improved harmony search algorithm is designed to solve the problem. In the numerical experiments, the proposed algorithm is compared with the lower bound of the model to illustrate the validity of the algorithm. Results show that the average relative deviation is 2.19%, and the computation time is less than 1 minute. The analyzing results are compared with those under two existing scheduling rules, in which the optimization rates of average objective values are 13.30% and 27.35% respectively for different experiment sizes. The proposed model and algorithm can significantly improve the service efficiency of the port for ships and verify the effectiveness of the schedules.
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Research on government guarantees of highway PPP (Public-Private Partnerships) projects
WU Zhenyao, SHUAI Bin, HU Peng
Systems Engineering - Theory & Practice    2018, 38 (10): 2652-2658.   DOI: 10.12011/1000-6788(2018)10-2652-07
Abstract517)      PDF(pc) (892KB)(627)       Save
In the highway PPP projects, the traffic uncertainty and inflation would have a serious effect on revenue of private sectors. Government usually provides government guarantees, such as minimum traffic guarantee (MTG), tariff and so on, to attract private sectors. In order to evaluate the value of government guarantees, this paper established model of MTG, model of tariff and model of traffic cap (TC). The binomial lattice and Monte Carlo simulation was adopted to simulate operating traffic in these models. Finally, these models were applied to a highway PPP project. The authors find that the impact of tariff on the net present value is greater than that of minimum traffic guarantee in the project. In addition, as for the project, the optimal government guarantee option is a compound option of MTG and TC. The proposed models not only can help government develop reasonable guarantee policies but also can help private sectors to make better investment decisions.
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