• Volume 17,Issue 1,2014 Table of Contents
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    • Integration of ABM and GIS and its application in analysis of diffusion of

      2014, 17(1):1-10.

      Abstract (341) HTML (0) PDF 418.11 K (1245) Comment (0) Favorites

      Abstract:The diffusion of AEVs (alternative energy vehicles) and their refueling stations are a complex process involving various actors interacting with each other.Current agent-based models for analyzing this process did not consider the real road networks and the distributions of the driving routes.This paper explores a technical solution for the integration of ABM (agent-based modeling) and GIS ( geographic information systems). The core idea of the solution is establishing communications with ArcGIS ( a popular GIS software platform) by using Repast ( a popular ABM simulation software platform) interface to shape files and thus a vector-based loose coupling is realized.With this solution,a simulation platform was developed to study the codiffusion of alternative energy vehicles and their refueling stations based on the real road networks,with Shanghai as an example for simulation.

    • Price duration based on the Box-Cox SCD model

      2014, 17(1):1-9.

      Abstract (149) HTML (0) PDF 216.24 K (1021) Comment (0) Favorites

      Abstract:The SCD model can effectively describe the changes of the durations in the ultra-high time series,but it fixes the logarithmic form for conditional mean function to avoid the negative conditional duration. This paper weakened the restriction of the non-negativity and proposed a Box-Cox SCD model based on the Box-Cox transformation. This new type of SCD model is more flexible,and it can find the most suitable conditional mean function. However,the flexibility is the cost of the complexity of the estimation of the parameters. This paper presented an MCMC estimation and compared the predictions of the Box-Cox SCD model and the SCD model based on the simulated data generated by the TEACD( 1,1) model and by the empirical data of the IF1012 index futures. The empirical study shows that there is obvious clustering in the price durations,and the value of in the Box-Cox SCD model is obviously different from 0,which implies that the logarithmic form of the conditional mean in the SCD model is not reasonable.

    • Strict two-sided matching method based on complete preference ordinal information

      2014, 17(1):1-14.

      Abstract (406) HTML (0) PDF 251.32 K (1186) Comment (0) Favorites

      Abstract:The two-sided matching problem has always been one of the hot issues discussed in the fields of economic management and so on. In the two-sided matching problems with complete preference ordinal information,it is more significant to consider the highest acceptable preference ordinal of two-sided agents.However,this kind of two-sided matching problem has not yet received great attention.Hence,a strict two-sided matching method is proposed.In this paper,the related concept on two-sided matching is firstly introduced,and then the two-sided matching problem with the highest acceptable preference ordinal based on complete preference ordinal information is described. In order to solve the problem,the concept and existence theory of strict two-sided matching is given.Considering the satisfaction degree and the lowest acceptable satisfaction degree of two-sided agents,a multi-objective optimization model is developed. By using linear weighted method,the multi-objective optimization model is converted into a single objective model.The matching result is obtained by solving the model.Finally,an illustrative example of two-sided matching between venture investors and venture businesses is given to illustrate the feasibility and validity of the proposed method.

    • Chance constrained DEA model considering decision maker’s risk appetite

      2014, 17(1):1-10.

      Abstract (263) HTML (0) PDF 244.73 K (1058) Comment (0) Favorites

      Abstract:A chance constrained DEA model breaks the rigid restraints of inputs and outputs on DMUs,allowing some DMUs to exceed the production frontier on the assumption of certain probability of stochastic variables ( usually a sufficiently small confidence level) . Decision makers have different risk appetites towards different DMUs or inputs ( outputs) ,so the efficiency evaluation model considering decision maker’s risk appetite will be more applicable in reality. Based on a Chance constrained DEA model,this paper analyses the relationship between the perceived risk of decision makers and the measurable systematic risk,through which the chance constrained DEA model with decision maker’s risk appetite is constructed and the definitions of chance constrained DEA efficiency with decision maker’s appetite are defined. The numerical analysis not only proves the validity and feasibility of our model,but also reveals the relationship between the efficiencies calculated respectively by our model and the standard CCR model.

    • Impacts of interactions between news attention and investor attention on stock returns: Empirical investigation on financial shares in China

      2014, 17(1):1-14.

      Abstract (596) HTML (0) PDF 437.55 K (1215) Comment (0) Favorites

      Abstract:Most existing studies separately investigate the direct correlations between media attention /investor attention and stock returns,which cause some inconsistent results. To further investigate the relationship among media attention,investor attention and stock price,agenda-setting theory is introduced into the study.With stocks of financial sector shares in China as the research sample,we retrieved media attention and investor attention data by the world's largest Chinese search engine and established a panel model.A pretest of simple correlations analysis predicts that the amount of media attention is negatively correlated with the stock return and the amount of investor attention is positively correlated with the stock return.However,after introducing the interaction term between media attention and investor attention,the negative impact of media attention is unstable( vanishes) ,and the influence of media attention on the current stock returns is weaker than the influence of investor attention on the stock returns.Moreover,we found a significant and positive moderate effect of media attention on the relationship of investor attention and stock returns.The results indicate that investor attention and the consequent investment behavior is the direct motive force for the changes in stock returns, meanwhile the media plays an important role in amplifying the effect of investors’attention on stock returns.

    • Market impact of algorithmic trading

      2014, 17(1):1-15.

      Abstract (504) HTML (0) PDF 519.98 K (1473) Comment (0) Favorites

      Abstract:The prospect of algorithmic trading in China is magnificent due to the exigent demand for reducing trading cost from institutional investors. This paper builds a Socially Embedded Multi Agent( SEMA) model to investigate the impact of algorithmic trading on execution costs,market quality,and trading system. The approach integrates the order book information of real world with a simulation of an artificial financial market to enhance the value and usefulness of the simulation. The research indicates that: ( 1) The average execution costs of VWAP and IS algorithm are lower than those of institutional investors; ( 2) Algorithmic trading can both decrease market volatility by reducing the impact of large orders and improve market liquidity by updating real-time limit orders; ( 3) The growing message traffic caused by algorithmic trading will not exceed the system capacity of Shanghai Stock Exchange in the prometa phase.

    • Value of demand information forecast on remanufacturing strategy of manufacturer

      2014, 17(1):1-13.

      Abstract (181) HTML (0) PDF 324.35 K (1062) Comment (0) Favorites

      Abstract:This paper studies the impact of demand information forecast on remanufacturing of the manufacturer.Two cases where there is a monopoly manufacturer and there are two competing manufacturers are researched respectively.Information sharing between the remanufacturer and the new product manufacturer is analyzed. The results show that demand information forecast is profitable for a monopoly manufacturer,the value of forecast information to the remanufacturer is related to his market sharing,investment coefficient and intensity of price competition and the remanufacturer has incentives to share his information with the new product manufacturer when the accuracy of demand information forecast is low.

    • Market power,server quality,price and expected profit of software-as-aservice provider and customer

      2014, 17(1):1-14.

      Abstract (176) HTML (0) PDF 523.52 K (1104) Comment (0) Favorites

      Abstract:Software-as-a-service ( SaaS) is the software delivery innovation derived from the IT application innovation.It is also an innovation of software outsourcing for customers.SaaS is different from traditional software outsourcing in product form,pricing model,and delivery methods.This paper studies SaaS provider’and its customer’decision behavior,and its effect on expected profits influenced by their different market powers It is found that the overmatched market power does not impact the service quality,but the comparable market power will change the service quality effect factors.The surprising findings are that the total expected profit will increase when the SaaS customer own all the market decision right; when the demand quantity impact customer’s value,the surplus value,price and service quality will increase,and in certain circumstance,the total expected profit and SaaS provider’s expected profit will increase at the same time.Hardwares provided from IaaS can decrease the service price and warrant the service quality,furthermore,they will enlarge the demand quantity.The research will enrich the theoretical model of software outsourcing,and the con_x005fclusions will contribute to the development of SaaS and Cloud Computing.

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