SIMPLEST DIFFERENTIAL EQUATION OF STOCK PRICE,ITS SOLUTION AND RELATION TO ASSUMPTION OF BLACK-SCHOLES MODEL

Two kinds of mathematical expressions of stock price, one of which based on certain description is the solution of the simplest differential equation (S.D.E.) obtained by method similar to that used in solid mechanics,the other based on uncertain description (i.e., the statistic theory)is the assumption of Black_Scholes's model (A.B_S.M.) in which the density function of stock price obeys logarithmic normal distribution, can be shown to be completely the same under certain equivalence relation of coefficients. The range of the solution of S.D.E. has been shown to be suited only for normal cases (no profit, or lost profit news, etc.) of stock market, so the same range is suited for A.B_ S.M. as well.

Bidding Strategy in Deregulated Power Market Using Differential Evolution Algorithm

The primary objective of this research article is to introduce Differential Evolution (DE) algorithm for solving bidding strategy in deregulated power market. Suppliers (GENCOs) and consumers (DISCOs) participate in the bidding process in order to maximize the profit of suppliers and benefits of the consumers. Each supplier bids strategically by choosing the bidding coefficients to counter the competitors bidding strategy. Electricity or electric power is traded through bidding in the power exchange. GENCOs sell energy to power exchange and in turn ancillary services to Independent System Operator (ISO). In this paper, Differential Evolution algorithm is proposed for solving bidding strategy problem in operation of power system under deregulated environment. An IEEE 30 bus system with six generators and two large consumers is employed to demonstrate the proposed technique. The results show the adaptability of the proposed method compared with Particle Swarm Optimization (PSO), Genetic Algorithm (GA) and Monte Carlo simulation in terms of Market Clearing Price (MCP).

Nonlinear Differential Equation of Macroeconomic Dynamics for Long-Term Forecasting of Economic Development

In this article we derive a general differential equation that describes long-term economic growth in terms of cyclical and trend components. Equation is based on the model of non-linear accelerator of induced investment. A scheme is proposed for obtaining approximate solutions of nonlinear differential equation by splitting solution into the rapidly oscillating business cycles and slowly varying trend using Krylov-Bogoliubov-Mitropolsky averaging. Simplest modes of the economic system are described. Characteristics of the bifurcation point are found and bifurcation phenomenon is interpreted as loss of stability making the economic system available to structural change and accepting innovations. System being in a nonequilibrium state has a dynamics with self-sustained undamped oscillations. The model is verified with economic development of the US during the fifth Kondratieff cycle (1982-2010). Model adequately describes real process of economic growth in both quantitative and qualitative aspects. It is one of major results that the model gives a rough estimation of critical points of system stability loss and falling into a crisis recession. The model is used to forecast the macroeconomic dynamics of the US during the sixth Kondratieff cycle (2018-2050). For this forecast we use fixed production capital functional dependence on a long-term Kondratieff cycle and medium-term Juglar and Kuznets cycles. More accurate estimations of the time of crisis and recession are based on the model of accelerating log-periodic oscillations. The explosive growth of the prices of highly liquid commodities such as gold and oil is taken as real predictors of the global financial crisis. The second wave of crisis is expected to come in June 2011.

Research on problem about technology insurance pricing based on backward stochastic differential equation theory

The development of Backward Stochastic Differential Equation Theory is just a thing happened in the past years. Although its development and application is far behind Forward Stochastic Differential Equation, its wide application prospect on financial mathematics gets more and more attention. The meaning of Backward Stochastic Differential Equation is that change a already-known final （usually uncertain） goal into a present certain answer to make a present resolution. But Insurance Pricing happens to know the final result, it＇ s certain that the result is uncertain, that is to say, to get out of danger or not. And then make present insurance price according to the future uncertain result. The Insurance Pricing just follows the meaning of Backward Stochastic Differential Equation. Insurance Pricing itself is also a research field sprang up in past scores of years, because insurance pricing is the indisputable core of insurance work, and gets quite a few researchers＇ attention. This article adopts backward stochastic differential equation theory and do research on problem about technology insurance pricing.

非微分Morgenstern-Price法在边坡稳定分析中的应用

推导出Morgenstern—Price法的非微分形式，并编制了基于该方法的程序：设置并行迭代，达到传统MP法一般通用性的要求；设置二一迭代，提高计算收敛速度。通过ACADS均质、非均质边坡算例得出的安全系数与其他算法的比较，验证了该算法的科学可靠性。将此法应用于铁生沟滑坡：天然与饱和状态土体的安全系数分别为1．0838和0．9600，与报告结果的安全系数1．12～1．14和1．00～1．03的范围值基本吻合，表明该方法适用于非均质实际边坡，对边坡的后续监测、防护工作具有指导作用。

G-Contractive Sequential Composite Mapping Theorem in Banach or Probabilistic Banach Space and Application to Prey-Predator System and A &H Stock Prices

Theorems of iteration g-contractive sequential composite mapping and periodic mapping in Banach or probabilistic Bannach space are proved, which allow some contraction ratios of the sequence of mapping might be larger than or equal to 1, and are more general than the Banach contraction mapping theorem. Application to the proof of existence of solutions of cycling coupled nonlinear differential equations arising from prey-predator system and A&H stock prices are given.

Mixed Market Competition in a Quality Differentiated Duopoly Model An Approach to Banking Sector

This paper attempts to develop a theoretical framework to investigate the competitive implications of quality choices of financial institutions whereby they charge prices to consumers based on their willingness to pay for the service qualities in the mixed market scenario under vertical product differentiation model. Initially, it analyzes benchmark equilibrium solutions of monopoly and duopoly to establish the degree of quality differentiation between two private banks in an uncover market configuration. Further, it estimates the quality differentiation between private and public banks, and examines the interaction between two market structures keeping public bank as both leader and follower, and then measures the social welfare from different prospectives. The explicit operation of two stages Nash equilibrium game forecasted that public banks＇ monopoly seems to be still better than a private banking, and it is socially optimal. The outcome demonstrates a significant importance of vertical quality differentiation for policy implication in banking industry and provides an insight on the reasons of particular co-existence of public and private banking services in the specified location. In this context, it is concluded that the presence of public banks in banking industries is a crucial condition for obtaining the higher range of social welfare.

高速铁路列车开行方案与票价票额综合优化

为提升高速铁路的运营组织水平和盈利能力,本文提出高铁列车开行方案与票价票额综合优化方法。首先,构建分时客流需求与票价间弹性需求函数,并分析包括出发时段偏差、乘车耗时及票价的旅客广义出行成本,进而采用多项式Logit模型描述分时弹性客流的列车选择行为。在此基础上,以客票总收入与运营总成本之差最大为目标构建三者综合优化模型。其次,利用OD总收益关于列车票价的偏导构造票价方案搜索策略,使票价邻域解和列车开行方案邻域解相适应,并运用Cplex求解对应的最优票额分配方案,设计模拟退火算法求解模型。最后,基于郑西高速铁路进行算例分析,结果表明:在7个不同弹性系数下进行综合优化,旅客出行成功率和列车平均客座率均在90%以上,优化解的列车开行方案、票价方案及票额分配方案均高度匹配;在5组不同规模算例中,三者综合优化的运营净收益相比于固定票价下的开行方案与票额联合优化和固定开行方案下的票价与票额联合优化,分别提高了4.11%~15.25%和3.17%~13.42%,且人均单位里程出行成本亦分别降低了1.69%~4.96%和0.97%~4.35%,表明综合优化更好地提升了高速铁路的运营收益和旅客服务水平。

双利他偏好下再制造闭环供应链的差异化定价决策

为了给出制造商和零售商双利他偏好下再制造闭环供应链的差异化定价决策,针对无利他偏好、单制造商利他偏好、单零售商利他偏好和双利他偏好4种决策模式,比较分析得出双利他偏好对闭环供应链差异化定价决策和渠道效率的影响。研究发现,增加零售商利他偏好程度会增加新产品和再制造产品批发价;增加双方的利他偏好程度会降低新产品和再制造产品零售价,增加市场需求;增强利他偏好程度会增加废弃产品回收数量,有利于回收再制造;提高制造商和零售商的利他偏好程度将减少自身收益而增加对方收益,同时提升渠道效率;双利他偏好有利于提高闭环供应链整体利润和效率,且比单一利他偏好产生的影响更加显著。

信息基础设施建设、养殖主体分化与生猪价格波动——基于多期双重差分模型的分析

长期以来,中国生猪价格呈现出周期性波动的显著特征。然而,信息对生猪价格波动产生的具体影响尚待深入探究。基于2011—2018年的省级面板数据,借助“宽带中国”战略这一自然实验设定,实证检验了信息基础设施建设对生猪价格波动的影响及作用机制。研究结果显示,信息基础设施建设是生猪价格波动的重要影响因素之一。随着信息基础设施建设水平的提升,养殖户对生猪价格的反应敏感性增强,且信息基础设施建设对生猪价格波动的影响呈现出加速的非线性特征。进一步的调节效应分析显示,养殖主体的分化现象加剧了信息基础设施建设对生猪价格波动的影响。异质性分析则发现,信息基础设施建设主要引发生猪价格的整体大幅波动和负向大幅波动,而对生猪价格的小幅波动和正向大幅波动的影响并不显著。基于上述研究结果,提出为养殖户提供风险管理工具等针对性的建议。

差异定价和跨渠道退货的双渠道供应链复杂特性研究

考虑决策主体的有限理性行为,构建零售商双渠道差异定价的跨渠道退货价格博弈模型,从系统复杂特性的角度分析供应链系统的局部渐近稳定性和演化行为。根据朱利判据给出系统的稳定域,借助数值仿真刻画系统的动力学行为特征,探究系统状态对价格决策和企业利润的影响,并对失稳系统进行有效控制。研究结果表明,价格调整速度过快容易导致供应链系统经倍周期分岔而陷入混沌状态,存在价格调整的稳定域以确保系统稳定;作为博弈主导者的制造商调整批发价格会影响整个系统的稳定性,而零售商的价格调整仅影响自身稳定;混沌的系统对制造商和零售商都不利,倍周期分岔的系统对制造商有利而对零售商有害,稳定的系统对两者都有利;延迟反馈控制法能有效控制混沌系统;消费者满意度对价格的影响受制于供应链系统状态的制约。

“专精特新”企业群体发展对增强我国关键产业链韧性的效应

党的二十届三中全会强调,健全提升产业链供应链韧性和安全水平制度。研究“专精特新”企业群体发展影响产业链韧性的作用效果和机制,有助于精准制定产业政策,促进产业链韧性水平提升。通过模型推导和实证检验,在产业链韧性视角下研究“专精特新”企业群体的强链效应,发现“专精特新”企业的专业化程度、精细化程度、特色化程度和新颖化程度提升,能够显著提升产业链韧性,且该结论通过了替换核心变量、固定行业效应和调整观测期间的稳健性检验。进一步分析发现,随着“专精特新”企业的技术水平更高、资源禀赋更强和价格加权水平更低,其对产业链韧性的提升效果更强。

考虑零售商CSR行为的闭环供应链差别定价及协调

针对零售商进行CSR投入的情形,考虑渠道权利与新产品和再造品的价格差异,分别构建集中与分散决策下的三种闭环供应链博弈模型,分析了零售商的CSR投入及渠道权利对供应链均衡策略及利润的影响,并设计了契约以实现帕累托优化。研究发现,零售商的CSR投入行为会使新产品和再造品的批发价格以及零售价格提高、市场需求量增加;零售商的CSR投入对制造商有着正向影响,而零售商的利润与消费者对CSR投入的敏感度有关;增强新产品与再造品的替代度有利于提高闭环供应链的运作效率,但也会加剧闭环供应链系统的“双重边际”效应。

风险规避型闭环供应链差别定价决策

在不确定市场需求和回收数量的背景下,将决策者风险规避行为纳入到闭环供应链中,研究决策者风险规避系数、消费者WTP(willing to pay)、不确定性水平对闭环供应链的定价影响。研究发现:决策者的风险规避系数会间接影响回收价格;消费者WTP对再制品销售价格总是有利的,但对新产品销售价格和回收价格的影响与决策者风向规避特性有关;不确定性水平对定价决策的影响与风险持有者有关。

限时促销中的跨期定价和定向广告投放策略

随着网络限时促销周期的延长,如何根据市场中不同特征的消费者来制定合理的跨期定价与定向广告投放水平以达到利润最优,是线上商家亟待解决的问题。对此,构建了时间敏感型消费者和价格敏感型消费者并存的两阶段跨期定价与定向广告投放模型,探讨当商家在第1阶段实行统一定价或差异化定价策略下的最优跨期定价与广告投放水平,并对模型进行数值验算。研究发现:无论商家在第1阶段实行何种定价策略,其在第1阶段对价格敏感型消费者的产品定价均高于第2阶段,且商家在第1阶段对价格敏感型消费者的广告投放水平均低于第2阶段。只有当时间敏感型消费者数量的占比大于一定阈值时,商家在第1阶段对时间敏感型消费者的广告投放水平才会高于价格敏感型消费者。无论商家在第1阶段实行统一定价或差异化定价策略,商家的跨期定价与定向广告投放水平随时间敏感型消费者数量比例的变化而调整。与实行统一定价相比,商家实行差异化定价策略下的两阶段总利润更高。商家实行差异化定价策略下,价格敏感型消费者的消费者剩余显著高于时间敏感型消费者,而统一定价策略下的消费者剩余对比结果与时间敏感型消费者数量比例有关。研究结果可为线上商家在限时促销中的跨期定价与定向广告投放提供理论建议。

基于MGWR模型的大城市房价空间分异特征及影响因素分析——以南京市主城区为例

文章以2022年南京市主城居住小区为基本单元,运用空间自相关和克里金插值分析法对主城区房价的空间分布与分异进行分析与模拟,然后引入住房阶层理论在划分不同居住阶层基础上,分析各阶层间的空间分异特征;最后利用混合地理加权回归模型(MGWR),探究住区属性、区位条件、交通特征和配套设施4类因素对主城区房价空间分异的影响。研究表明:(1)南京市主城区房价整体呈现由主城西向周边区域逐步递减的多组团模式;(2)主城区不同住房阶层表现出“西高东低”的空间集聚特征,阶层间虽未出现明显的空间隔离、对立或极化,但富裕阶层对主城优势资源和环境的剥夺现象显著;(3)各类因素对主城区房价具有差异化影响,其中住区属性的影响较稳定,区位条件的影响具有空间全局性,而交通特征和配套设施的影响则存在显著的空间边界效应,即房价与设施空间距离的负相关性具有空间范围界限。

针对温控负载变化的虚拟电厂控制策略研究

温控负载是一种变化剧烈、波动频繁、高峰负荷比例较高的负载,对电网的安全产生了极大的影响。为了应对这一问题,系统的输出功率往往会超过90%负荷最大值的调峰限制。针对虚拟电厂(VPP)系统内的超限过程进行了研究,并提出了2种控制策略,以降低超限总电量或者利用超限电量的同时获取收益。在验证策略的控制效果时,选取了2种由温控负载引起的功率需求的典型变化。研究结果表明,温控负载引起的功率需求峰值的变化对策略具有重要影响。在安全模式下,超限比例与峰值的增加呈反比,而与平均功率的增加呈正比;在收益模式下,峰值变化会影响储能放电过程,平均功率变化则会影响储能充电过程。随着功率需求的增加,收益逐渐减小,收益范围为3.62万~3.25万元。

医保视角下新药创新性认定与价格管理政策的国际对比分析

目的为我国创新药价格体系的完善提供参考。方法基于我国创新药医保管理现状,对比分析国际典型国家或地区创新药认定与价格管理政策,提出完善我国创新药价格体系的建议。结果与结论中国台湾地区、日本、澳大利亚、德国以及英国对于药品创新性认定与分级、区分定价以及后续价格管理3个环节做法不同,但整体而言,都是主要依据药品的临床价值进行创新性认定和分级,依据分级进行差异化定价,并采用风险分担协议或主动价格调整进行价格管理。基于国内外政策对比,建议我国在创新药管理中进一步明晰创新的内涵与分级,应用多种定价方式促进创新分级管理,探索引入风险分担协议,并进一步构建主动药价调整机制,以完善我国创新药价格体系。

时空可达性视角下公共服务设施对住宅价格的影响——基于多尺度地理加权回归(MGWR)的研究

城市住宅价格由多种因素共同作用决定。住宅的建筑特性能够决定其基本价值,但不同的区位条件也会使住宅价格产生差异。区位差异带来的交通、教育、医疗、休闲娱乐等服务的不同,会影响居住便利性,从而影响住宅价格。因此,研究到达公共服务设施的便利程度对住宅价格的影响,能够揭示住宅价格波动的内在规律,为城市规划和政策制定提供依据。文章研究了南京市6个老城区和2个新城区住宅价格的空间分异特征及其影响因素。通过收集2024年1月各小区的平均住宅价格,运用克里金插值法分析住宅价格的空间特征,再用网络分析法计算住宅到各类公共服务设施的最短时间,将住宅属性和通行时间成本纳入MGWR模型来探究公共服务设施可达性对房价空间分布的影响。研究结果表明:(1)南京市住宅价格由市中心向郊区递减,呈现圈层状分布,峰值出现在鼓楼区、玄武区和建邺区;(2)住宅容积率、小区绿化率、到达最近公园、公交车站、购物中心、火车站和三级甲等医院的时间对住宅价格有显著影响;(3)相同因素在不同城市空间对住宅价格的影响存在差异。

质量差异化下信息产品的市场进入策略

考虑消费者对新信息产品质量感知的不确定性,采用博弈论方法构建竞争企业两周期动态定价模型,研究产品质量差异化下信息产品的市场进入和定价策略,并分析消费者的质量不确定性对在位者和进入者最优价格和利润的影响。分别建立高质量产品进入市场和低质量产品进入市场两种情形下的策略模型,通过对比分析发现:高质量产品进入市场时进入者应采用渗透定价,在位者应采用撇脂定价,质量不确定性的增大会导致进入者的产品价格和利润降低;低质量产品进入市场时进入者和在位者都应采取撇脂定价,质量不确定性的增大同样会使进入者的产品价格和利润降低,而在位者的产品价格和利润还受到产品质量差异的影响。此外,在消费者对新信息产品质量感知不确定的情况下,进入企业应采用高质量产品进入策略。