To solve the problem that the existing situation awareness research focuses on multi-sensor data fusion,but the expert knowledge is not fully utilized,a heterogeneous informa-tion fusion recognition method based on be...To solve the problem that the existing situation awareness research focuses on multi-sensor data fusion,but the expert knowledge is not fully utilized,a heterogeneous informa-tion fusion recognition method based on belief rule structure is proposed.By defining the continuous probabilistic hesitation fuzzy linguistic term sets(CPHFLTS)and establishing CPHFLTS distance measure,the belief rule base of the relationship between feature space and category space is constructed through information integration,and the evidence reasoning of the input samples is carried out.The experimental results show that the proposed method can make full use of sensor data and expert knowledge for recognition.Compared with the other methods,the proposed method has a higher correct recognition rate under different noise levels.展开更多
With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news re...With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news reports on A share listed companies in the Snowball net,and studies the relationship between media attention and investors'heterogeneous beliefs.It is found that media attention is positively correlated with investors'heterogeneous beliefs,that is,investors are more likely to choose stocks frequently reported by media.Further research finds that media reports will strengthen investors'heterogeneous beliefs,affect investors'investment behavior,and ultimately lead to the increase of stock trading volume.展开更多
This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,coo...This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,cooperators and discreet investors.Among these,defectors do not participate in investing,discreet investors make heterogeneous investments based on the investment behavior and cooperation value of their neighbors,and cooperators invest equally in each neighbor.In real life,heterogeneous investment is often accompanied by time or economic costs.The discreet investors in this paper pay a certain price to obtain their neighbors'investment behavior and cooperation value,which quantifies the time and economic costs of the heterogeneous investment process.The results of Monte Carlo simulation experiments in this study show that discreet investors can effectively resist the invasion of the defectors,form a stable cooperative group and expand the cooperative advantage in evolution.However,when discreet investors pay too high a price,they lose their strategic advantage.The results in this paper help us understand the role of heterogeneous investment in promoting and maintaining human social cooperation.展开更多
In this paper, we discuss the optimal insurance in the presence of background risk while the insured is ambiguity averse and there exists belief heterogeneity between the insured and the insurer. We give the optimal i...In this paper, we discuss the optimal insurance in the presence of background risk while the insured is ambiguity averse and there exists belief heterogeneity between the insured and the insurer. We give the optimal insurance contract when maxing the insured’s expected utility of his/her remaining wealth under the smooth ambiguity model and the heterogeneous belief form satisfying the MHR condition. We calculate the insurance premium by using generalized Wang’s premium and also introduce a series of stochastic orders proposed by [1] to describe the relationships among the insurable risk, background risk and ambiguity parameter. We obtain the deductible insurance is the optimal insurance while they meet specific dependence structures.展开更多
In this study,we show that changes in profitability predict a firm's stock returns and future profitability.We construct three horizon-based profitability changes,including short-,medium-,and long-term changes.We ...In this study,we show that changes in profitability predict a firm's stock returns and future profitability.We construct three horizon-based profitability changes,including short-,medium-,and long-term changes.We find that the predictive information for short-term changes in profitability is not subsumed by the profitability level in the Chinese stock market.We also find that short-term profitability changes generate an asymmetrical premium across different market states.Furthermore,we find that the beta anomaly is embedded in the premium generated by a short-term change in profitability.In addition,we explore the underlying mechanisms of the profitability premium and propose a heterogeneous investor belief channel to explain the profitability premium.We find that riskbased q-theory also helps explain the profitability premium.Therefore,the profitability premium comes from a mixed source and cannot be entirely explained by a single theory.展开更多
Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as momentum, contrarians,...Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as momentum, contrarians, and technical trading. The methods have also shown that momentum and price movements can coexist in an asset market with only rational agents. The purpose of this paper is to provide a rational economic theory to explain these phenomena. Results of a dynamic programming model with heterogeneous beliefs show that the dynamic interactions between information diffusion and belief changes create continuation and reversals. The duration and magnitude of momentum and price movements are associated with trading volume. Therefore, rational investors should incorporate price and volume information in their trading decisions.展开更多
This paper studies the trading behavior of an irrational insider and its influence on the market equilibrium in the presence of market regulation.We find that the market with only one insider with private information ...This paper studies the trading behavior of an irrational insider and its influence on the market equilibrium in the presence of market regulation.We find that the market with only one insider with private information is almost close to a strong efficient market,under the condition of market regulation.In the equilibrium,the probability of the insider being caught trading with private information is zero,which shows that the reasonable behavior of the regulator is to essentially give up regulation.But the market efficiency and the irrational trader’s trading intensity all greatly improve because of the existence of the market regulation.展开更多
This paper provides a difference-in-opinions equilibrium framework for pricing asset and option in a multi-period binomial economy with heterogeneous beliefs.Agents agree to disagree about their beliefs on the probabi...This paper provides a difference-in-opinions equilibrium framework for pricing asset and option in a multi-period binomial economy with heterogeneous beliefs.Agents agree to disagree about their beliefs on the probability and asset return in each state of nature.By constructing a consensus belief,we examine the impact of heterogeneous beliefs on market equilibrium.We show that agents'wealth shares are expected to remain the same under the consensus belief,although they are expected to increase under their own beliefs.Also large disagreement leads to lower risk premium,while high disagreement on the future return in up state(down state)leads to lower(higher)risk-free rate and expected return for the risky asset.Furthermore,under the consensus belief,the implied volatility of the call options exhibits some observed patterns widely documented in option markets.展开更多
This study investigates a firm's financing,investment,and payout policies through a rational expectation equilibrium based on which managers and outside investors have heterogeneous prior beliefs.The proposed mode...This study investigates a firm's financing,investment,and payout policies through a rational expectation equilibrium based on which managers and outside investors have heterogeneous prior beliefs.The proposed model demonstrates that managers tend to overinvest(underinvest)if the extent of heterogeneousness is above(below)a threshold,which differs under distinct circumstances.Moreover,a price bubble is positively related to overinvestment,and the model shows that a firm's optimal financing choices and payout policies vary with the assumption of heterogeneous beliefs.展开更多
基金This work was supported by the Youth Foundation of National Science Foundation of China(62001503)the Special Fund for Taishan Scholar Project(ts 201712072).
文摘To solve the problem that the existing situation awareness research focuses on multi-sensor data fusion,but the expert knowledge is not fully utilized,a heterogeneous informa-tion fusion recognition method based on belief rule structure is proposed.By defining the continuous probabilistic hesitation fuzzy linguistic term sets(CPHFLTS)and establishing CPHFLTS distance measure,the belief rule base of the relationship between feature space and category space is constructed through information integration,and the evidence reasoning of the input samples is carried out.The experimental results show that the proposed method can make full use of sensor data and expert knowledge for recognition.Compared with the other methods,the proposed method has a higher correct recognition rate under different noise levels.
文摘With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news reports on A share listed companies in the Snowball net,and studies the relationship between media attention and investors'heterogeneous beliefs.It is found that media attention is positively correlated with investors'heterogeneous beliefs,that is,investors are more likely to choose stocks frequently reported by media.Further research finds that media reports will strengthen investors'heterogeneous beliefs,affect investors'investment behavior,and ultimately lead to the increase of stock trading volume.
基金Project supported by the Open Foundation of Key Laboratory of Software Engineering of Yunnan Province(Grant Nos.2020SE308 and 2020SE309).
文摘This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,cooperators and discreet investors.Among these,defectors do not participate in investing,discreet investors make heterogeneous investments based on the investment behavior and cooperation value of their neighbors,and cooperators invest equally in each neighbor.In real life,heterogeneous investment is often accompanied by time or economic costs.The discreet investors in this paper pay a certain price to obtain their neighbors'investment behavior and cooperation value,which quantifies the time and economic costs of the heterogeneous investment process.The results of Monte Carlo simulation experiments in this study show that discreet investors can effectively resist the invasion of the defectors,form a stable cooperative group and expand the cooperative advantage in evolution.However,when discreet investors pay too high a price,they lose their strategic advantage.The results in this paper help us understand the role of heterogeneous investment in promoting and maintaining human social cooperation.
文摘In this paper, we discuss the optimal insurance in the presence of background risk while the insured is ambiguity averse and there exists belief heterogeneity between the insured and the insurer. We give the optimal insurance contract when maxing the insured’s expected utility of his/her remaining wealth under the smooth ambiguity model and the heterogeneous belief form satisfying the MHR condition. We calculate the insurance premium by using generalized Wang’s premium and also introduce a series of stochastic orders proposed by [1] to describe the relationships among the insurable risk, background risk and ambiguity parameter. We obtain the deductible insurance is the optimal insurance while they meet specific dependence structures.
基金funded by the National Natural Science Foundation of China.(grant numbers:72171167,71532009,71471129,71501140).
文摘In this study,we show that changes in profitability predict a firm's stock returns and future profitability.We construct three horizon-based profitability changes,including short-,medium-,and long-term changes.We find that the predictive information for short-term changes in profitability is not subsumed by the profitability level in the Chinese stock market.We also find that short-term profitability changes generate an asymmetrical premium across different market states.Furthermore,we find that the beta anomaly is embedded in the premium generated by a short-term change in profitability.In addition,we explore the underlying mechanisms of the profitability premium and propose a heterogeneous investor belief channel to explain the profitability premium.We find that riskbased q-theory also helps explain the profitability premium.Therefore,the profitability premium comes from a mixed source and cannot be entirely explained by a single theory.
文摘Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as momentum, contrarians, and technical trading. The methods have also shown that momentum and price movements can coexist in an asset market with only rational agents. The purpose of this paper is to provide a rational economic theory to explain these phenomena. Results of a dynamic programming model with heterogeneous beliefs show that the dynamic interactions between information diffusion and belief changes create continuation and reversals. The duration and magnitude of momentum and price movements are associated with trading volume. Therefore, rational investors should incorporate price and volume information in their trading decisions.
基金supported by the National Natural Science Foundation of China (No. 11971097, 11201060,11126107)Fundamental Research Funds for Central Universitiesthe financial support from the General Project of Science and Technology Plan of Beijing Municipal Commission of Education (No. KM202010017001)
文摘This paper studies the trading behavior of an irrational insider and its influence on the market equilibrium in the presence of market regulation.We find that the market with only one insider with private information is almost close to a strong efficient market,under the condition of market regulation.In the equilibrium,the probability of the insider being caught trading with private information is zero,which shows that the reasonable behavior of the regulator is to essentially give up regulation.But the market efficiency and the irrational trader’s trading intensity all greatly improve because of the existence of the market regulation.
基金Financial support from the Australian Research Council(ARC)under Discovery Grant(DP130103210)the National Natural Science Foundation of China(NSFC)Grant(71320107003)。
文摘This paper provides a difference-in-opinions equilibrium framework for pricing asset and option in a multi-period binomial economy with heterogeneous beliefs.Agents agree to disagree about their beliefs on the probability and asset return in each state of nature.By constructing a consensus belief,we examine the impact of heterogeneous beliefs on market equilibrium.We show that agents'wealth shares are expected to remain the same under the consensus belief,although they are expected to increase under their own beliefs.Also large disagreement leads to lower risk premium,while high disagreement on the future return in up state(down state)leads to lower(higher)risk-free rate and expected return for the risky asset.Furthermore,under the consensus belief,the implied volatility of the call options exhibits some observed patterns widely documented in option markets.
基金This work is supported by the National Natural Science Foundation of China(Nos.71733004 and 71871062)Beijing Natural Science Foundation(No.9174033)Humanities and Social Science Research Project of Ministry of Education of China(Nos.16YJA630078,17YJC630108).
文摘This study investigates a firm's financing,investment,and payout policies through a rational expectation equilibrium based on which managers and outside investors have heterogeneous prior beliefs.The proposed model demonstrates that managers tend to overinvest(underinvest)if the extent of heterogeneousness is above(below)a threshold,which differs under distinct circumstances.Moreover,a price bubble is positively related to overinvestment,and the model shows that a firm's optimal financing choices and payout policies vary with the assumption of heterogeneous beliefs.
