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...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.展开更多
针对允许横向供应的单级多点库存系统,建立了库存系统不缺货(not out of stock,NOOS)概率和器材保障总延误时间模型,并给出了给定各点库存数量下保障延误时间仿真算法。在此基础上,以库存系统的总保障延误时间最小为目标,以库存系统的N...针对允许横向供应的单级多点库存系统,建立了库存系统不缺货(not out of stock,NOOS)概率和器材保障总延误时间模型,并给出了给定各点库存数量下保障延误时间仿真算法。在此基础上,以库存系统的总保障延误时间最小为目标,以库存系统的NOOS概率为约束,提出了一种器材配置优化的策略,并用算例验证了保障延误时间仿真算法和器材配置优化策略的可行性。展开更多
基于Easley、Hvidkjaer和O’Hara的序贯交易模型与PIN(Probability of Inform ation-based Trading,基于信息的交易比率)指标对我国股市知情交易情况进行的实证分析研究结果表明:(1)我国股市信息不对称程度较高;(2)由于知情交易者利用...基于Easley、Hvidkjaer和O’Hara的序贯交易模型与PIN(Probability of Inform ation-based Trading,基于信息的交易比率)指标对我国股市知情交易情况进行的实证分析研究结果表明:(1)我国股市信息不对称程度较高;(2)由于知情交易者利用坏消息的能力有限且流动性交易水平较高,我国股市知情交易比率并不太高;(3)知情交易比率与后续期间股票收益率的负相关性,表明我国股市中市场操控型知情交易比较严重。因此,我们认为应进一步完善上市公司的信息披露制度,降低投资者之间的信息不对称程度,同时确保流动性投资者参与股市的积极性;在引入做空机制时应慎重考虑和综合权衡,避免不适当地增加流动性投资者所承担的逆向选择风险水平,降低股市的流动性供给和风险分散功能;证券市场监管部门应进一步加强对异常交易活动的监控,加大对市场操纵行为的打击力度,以确保我国证券市场的健康发展。展开更多
文摘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.
文摘针对允许横向供应的单级多点库存系统,建立了库存系统不缺货(not out of stock,NOOS)概率和器材保障总延误时间模型,并给出了给定各点库存数量下保障延误时间仿真算法。在此基础上,以库存系统的总保障延误时间最小为目标,以库存系统的NOOS概率为约束,提出了一种器材配置优化的策略,并用算例验证了保障延误时间仿真算法和器材配置优化策略的可行性。
文摘基于Easley、Hvidkjaer和O’Hara的序贯交易模型与PIN(Probability of Inform ation-based Trading,基于信息的交易比率)指标对我国股市知情交易情况进行的实证分析研究结果表明:(1)我国股市信息不对称程度较高;(2)由于知情交易者利用坏消息的能力有限且流动性交易水平较高,我国股市知情交易比率并不太高;(3)知情交易比率与后续期间股票收益率的负相关性,表明我国股市中市场操控型知情交易比较严重。因此,我们认为应进一步完善上市公司的信息披露制度,降低投资者之间的信息不对称程度,同时确保流动性投资者参与股市的积极性;在引入做空机制时应慎重考虑和综合权衡,避免不适当地增加流动性投资者所承担的逆向选择风险水平,降低股市的流动性供给和风险分散功能;证券市场监管部门应进一步加强对异常交易活动的监控,加大对市场操纵行为的打击力度,以确保我国证券市场的健康发展。
