At present, electricity price to grid of domestic power plants is priced by the national administration based on the policy of "one power plant with one electricity price to grid," which is difficult to real...At present, electricity price to grid of domestic power plants is priced by the national administration based on the policy of "one power plant with one electricity price to grid," which is difficult to realize real bidding for access to grid in practice in a short term. This paper presents one kind of power-exchanging transaction model among price-varied power plants, which will be beneficial to price-varied power plants without any loss of profits of them and guarantee state-owned assets profits in minimum loss with no promotion of average price limit by power plants. Under ideal conditions, the computation results showed the sufficiency and necessity of power-exchanging transaction and maximum similarity with the requirements of optimized resources disposition in economics. The presented model is shown to be full of practicability and has been used in some part of power market.展开更多
Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is poss...Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is possible for a short seller to make profits even if he does not have insider information or is not sophisticated. We use a one period model and assume that stock price follows a random walk with a positive drift to show that the＇ expected return for an uninformed short seller is always negative and his risks are always greater than the risks of a stock buyer. Hence a short seller would not trade unless he has superior trading skills and/or information. We also show that the market conditions when the stock＇s dividend yield is greater than the risk free rate gives the shortsellers advantage over stock buyers.展开更多
In this study, we build a double auction market model, which contains two types of agent traders, i.e., the noise traders and fundamentalists, to investigate the effect of the trader composition on the stock market. I...In this study, we build a double auction market model, which contains two types of agent traders, i.e., the noise traders and fundamentalists, to investigate the effect of the trader composition on the stock market. It is found that, the non-trivial Hurst exponent and the fat-tailed distribution of transaction prices can be observed at any ratio of the noise traders. Analyses on the price variation properties, including the Hurst exponent and the price variation region, show that these properties are stable when the ratio is moderate. However, the non-price variation properties, including the trading volume and the profitability of the two kinds of agents, do not keep stable untrivially in any interval of the ratio of noise traders.展开更多
This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three ...This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three methodologies namely the GARCH model, the Generalized Method of Moments （GMM） to estimate systems of equations and the Granger causality test to investigate the relationship more thoroughly. In addition, we introduce the lagged volume as a new explanatory variable in the GARCH model. Overall, the results show the significant contemporaneous and dynamic relationships between trading volume and returns volatility which support the sequential information arrival hypothesis and imply some degree of market inefficiency. The results from this study also show that past information of trading volume can be used to improve the prediction of price volatility. Therefore, regulators and traders could include past information of trading volume of SET50 index futures in tracking and monitoring the market volatility level and the investment risk in order to make a timely decision.展开更多
基金This research is supported by Special Science Fund on University Doctor Science Point of the Department of Education of China (20020698027).
文摘At present, electricity price to grid of domestic power plants is priced by the national administration based on the policy of "one power plant with one electricity price to grid," which is difficult to realize real bidding for access to grid in practice in a short term. This paper presents one kind of power-exchanging transaction model among price-varied power plants, which will be beneficial to price-varied power plants without any loss of profits of them and guarantee state-owned assets profits in minimum loss with no promotion of average price limit by power plants. Under ideal conditions, the computation results showed the sufficiency and necessity of power-exchanging transaction and maximum similarity with the requirements of optimized resources disposition in economics. The presented model is shown to be full of practicability and has been used in some part of power market.
文摘Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is possible for a short seller to make profits even if he does not have insider information or is not sophisticated. We use a one period model and assume that stock price follows a random walk with a positive drift to show that the＇ expected return for an uninformed short seller is always negative and his risks are always greater than the risks of a stock buyer. Hence a short seller would not trade unless he has superior trading skills and/or information. We also show that the market conditions when the stock＇s dividend yield is greater than the risk free rate gives the shortsellers advantage over stock buyers.
基金Supported by National Natural Science Foundation of China under Grant Nos.60973152 and 60573172Doctoral Program Foundation of Institution of Higher Education of China under Crant No.20070141014Natural Science Foundation of Liaoning Province of China under Grant No.20082165
文摘In this study, we build a double auction market model, which contains two types of agent traders, i.e., the noise traders and fundamentalists, to investigate the effect of the trader composition on the stock market. It is found that, the non-trivial Hurst exponent and the fat-tailed distribution of transaction prices can be observed at any ratio of the noise traders. Analyses on the price variation properties, including the Hurst exponent and the price variation region, show that these properties are stable when the ratio is moderate. However, the non-price variation properties, including the trading volume and the profitability of the two kinds of agents, do not keep stable untrivially in any interval of the ratio of noise traders.
文摘This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three methodologies namely the GARCH model, the Generalized Method of Moments （GMM） to estimate systems of equations and the Granger causality test to investigate the relationship more thoroughly. In addition, we introduce the lagged volume as a new explanatory variable in the GARCH model. Overall, the results show the significant contemporaneous and dynamic relationships between trading volume and returns volatility which support the sequential information arrival hypothesis and imply some degree of market inefficiency. The results from this study also show that past information of trading volume can be used to improve the prediction of price volatility. Therefore, regulators and traders could include past information of trading volume of SET50 index futures in tracking and monitoring the market volatility level and the investment risk in order to make a timely decision.
