By using GARCH（1,1）-M and EGARCH（1,1）-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact c...By using GARCH（1,1）-M and EGARCH（1,1）-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact curve of copper future price fluctuation respectively introduced funds speculation position and arbitrage position was given, and the result is consistent with the empirical study conclusion. The results show that investment funds are not the factor that causes copper future price fluctuation, but can reduce the copper future price fluctuation; the copper future price fluctuation is more sensitive to negative information, and ftmd speculative positions can reduce asymmetric effect of copper price fluctuation, while fimds arbitrage position influences less.展开更多
An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is...An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is used as the pricing measure to evaluate European call options by a Monte Carlo simulation method. The proposed method is a purely data driven valuation method without any distributional assumption about the price process of underlying asset. The performance of the proposed method is compared with the canonical valuation method and the historical volatility-based Black-Scholes method in an artificial Black-Scholes world. The simulation results show that the proposed method has merits, and is valuable to financial engineering.展开更多
In order to apply overbooking idea in Chinese railway freight industry to improve revenue, a Markov decision process(dynamic programming) model for railway freight reservation was formulated and the overbooking limit ...In order to apply overbooking idea in Chinese railway freight industry to improve revenue, a Markov decision process(dynamic programming) model for railway freight reservation was formulated and the overbooking limit level was proposed as a control policy. However, computing the dynamic programming treatment needs six nested loops and this will be burdensome for real-world problems. To break through the calculation limit, the properties of value function were analyzed and the overbooking protection level was proposed to reduce the calculating quantity. The simulation experiments show that the overbooking protection level for the lower-fare class is higher than that for the higher-fare class, so the overbooking strategy is nested by fare class. Besides, by analyzing the influence on the overbooking strategy of freight arrival probability and cancellation probability, the proposed approach is efficient and also has a good application prospect in reality. Also, compared with the existing reservation(FCFS), the overbooking strategy performs better in the fields of vacancy reduction and revenue improvement.展开更多
基金Project(20090162120086) supported by Research Fund for the Doctoral Program of Higher Education of ChinaProject(10YJCZH123) supported by Humanity and Social Science Foundation of Ministry of Education of China+2 种基金Project(12JJ4077) supported by the National Natural Science Foundation of Hunan Province of ChinaProject(2009ZK3053) supported by Soft Science Research Project of Hunan Province of ChinaProject supported by the Freedom Explore Program of Central South University,China
文摘By using GARCH（1,1）-M and EGARCH（1,1）-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact curve of copper future price fluctuation respectively introduced funds speculation position and arbitrage position was given, and the result is consistent with the empirical study conclusion. The results show that investment funds are not the factor that causes copper future price fluctuation, but can reduce the copper future price fluctuation; the copper future price fluctuation is more sensitive to negative information, and ftmd speculative positions can reduce asymmetric effect of copper price fluctuation, while fimds arbitrage position influences less.
基金Funded by the Natural Science Foundation of China under Grant No.10571065.
文摘An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is used as the pricing measure to evaluate European call options by a Monte Carlo simulation method. The proposed method is a purely data driven valuation method without any distributional assumption about the price process of underlying asset. The performance of the proposed method is compared with the canonical valuation method and the historical volatility-based Black-Scholes method in an artificial Black-Scholes world. The simulation results show that the proposed method has merits, and is valuable to financial engineering.
基金Project(2010QZZD021)supported by the Fundamental Research Funds for the Central Universities,ChinaProject(2015F024)supported by China Railway Science and Technology Research Development Program
文摘In order to apply overbooking idea in Chinese railway freight industry to improve revenue, a Markov decision process(dynamic programming) model for railway freight reservation was formulated and the overbooking limit level was proposed as a control policy. However, computing the dynamic programming treatment needs six nested loops and this will be burdensome for real-world problems. To break through the calculation limit, the properties of value function were analyzed and the overbooking protection level was proposed to reduce the calculating quantity. The simulation experiments show that the overbooking protection level for the lower-fare class is higher than that for the higher-fare class, so the overbooking strategy is nested by fare class. Besides, by analyzing the influence on the overbooking strategy of freight arrival probability and cancellation probability, the proposed approach is efficient and also has a good application prospect in reality. Also, compared with the existing reservation(FCFS), the overbooking strategy performs better in the fields of vacancy reduction and revenue improvement.
