基于双向拍卖的运输服务市场成交概率模型研究

结合运输服务市场承运商和托运人的特点,构建一个基于双向拍卖的运输服务市场成交概率模型。模型在托运人和承运商的不同报价策略下计算双方的成交概率和收益,基于此,得出双方的最优报价策略。最后,通过数值分析对交易者的成交概率与报价策略进行了研究。研究结论可为运输服务市场中托运人和承运商在交易中分析成交概率和实现收益最大化提供有效参考。

技术商品价格模型研究

通过综合考虑影响技术商品价格的各种因素，分别建立了技术商品交易双方各自的理论模型及交易双方实际成交模型，并给出了技术商品成交的图示。

我国期货铝价格波动与成交量和持仓量动态关系的实证分析

本文对我国期货市场中期货铝价格的波动性与成交量和持仓量之间的动态关系进行了实证研究,结果表明:期货铝的当期成交量、预期到的当期成交量和未预期到的当期成交量对于期货价格波动方差具有较显著的影响。在同时考察当期的成交量和持仓量对期货价格波动方差的影响时,铝的当期成交量对期货价格波动方差具有显著的正向影响,在同时考察滞后期的成交量和持仓量对期货价格波动方差的影响时,滞后期持仓量对期货价格波动方差具有显著的正向影响。

Synthesis of indirect work exchange networks considering both isothermal and adiabatic process together with exergy analysis

In this paper, an efficient methodology for synthesizing the indirect work exchange networks(WEN) considering isothermal process and adiabatic process respectively based on transshipment model is first proposed. In contrast with superstructure method, the transshipment model is easier to obtain the minimum utility consumption taken as the objective function and more convenient for us to attain the optimal network configuration for further minimizing the number of units. Different from division of temperature intervals in heat exchange networks,different pressure intervals are gained according to the maximum compression/expansion ratio in consideration of operating principles of indirect work exchangers and the characteristics of no pressure constraints for stream matches. The presented approach for WEN synthesis is a linear programming model applied to the isothermal process, but for indirect work exchange networks with adiabatic process, a nonlinear programming model needs establishing. Additionally, temperatures should be regarded as decision variables limited to the range between inlet and outlet temperatures in each sub-network. The constructed transshipment model can be solved first to get the minimum utility consumption and further to determine the minimum number of units by merging the adjacent pressure intervals on the basis of the proposed merging methods, which is proved to be effective through exergy analysis at the level of units structures. Finally, two cases are calculated to confirm it is dramatically feasible and effective that the optimal WEN configuration can be gained by the proposed method.

Step-wise synthesis of work exchange networks involving heat integration based on the transshipment model

Due to the deterioration of serious energy dilemma,energy-conservation and emission–reduction have been the strategic target in the past decades,thus people have identified the vital importance of higher energy efficiency and the influence of lower carbon development.Since work exchange network is a significant part of energy recovery system,its optima design will have dramatically significant effect on energy consumption reduction in chemical process system.With an extension of the developed transshipment model in isothermal process,a novel step-wise methodology for synthesis of direct work exchange network(WEN)in adiabatic process involving heat integration is first proposed in this paper,where a nonlinear programming(NLP)model is formulated by regarding the minimum utility consumption as objective function and optimizing the initial WEN in accordance with the presented matching rules to get the optimized WEN configuration at first.Furthermore,we focus on the work exchange network synthesis with heat integration to attain the minimal total annual cost(TAC)with the introduction of heat-exchange equipment that is achieved by the following strategies in sequence:introducing heat-exchange equipment directly,adjusting the work quantity of the adjacent utility compressors or expanders,and approximating upper/lower pressure limits consequently to obtain considerable cost savings of expanders or compressors and work utility.Finally,a case taken from the literature is studied to illustrate the feasibility and effectiveness of the proposed method.

Effect of Trader Composition on Stock Market

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.

EQUILIBRIUM IN AN OVERLAPPING GENERATIONS MODEL WITH ALTRUISTIC PREFERENCE WHEN MARKETS ARE FRICTIONAL

Abstract. This paper examines the equilibrium existence of an overlapping generationsmodel with transaction costs. Moreover, we also show that if the equilibrium prices ofbuying equal those of selling the equilibrium allocations are pareto effiCient when the valueof the aggregate endowment at equilibrium price is finite.

Empirical Study of Mean-entropy Model with the Transaction Costs in Portfolio Selection

Entropy can be as a measurement of the uncertainty and mean-entropy optimization model can help investors to make decisions in the imperfect securities market. In this paper, the transaction costs will be added to the mean-entropy model, which makes the model more rational and objective. The empirical study is done in twenty stocks of Shanghai Stock Exchange A Share to verify the model＇s feasibility and effectiveness.

An Optimal Portfolio Model with Transaction Cost

In this paper, a convex programming model for portfolio select with trans- action costs was present, we proved the existence condition of optimal solution, and gave a simple example to the optimal solution.