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基于预期理论的动态随机价格模型及应用
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作者 刘法贵 徐捷 《华北水利水电学院学报》 2013年第1期122-125,共4页
以研究动态随机价格调整过程为目的,以随机价格模型为基础,建立随机价格的状态转移模型,与软商品价格的季节性与均值复归性两大特性相结合,推导出在预期理论基础上的随机价格状态测量方程.最后以郑州白糖为例,从现货价格提供的信息推断... 以研究动态随机价格调整过程为目的,以随机价格模型为基础,建立随机价格的状态转移模型,与软商品价格的季节性与均值复归性两大特性相结合,推导出在预期理论基础上的随机价格状态测量方程.最后以郑州白糖为例,从现货价格提供的信息推断出基差动态调整过程. 展开更多
关键词 随机价格模型 预期理论 基差
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Short Sellers Are Indeed Sophisticated Traders!
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作者 Edward R. Lawrence 《Journal of Modern Accounting and Auditing》 2012年第2期221-231,共11页
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
关键词 short sale behavioral finance short sale and options informed trading
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An electricity price model with consideration to load and gas price effects
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作者 黄民翔 陶小虎 韩祯祥 《Journal of Zhejiang University Science》 CSCD 2003年第6期666-671,共6页
Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent o... Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion(GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model. 展开更多
关键词 Electricity market Stochastic process Electricity price GAS
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An alternative lattice algorithm for option pricing
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作者 LIU Shu-ing LIU Yu-chung 《Chinese Business Review》 2010年第5期1-7,共7页
This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR (1979) model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payo... This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR (1979) model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes: the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved. 展开更多
关键词 lattice model intrinsic expected value vulnerable options
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基于预期理论框架的农产品期货基差行为 被引量:4
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作者 易蓉 张文 +1 位作者 陈冲 汪寿阳 《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2010年第11期1954-1959,共6页
以研究农产品期货基差动态调整过程为目的,根据在预期理论框架下期货价格等于未来现货价格无偏估计值的理论前提,基差与现货价格的关系可以由状态空间模型来识别.结合农产品价格的季节性和均值复归性的两大特性,首先建立现货价格的状态... 以研究农产品期货基差动态调整过程为目的,根据在预期理论框架下期货价格等于未来现货价格无偏估计值的理论前提,基差与现货价格的关系可以由状态空间模型来识别.结合农产品价格的季节性和均值复归性的两大特性,首先建立现货价格的状态转移方程,然后基于预期理论框架推导出基差的状态量测方程,构造状态空间模型,从现货价格提供的信息来推断基差动态调整过程,最后以郑州强麦为例进行了实证分析. 展开更多
关键词 基差 预期理论 状态空间模型 农产品随机价格模型
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ANALYSES OF LOCATION-PRICE GAME ON NETWORKS WITH STOCHASTIC CUSTOMER BEHAVIOR AND ITS HEURISTIC ALGORITHM 被引量:1
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作者 Xiaoshan LU Jian LI Fengmei YANG 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2010年第4期701-714,共14页
In this paper,a two-stage model is developed to investigate the location strategy andthe commodity pricing strategy for a retail firm that wants to enter a spatial market with multiplecompetitive facilities,where a co... In this paper,a two-stage model is developed to investigate the location strategy andthe commodity pricing strategy for a retail firm that wants to enter a spatial market with multiplecompetitive facilities,where a competitor firm is already operating as a monopoly with several outlets.Expected market shares are calculated based on the stochastic customer behavior on networks.Theauthors provide a sufficient condition for the existence of equilibrium prices in the price game for thefirst time.The existence and uniqueness of the pure strategy Nash equilibrium price with a specifiedutility function are proved in the subgame.A metaheuristic based on tabu search is proposed tosearch the optimal location-price solution of the model.In addition,the authors provide two numericalexamples to illustrate how to obtain the optimal solution and conduct sensitivity analysis.The analysisshows that the best location decision is robust for the follower firm,price game is more intense whenincomes of consumers are lower or there are more substitution products,and neither chain retail gainsfrom the price competition. 展开更多
关键词 Competitive location HEURISTIC Nash equilibrium NETWORKS PRICING tabu search two- stage model.
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