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The Caching and Pricing Strategy for Information-Centric Networking with Advertisers’Participation
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作者 Zheng Quan Yan Wenliang +4 位作者 Wu Rong Tan Xiaobin Yang Jian Yuan Liu Xu Zhenghuan 《China Communications》 SCIE CSCD 2024年第3期283-295,共13页
As users’access to the network has evolved into the acquisition of mass contents instead of IP addresses,the IP network architecture based on end-to-end communication cannot meet users’needs.Therefore,the Informatio... As users’access to the network has evolved into the acquisition of mass contents instead of IP addresses,the IP network architecture based on end-to-end communication cannot meet users’needs.Therefore,the Information-Centric Networking(ICN)came into being.From a technical point of view,ICN is a promising future network architecture.Researching and customizing a reasonable pricing mechanism plays a positive role in promoting the deployment of ICN.The current research on ICN pricing mechanism is focused on paid content.Therefore,we study an ICN pricing model for free content,which uses game theory based on Nash equilibrium to analysis.In this work,advertisers are considered,and an advertiser model is established to describe the economic interaction between advertisers and ICN entities.This solution can formulate the best pricing strategy for all ICN entities and maximize the benefits of each entity.Our extensive analysis and numerical results show that the proposed pricing framework is significantly better than existing solutions when it comes to free content. 展开更多
关键词 ADVERTISERS CACHE free content Information-Centric Networking pricing strategy
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Dynamic Pricing Strategies Using Artificial Intelligence Algorithm
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作者 Murat Basal Emel Saraç Kadir Özer 《Open Journal of Applied Sciences》 2024年第8期1963-1978,共16页
Pricing strategies can have a huge impact on a company’s success. This paper focuses on the advantages and disadvantages of using artificial intelligence in dynamic pricing strategies. A good understanding of the pos... Pricing strategies can have a huge impact on a company’s success. This paper focuses on the advantages and disadvantages of using artificial intelligence in dynamic pricing strategies. A good understanding of the possible benefits and challenges will help companies to understand the impact of their chosen pricing strategies. AI-driven Dynamic pricing has great opportunities to increase a firm’s profits. Firms can benefit from personalized pricing based on personal behavior and characteristics, as well as cost reduction by increasing efficiency and reducing the need to use manual work and automation. However, AI-driven dynamic rewarding can have a negative impact on customers’ perception of trust, fairness and transparency. Since price discrimination is used, ethical issues such as privacy and equity may arise. Understanding the businesses and customers that determine pricing strategy is so important that one cannot exist without the other. It will provide a comprehensive overview of the main advantages and disadvantages of AI-assisted dynamic pricing strategy. The main objective of this research is to uncover the most notable advantages and disadvantages of implementing AI-enabled dynamic pricing strategies. Future research can extend the understanding of algorithmic pricing through case studies. In this way, new, practical implications can be developed in the future. It is important to investigate how issues related to customers’ trust and feelings of unfairness can be mitigated, for example by price framing. 展开更多
关键词 Artificial Intelligence ALGORITHM DYNAMIC pricing strategy
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Maximizing Supermarket Profits:Data-Driven Strategies for Pricing,Sales,and Forecasting
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作者 Wenkang Li 《Proceedings of Business and Economic Studies》 2024年第1期117-126,共10页
The actual circumstances of daily life are crucial for the purchasing and pricing strategies of supermarkets.Developing strategies based on these circumstances can assist businesses in ensuring profits and fostering w... The actual circumstances of daily life are crucial for the purchasing and pricing strategies of supermarkets.Developing strategies based on these circumstances can assist businesses in ensuring profits and fostering win-win cooperation.This paper explores methods to maximize profit through purchasing and sales strategies.Initially,the relevant data for various categories of vegetables is integrated.Through histograms,their sales patterns are directly understood,highlighting the most popular vegetables.Upon analyzing each vegetable category,it becomes evident that their sales data do not conform to normal distributions.Therefore,Spearman correlation coefficients are calculated,revealing strong correlations between certain categories,such as aquatic roots and edible fungi.A line chart depicting the top ten selling vegetables indicates a noticeable periodicity.Traditional fitting methods struggle to adequately model the sales of each vegetable category and their relationship with cost-plus pricing.To address this,additional factors such as holidays,weeks,and months are incorporated using techniques like random forest regression.This approach yields cost-plus pricing dependence curves that better capture the relationship,while effectively managing noise.Regarding sales volume prediction,the original data displays significant volatility,necessitating the handling of outliers using the threshold method.For missing data,linear interpolation is employed to mitigate the impact of continuous missing values on prediction accuracy.Subsequently,Adam-optimized long short-term memory(LSTM)networks are utilized to forecast incoming quantities for the next seven days.By extrapolating from normal sales volume,market capacity is estimated,allowing for additional sales through discount strategies.This framework has the potential to increase original income by 1.1 times. 展开更多
关键词 Long short-term memory(LSTM) pricing strategy Decision making
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Coordinating pricing strategies in supply chain under asymmetric information and disruptions 被引量:1
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作者 庄品 赵林度 《Journal of Southeast University(English Edition)》 EI CAS 2007年第S1期15-22,共8页
The coordinating pricing strategies with asymmetric cost information under disruptions are investigated in a one-supplier-one-retailer supply chain system.While the retailer's cost structure is asymmetric informat... The coordinating pricing strategies with asymmetric cost information under disruptions are investigated in a one-supplier-one-retailer supply chain system.While the retailer's cost structure is asymmetric information,supply chain pricing contract models(a wholesale price contract and an all-unit quantity discount contract)under asymmetric information are proposed by employing the principal-agent principle in a regular scenario.When the retailer's cost distribution is fluctuated by disruptions,we obtain the optimal emergency strategies of the supply chain under asymmetric information by considering deviation costs and show how to effectively handle the cost uncertainty.Using numerical methods,impacts of cost disruptions on the optimal wholesale price,the retailer price,the order quantity and the expected profits of the retailer,the supplier,as well as the total system are analyzed.It is found that the all-unit quantity discount policy can obtain better performance than the wholesale pricing policy. 展开更多
关键词 supply chain disruption management asymmetry information pricing strategy
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Altruism and Pricing Strategy in Dual-Channel Supply Chains 被引量:23
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作者 Kuiran Shi Feng Jiang Qi Ouyang 《American Journal of Operations Research》 2013年第4期402-412,共11页
With the development of behavioral operational management, human behavior such as altruism, fairness and trust has received considerable attention. This paper studies the effect of altruism on retailer’s and manufact... With the development of behavioral operational management, human behavior such as altruism, fairness and trust has received considerable attention. This paper studies the effect of altruism on retailer’s and manufacturer’s pricing strategy in two classic dual-channel supply chains by presenting Stackelberg game models. The analysis shows that the player’s altruism preference strongly affects their pricing strategies. The more altruistic one player is, the more profits the other player obtains. Moreover, the effect of manufacturer’s altruistic preference is larger than that of retailer’s. In addition, online price is always lower than offline price in dual-channel supply chain, which still holds true considering altruism. The results also reveal that the product web-fit has significant effect on the player’s optimal pricing strategies. The more compatible with online market the product is, the lower the retail price is set, and the more profit the manufacturer obtains whereas the less the retailer gets. 展开更多
关键词 ALTRUISM DUAL-CHANNEL Supply CHAIN pricing strategy PRODUCT Web-Fit
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Price leadership strategy or branding strategy:an empirical test of indigenous Chinese exporters
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作者 Chen Xi1 Hu Zuohao1 Zhao Ping1 Song Hua2(1 School of Economics and Management, Tsinghua University, Beijing 100084, China)(2 School of Business, Renmin University of China, Beijing 100872,China) 《Journal of Southeast University(English Edition)》 EI CAS 2008年第S1期174-179,共6页
The effects of price leadership strategies and branding strategies on the export performance of indigenous Chinese exporters with a focus on developing country markets and developed country markets are examined based ... The effects of price leadership strategies and branding strategies on the export performance of indigenous Chinese exporters with a focus on developing country markets and developed country markets are examined based on the principles of strategy-environment co-alignment and marketing segmentation theory. Findings suggest that when focusing on developing country markets, the use of a branding strategy is more likely to enhance export performance. When focusing on developed country markets, neither the use of a price leadership strategy nor the use of a branding strategy enhances export performance. Finally, theoretical and managerial implications of the findings are discussed. 展开更多
关键词 price leadership strategy branding strategy export target markets export performance
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Low cost development strategy for oilfields in China under low oil prices
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作者 SONG Xinmin QU Debin ZOU Cunyou 《Petroleum Exploration and Development》 CSCD 2021年第4期1007-1018,共12页
By reviewing the challenges in the development of oilfields in China under low oil prices,this study analyzes the root causes of cost rising,put forwards the low cost oilfield development strategy and specific paths t... By reviewing the challenges in the development of oilfields in China under low oil prices,this study analyzes the root causes of cost rising,put forwards the low cost oilfield development strategy and specific paths to realize the strategy,and predicts the development potential and prospect of oilfields in China.In addition to the low grade of the reservoir and high development maturation,the fundamental reasons of development full cost rising of oilfields in China are as follows:(1)Facing the problem of resources turning poorer in quality,we have built production capacity at a pace too fast before making enough technical and experimental preparation;(2)technical engineering service model leads to high service cost;(3)team of oil development expertise and matched engineering system cannot satisfy the technical requirements of stabilizing oil production,controlling water cut and fine development.To realize development at low cost,the core is to increase economic recoverable reserves.The concrete paths include:(1)to explore the"Daqing oilfield development culture",improve the ability of leaders in charge of development,and inspire potential of staff;(2)to improve the ability of reservoir dynamics control,and implement precise development by following scientific principles;(3)to speed up integration of water flooding and enhanced oil recovery(EOR)and technological upgrading in order to enhance oil recovery;(4)to innovate key techniques in gas flooding and accelerate the industrial popularization of gas flooding;(5)to break the related transaction barriers and create new management models;and(6)to collaboratively optimize strategic layout and cultivate key oil bases.Although oilfield development in China faces huge challenges in cost,the low-cost development strategy will succeed as long as strategic development of mature and new oil fields is well planned.The cores to lower cost are to control decline rate and enhance oil recovery in mature oil fields,and increase single well productivity through technical innovation and improve engineering service efficiency through management innovation in new oil fields. 展开更多
关键词 low oil price oilfield development low cost strategy economically recoverable reserves leadership of development development culture
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Study on the Strategy of Pricing for Enterprise Merger and Acquisition
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作者 Changqing Li Yan Zheng 《Chinese Business Review》 2004年第7期54-59,共6页
Enterprise merger and acquisition is one of the property right exchanges. This paper researches the strategy of pricing for enterprise merger and acquisition, displays finance decision-making model, program and method.
关键词 enterprise merger and acquisition strategy of pricing auction
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Profit Strategy of CNPC's Overseas Business in a Oil Price Downturn
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作者 Lu Ruquan 《China Oil & Gas》 CAS 2017年第1期40-41,共2页
In 2016,CNPC managed to achieve a profit even despite the fact that the international oil price was lingering at a decade low.This was the third year in a row for the group to gain profit.Moreover,2016 was a year that... In 2016,CNPC managed to achieve a profit even despite the fact that the international oil price was lingering at a decade low.This was the third year in a row for the group to gain profit.Moreover,2016 was a year that marked significant gains for both CNPC’s operational and non-operational business,and the company also did excellent work in terms of international trading。 展开更多
关键词 CNPC high In Profit strategy of CNPC’s Overseas Business in a Oil Price Downturn
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Price Paradox and Strategic Choice of "Vegetable Basket" in China
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作者 LI Wu Economics and Management Department,Nanchang Hangkong University,Nanchang 330063,China 《Asian Agricultural Research》 2011年第5期4-7,共4页
By using the analysis method of game theory,this paper analyzes the phenomenon of price paradox of "vegetable basket" in China and its reason as follows:the price paradox of "vegetable basket" in C... By using the analysis method of game theory,this paper analyzes the phenomenon of price paradox of "vegetable basket" in China and its reason as follows:the price paradox of "vegetable basket" in China is that if the vegetable is cheap,it will harm farmers,and if the vegetable is expensive,it will harm people;high-cost logistics,low negotiation status of vegetable growers and cooperation predicament are responsible for price paradox.Based on the theoretical basis of strategic choice-theory of intermediaries,it indicates that the intermediaries can realize effective transaction and save transaction cost.The strategic choice of solving price paradox of "vegetable basket" is put forward as follows:support vegetable growers' cooperatives,reduce transaction cost and raise the negotiation status of vegetable growers;develop the model of connection of agricultural products and supermarkets,and reduce the cost of transport and distribution;innovate upon intermediaries and develop the third-party logistics. 展开更多
关键词 VEGETABLE basket PRICE PARADOX TRANSACTION COST St
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Comparative Analysis of the Effects of False Low-Price Marketing Strategy on Multiple Platforms
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作者 Wanting He Xixi Zhu Lianghui Zhao 《Proceedings of Business and Economic Studies》 2021年第6期32-38,共7页
In order to make full use of the characteristics of commodity prices,merchants on e-commerce platforms have adopted the low-price marketing strategy.Regular promotional discounts can bring new vitality to the commodit... In order to make full use of the characteristics of commodity prices,merchants on e-commerce platforms have adopted the low-price marketing strategy.Regular promotional discounts can bring new vitality to the commodity sales market,but extreme discount marketing methods would lead to serious impacts on the sales of competing products,thus affecting the stable development of the online shopping market.The sales data of four electrical products using the false low-price marketing strategy on three e-commerce platforms(Taobao,JD,and Amazon)were used in this study.The sales data from different e-commerce platforms and different time periods were analyzed,and one-way ANOVA was used on the factors affecting the effect of marketing strategy.The results showed that there is a significant difference between the direct marketing of high-priced products and low-priced products on Taobao;the difference between the marketing effects of high-priced products and mid-priced products on JD and Amazon is significant.This analysis would help businesses formulate reasonable marketing strategies and promote the stable development of the online shopping market. 展开更多
关键词 E-commerce platform False low price Marketing strategy Marketing effect
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Decomposition laws of tungsten prices fluctuation since 1900 and its applications 被引量:3
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作者 朱灏 何杭飞 +2 位作者 王昶 张晶 朱学红 《Transactions of Nonferrous Metals Society of China》 SCIE EI CAS CSCD 2013年第9期2807-2816,共10页
Tungsten current price was transformed yearly to its constant price since 1900, which is roughly decomposed into four components as trend, cycle, impact and random. The core prices, consisting of the trend and the cyc... Tungsten current price was transformed yearly to its constant price since 1900, which is roughly decomposed into four components as trend, cycle, impact and random. The core prices, consisting of the trend and the cycle, present regularities that a long-run cycle is embedded within two major cycles, and major cycle is composed of low-price period and high-price period, along with the rapid rise into a tower, and along with deep down into next trough; three sharply upward shocks occur by the events in a tower. Fluctuations in prices trend to slow cycles and expand the bands. It can be expected that tungsten price will highly stand over 17 a, and is is a advice that reducing production and restricting export maybe maintain a high price level. 展开更多
关键词 TUNGSTEN PRICE cycle trend impact fixed price strategy management
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Optimal pricing and production decisions in a supply chain with e-marketplace 被引量:1
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作者 何勇 赵林度 何炬 《Journal of Southeast University(English Edition)》 EI CAS 2007年第S1期8-14,共7页
The concept of the e-marketplace is introduced.Considering a supply chain with a single manufacturer who sells a single item in an e-marketplace,an analytical model for the use of the e-marketplace in a supply chain i... The concept of the e-marketplace is introduced.Considering a supply chain with a single manufacturer who sells a single item in an e-marketplace,an analytical model for the use of the e-marketplace in a supply chain is provided.Assuming the market demand is stochastic and price-dependent,the conditions under which the manufacturer and the e-marketplace owner share the market in equilibrium is developed.The existence and uniqueness of the optimal selling price,quantity and transaction percentage are proved.An integrated supply chain is put forward,and then the efficiency of supply chain coordination is studied by comparing the integrated supply chain with the decentralized supply chain.To gain further insights on the theoretical models,extensive simulations are then carried out. 展开更多
关键词 supply chain management E-MARKETPLACE strategy pricing COORDINATION
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Imperfect targeted advertising with two-period competition
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作者 邹翔 仲伟俊 梅姝娥 《Journal of Southeast University(English Edition)》 EI CAS 2014年第3期374-379,共6页
A two-period model is developed to investigate the competitive effects of targeted advertising with imperfect targeting in a duopolistic market. In the first period, two firms compete in price in order to recognize cu... A two-period model is developed to investigate the competitive effects of targeted advertising with imperfect targeting in a duopolistic market. In the first period, two firms compete in price in order to recognize customers. In the second period, targeted advertising plays an informative role and acts as a price discrimination device. The firms' optimal advertising and pricing strategies under imperfect targeting are compared with those under perfect targeting. Equilibrium decisions show that, under imperfect targeting, when the advertising cost is low enough, both firms will choose to target ads at the rivals' old segments. This equilibrium, which could not exist under perfect targeting, results in two opposite results. When cost is high, the effect of mis-targeting will soften price competition and increase profits; on the contrary, when cost is low enough, it will lead to aggressive price competition and profit loss with the increase of imperfect targeting, so firms may have incentives to reduce the mis- targeting degree. 展开更多
关键词 targeted advertising imperfect targeting price discrimination two-period game
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Road Pricing Design Based on Game Theory and Multi-agent Consensus 被引量:2
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作者 Nan Xiao Xuehe Wang +3 位作者 Lihua Xie Tichakorn Wongpiromsarn Emilio Frazzoli Daniela Rus 《IEEE/CAA Journal of Automatica Sinica》 SCIE EI 2014年第1期31-39,共9页
Consensus theory and noncooperative game theory respectively deal with cooperative and noncooperative interactions among multiple players/agents. They provide a natural framework for road pricing design, since each mo... Consensus theory and noncooperative game theory respectively deal with cooperative and noncooperative interactions among multiple players/agents. They provide a natural framework for road pricing design, since each motorist may myopically optimize his or her own utility as a function of road price and collectively communicate with his or her friends and neighbors on traffic situation at the same time. This paper considers the road pricing design by using game theory and consensus theory. For the case where a system supervisor broadcasts information on the overall system to each agent, we present a variant of standard fictitious play called average strategy fictitious play(ASFP) for large-scale repeated congestion games.Only a weighted running average of all other players actions is assumed to be available to each player. The ASFP reduces the burden of both information gathering and information processing for each player. Compared to the joint strategy fictitious play(JSFP) studied in the literature, the updating process of utility functions for each player is avoided. We prove that there exists at least one pure strategy Nash equilibrium for the congestion game under investigation, and the players actions generated by the ASFP with inertia(players reluctance to change their previous actions) converge to a Nash equilibrium almost surely. For the case without broadcasting, a consensus protocol is introduced for individual agents to estimate the percentage of players choosing each resource, and the convergence property of players action profile is still ensured. The results are applied to road pricing design to achieve socially local optimal trip timing. Simulation results are provided based on the real traffic data for the Singapore case study. 展开更多
关键词 AVERAGE strategy fictitious play(ASFP) gametheory MULTI-AGENT CONSENSUS ROAD pricing
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Dynamic Pricing Model of E-Commerce Platforms Based on Deep Reinforcement Learning 被引量:1
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作者 Chunli Yin Jinglong Han 《Computer Modeling in Engineering & Sciences》 SCIE EI 2021年第4期291-307,共17页
With the continuous development of artificial intelligence technology,its application field has gradually expanded.To further apply the deep reinforcement learning technology to the field of dynamic pricing,we build a... With the continuous development of artificial intelligence technology,its application field has gradually expanded.To further apply the deep reinforcement learning technology to the field of dynamic pricing,we build an intelligent dynamic pricing system,introduce the reinforcement learning technology related to dynamic pricing,and introduce existing research on the number of suppliers(single supplier and multiple suppliers),environmental models,and selection algorithms.A two-period dynamic pricing game model is designed to assess the optimal pricing strategy for e-commerce platforms under two market conditions and two consumer participation conditions.The first step is to analyze the pricing strategies of e-commerce platforms in mature markets,analyze the optimal pricing and profits of various enterprises under different strategy combinations,compare different market equilibriums and solve the Nash equilibrium.Then,assuming that all consumers are naive in the market,the pricing strategy of the duopoly e-commerce platform in emerging markets is analyzed.By comparing and analyzing the optimal pricing and total profit of each enterprise under different strategy combinations,the subgame refined Nash equilibrium is solved.Finally,assuming that the market includes all experienced consumers,the pricing strategy of the duopoly e-commerce platform in emerging markets is analyzed. 展开更多
关键词 Deep reinforcement learning e-commerce platform dynamic evaluation game model pricing strategy
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NOVEL POWER CONTROL GAME VIA PRICING ALGORITHM FOR COGNITIVE RADIOS 被引量:1
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作者 Cheng Shilun Yang Zhen 《Journal of Electronics(China)》 2008年第6期761-767,共7页
To compensate the service providers who have paid billions of dollars to use spectrum and to satisfy secondary users' requirements in cognitive radios, a Non-cooperative Power Control Game and Pricing algorithm (N... To compensate the service providers who have paid billions of dollars to use spectrum and to satisfy secondary users' requirements in cognitive radios, a Non-cooperative Power Control Game and Pricing algorithm (NPGP) is proposed. Simulation results show that the proposed algorithm can regulate the secondary users' transmitter powers, optimally allocate radio resource and increase the total throughput effectively. 展开更多
关键词 Cognitive radio pricing strategy Power control Non-cooperative game
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Bidding Strategy in Deregulated Power Market Using Differential Evolution Algorithm
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作者 Veera Venkata Sudhakar Angatha Karri Chandram Askani Jaya Laxmi 《Journal of Power and Energy Engineering》 2015年第11期37-46,共10页
The primary objective of this research article is to introduce Differential Evolution (DE) algorithm for solving bidding strategy in deregulated power market. Suppliers (GENCOs) and consumers (DISCOs) participate in t... The primary objective of this research article is to introduce Differential Evolution (DE) algorithm for solving bidding strategy in deregulated power market. Suppliers (GENCOs) and consumers (DISCOs) participate in the bidding process in order to maximize the profit of suppliers and benefits of the consumers. Each supplier bids strategically by choosing the bidding coefficients to counter the competitors bidding strategy. Electricity or electric power is traded through bidding in the power exchange. GENCOs sell energy to power exchange and in turn ancillary services to Independent System Operator (ISO). In this paper, Differential Evolution algorithm is proposed for solving bidding strategy problem in operation of power system under deregulated environment. An IEEE 30 bus system with six generators and two large consumers is employed to demonstrate the proposed technique. The results show the adaptability of the proposed method compared with Particle Swarm Optimization (PSO), Genetic Algorithm (GA) and Monte Carlo simulation in terms of Market Clearing Price (MCP). 展开更多
关键词 BIDDING strategy DIFFERENTIAL Evolution Power MARKET MARKET CLEARING PRICE
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Can investors profit by utilizing technical trading strategies?Evidence from the Korean and Chinese stock markets
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作者 Yensen Ni Min-Yuh Day +1 位作者 Yirung Cheng Paoyu Huang 《Financial Innovation》 2022年第1期1626-1646,共21页
The idea of this study is derived from observing the profitability of stock investments following the phenomena of continuously rising(or falling)prices of stocks and continuously overbought(or oversold)signals emitte... The idea of this study is derived from observing the profitability of stock investments following the phenomena of continuously rising(or falling)prices of stocks and continuously overbought(or oversold)signals emitted by technical indicators.We employ the standard event study approach and technical trading strategies to explore whether investors would exploit profits in trading the constituent stocks of the Korea Composite Stock Price Index 50 and Shanghai Stock Exchange 50 when the aforementioned continuous phenomena occur.We find that both the Korean and Chinese stock markets are not fully efficient;this finding may enhance the robustness of the existing literature.In addition,we reveal that contrarian strategies are appropriate for the trading stocks listed on the Korean stock market for all the cases investigated in this study.However,momentum strategies are appropriate for the Chinese stock market when continuously rising stock prices and overbought signals are simultaneously observed.These findings imply that the difference in investor behaviors between the Korean and Chinese stock markets might result in dissimilar trading strategies being employed for these two markets. 展开更多
关键词 Technical analysis indicator Continuously rising or falling prices OVERREACTION Herding behavior Momentum strategies Contrarian strategies
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DeepPricing:pricing convertible bonds based on financial time-series generative adversarial networks
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作者 Xiaoyu Tan Zili Zhang +1 位作者 Xuejun Zhao Shuyi Wang 《Financial Innovation》 2022年第1期1678-1715,共38页
Convertible bonds are an important segment of the corporate bond market,however,as hybrid instruments,convertible bonds are difficult to value because they depend on variables related to the underlying stock,the fixed... Convertible bonds are an important segment of the corporate bond market,however,as hybrid instruments,convertible bonds are difficult to value because they depend on variables related to the underlying stock,the fixed-income part,and the interaction between these components.Besides,embedded options,such as conversion,call,and put provisions are often restricted to certain periods,may vary over time,and are subject to additional path-dependent features of the state variables.Moreover,the most challenging problem in convertible bond valuation is the underlying stock return process modeling as it retains various complex statistical properties.In this paper,we propose DeepPricing,a novel data-driven convertible bonds pricing model,which is inspired by the recent success of generative adversarial networks(GAN),to address the above challenges.The method introduces a new financial time-series generative adversarial networks(FinGAN),which is able to reproduce risk-neutral stock return process that retains the unique statistical properties such as the fat-tailed distributions,the long-range dependence,and the asymmetry structure etc.,and then transit to its risk-neutral distribution.Thus it is more flexible and accurate to capture the dynamics of the underlying stock return process and keep the rich set of real-world convertible bond specifications compared with previous model-driven models.The experiments on the Chinese convertible bond market demonstrate the effectiveness of DeepPricing model.Compared with the convertible bond market prices,our model has a better convertible bonds pricing performance than both model-driven models,i.e.Black-Scholes,the constant elasticity of variance,GARCH,and the state-of-the-art GAN-based models,i.e.FinGAN-MLP,FinGAN-LSTM.Moreover,our model has a better fitting capacity for higher-volatility convertible bonds and the overall convertible bond market implied volatility smirk,especially for equity-liked convertible bonds,convertible bonds trading in the bull market,and out-of-the-money convertible bonds.Furthermore,the Long-Short and Long-Only investment strategies based on our model earn a significant annualized return with 41.16%and 31.06%,respectively,for the equally-weighted portfolio during the sample period. 展开更多
关键词 Convertible bonds Generative adversarial network Time-series simulation pricing Investment strategy Artificial intelligence
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