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ISSN 1674-2850
CN 11-9150/N5
 
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January 15,2012
Volume 5,Issue 1
Pages -
Subject Area:Financial markets,Applied Mathematics,Fuzzy Mathematics,Graph Theory
 
Title: Correlation between stock price and trading volume of Shanghai Stock Market based on Copula function
Authors: ZHENG Jialu, WANG Yanli
PP: 99-102
Abstract: In this paper, the data of Shanghai stock closing price and trading volume are used for measuring the correlation and the correlated structure between the stock price and trading volume by Copula function. The results show that, trading volume and stock price have a positive dependence and evident asymmetric tail dependence. Simultaneously, Gumbel Copula can reflect the correlation between trading volume and stock price better.
Keywords: financial markets; Copula function; trading volume; stock price; tail dependence
 
Title: Empirical Study on financial assets classification of listed companies under the new criteria
Authors: XIE Xiaofeng, LIU Chuanzhe
PP: 90-98
Abstract: The paper is about the empirical research on financial assets classification of listed companies under the new accounting standards, combined with listed companies’ annual reports in 2010, by comparison and estimation on the relationship, changing trend and the value among the major economic indicators, which related to financial assets from the financial statements. research results show that: in order to reduce the impact of the fair value on the profit, listed company management is more inclined to divide the financial assets into available for sale financial assets; the principal component analysis can calculates overall investment value, which is more representative of the investment value of listed companies than several economic indicators; propose multi-level classification and found the ordinal regression model can solve some complex economic problems, to a certain extent, the model reflects the investment earnings on financial assets of listed companies, lower investment their investment risk, reduce investment losses. For the majority of investors also have some reference, has good prospects and practical value.
Keywords: financial markets; available for sale financial assets; financial assets classification; principal component analysis; Regression model
 
Title: Dynamic effects of trade openness on financial development: based on the panel data from the Yangtze River Delta
Authors: XUE Pengqun, WANG Haohan
PP: 82-89
Abstract: This paper employs the pooled mean group (PMG) approach to study the dynamic effects of trade openness on financial development in the Yangtze River Delta based on the panel data of 16 cities. The results show that: trade openness has a positive effect on both the scale and efficiency of financial development in the long term, while in the short term trade openness only improves the efficiency of financial development. Furthermore, the short-run effect on the efficiency of financial development is much greater than the long-run effect.
Keywords: international finance; financial development; trade openness; dynamic effects; Yangtze River Delta
 
Title: Econometrical evidence for the linkage mechanism of minimum wage standard and consumer price index
Authors: ZHOU Siqing, JING Jing
PP: 74-81
Abstract: In this paper, the linkage mechanism of minimum wage standard and consumer price index (CPI) is analyzed by collecting annual data from 2000 to 2009 about minimum wage standards and influencing factors, and some valuable conclusions are got. Firstly, the qualitative analysis is used to expose the features of minimum wage system in China. Secondly, unit root test, cointegration test, Granger test are proceeded and the results prove that strong causality exists between minimum wage standard and CPI. Thirdly, a panel model is made to analyze the linkage of minimum wage standard and CPI. The estimated results show that the influence of CPI to minimum wage is greater than the level of economic development and average wage. Therefore, it is concluded that the adjustments of minimum wage standard should follow the changes of CPI. Lastly, the influences of the linkage mechanism of minimum wage standard and CPI on China’s macroeconomy are analyzed.
Keywords: urban economics; minimum wage standard; consumer price index; linkage mechanism
 
Title: Research on three industrial structure of Hangzhou
Authors: YANG Changzheng, LI Huimin
PP: 68-73
Abstract: Through the literature review, the defect and limitation of traditional statistic methods were pointed out and analyzed. Considering these problems and the characteristic of econometrics analyses, the combination of vector auto regression (VAR) and vector error correction (VEC) model, was put forward, its advantage in the econometric analysis was expounded, and its theory and modelling steps were introduced. The exemplification showed that the result of analysis was consistent with its actuality, and it was constructive and could provide a guideline to the direction of investment.
Keywords: quantitative economics; industrial structure; vector auto regression; vector error correction model
 
Title: Development model of animal communities under multiple constraints
Authors: GU Wenyang, DING Genhong, ZHENG Qiang
PP: 60-67
Abstract: The paper uses the differential model, improved Leslie population model and computer simulation to build the development model of animal communities under multiple constraints with collection of data and the model simulation, and uses Matlab software to solve some questions about the stable development of animal communities, and show the results about the joint display of data and graphical. Finally, the models are analyzed, compared and promoted. The models have high practical values.
Keywords: applied mathematics; modeling; multiple constraints; animal communities; difference; Leslie model; computer simulation
 
Title: Exact boundary observability for a kind of nonautonomous quasilinear hyperbolic equation
Authors: XU Haiwen, YU Lixin
PP: 51-59
Abstract: Based on the theory that the semiglobal solution of the mixed initial-boundary value problem for nonautonomous quasilinear hyperbolic equation is unique, the paper establishes the local exact boundary observability for the mixed initial-boundary value problem for a kind of nonautonomous quasilinear hyperbolic equation with two different sign eigenvalues, and applies it to the one-side exact boundary observability for first order nonautonomous quasilinear hyperbolic systems having unknown funcions in boundary conditions without coupling relationship but equitions with some coupling relationships.
Keywords: applied mathematics; nonautonomous quasilinear hyperbolic equation; semiglobal C2 solution; exact boundary observability
 
Title: Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
Authors: XING Zili, NIU Mingfei
PP: 42-50
Abstract: Most traditional investment-consumption models use the known investment environment and the time of exiting market to solve the optimal strategies. However, this paper overcomes the shortages of these traditional models. In the discrete time case, aiming to risk-neutral investors, this paper introduces environmental uncertainty and mortality risk, then applies dynamic programming approachs to solve three related investment-consumption problems, including investment-only problem that involves utility from only terminal wealth, an investment-consumption problem that involves utility from only consumption, and an extended investment-consumption problem that involves utility from both consumption and terminal wealth. In addition, the paper gets explicit expressions of the optimal investment-consumption strategies through simulating and calculating, and presents their economic implications.
Keywords: applied mathematics; investment-consumption strategy; multi-period; mortality risk; environment uncertainty; dynamic programming
 
Title: Fixed point theorems of some increasing operators and their applications
Authors: SUN Xiulai, YU Guohua
PP: 36-41
Abstract: In this paper, the fixed point problems of a class of increasing operators without continuity and compactness are studied by use of the theory of cones and the monotone iterative techniques in ordered Banach space. A new result is obtained by further discuss on the existence, uniqueness and convergence of iterative sequences, which improves and generalizes the corresponding fixed point theorems of increasing operators in ordered Banach space. The result is applied to Hammerstein nonlinear integral equations for studying the existence of solution for integral equations of Hammerstein type.
Keywords: applied mathematics; normal cone; Banach space; fixed point; increasing operator
 
Title: Forecasting stock prices by fractal methods
Authors: WU Shasha, WANG Zhongjun
PP: 32-35
Abstract: A lot of fractal phenomena can’t be described by constant dimension fractal models. To resolve this problem, the paper adopts variable dimension fractals for forecasting stock prices in order to prevent the error of the results caused by inaccurate estimation of influence factors. Aiming to the problem that the fractal dimensions are not constant, the paper gives solution and takes China Petrochemical Corp stock price forecasting as an example.
Keywords: mathematical statistics; fractals; fractal dimension; forecast; stock price
 
Title: Accelerated additive operator splitting difference algorithm for dual currency option pricing model
Authors: ZHOU Gaoxin, YANG Xiaozhong
PP: 25-31
Abstract: This paper uses the accelerated additive operator splitting (AOS) algorithm to transform the two-dimensional Black-Scholes equation into two equivalent one-dimensional equations, and then construct the‘explicit-implicit’ and the ‘implicit-explicit’ schemes. These schemes are proved to be stable, compatible and convergent, and they have second-order accuracy. Finally, the numerical example shows the effectiveness of the accelerated AOS difference schemes, which further illustrates that the accelerated AOS algorithm effectively avoids the computational complexity of the high-dimensional Black-Scholes equation, dramatically improves the computational speed, and is applicable for multi-asset option pricing.
Keywords: financial mathematics; dual currency option pricing; accelerated additive operator splitting algorithm; ‘explicit-implicit’ scheme; ‘implicit-explicit’ scheme
 
Title: Fuzzy discrete-time queuing system FGEOM/FGEOM/1 based on structural element theory
Authors: CHEN Liming, GUO Sicong
PP: 18-24
Abstract: Fuzzy discrete-time queuing system FGEOM/FGEOM/1 with fuzzy parameters λ and μ is analyzed in this paper applying fuzzy structural element theory based on discrete-time queuing system GEOM/GEOM/1 in order to overcome the complicacy and infeasibility of fuzzy operation based on extension principle in fuzzy random service system. The fuzzy structural element expression and membership function of three main indexes including average queue length, in FGEOM/FGEOM/1 are obtained. At last, performance of the unlimited buffer delta network is analyzed by means of the discrete-time queuing model. The similar result as above concerning its message packet average detention time and system average delay time is obtained, which establishes foundation for its fuzzy control.
Keywords: fuzzy mathematics; fuzzy structural element; queuing theory; FGEOM/FGEOM/1 queue; performance analysis of the unlimited Buffer Delta network
 
Title: Combined homotopy method with JFNG for solving nonlinear programming
Authors: WANG Bin, YU Bo
PP: 12-17
Abstract: This paper brings Jacobian-Free Newton-GMRES (JFNG) method as the solver for the nonlinear equations into the homotopy methods which are selected as combined homotopy interior point (CHIP) with the secant prediction, aiming to eliminate some drawbacks of the low efficiency such as “excessively solving” caused by traditional Newton-PLU method in the corrector phase of the path tracking process. The numerical experiments conducted under CUTEr environment fully demonstrate that the execution efficiencies of the improved homotopy methods have been greatly improved.
Keywords: nonlinear programming; combined homotopy; inexact Newton method; PLU decomposition; Jacobian-Free Newton-GMRES; CUTEr
 
Title: Estimation of conditional VaR based on the lag and dull variable quantile regression model
Authors: PEI Pei, HE Rengui, YAN Dingqi
PP: 6-11
Abstract: In this paper, the lag and dull variable quantile regression model is presented to estimate the conditional value at risk (VaR), which is conditioned on the liquidity risk measure. By the empirical analysis, it is found that the lag 2 and dull variable quantile regression model can better describe real data than the linear quantile regression model and the dull variable quantile regression model based on the liquidity risk measure. And by the back testing of the conditional value at risk, the conditional value at risk can be better simulated by the lag 2 and dull variable quantile regression model.
Keywords: time series analysis; lag and dull variable quantile regression model; dull variable quantile regression model; linear quantile regression model; conditional value at risk; back-test methods
 
Title: An extension of finding all elementary circuits in a directed graph
Authors: XIA Jiren, ZHANG Jie
PP: 1-5
Abstract: An extension of creating all elementary circuits in a directed graph is proposed. The main idea is to partition a directed graph into small subgraphs, and remove vertices respectively from the subgraphs one by one and to find out elementary circuits. When subgraph is shrunk to a point, a subset of all elementary circuits is found. By the form of removing vertices excluding edge nodes, path between two specific vertices is found. Using the direction information of the cut set between two subgraphs and paths between specific vertices, the all elementary circuits in graph are obtained.
Keywords: graph theory; directed graph; elementary directed circuits; L-adjacent matrix