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Intraday Volume Percentages Forecasting Using a Dynamic SVM-Based Approach

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Journal of Systems Science & Complexity 2017年第2期30卷 421-433页

作者： LIU Xiaotao lai kin keung Department of Finance Central China Normal University International Business School Shaanxi Normal University Department of Management Sciences City University of Hong Kong

This paper proposes a dynamic model to forecast intraday volume percentages by decomposing the trade volume into two parts: The average part as the intraday volume pattern and the residual term as the abnormal changes. An empirical test on data spanning half-a-year gold futures and S&P 500 futures reveals that a rolling average of the previous days' volume percentages shows great predictive ability for the average part. An SVM approach with the input pattern consisting of two categories is employed to forecast the residual term. One is the previous days' volume percentages in the same time interval and the other is the most recent volume percentages. The study shows that this dynamic SVM-based forecasting approach outperforms the other commonly used statistical methods and enhances the tracking performance of a VWAP strategy greatly.

关键词： Intraday volume percentages principal component decomposition SVM VWAP.

Variable precision rough set for multiple decision attribute analysis

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Journal of Southeast University(English Edition) 2008年第S1期24卷 1-6页

作者： lai kin keung Department of Management Sciences City University of Hong Kong

A variable precision rough set (VPRS) model is used to solve the multi-attribute decision analysis (MADA) problem with multiple conflicting decision attributes and multiple condition attributes. By introducing confidence measures and a β-reduct, the VPRS model can rationally solve the conflicting decision analysis problem with multiple decision attributes and multiple condition attributes. For illustration, a medical diagnosis example is utilized to show the feasibility of the VPRS model in solving the MADA problem with multiple decision attributes and multiple condition attributes. Empirical results show that the decision rule with the highest confidence measures will be used as the final decision rules in the MADA problem with multiple conflicting decision attributes and multiple condition attributes if there are some conflicts among decision rules resulting from multiple decision attributes. The confidence-measure-based VPRS model can effectively solve the conflicts of decision rules from multiple decision attributes and thus a class of MADA problem with multiple conflicting decision attributes and multiple condition attributes are solved.

关键词： variable precision rough set multiple attributes decision making multiple decision attributes β-reduct confidence measure

考虑偏好差异的企业环境、社会和公司治理(ESG)综合排序

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系统科学与数学 2024年第2期44卷 342-354页

作者：付业林喻寅昀张帆顺黎建强深圳大学经济学院深圳518060 重庆交通大学经济与管理学院重庆400074 湘潭大学商学院湘潭411105 陕西师范大学国际商学院西安710000

ESG投资理念是指投资者在投资决策过程中除了关注资本收益率,还关注企业在环境(environment)、社会(social)、公司治理(governance)方面的表现.可靠的ESG排名能够对投资者决策行为起到良好的引导作用.前人研究发现,由于ESG评级机构之间... 详细信息

ESG投资理念是指投资者在投资决策过程中除了关注资本收益率,还关注企业在环境(environment)、社会(social)、公司治理(governance)方面的表现.可靠的ESG排名能够对投资者决策行为起到良好的引导作用.前人研究发现,由于ESG评级机构之间缺乏一致性,导致同一家企业在不同评级体系下的ESG排名存在差异,这阻碍了ESG发展.针对决策者偏好差异带来的ESG排序差异问题,文章提出一种融合群决策和吉布斯熵的ESG排序方法.具体来说,对于给定的ESG评价数据,首先,依据评价维度重要性顺序构建初始群决策矩阵;其次,利用吉布斯熵与数理模型计算被评企业的最优熵值;最后,给出ESG指数计算模型,实现对被评企业的排序.该研究使用嘉实基金与秩鼎公司发布的ESG数据对所提方法进行仿真研究.同时,基于斯皮尔曼相关系数和满意度指数对该方法的有效性和先进性进行检验.

关键词： ESG评价偏好差异群决策吉布斯熵

A Nonlinear Interval Portfolio Selection Model and Its Application in Banks

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Journal of Systems Science & Complexity 2018年第3期31卷 696-733页

作者： YAN Dawen HU Yaxing lai kin keung Faculty of Management and Economics Dalian University of Technology Dalian 116024 China School of Mathematical Science Dalian University of Technology Dalian 116024 China Bank of Dalian Dalian 116001 China School of Mathematical Science Dalian University of Technology Dalian 116024 China International Business School Shaanxi Normal University Xi'an 710062 China College of Management Xidian University Xi'an 710126 China

In classical Markowitz＇s Mean-Variance model, parameters such as the mean and covari- ance of the underlying assets＇ future return are assumed to be known exactly. However, this is not always the case. The parameters often correspond to quantities that fall within a range, or can be known ambiguously at the time when investment decision must be made. In such situations, investors determine returns on investment and risks etc. and make portfolio decisions based on experience and economic wisdom. This paper tries to use the concept of interval numbers in the fuzzy set theory to extend the classical mean-variance portfolio selection model to a mean-downside semi-variance model with consideration of liquidity requirements of a bank. The semi-variance constraint is employed to control the downside risk, filling in the existing interval portfolio optimization model based on the linear semi-absolute deviation to depict the downside risk. Simulation results show that the model behaves robustly for risky assets with highest or lowest mean historical rate of return and the optimal investment proportions have good stability. This suggests that for these kinds of assets the model can reduce the risk of high deviation caused by the deviation in the decision maker＇s experience and economic wisdom.

关键词： Downside-risk management interval return portfolio selection semi-variance simulation.

Manufacturers' Channel Competition with Retailer Demand-Enhancing Service

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Journal of Systems Science & Complexity 2015年第4期28卷 887-906页

作者： BIAN Junsong lai kin keung HUA Zhongsheng School of Management University of Science and Technology of China Department of Management Sciences City University of Hong Kong

Manufacturers’channel competition with service is examined in this ***,the authors consider channel competition within a supply chain comprising two manufacturers and one single retailer where each manufacturer can choose to sell its products either directly to the end market(online channel,say)or through the potential retail channel,based on the profit maximization criterion,which is influenced by exogenous market conditions,such as the degree of competition,***,the retailer provides additional demand-enhancing service to promote the manufacturer’s products distributed via *** only one of the manufacturers sells products through the retailer,its products will be promoted by the additional retail service,which poaches demand of products of the manufacturer who adopts direct online *** of both manufacturers are supported by the retailer’s promotional service when both distribute their product through the common ***,some managerial implications are derived from numerical analyses of our model,which explain the phenomena in practice and conclude the paper.

关键词： Channel mix channel strategy demand-enhancing service supply chain management.

Resource Allocation in Public Healthcare: A Team-DEA Model

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Journal of Systems Science & Complexity 2018年第2期31卷 463-472页

作者： lai kin keung CHEUNG Michael Tow FU Yelin Department of Management Sciences City University of Hong Kong Kowloon Hong Kong China Jockey Club School of Public Health and Primary Care Faculty of Medicine The Chinese University of Hong Kong Shatin Hong Kong China

This paper combines the theory of teams and data envelopment analysis（DEA） to design a mechanism to optimally allocate resources in public healthcare. A statutory authority and the public hospitals under its governance are interpreted as a team, the members of which seek to operate efficiently under the shared institutional constraint that public healthcare is a public good. The individual public hospital exploits DEA to maximize own-payoff, subject to the team-condition that the payoff of each other public hospital does not fall and thereby subtract from the external effects created by the public supply of healthcare. The resulting team-DEA solution, which is shown to be both an individuallyefficient and team-satisficing equilibrium and to be computable in terms of a convergent algorithm, can then be applied by the authority to determine the optimal allocation of resources in public healthcare.A case based on Chinese data is presented to illustrate the team-DEA model＇s ready operationalization and computation.

关键词： Data envelopment analysis hospital authority public goods public healthcare resourceallocation mechanism teams.

A Study on Transport Costs and China＇s Exports： An Extended Gravity Model

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Journal of Systems Science & Complexity 2017年第6期30卷 1403-1424页

作者： XU Lizhi lai kin keung QIAO Han WANG Shouyang Collaborative Innovation Center of eTourism Beijing Union University Beijing 100101 China Tourism Institute Beijing Union University Beijing 100101 China Department of Management Sciences City University of Hong Kong Hong Kong China School of Economics and Management University of Chinese Academy of Sciences Beijing 100190 China Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 China

This paper suggests an extending conventional gravity model design to empirically analyze the effect of transport costs and port efficiency on China's export flows. It shows that factor endowment and transport costs variables affect export trade value in directions that New Trade Theory(NTT) predicted. Also, the evidence indicates that, controlling for the effects of transport costs on trade, variables in traditional gravity model are consistent with previous empirical studies in both magnitudes and directions. Moreover, more than 22% of the variation in Chinese export trade can be explained by those three variables alone. The findings reported in this paper empirically explains how seriously transport costs and port efficiency affect China's export growth by comparing effects of labour production factor costs on external trade. It suggests that the improvement of port efficiency and reduction of road transport costs play a vital role in China's export competitiveness in the global market.

关键词： Extended gravity model transport costs port efficiency manufacturing base processing center

Bi-Cubic B-Spline Fitting-Based Local Volatility Model with Mean Reversion Process

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Journal of Systems Science & Complexity 2016年第1期29卷 119-132页

作者： ZHOU Shifei WANG Hao YEN Jerome lai kin keung Department of Management Sciences City University of Hong KongHong KongChina Department of Finance Hong Kong University of Science and TechnologyHong KongChina International Business School Shaanxi Normal UniversityXi'an710061 China

This paper studies the traditional local volatility model and proposes:A novel local volatility model with mean-reversion *** larger is the gap between local volatility and its mean level,the higher will be the rate at which local volatility will revert to the ***,a B-spline method with proper knot control is applied to interpolate the local volatility *** bi-cubic B-spline is used to recover the local volatility surface from this local volatility ***,empirical tests show that the proposed mean-reversion local volatility model offers better prediction performance than the traditional local volatility model.

关键词： Bi-cubic B-spline local volatility mean reversion surface fitting

A Hybrid Approach for Studying the Lead-Lag Relationships Between China’s Onshore and Offshore Exchange Rates Considering the Impact of Extreme Events

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Journal of Systems Science & Complexity 2018年第3期31卷 734-749页

作者： WEI Yunjie WEI Qi WANG Shouyang lai kin keung Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 China Center for Forecasting Science Chinese Academy of Sciences Beijing 100190 China Department of Management Sciences City University of Hong Kong Hong Kong China School of Finance Central University of Finance and Economics Beijing 100081 China China Great Wall Asset Management Corporation Beijing 100045 China International Business School Shaanxi Normal University Xi'an 710119 China Department of Industrial and Manufacturing Systems Engineering Hong Kong University Hong Kong China

Understanding the characteristics of the dynamic relationship between the onshore Ren- minbi （CNY） and the offshore Renminbi （CNH） exchange rates considering the impact of some extreme events is very important and it has wide implications in several areas such as hedging. For better esti- mating the dynamic relationship between CNY and CNH, the Granger-causality test and Bry-Boschan Business Cycle Dating Algorithm were employed in this paper. Due to the intrinsic complexity of the lead-lag relationships between CNY and CNH, the empirical mode decomposition （EMD） algorithm is used to decompose those time series data into several intrinsic mode function （IMF） components and a residual sequence, from high to low frequency. Based on the frequencies, the IMFs and a residual sequence are combined into three components, identified as short-term composition caused by some market activities, medium-term composition caused by some extreme events and the long-term *** empirical results indicate that when it only matters the short-term market activities, CNH always leads CNY; while the medium-term impact caused by those extreme events may alternate the lead-lag relationships between CNY and CNH.

关键词： CNH CNY EMD lead-lag relationship onshore and offshore markets