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The Convergence of Set-Valued Scenario Approach for Downside Risk Minimization

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Journal of Systems Science & Complexity 2016年第3期29卷 722-735页

作者： JI Xiaodong ZHU Shushang Department of Economics College of BusinessHebei Normal University Department of finance and investment Sun Yat-Sen Business SchoolSun Yat-Sen University

Scenario approach is a widely used tool in portfolio risk management,however,it often runs into dilemma when determining the distribution of asset returns with insufficient information,which will be used to simulate the *** the quality of generated scenarios are not guaranteed even when the distribution of asset returns is known exactly.A set-valued scenario approach was proposed by Zhu,et al.(2015)as a possible *** a necessary supplement of the results proposed by Zhu,et al.(2015),this paper theoretically investigates the convergent property of the numerical solution based on the set-valued scenario approach under the condition that the underlying distribution is known.

关键词： Convergence downside risk portfolio risk management set-valued scenarios.

Pricing Credit Spread Option with Longstaff-Schwartz and GARCH Models in Chinese Bond Market

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Journal of Systems Science & Complexity 2015年第6期28卷 1363-1373页

作者： ZHOU Rongxi DU Sinan YU Mei YANG Fengmei school of Economics and management Beijing University of Chemical Technology Research center for Applied finance School of Finance and Banking University of International Business and Economics school of Science Beijing University of Chemical Technology

This paper investigates the mean-reversion and volatile of credit spread time series by using regression and time series analysis in Chinese bond market. Then the Longstaff-Schwartz model and GARCH model are applied to price credit spread put option. The authors compare the features of these two models by employing daily bond prices of government bonds and corporate bonds for the period 2010–2012 in Chinese bond market. The proposed results show that the higher the credit ratings of the corporate bonds are, the lower the prices of the credit spread options are.

关键词： Credit spread option Longstaff-Schwartz model GARCH model pricing

AN ACCURATE BINOMIAL MODEL FOR PRICING AMERICAN ASIAN OPTION

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Journal of Systems Science & Complexity 2014年第5期27卷 993-1007页

作者： LIU Jian WU Weixing XU Jingfeng ZHAO Haijian school of Insurance Central University of Finance and Economics Research center for Applied finance School of Banking and FinanceUniversity of International Business and Economics China Institute for Actuarial Science Central University of Finance and Economics Bosera Asset management Co. Ltd.

This paper presents simple and fast algorithms for computing very tight upper and lower bounds on the prices of American Asian options in the binomial *** authors choose two types sets of the actual arithmetic average prices,instead of the simulated values in other existing models,as the representative average prices at each node of the binomial *** approach simplifies effectively the computation and reduces the error caused by the linear *** results show that the approach produces accurate upper and lower bounds compared to the other existing methods based on the binomial tree.

关键词： Asian option binomial tree option pricing

Users Intention for Continuous Usage of Mobile News Apps:the Roles of Quality,Switching Costs,and Personalization

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Journal of Systems Science and Systems Engineering 2019年第1期28卷 91-109页

作者： Qiongwei Ye Yumei Luo Guoqing Chen Xunhua Guo Qiang Wei Shuyan Tan China Retail Research center School of Economics and Management Tsinghua University Beijing 100084 China business school Yunnan University of Finance and Economics Kunming 650032 China College of business and Tourism management Yunnan University Kunming 650091 China

Mobile news apps have emerged as a significant means for learning about latest news and trends. However, in light of numerous news apps and information overload, motivating users to adopt one app is a major concern for both the industry and academia. Therefore, considering the attributes of mobile news and the debate on switching costs in the Internet context, based on the expectation-confirmation model (ECM), this study suggests that switching costs still exist and have a significant moderating effect on user satisfaction and continuous usage of mobile news apps. Furthermore, the different influences of information quality, system quality and service quality on continuance intention, user satisfaction and switching costs are discussed, showing that quality of information has a significant impact on users’ continuous usage of mobile news apps through increasing perceived usefulness, whereas personalized service quality have stronger effects through increasing user satisfaction and switching costs.

关键词： Personalized recommendation switching costs mobile news apps expectation-confirmation model

The Role of Japanese Candlestick in DVAR Model

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Journal of Systems Science & Complexity 2015年第5期28卷 1177-1193页

作者： XIE Haibin FAN Kuikui WANG Shouyang Research center for Applied finance University of International Business and Economics school of Statistics and management Shanghai University of Finance and Economics Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences

The decomposition-based vector autoregressive model(DVAR) provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relationships with other technical indicators still remain unknown. This paper investigates the relationships of DVAR model with the Japanese Candlestick indicators using simulations, theoretical explanations and empirical studies. The main finding of this paper is that both lower and upper shadows in Japanese Candlestick Granger contribute to the DVAR model explanation power, and thus, providing useful information for improving the DVAR forecasts. This finding makes sense as it means that the information contained in the lower and upper shadows should be used when modeling the stock returns with DVAR. Empirical studies performed on China SSEC stock index demonstrate that DVAR model with upper and lower shadows as exogenous variables does have informative and valuable out-of-sample forecasts.

关键词： Chinese stock market Japanese candlestick stock market forecast technical analysis

IS TECHNICAL ANALYSIS INFORMATIVE IN UK STOCK MARKET? EVIDENCE FROM DECOMPOSITION-BASED VECTOR AUTOREGRESSIVE(DVAR) MODEL

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Journal of Systems Science & Complexity 2014年第1期27卷 144-156页

作者： XIE Haibin BIAN Jiangze WANG Mingxi QIAO Han Research center of Applied finance University of International Business and Economics Beijing 100029 school of Banking and finance University of International Business and Economics Beijing 100029 China. school of International Trade and Economics University of International Business and Economics Beijing100029 China. school management China University of Mining and Technology Beijing 100083 China.

The paper proposes a new approach -- The decomposition-based vector autoregressive （DVAR） model to scrutinize the predictability of the UK stock market. Empirical studies performed on the monthly British FTSE100 index over 1984-2012 confirm that the DVAR model does provide informative forecasts for both in-sample and out-of-sample forecasts. Trading strategies based on the DVAR forecasts can Significantly beat the simple buy-and-hold, which demonstrates the valuable information provided by technical analysis in the UK stock market.

关键词： DVAR stock market predictability technical analysis UK stock market.

Investigating the Disparities of China's Insurance Market Based on Minimum Spanning Tree from the Viewpoint of Geography and Enterprise

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Journal of Systems Science and Information 2017年第3期8卷 216-228页

作者： Chi XIE Yingying ZHOU Gangjin WANG Xinguo YAN College of business Administration Hunan University center for finance and investment management Hunan University center for Polymer Studies and Department of Physics Boston University

In this paper, we investigate the disparities of China’s insurance market from the viewpoint of geography and enterprise by using the monthly data from January 2006 to December 2015. We divide the whole insurance market into two parts, namely property insurance and personal *** constructing and analyzing minimum spanning trees of insurance market, we obtain the results as follows:(i) The connections between provinces are much closer than those of firms, and there are regional links between neighboring provinces in the minimum spanning tree(MST); and(ii) the domestic funded firms and foreign funded firms form two explicit clusters in the MSTs of property and personal insurance market.

关键词： network analysis minimum spanning tree China's insurance market disparity province-level firm-level

LEGENDRE TRANSFORM-DUAL SOLUTION FOR investment AND CONSUMPTION PROBLEM UNDER THE VASICEK MODEL

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Journal of Systems Science & Complexity 2014年第5期27卷 911-927页

作者： CHANG Hao CHANG Kai Department of Mathematics Tianjin Polytechnic University school of management Tianjin University school of finance Zhejiang University of Finance & Economics

This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek *** financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate *** aim is to maximize expected utility of consumption and terminal wealth in the finite *** transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are ***,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.

关键词： Dynamic programming investment and consumption Legendre transform the closedform solution the Vasicek model

Investors’ Social Network and Return

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Journal of Social Computing 2022年第3期3卷 231-249页

作者： Yu He Rong Lu Xiao Han Department of finance Shanghai University of Finance and EconomicsShanghai 200433China Department of investment Zhejiang University of Finance and EconomicsHangzhou 310018China school of Information management&Engineering Shanghai University of Finance and EconomicsShanghai 200433China.

Restricted by the availability of investors’account data,existing studies know little about the reasons for differences in investors’return in financial *** this,this paper,based on the unique account data,reveals that the differences in investors’return are correlated to their locations in the social *** are as follows.(1)Investors’social network constructed based on the submission time of completed orders describes the information diffusion process of financial *** diffuses from the center of the network to the edge,and investors’return depends on their position in the network.(2)Investors’social network affects their return through the positive spillover mechanism of their *** investors are in the center of the social network,the stronger the information sharing,the higher the status in the network,the higher the return;while retail investors are on the edge of the social network,and when their network centrality is certain,they even suffer return penalty for information sharing.(3)The speed of information diffusion in investors’social network has an important impact on asset ***’volatility,return,and liquidity are high in financial markets with an intermediate level of information diffusion *** paper puts forward new reasons for differences in investors’return from the perspective of investors’social network,and holds that big data in the capital market deserve further exploration with the social network method.

关键词： social networks investor networks investors’return asset pricing information diffusion