Table of Content

29 March 2020, Volume 29 Issue 2 Previous Issue    Next Issue

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Real Time Detection of Financial Bubbles: A Method Based on Identification of Strict Local Martingale LI Yang, WANG Chunfeng, FANG Zhenming, XIANG Jianka 2020, 29 (2):  201-212.  doi: 10.3969/j.issn.1005-2542.2020.02.001 Abstract ( )   PDF (1261KB) ( )   Real time detection and early warning of bubble can help regulators and investors prevent and resolve financial risks. This paper develops a backward rolling window technique to detect exuberance in asset price series based on identification of strict local martingale (BSLM). Then, it verifies the effectiveness of the BSLM method by using Monte Carlo simulation and empirical analysis. The results show that compared with the traditional detecting method, BSLM can obtain more robust testing powers for detecting later bubble from current moment and give an earlier warning. Besides, when detecting the bubble of the main index of China’s stock market from 2000 to 2015, the BSLM method can effectively identify the origination and termination dates of bubbles and find that there exists a strong relation between the bubbles of Shanghai Composite Index and Shenzhen Component Index. Related Articles

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Lower Tail Dependence of Stock Index Spots and Futures Based on Multivariate Conditional Extreme Value Model QIN Xuezhi, GUO Ming 2020, 29 (2):  213-223.  doi: 10.3969/j.issn.1005-2542.2020.02.002 Abstract ( )   PDF (3611KB) ( )   In this paper, a multivariate conditional extreme value model was built to examine the tail dependence of prices of stock index spots and futures. First of all, a SV-POT model was adopted to describe the marginal distributions of the returns of two assets. Then, the multivariate conditional extreme value model was utilized to describe the dependence structure of the two distributions. The practical results show that there is a significant positive correlation between the lower tail of the two returns and the degree of conditional dependence is more than 80%, which can be treated as a homogeneous market. Related Articles

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Optimal Time-Consistent Asset Allocation Strategy for Mean-Variance Investor with No Short Selling  GUO Wenjing, LU Hui 2020, 29 (2):  224-239.  doi: 10.3969/j.issn.1005-2542.2020.02.003 Abstract ( )   PDF (1198KB) ( )   Time inconsistency, also known as dynamic inconsistency, means that the optimal decision in the previous period may not be optimal in the next period. Considering the fact that short selling is not allowed in China’s stock market, this paper studies the optimal time-consistent asset allocation strategy of mean-variance investors under the condition that short selling is not allowed. Because the traditional HJB(Hamilton-Jacob-Bellman) equation is no longer applicable under the condition of time inconsistency, this paper uses the improved HJB equation and two key lemmas to obtain the optimal asset allocation strategy, the analytic solution of value function and the efficient frontier respectively under two different situations: one venture asset investment and some venture assets investment involved in investing in risk-free assets. The analysis shows that the optimal asset allocation strategy implies the two fund separation theorem. Finally, this paper compares the results of investment income and risk without short selling. Related Articles

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Rule of Discriminatory Allocation Without Underwriter’s Discretion and Investors’ Quotation Decision-Making HUANG Shunwu, JIA Jie 2020, 29 (2):  231-239.  doi: 10.3969/j.issn.1005-2542.2020.02.004 Abstract ( )   PDF (1148KB) ( )   In consideration of rent-seeking in IPO(initial public offering) allocations, this paper, for the first time, designed and studied discriminatory allocation regulation without underwriter’s domination. Besides, it constructed a decision function of loss aversion bidding from investors’ characteristics of bounded rationality. Moreover, it used the evolutionary game model to analyze and compare the dynamic adjustment and evolution process of investors’ bidding decisions in different allocation regulations. Furthermore, it numerically analyzed the above processes. The results show that two discriminatory allocation regulations without underwriter’s domination can stimulate investors’ real bids, but the same-proportion allocation regulation cannot. This paper provides a new train of thought for reform of the IPO allocation mechanism in China. Related Articles

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Financing Strategies for Contract-Farming Supply Chain Considering Moral Hazard WANG Wenli, GUO Na 2020, 29 (2):  240-250.  doi: 10.3969/j.issn.1005-2542.2020.02.005 Abstract ( )   PDF (1060KB) ( )   A contract-farming supply chain model between a single company and a single farmer was established, and financing equilibriums of the model was analyzed when the farmer is faced with capital constraints. Considering the uncertainty of wholesale price, the possibility of the company in breaking the contract, and the moral hazard of the farmer, the decision-making of the amount of agricultural investment of the farmer when facing the financial constraints and the pricing strategy of the company were studied. It is found that the mean value of wholesale price in random market affects the equilibrium decision-making. The problem of the financial constrains of the farmer can be ignored if the moral hazard of the farmer is not considered. However, if the moral hazard of the farmer is considered, the farmer can always improve his profit through financing. However, both the interest of the company and the interest of the whole supply chain may be damaged by the financing behavior of the farmer under certain conditions. The company should lend agricultural funds to the farmer to avoid this phenomenon. Related Articles

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Selection Strategies for Information Products Online Retailing Model Based on Spillover Effect MA Jingpei, LI Wenli 2020, 29 (2):  251-261.  doi: 10.3969/j.issn.1005-2542.2020.02.006 Abstract ( )   PDF (1134KB) ( )   This paper investigated an online supply chain including digital piracy products, considering two types of consumer(ethical and unethical) and the spillover effect from online to offline sales, and divided the online product retailing model into the wholesale model and the agency model. A WN model, an AN model, a WS model, and an AS model were constructed based on the spillover effect and the retailing model to compare the optimal price, demand, and profit of online participants under different conditions in order to provide references for online participants in decision-making. The results reveal that without considering the spillover effect, the intensity of piracy supervision is always beneficial to online participants. When the spillover effect is large, the intensity of piracy supervision is against legitimate providers. When the spillover effect is not considered, online participants only reach Pareto optimum in the agency model. However, when the spillover effect is considered, online participants can reach Pareto optimum in both the wholesale model and the agency model. Related Articles

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Impact of Platform Matching Rule on B2B Transactions  LI Zhiwen, MA Zhiqiang, XIONG Qiang, HE Youshi 2020, 29 (2):  262-272.  doi: 10.3969/j.issn.1005-2542.2020.02.007 Abstract ( )   PDF (1107KB) ( )   This paper particularly examines the impact of different matching rules of transaction-based platform on B2B transactions. Based on the bargaining theory, it respectively depicts the bargaining behavior of traders under four different matching rules. Besides, it analyzes the equilibrium results in different competition models. In addition, comparison analyses are conducted to present the impact of different matching rules in different competition models on B2B transactions. The results indicate that transaction price is dependent on the matching rule of the B2B platform. Moreover, the influence of matching rules on gross merchandise value via the platform is related to the commission rate while the influence of matching rule on profits of both suppliers and buyers depends on the competition mode between buyers on the final consumer market and the substitution degree of final products. Furthermore, the influence of matching rules on transaction price, transaction volume, and profits of buyers and sellers varies in different competition models. Related Articles

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Supply Chain Scheduling Optimization in Service Mass Customization Based on Supplier Satisfaction and Fuzzy Capabilities LIU Chang, YAOJianming 2020, 29 (2):  273-281.  doi: 10.3969/j.issn.1005-2542.2020.02.008 Abstract ( )   PDF (1111KB) ( )   Stable and diverse service resources are the important guarantee for service mass customization (SMC), which requires that service integrators should not only pay attention to the needs of customers, but also focus on improving the satisfaction of suppliers, so as to attract more service resources to integrate into the service supply chain. Supplier satisfaction is divided into order preference and coordination degree. Starting from the integration characteristics of service supply chain and the mutual restriction characteristics of suppliers, this paper discussed the important influence of supplier satisfaction on supply chain scheduling schemes in the SMC mode. The order preference and dynamic alliance of suppliers also cause the uncertainty of service capabilities. Therefore, this paper proposed a multi-objective, multi-stage supply chain scheduling programming model and the related algorithm, which can well simulate the complexity of service customization orders and the uncertainty of service capability. The numerical example demonstrates the validity of the model and algorithm proposed. Related Articles

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Mobile Targeted Coupon Strategies Based on LBS QIN Meng, LUO Meiling, LI Gang, YU Shihan 2020, 29 (2):  282-293.  doi: 10.3969/j.issn.1005-2542.2020.02.009 Abstract ( )   PDF (1119KB) ( )   Considering the fact that there are two asymmetric competitive manufacturers in the market, and the fact that strong brand manufacturers have more loyal consumers than weak brand ones, this paper studies the strategies of competitive manufacturers in issuing mobile targeted coupons based on LBS (location based services) for consumers, and discusses the impact of marginal targeting costs (including the face value of mobile coupons, targeting scope, and targeting consumer groups, etc.) on targeted promotion strategies, market equilibrium, and social welfare of manufacturers. The result shows that the marginal targeting cost will affect the mobile targeting strategies of manufacturers. Moreover, mobile targeting may not always lead to “prisoners’ dilemma”. In addition, the consumer surplus and social welfare are increased with location-based targeting promotion under certain conditions. Related Articles

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Influence of Interactivity of Mobile Live-Video Broadcast on  Intention of Continuous Use of Users FAN Xiaojun, Jiiang Xinyu, NI Rongrong, DONG Xuebing 2020, 29 (2):  294-307.  doi: 10.3969/j.issn.1005-2542.2020.02.010 Abstract ( )   PDF (1298KB) ( )   Mobile live-video broadcast refers to the service that users make or watch videos synchronously through mobile devices. Recently, the rapid development of live-video broadcast APPs has attracted lots of users in the short term. However, its ultimate success depends on the intention of continuous use of users. Based on the flow theory, the social presence theory, and the identity theory, this paper focuses on the interactivity of mobile live-video broadcast and explores the mechanism of interactivity on the intention of continuous use from the perspective of psychological cognition. By conducting a questionnaire survey, 346 valid questionnaires are collected to verify the proposed model by using SPSS and SMARTPLS. The results indicate that the interactivity of mobile live-video broadcast has a significant positive effect on the satisfaction and the intention of continuous use of users by improving the viewing experience (flow, social presence) and anchor identity. Besides, there are significant differences between the influence of the dimensions of interactivity on the viewing experience and identity of users. Therefore, this paper proposes some suggestions for mobile live-video broadcast based on these findings. Related Articles

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Information Privacy Insurance: Consumers’ Decision and the Impacts on Monopoly Enterprise CHENG Yan, MEI Shu’e, ZHONG Weijun 2020, 29 (2):  308-317.  doi: 10.3969/j.issn.1005-2542.2020.02.011 Abstract ( )   PDF (1080KB) ( )   As a special means for privacy protection, privacy insurance has been applied by e-commerce companies in practice, but it has not been studied yet in academic circles. This paper, by taking a game-theoretic approach, explores the valuation of privacy insurance and its impacts on the strategies of monopoly enterprises and the privacy information exposure decision of consumers. The results indicated that privacy insurance improves consumers’ willingness to participate in the market and to disclose more privacy information. Besides, the profit of monopoly enterprise increases with the increase in the number of consumers who buy privacy insurance. Moreover, if more consumers buy privacy insurance, the monopoly enterprise will have a lower cost of service and a higher profit. In summary, privacy insurance brings positive effects on both monopoly enterprise and consumers. Related Articles

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Profit Distribution of Cross-Border Cooperation and Innovation LIU Hui, SHEN Yan, LI Shiming, WANG Xiaoming 2020, 29 (2):  318-325.  doi: 10.3969/j.issn.1005-2542.2020.02.012 Abstract ( )   PDF (984KB) ( )   This paper constructs a profit distribution model of cross-border collaborative innovation with cross-border innovation risk and synergy innovation effect from the perspective of value creation and sharing, by dividing it into a cooperative game and a non-cooperative game. The two states of risk are analyzed. Based on the derivation of the profit sharing model of cross-border collaborative innovation, it constructs three inferences and three propositions of cross-border collaborative innovation, based on which, conclusions or implications for cooperation, cross-border innovation risks, and sharing factors can be obtained. This paper reveals that cross-border innovation risk has a negative impact on the efforts of all parties involved in the innovation and the overall net income of the innovation. Effective cross-border collaborative innovation should be moderate. Besides, all parties should be encouraged to invest more(or make more efforts). Moreover, the cooperation between the participating entities should be strengthened to resolve and weaken the risk of cross-border innovation. Related Articles

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Effects of Perceived Organizational Status on Innovative Proactive Behavior Based on the Mediating Effect of Psychological Capital and Moderating Effect of Transformational Leadership DING Daoren 2020, 29 (2):  326-334.  doi: 10.3969/j.issn.1005-2542.2020.02.013 Abstract ( )   PDF (1288KB) ( )   Based on the relevant theoretical research, a concept model between perceived organization status, psychological capital, and transformational leadership is constructed. Then, based on the survey data, regression analysis is used to conduct the empirical test. The result shows that both the perceived enterprise status and the perceived labor union status have a positive influence on proactive behavior, and psychological capital plays an intermediary role while transformational leadership plays a moderate role in perceived organizational status and proactive behavior. Related Articles

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Robust Project Scheduling Based on Optimization of Resource Flow Network LIANG Yangyang, CUI Nanfang 2020, 29 (2):  335-345.  doi: 10.3969/j.issn.1005-2542.2020.02.014 Abstract ( )   PDF (1445KB) ( )   Aimed at the fact that project schedules have to be re-scheduled owing to tardiness in activities, robust baseline schedules are generated based on optimization of the resource flow network from resource allocation. First, a tardiness penalty cost (TPC) indicator is proposed to measure the schedule robustness, based on which, a dynamic model of resource flow network optimization is developed to minimize the sum of TPC. Next, a minimizing tardiness penalty cost (MTPC) algorithm is developed for solving the model. This algorithm is activity-based, in which resources are efficiently transferred from one activity to the other with a minimal TPC in order to increase the schedule robustness. Finally, Monte Carlo computational experiments are conducted to verify the feasibility and effectiveness of the MTEC algorithm compared with other three algorithms (RRAS, Min-EA and MABO). The computational results indicate that the MTEC algorithm outperforms these three algorithms in schedule robustness, stability of resource allocation, and temporal efficiency of algorithms. Therefore, the MTPC can not only efficiently allocate resources, but also improve the schedule robustness by reducing the tardiness in activities, which helps project managers to develop more stable baseline schedules against disruptions. Related Articles

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A Backtracking Algorithm with Reduction for Maximal Covering Location Problem PENG Dajiang, NING Aibing, SHANG Chunjian, ZHANG Huizhen 2020, 29 (2):  346-353.  doi: 10.3969/j.issn.1005-2542.2020.02.015 Abstract ( )   PDF (1183KB) ( )   The maximal covering location problem is widely applied in real life, and it is demonstrated to be an NP-Hard problem in combinatorial optimization. First, the algorithms for the upper and lower bound are proposed. Then, the mathematical properties, including the properties that can determine batches of facilities that must engage or not, are addressed. After that, a backtracking algorithm with reduction that returns a global best solution based on sub-algorithms for the upper and lower bound and these mathematical properties is presented, which is able to quickly reduce the scale of the question. Finally, an instance is illustrated to describe the steps of the algorithm. Related Articles

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A Literature Review of Traffic Assignment Models Based on Activity-Travel Super-Network LI Qing 2020, 29 (2):  346-353.  doi: 10.3969/j.issn.1005-2542.2020.02.016 Abstract ( )   PDF (3891KB) ( )   Traditional trip-based traffic assignment models have ignored the essence that travel stems from the participation in activities and the interplay among trips, which can be captured by activity-based traffic assignment models. With the comprehensive consideration of activity attributes including time window, location, property and etc., activity-based traffic assignment models can precisely provide a theoretical guidance for urban transport planning and urban planning. Based on the existing literature,  this paper introduces the super-networks that demonstrates travelers’ activity-travel choice pattern. Then, it analyzes traffic assignment models based on various activity-travel super-networks. Finally, it discusses researches to be conducted in the future based on the current models from the perspectives of decision subjective, decision content, and decision context. Related Articles

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An Improved Collocation Method and Its Application in Dynamic Pricing BI Wenjie, WANG Xiaojun, LIU Haiying 2020, 29 (2):  361-367.  doi: 10.3969/j.issn.1005-2542.2020.02.017 Abstract ( )   PDF (1378KB) ( )   It is often difficult to solve dynamic pricing problems involving multiple state variables. Therefore, an improved collocation method is proposed by introducing multidimensional interpolation and tensor product, and the convergence of the improved collocation method is theoretically analyzed. The improved collocation method is applied to solve the dynamic economic problem with multiple state variables. Besides, the practical application of the improved collocation method is given and the improved method is applied to solve the dynamic pricing problem with finite memory. In addition, the sequential state transference equation is constructed by comparing the difference between the Chebyshev grids of state variables and its approximated values, and the optimal price path is simulated based on sequential state transference. The numerical analysis shows that the improved collocation method is faster in converging to steady state than the linear-quadratic approximation method. Related Articles

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Auction Mechanism Design for Emission Trading in Secondary Market Based on Differrent Abatement Technology #br# LI Dongdong, YANG Jingyu 2020, 29 (2):  368-376.  doi: 10.3969/j.issn.1005-2542.2020.02.018 Abstract ( )   PDF (1026KB) ( )   Based on the model of the optimal auction mechanism, this paper establishes a unilateral auction model for the secondary emission trading market by introducing pollution emissions, pollution reduction, and production investment behaviors and by considering multiple units of pollutant emission rights. Besides, it studies the choice of the optimal multi-item auction mechanism and its differences in two types of emission abatement technologies, and further compares the efficiency differences between the optimal multi-unit auction mechanism and the current single-unit auction mechanism. The results show that when the polluting firm uses end-pipe abatement technologies, the seller’s revenue under the condition of uniform price auction is less than the seller’s income under the condition of discriminatory price auction, and the optimal auction mechanism is discriminate price auction. When the polluting firm adopts the clean process emission reduction technology, the seller’s revenue under the condition of uniform price auction is greater than that under the condition of discriminatory price auction, and the optimal auction mechanism is uniform price auction. No matter which emission abatement technologies are used, the efficiency of multi-unit auction mechanism in emissions trading is always higher than that of the current single-unit auction mechanism. Related Articles

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Optimal Allocation of Water Resources in Water-Stressed Regions Based on Water Resources Cooperation Among Water Using Sectors TAN Jiayin, JIANG Dakui 2020, 29 (2):  377-388.  doi: 10.3969/j.issn.1005-2542.2020.02.019 Abstract ( )   PDF (1068KB) ( )   A novel 3-step solution concept based on fuzzy cooperative games was developed aimed at optimizing the water resources reallocation in water-stressed regions. In the first step, the characteristic function of the crisp water-sharing coalitions among water using sectors was constituted based on the “priority rule”, which dedicated to the reasonable illustration of the water resource sharing mode in each crisp coalition. In the second step, based on the fuzzy cooperative games in the form of Choquet integrals, and the characteristic function of crisp coalition constituted in Step 1, the characteristic function of fuzzy water resource sharing coalitions among water using sectors was established. In the third step, based on the results above, the optimal water resource reallocation model was proposed, and optimum fuzzy coalitions were obtained by solving this model. Furthermore, in this step, each optimum coalition was considered as a grand coalition, and the benefit of each grand coalition was distributed to water using sectors in a rational way by using the nucleolus method. This methodology was examined by applying it to a case study of water resource reallocation in the “Beijing-Tianjin-Hebei Region”. The results show that the proposed 3-step optimal water resource allocation model can ensure the maximum effect of water utilization, and can realize optimal water resource allocation. Moreover, the proposed model does not need to have the constrain of fuzzy Shapley value equation, if the model was constructed based on the fuzzy cooperative games in the form of Choquet integrals, that is, the optimal allocation model without affecting the validity of the distribution results obtained by using different distribution methods. Furthermore, the nucleolus solution of each optimum coalition uniquely exists, which can guarantee the stability of each optimum coalition by satisfying both individual rationality and group rationality criterions, which means that the proposed method based on nucleolus is more effective than the exiting method (Shapley value, fuzzy least core, and fuzzy weak least core) in the issue discussed in this paper. Related Articles

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Impacts of Customer Bounded Rationality on Last-Mile Delivery Service Systems CHEN Yiyou, ZHANG Jin, LUO Jianqiang, JIAN Ping 2020, 29 (2):  389-399.  doi: 10.3969/j.issn.1005-2542.2020.02.020 Abstract ( )   PDF (1285KB) ( )   Because of the incomplete information in the last-mile delivery service system, customers often compete with each other, since they have only bounded rationality, which creates congestion. From the perspective of customer expected utility, the queuing model for pickup service and home delivery service was proposed considering factors such as customer pickup distance and delivery. Bounded rationality was depicted based on quantal response equilibrium in which customers could not make accurate calculations of their expected loss or waiting utility. Then, the existence and uniqueness of Logit equilibrium in the last-mile delivery service system were proved and the impacts of customer rationality, pickup distance, and charge on the equilibrium were analyzed. Furthermore, from the perspective of a bus company, the profit-maximization model under the condition of customer bounded rationality was built. Simulation experiments show that ignoring customer bounded rationality can result in a significant revenue loss of bus companies. Related Articles

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Profit Distribution Mechanism of VMI & TPL Mode at Upstream Section of Supply Chain Based on the Perspective of Integration of the Maximum Entropy Method and Vertical Projection Method LI Lei, YANG Huaizhen, FENG Zhongwei 2020, 29 (2):  400-408.  doi: 10.3969/j.issn.1005-2542.2020.02.021 Abstract ( )   PDF (1020KB) ( )   The distribution of profits in the VMI & TPL mode is directly related to the enthusiasms of all participants and the implementation effectiveness of the VMI & TPL mode. However, in the academic circles, limited attention has been paid to this issue and only a few studies have been conducted on the downstream of supply chain. In this paper, by taking into consideration the VMI & TPL mode and the parameters of supply chain, the upstream section is addressed and economic models are developed. Based on these models, the profit distribution mechanism is constructed according to the basic logic of the maximum entropy method whose basic premise is that all enterprises bear equal risks, which is not fully fit for the physical truth. Therefore, the profit distribution mechanism is modified and improved by the vertical projection method combining with an idiographic example test. The results indicate that the modified mechanism can compensate for the risk of the enterprise, and the profits created in the VMI & TPL mode at the upstream section are reasonably distributed among participants. Thus, a win-win goal can be achieved. In reality, this mechanism can be implemented by an income sharing contract constituted by all partners before the implementation of the VMI & TPL mode. Related Articles

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A Three-Stage Cold Chain Inventory Optimization Model Considering Freshness and Quantity Loss of Goods WANG Shuyun, FAN Xiaoqing, MA Xueli, JIANG Yingmei 2020, 29 (2):  409-416.  doi: 10.3969/j.issn.1005-2542.2020.02.022 Abstract ( )   PDF (996KB) ( )   There is a loss of both quality and quantity in the circulation of fresh agricultural products. In order to further study the effect of the “double loss” on supply chain inventory decision, fresh preservation is introduced into cold chain operation, and a corresponding freshness and quantity loss function is established. Besides, a three-stage cold chain inventory model with the objective of maximizing the system profit is proposed, in which demand is dependent on the freshness of products. Moreover, the genetic algorithm is utilized to solve the optimal inventory strategy. A sensitivity analysis of relevant factors indicates that as the sensitivity of customers to the freshness of goods increases, system profit increases. In addition, the variation in the cost of fresh preservation at DC has the least effect on the fluctuation of system profit. Related Articles