Search

The important epidemic situation diffusion function is built by using evolutionary game theory, where the strategy interaction and behavioral evolution between government and social public are considered into the traditional infectious disease diffusion SI model. According to the daily new confirmed cases of influenza A (H1N1) promulgated by Chinese Ministry of Health, the paper makes the Logistic estimation for the epidemic situation diffusion course in the early stage, and makes forecasting analysis of peak-value under three evolutionary scenarios, i.e., large-scale diffusion, rapid control and currently active prevention and control. At last, it puts forward the prudence principle in the early stage, the flexibility principle to adjust prevention and control measures timely along with the epidemic situation development, and the influence factors to be considered in choosing favorable adjusting opportunity. The effect of government adjusting the prevention and control strategies on influenza A diffusion is discussed. [ABSTRACT FROM AUTHOR]

Real estate sector is one of inevitable components of the whole national economy. The paper studies the sources of growth of the sector with the help of a structural decomposition analysis based on a partially closed input-output model. The results show that the change of fixed assets formed, the pattern of household consumption and technique improvement are main contributors, while the effect of low income rate of labor is negative. [ABSTRACT FROM AUTHOR]

Since the 1990s, lean construction has gradually influenced ideas and methods of construction management, and played constantly an important role in improving management efficiency and economic effectiveness in some construction enterprises. In international research field for lean construction, last planner system (LPS) is one of the most powerful implementation tools and has become an important part, but in China it is an emerging field. In this paper, the origin, connotation and evolution of LPS are illustrated. A framework of LPS is outlined based on researching the existing literatures. And under the framework, the related studies on its operation mode, operating environment, running evaluation and engineering applications are reviewed. Also the limitations of the existing studies are analyzed and the researches in the future are argued. [ABSTRACT FROM AUTHOR]

This paper constructs a model for measuring the asset allocation structure of China's open-end funds. Based on this model, an empirical analysis within Kalman filter framework is conducted on the investment performance of 54 open-end funds within the recent 5 years. Results show the model that is characterized by time varying state parameters can well capture the real asset allocation strategies of these funds. We further extend our model to measure the dynamic asset allocation ability of the open-end funds. Empirical results show that our method outperforms the traditional Treynor-Mazuy model in evaluating the investment performance of funds open-end funds, and that open-end funds on the whole shows the strong ability in asset allocation, and that their long-run investment performance can mainly be attributed to their efforts on asset allocation. [ABSTRACT FROM AUTHOR]

International diversification is a main way to realize the preservation and appreciation of foreign exchange reserves and offshore investment funds. This paper investigates the benefits of international diversification based on the selection of investment markets and application of investment strategies from the perspective of Chinese investors. Our results show that, compared with diversifying into developed markets, diversifying into emerging markets helps Chinese investors gain a higher return, which will be helpful for the preservation and appreciation of foreign exchange reserves and offshore investment funds. If investors decide to invest in developed markets, the strategy of minimizing tracking error variance can also enable investors to achieve the target. On the other hand, if developed and emerging markets are all included in target markets, then the equally weighted investment strategy could bring investors the best performance. [ABSTRACT FROM AUTHOR]

This paper selects the China's newly opened stock trading accounts as a proxy of investors' sentiment index, and uses the ARMA-GARCH-type models to examine the relationship between the investors' sentiment index and the stock returns. The results show that the ARMA-GARCH-type models can effectively capture the autoregressions and the heteroscedasticities of investors' sentiment index and the returns of Shanghai Stock Exchange composite index. The result from Granger Causality Test demonstrates that the factor of returns of Shanghai Stock Exchange composite index is a significant affecting element to the change rate of investors' sentiment. However, we find that the change rate of investors' sentiment has no significant Granger causality relationship. Investors may adjust their sentiment based on different characters of market performances. When the market is on the raising period, investors behave in a more optimistic mood. At the same time, more new investors enter into the stock market. By contraries, when the market is on reverse period, investors behave in a pessimistic mood. Investors will wait and see, and go slow entering into the stock market. The newly opened stock trading accounts will also be decreasing. [ABSTRACT FROM AUTHOR]

On the basis of pre-existing high-frequency time series model and the Heterogeneous Market Hypothesis, this paper constructed the HAR-BACD-V model. Through the empirical analysis to probe into whether different trading frequency investors' trade behavior may have different contribution degree to instantaneous stock market fluctuations and volume may affect trading duration, financial product yields and volatility or not. The empirical results furtherly confirmed the heterogeneity of Chinese stock market, meanwhile, different trading frequency investors' trade behavior have different contributors to stock volatility, and found trading volume also have different influence on trading duration, returns and volatility. [ABSTRACT FROM AUTHOR]

We propose a new risk integration method from the perspective of the financial data, i.e., the risk integration method based on financial statement. This paper applies this method in Chinese listed securities companies to measure the market risk, credit risk, operational risk, liquidity risk and the overall risk, and analyses the relationships among them. The research finds that, there are significant diversification benefits among these risks, which will help to reduce the demand for capital provision. Furthermore, market risk and operational risk are main risks in securities companies, which need paying more attention. [ABSTRACT FROM AUTHOR]

This paper used SSE50ETF, SSE Bonus ETF, SZSE100ETF to replicate underlying index to construct no-arbitrage band of CSI 300 index future, and analyzed the arbitrage opportunity and result for main contract of IF1005, IF1006 and IF1007. We found that three main contract exist arbitrage chances; compared to foreign bilateral arbitrage opportunities arise when the early introduction of index futures, CSI 300 index future shows unilateral arbitrage opportunities; compared to the constant arbitrage opportunities researched by simulation trading data, the actual trading data reveals arbitrage opportunities gradually reduced; the profits are less when many arbitrage opportunities exist, and there are more profits when arbitrage opportunities are less. In the end, we offered some investment suggestions based on our research. [ABSTRACT FROM AUTHOR]

In this paper, we consider the issue of warrant pricing when the underlying asset follows the GARCH diffusion model. Firstly, we develop a method for maximum likelihood (ML) estimation of the GARCH diffusion model based on the efficient importance sampling (EIS) technique. Then, taking SSE and SZSE composite indices in Chinese stock market as an example, we apply the EIS-ML method to estimate the parameters of the GARCH diffusion model, and we find that the EIS-ML method is efficient. Finally, an empirical study of Hang Seng Index warrants is presented. Empirical results show that the GARCH diffusion warrant pricing model is more accurate than the classical Black-Scholes (B-S) model. [ABSTRACT FROM AUTHOR]

Based on hazard assessment and vulnerability assessment, this paper applies meteorological data and insurance loss data to evaluate the annual expected loss rate for enterprise property. The applicability of the assessment procedure is demonstrated by a case study of Taizhou city, Zhejiang province. The typhoon hazard index induced to enterprise property loss is analyzed, and it is found that process precipitation is the optimal index to measure typhoon intensity. The nonlinear relationship between process precipitation and enterprise loss rate is established using the self-study discrete regression method, which has higher estimation accuracy in small sample cases. The results can provide an important basis for risk management. [ABSTRACT FROM AUTHOR]