Forecasting intermittent demand for inventory management by retailers: A new approach

The forecasting of intermittent demand is a complex task owing to demand fluctuations and interval uncertainty. Intermittent demand is essentially random demand with a high percentage of zero values. In the retail industry, there are many products which face intermittent demand and this poses a problem of inventory management. This study proposes a Markov-combined method (MCM) for forecasting intermittent demand, which takes into account the inventory status and historical sales of products. We divide the prediction process into two stages. In the first stage, the transition probabilities of the four basic states of demand and inventory are calculated. In the second stage, the corresponding and appropriate prediction method is selected according to the predicted state. Further, using two large datasets from the two biggest e-commerce companies in China, we verify our results and show that the MCM forecasts more accurately than the Single Exponential Smoothing (SES), Syntetos-Boylan Approximation (SBA), and Croston (CR) methods. The MCM can be as an alternative method for forecasting intermittent demand because it is easy to compute and typically more accurate than the classical forecasting methods.     

Beta stability and tendency : An application of a variable mean response regression model

A Variable Mean Response Regression (VMRR) model is used to reexamine the stability and tendency of beta estimates. The analysis presented indicates that the VMRR model is a better model than the traditional fixed-coefficient regression model in investigating the beta stability and tendency. The mean square error criteria is also used to show that the beta estimates obtained from the VMRR model are generally more appropriate for forecasting the future betas than those obtained from the fixed-coefficient regression model.     

Bayesian and mixed estimators of time varying betas

Based on the random coefficient model, Vasicek's static Bayesian beta coefficient adjustment model is extended to a dynamic model. It is shown that the time-varying security beta model can be used to identify and resolve the existence of nonstationary (weak stationary) beta coefficient over time. The implication of a random beta coefficient on th standard Bayesian adjustment is also explored. The usefulness of employing time-varying security beta estimates in forecasting the future beta in terms of Box and Jenkins' ARIMA model is also empirically demonstrated.     

Lévy betas: Static hedging with index futures

This study considers calibration to forward‐looking betas by extracting information on equity and index options from prices using Lévy models. The resulting calibrated betas are called Lévy betas. The objective of the proposed approach is to capture market expectations for future betas through option prices, as betas estimated from historical data may fail to reflect structural change in the market. By assuming a continuous‐time capital asset pricing model (CAPM) with Lévy processes, we derive an analytical solution to index and stock options, thus permitting the betas to be implied from observed option prices. One application of Lévy betas is to construct a static hedging strategy using index futures. Employing Hong Kong equity and index option data from September 16, 2008 to October 15, 2009, we show empirically that the Lévy betas during the sub‐prime mortgage crisis period were much more volatile than those during the recovery period. We also find evidence to suggest that the Lévy betas improve static hedging performance relative to historical betas and the forward‐looking betas implied by a stochastic volatility model.     

The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data

Our results shed light on the sensitivity of the betas of portfolios formed on market capitalization (“size”) and book-to-market value (“value”) to output growth in the United States. We estimate a state-space model to analyze the sensitivity of portfolio betas to output growth. We measure output growth using real-time and revised data. Output growth has a significant effect on portfolio betas when size and value are high. Such portfolio betas exhibit countercyclical dynamics. They are more sensitive, in absolute terms, to output growth when the latter is measured using real-time data. Their sensitivity to output growth has grown over time. Portfolio betas with respect to output growth have become smaller over time, in contrast, when size is large but value is low.     

项目反应理论在实时网络风险评估中的应用

为提高传统网络风险评估方法的准确性,针对大部分网络风险评估方法未考虑攻击能力值的问题,提出了一种基于项目反应理论的实时网络风险评估方法。该方法利用项目反应理论引入的攻击能力值参数以及服务安全等级参数,对传统攻击威胁值和攻击成功概率计算方法进行改进,并采用三标度层次分析法构建出更准确的服务重要性权重,最终获得符合网络环境的评估态势。仿真结果表明：该方法可以提高评估结果的准确度,并实时地绘制更符合真实网络环境的安全态势图。     

Forecasting Methods and Seasonal Adjustment for a University Foodservice Operation

ABSTRACT

Considering the unique seasonal pattern in university dining environments, this study attempts to determine the degree of improvement in accuracy of each forecasting method tested when seasonally adjusted data is employed. This study also seeks to identify the most accurate forecasting method of the six forecasting methods used in this study: naïve, moving average, simple exponential smoothing, Holt's method, Winter's method, and linear regression. Accuracy is measured using Mean Squared Error, Mean Absolute Percentage Error, and Mean Percentage Error. Results show that Winter's method outperforms the other five methods when raw data is used, while Moving Average method, when used with seasonally adjusted data, is the most accurate forecasting technique. Seasonally adjusted data is found to greatly improve forecasting accuracy in most of the methods. The findings of this study indicate that seasonally adjusted data is more effective in forecasting customer counts in the university foodservice operations than raw data, so the adjusted data help control costs and increase customer satisfaction.     

基于高频数据的ARCH类模型波动预测比较分析

Realized Volatility是在高频数据的研究基础上发展起来的度量波动率的新方法。本文以上证综合指数的高频数据为研究对象,采用滚动式样本外一步预测的方法对5种ARCH类模型进行了模型预测能力的比较研究。主要结论有:(1)Realized Volatility作为解释变量加入GARCH模型后能够提高波动预测精度。(2)GARCH-RV的波动预测值为Realized Volatility的无偏估计量。(3)沪市存在波动非对称性与很长的持续性。     

Do Socially Responsible Fund Managers Really Invest Differently?

To date, research into socially responsible investment (SRI), and in particular the socially responsible investment funds industry, has focused on whether investing in SRI assets has any differential impact on investor returns. Prior findings generally suggest that, on a risk-adjusted basis, there is no difference in performance between SRI and conventional funds. This result has led to questions about whether SRI funds are really any different from conventional funds. This paper examines whether the portfolio allocation across industry sectors and the stock-picking ability of SRI managers are different when compared to conventional fund managers. The study finds that SRI funds exhibit different industry betas consistent with different portfolio positions, but that these differences vary from year to year. It is also found that there is little difference in stock-picking ability between the two groups of fund managers.     

卫星通信抗截获信号波形设计

针对卫星通信信号传输隐蔽性不高的问题，提出了一种抗截获的信号波形设计方法。采用具有循环平稳特性的大信号掩盖不具有循环平稳特性的弱信号，含有重要信息的弱信号成为大信号的背景信号，实现卫星信号的隐蔽传输。弱信号包含正常业务数据和重要数据，利用随机跳码扩频和随机跳时将两者合并的同时，可将重要数据隐藏于弱信号中，并破坏弱信号的循环平稳特性，提高重要数据传输的安全性。对信号波形仿真分析，在大信号和弱信号的功率比高于7 dB时，盲检测不到弱信号的存在，表明设计波形具有抗截获性。最后对弱信号解调性能仿真分析，表明抗截获能力提高的同时，其传输性能仍在可接受范围内。     

On estimating an asset's implicit beta

A.F. Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicity from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This study will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the capital asset pricing model. Empirical evidence on implicit betas is provided using prices of exchange options from the European Derivatives Exchange Market (EUREX) over years 2000 to 2004. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:961–979, 2007     

Determinants of systematic volatility of corporate bonds

This paper examines the association between betas of corporate bonds and their duration, coupon, maturity, agency rating, and other attributes. The data consist of monthly returns of 386 bonds, from January 1973 to June 1976. Betas are generated with the S&P 500 Index, a corporate bond index, and a U.S. bond index. The chief conclusions are the following: 1) Systematic volatility and its determinants differ according to the index; 2) betas formed with an equity or corporate bond index are negatively related to rating; and 3) duration is superior to coupon and term in explaining beta.     

A distributed key generation technique for public key infrastructures

Public Key Infrastructures (PKI) are important for the security of many networked systems. The current designs of PKIs often rely on a centralized key Certification Authority (CA) for the certification and distribution of keys. This centralized entity poses a performance and scalability bottleneck. In addition, it creates a serious security risk — if the CA is penetrated, the security of the entire system is irretrievably compromised. In this paper, we present an innovative method to generate globally unique keys in a completely distributed fashion. The ability to perform distributed key generation facilitates decentralized PKIs. We present security analysis of the method as well as a set of experimental performance results. Our method scales well, and is cryptographically strong. This revised version was published online in June 2006 with corrections to the Cover Date.     

香港上市公司盈余公告日附近异常市场回报率研究

文章采用动态资产定价模型(conditional CAPM),避免了无风险收益率及市场风险回报率在期间可能变动的问题;研究结果并未发现盈余公告期间市场风险回报率的显著增长,却发现决定系数R2变小,这一点验证了公司公告发布日附近的期望收益更多的是由公司个别因素、而不是市场因素来决定的。同时,我们还发现异常回报率和公司规模之间的相对较弱的负相关性。     

CEO's Total Wealth Characteristics and Implications on Firm Risk

We study the connections between firm risk and the CEO's personal wealth characteristics, using a unique dataset on CEO wealth and its components. Consistent with decreasing absolute risk aversion, we find that wealthier CEOs are associated with higher risk firms. Riskier firms tend to have CEOs whose wealth is more independent of the firm. We also find that CEOs with high personal portfolio betas run firms with higher betas. CEO's tenure is negatively associated with firm risk measured either as beta, idiosynchratic risk, or volatility of accounting profitability. A possible interpretation is that risk‐averse managers are better able to imprint their risk preferences on the firm over time. Stronger corporate governance weakens the connection between CEO wealth characteristics and firm risk.     

MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES

This paper analyzes the dynamics of an explicit random process of prices and price expectations of finitely many assets in an economy with overlapping generations of heterogeneous consumers. They maximize expected utility with respect to subjective transition probabilities defined by Markov kernels which describe the forecasting behavior of agents. Given such forecasting rules (predictors) and an exogenous process of dividends, the evolution of equilibrium asset prices and expectations is described by a random dynamical system in the sense of Arnold (1998) . The paper investigates the long-run behavior (stationary solutions) by proving the existence and stability of random fixed points for mean-variance preferences under various predictors, including unbiased predictions, and adaptive, as well as OLS forecasting. An explicit characterization of rational expectations solutions is given, providing a full dynamic characterization of asset price processes for the classical CAPM in the case of stationary OLG economies. Numerical simulations are used to compare the performance of the different predictors under an AR(1) dividend process.     

POSITIVE ALPHAS,ABNORMAL PERFORMANCE,AND ILLUSORY ARBITRAGE

Jensen’s alpha is well known to be a measure of abnormal performance in the evaluation of securities and portfolios where abnormal performance is defined to be an expected return that exceeds the equilibrium risk adjusted rate. It is also well known that in estimating Jensen’s alpha, a nonzero value can be obtained by using incorrect factors or not employing time varying betas. This paper makes two additional contributions to the performance evaluation literature. First, we show that a stronger statement is true regarding the meaning of a nonzero Jensen’s alpha. In fact, a nonzero Jensen’s alpha represents an arbitrage opportunity. Second, we show that even if the correct factors and time varying betas are used, a nonzero Jensen’s alpha can result if the estimate is conditioned on the wrong information set in the presence of an asset price bubble. We call this illusory arbitrage. Both facts are relevant to interpreting the existing empirical literature evaluating the performance of mutual and hedge funds.     

我国社会保障制度收入再分配职能分析

增强社会保障制度的再分配功能,要更新理念,与时俱进,明确我国社会保障制度目标的公平优先性;要以公平为本,矫正社会保障支出的城市倾向问题;要扩大社会保障资金来源,有效突破社会保障收支瓶颈;要强化社会保障支出管理,确保社会保障支出流向低收入群体:要结合我国财政体制改革,制定相应的制度与政策,建立社会保障基金在横向区域间的调节机制,减少和杜绝社会保障在区域、行业乃至部门间的不合理差异,有计划地逐步提高社会保障统筹层次.     

基于加权支持向量机的金融时间序列预测

金融时间序列数据的预测是商业领域的热点问题,对金融时间序列进行准确的预测,对金融投资决策与风险管理具有特别重要的意义。针对金融时间序列的特点,对传统支持向量机进行了改进,提出了基于加权支持向量机的金融时间序列预测方法。研究表明,与传统金融时间序列预测方法比较,基于加权支持向量机有效地提高了金融时间序列预测的精度。     

EFFICIENCY GAINS IN BETA-PRICING MODELS1

Recent literature shows that the risk premium is efficiently estimated in the usual two-pass procedure, estimating betas in the unrestricted model, and then regressing returns on estimated betas. This paper shows that this is not so when allowing for factor unobservability. Imposing the financial theory restriction from the outset leads to a strictly positive efficiency gain in the risk premium estimation. In addition, the role of an associated efficiency gain in the beta estimation is studied in the context of a zero-beta model.