采用混合图的双向异质频谱拍卖算法

为了解决频谱稀缺的问题,提高频谱利用率,采用频谱拍卖方法激励主用户（卖家）出售空闲的频谱,次用户（买家）通过在拍卖中获胜得以接入其急需的频谱,提出了一种采用混合图的双向异质频谱拍卖算法(Double Auction based on Mixed Graph for heterogeneous spectrums,MGDA)。该算法使用混合图能够更准确地量化买家之间对于频谱的干扰情况,使频谱交易数量最大化,显著提高了频谱利用率。MGDA还考虑了频谱的异质性,允许买家表达对不同频率频谱的偏好,为不同的频谱建立不同的频谱干扰图。仿真结果表明,MGDA在空间利用率、买家满意度和拍卖收益等方面具有良好的性能,空间利用率比采用无向图的拍卖算法提高5.8%~13.6%。     

A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out‐of‐sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:307–339, 2011     

移动用户目标系统中基于拍卖模型的信道资源分配

为了提高卫星通信信道的频谱利用率,从卫星通信中的认知无线电技术出发,简述了当前认知卫星研究现状。针对移动用户目标系统（Mobile User Objective System,MUOS）的特殊通信环境,提出了插空式（overlay）频谱共享方式下基于拍卖模型的认知卫星信道分配方式,并建立了收益公式。同时,引入星上频谱共享干扰公式来计算认知用户对系统造成的影响,并代入收益公式以计算认知技术给系统带来的收益大小;之后给出模拟通信环境参数,利用Matlab进行仿真计算。仿真结果表明,认知用户的加入虽会使主用户通信质量略有下降,但使系统总体收益呈上升趋势。     

A cointegrated commodity pricing model

We propose a commodity pricing model that extends the Gibson–Schwartz two‐factor model to incorporate the effect of linear relations among commodity spot prices, and provide a condition under which such linear relations represent cointegration. We derive futures and call option prices for the proposed model, and indicate that, unlike in Duan and Pliska (2004), the linear relations among commodity prices should affect commodity derivative prices, even when the volatilities of commodity returns are constant. Using crude oil and heating oil market data, we estimate the model and apply the results to the hedging of long‐term futures using short‐term ones.     

A flexible binomial option pricing model

This article develops a flexible binomial model with a “tilt” parameter that alters the shape and span of the binomial tree. A positive tilt parameter shifts the tree upward while a negative tilt parameter does exactly the opposite. This simple extension of the standard binomial model is shown to converge with any value of the tilt parameter. More importantly, the binomial tree can be recalibrated through the tilt parameter in order to position nodes relative to the strike price or barrier of an option. The rate of convergence is improved as a result. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 817–843, 1999     

经济型酒店顾客满意度IPA模型分析及实证研究

20世纪80年代以来,顾客满意度研究已成为国际上非常活跃的研究领域,而我国目前对经济型酒店顾客满意度的研究还比较少。通过问卷设计和实地调查的方法,运用多因素贡献模型对关于酒店产品影响因素的重要性和实际表现的满意程度进行综合评价,有效了解顾客对我国经济型酒店性价比的评价,可有助于经济型酒店管理与服务的不断改进和创新,从而进一步提高经济型酒店的服务质量,促进经济型酒店的持续发展。     

A pure foreign exchange asset pricing model

If consumption tastes differ among countries, a position in foreign-denominated nominally riskless bonds is risky in real terms. Risk averse and rational consumer-investors facing such a situation would generally seek a diversified portfolio of foreign bonds. They would demand risk premia in accordance with portfolio (covariance) risk. A model is specified to portray this behavior and it is tested with data from eight countries. The results indicate that the actual premia earned in foreign risky positions are positively related on average to portfolio risk measures; but the premia deviate significantly from those predicted by the model.     

A state-dependent model of intermediate goods pricing

Recent analyses of transaction-level data sets have generated new stylized facts on price setting and greatly influenced the empirical open- and closed-economy macroeconomics literatures. This work has uncovered marked heterogeneity in price stickiness, demonstrated that even non-zero price changes do not fully “pass through” exchange rate shocks, and offered evidence of synchronization in the timing of price changes. Further, intrafirm prices have been shown to differ from arm's length prices in each of these characteristics. This paper develops a state-dependent model of price setting by strategic intermediate goods producers that anticipate and respond to their competitors' actions. The model, which allows for both arm's length and intrafirm transactions, is able to generate all of these empirical pricing patterns.     

基于两步分布协同拍卖的多机协同任务分配

针对多异构机载平台对不同类型的地面目标执行攻击任务的协同任务分配问题,以平台载弹量以及摧毁任务目标的需弹量建立平台与任务之间的关系,以各平台的任务序列以及执行任务时的武器使用量序列作为决策变量,在基地-任务航路矩阵和任务-任务航路矩阵的基础上,综合考虑平台武器约束、平台航程约束、任务需弹量等约束,建立多机协同任务分配模型。设计了两步分布协同拍卖算法,通过多次生成任务的拍卖招标顺序和基地的拍卖竞标顺序,实现了多机协同任务分配问题的优化求解。仿真结果表明,所建模型和求解算法能够有效合理地解决多机协同对地攻击的任务分配问题。     

A new simple square root option pricing model

This study derives a simple square root option pricing model using a general equilibrium approach in an economy where the representative agent has a generalized logarithmic utility function. Our option pricing formulae, like the Black–Scholes model, do not depend on the preference parameters of the utility function of the representative agent. Although the Black–Scholes model introduces limited liability in asset prices by assuming that the logarithm of the stock price has a normal distribution, our basic square root option pricing model introduces limited liability by assuming that the square root of the stock price has a normal distribution. The empirical tests on the S&P 500 index options market show that our model has smaller fitting errors than the Black–Scholes model, and that it generates volatility skews with similar shapes to those observed in the marketplace. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

A pricing scheme for QoS in overlay networks based on first-price auctions and reimbursement

Providing Assured-Quality Services over data networks has been a key objective for the past few decades. Research and commercial activities have been focused on several aspects related to this main objective, such as implementing services over heterogeneous networks, providing scalable solutions and verifying network performance. However, less attention has been devoted to the interaction of these technical aspects with the business plane. Although several quality-based pricing schemes have been proposed, reimbursement proposals, while quite common in other scenarios as health, hotel reservation or airlines, are still rare in the field of Internet Economics. In this work, we propose a simple pricing scheme and study it in detail, in order to use Quality of Service monitoring information as feedback to the business plane, with the ultimate objective of improving the seller’s revenue. In our framework, Assured-Quality Services are sold through first-price auctions, and in case of failure, a percentage of the price paid for the service is given back to the buyers. We derive the expression for the willingness to pay and we model the reimbursement problem through a zero-sum Stackelberg game. We show that the Nash equilibrium of such game implies reimbursing 100 % in case of failures.     

基于反拍卖技术的采购联盟及收益分配问题分析

反拍卖技术以其新的理念和对信息技术的融合,能够使采购成本大幅度降低,提高采购的绩效。但是我国很多企业规模小,采购额小,单独使用反拍卖技术进行采购难于实施或效果不佳,为取得更为显著的效果,中小企业可结成采购联盟来实施反拍卖采购,同时对采购联盟的收益通过一些模型进行合理分配。     

Option pricing based on the generalized lambda distribution

This article proposes the generalized lambda distribution as a tool for modeling nonlognormal security price distributions. Known best as a facile model for generating random variables with a broad range of skewness and kurtosis values, the generalized lambda distribution has potential financial applications, including Monte Carlo simulations, estimations of option‐implied state price densities, and almost any situation requiring a flexible density shape. A multivariate version of the generalized lambda distribution is developed to facilitate stochastic modeling of portfolios of correlated primary and derivative securities. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:213–236, 2001     

基于寡头定价的动态频谱接入控制

为了解决频谱接入中主用户和次级用户交互信息过程复杂的问题,提出了一种基于寡头定价的动态频谱接入控制算法。该算法利用博弈论建立寡头定价模型,通过控制次级用户的频谱接入过程以实现系统收益的最大化,算法只需一次用户信息交互,且无需建立公共控制信道,网络拓扑结构简单。通过比较帕累托最优与全局最优的关系,实验计算与性能分析证明了该算法的有效性。     

A Bertrand model of pricing of complementary goods under information asymmetry

Parties in a supply chain, being independent firms, have private information about various aspects of the business not normally available to other parties. We consider a market where customers need to buy two complementary goods as mixed bundle, offered by two separate firms. The demand for each firm is dependent on the pricing strategy of both firms, which, in turn, depends on the quantities offered as per their own forecasts. We present a profit maximization model to obtain optimal strategies for a firm making decisions under information asymmetry. The model follows a simultaneously played Bertrand type game. We contrast and compare three scenarios: (1) when forecast information is asymmetric between the firms; (2) when forecast information is shared between the firms; and (3) when the firms form a strategic alliance.     

Analysing customers' reviews and ratings for online food deliveries: A text mining approach

The purpose of this study was to explore the relationship between online reviews and ratings through text mining and empirical techniques. An Indian food delivery portal ( Zomato.com ) was used, where 50 restaurants on Presence Across Nation (PAN) basis were selected through stratified random sampling. A total of 2530 reviews were collected, scrutinized, and analysed. Using the NVivo software for qualitative analysis, seven themes were identified from collected reviews, out of which, the ‘delivery’ theme was explored further for identifying sub-themes. Linear regression modelling was used to identify the variables affecting delivery ratings and sentiment analysis was also performed on the identified sub-themes. Regression results revealed that hygiene and pricing (delivery subthemes) demonstrated lower delivery ratings. These variables can be established as indicators for restaurants and related online food delivery services to build their business model around them. Similarly, negative sentiments were observed in pricing and hygiene sub-themes. Restaurants and online food services can enhance hygiene levels of their food delivery process in order to receive higher delivery ratings. Similarly, pricing of food items can be modified such that customers are not deterred from ordering the items—food and ordering service do not become cost-prohibitive. This study devised a standardized methodology for analysing vast amounts of online user-generated content (UGC). Findings from this study can be extrapolated to other sectors and service industries such as, tourism, cleaning, transportation, hospitals and engineering especially during the pandemic.     

A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory

This paper provides a new explanation for closed‐end fund (CEF) discounts and premiums using the local martingale theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing empirical evidence on CEF discounts/premiums. Additional testable implications of the model are derived, which await subsequent research for their resolution. This bubble theory also applies equally well to understanding discounts and premiums on exchange traded funds.     

Evolutionary game-theoretic model for dynamic congestion pricing in multi-class traffic networks

This paper describes an evolutionary game-theoretic learning model for dynamic congestion pricing in urban road networks, taking into account route choice stochasticity and reliability considerations, and the heterogeneity of users, in terms of their value of travel time and real-time information acquisition. The learning model represents the dynamic adjustments of users to travel cost changes which may take place in the day-to-day as well as the within-day timescales. The implementation into a simplified and a real urban road network signifies the important implications of modeling the dynamic and stochastic learning components of users’ behavior for accommodating the efficient deployment of congestion pricing schemes.     

A non‐lattice pricing model of American options under stochastic volatility

In this article, an analytical approach to American option pricing under stochastic volatility is provided. Under stochastic volatility, the American option value can be computed as the sum of a corresponding European option price and an early exercise premium. By considering the analytical property of the optimal exercise boundary, the formula allows for recursive computation of the American option value. Simulation results show that a nonlattice method performs better than the lattice‐based interpolation methods. The stochastic volatility model is also empirically tested using S&P 500 futures options intraday transactions data. Incorporating stochastic volatility is shown to improve pricing, hedging, and profitability in actual trading. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:417–448, 2006