基于云重心Shapley值的供应链融资联盟收益分配研究

针对Shapley值法在供应链融资联盟收益分配过程中分配因素考虑不全以及各分配因素随机性和模糊性强的缺点,本文利用云重心法修正Shapley值的收益分配。根据供应链融资联盟收益分配的主要影响因素,在传统的Shapley值法的基础上引入了风险系数、投入成本、努力程度以及信息对称水平4个分配修正因子,弥补了影响因素的缺失,并利用云重心法计算各联盟企业的收益修正值,云重心法能够解决定性指标和定量指标之间的模糊性转换,极大克服了Shapley值法自身的局限性。算例对比结果发现,改进的Shapley值法能更加合理的分配收益,有利于维持供应链融资联盟的稳定。     

某物流配送中心运输车辆噪声对居民的影响

一些企业在生产过程中排放的噪声级较高,干扰了周围居民的正常生活,导致居民对噪声污染的投诉越来越多。为了明确某企业噪声对周围居民区的影响范围和程度,通过测定某物流配送中心运输车辆及其周边敏感点的噪声值,采用导则推荐的模型,预测了运输车辆对敏感点的等效声级(Leq)和最大A声级(Lmax),从实测和预测2个途径,明确该物流配送中心运输车辆噪声对周围敏感点的影响,分析各敏感点噪声的超标情况。将等效声级预测结果与实测结果相比较,预测结果稍大于实测结果,两者相差1~2dB(A),表明预测结果可信。根据敏感点噪声超标情况,提出了运输车辆噪声控制对策,以减少该物流配送中心车辆噪声对居民的影响。     

Factor investing and currency portfolio management

Currency-specific pricing factors are pervasive in international asset pricing. However, portfolio and risk management based on forex factors, instead of individual currencies, are rarely discussed. This paper tries to fill this gap by modelling dynamic correlations and non-normality among forex factors. By considering the four most popular forex factors: the dollar risk factor, the carry trade factor, the currency momentum factor, and the currency value factor, we find that a dynamic conditional correlation copula (DCC-copula) model with skewed-t kernel fits the joint distribution well. We show that, for risk-averse investors who focus on factor investing or employ the forex factors to resize the specific risk exposure, ignoring the tail dependence structure of forex factors brings significant costs.     

石家庄市气态污染物垂直分布特征研究

利用石家庄市电视塔垂直4层观测平台(高度分别为20,86,116,200m),对各层大气中的O3,CO,SO2,NO,NO2浓度进行了连续观测,分析了2012-01-01至2012-08-01气态污染物在垂直梯度上总体变化趋势、逐月变化趋势,以及采暖期和非采暖期不同梯度气态污染物浓度逐时变化趋势。结果表明:石家庄市的大气污染物浓度具有明显的季节变化特征,CO,SO2,NO,NO2浓度冬季最高,夏季最低,而O3浓度则是夏季较高,冬季较低;除CO外,其他4种污染物在采暖期和非采暖期都表现出了不同的日变化趋势,在早晨上班高峰期7:00—9:00,SO2,NO,NO2的污染最重,15:00—17:00的污染最轻,次高峰出现在晚上21:00—24:00,而受太阳辐射影响,O3一天中的峰值出现在16:00左右。1月—4月,除O3外,其他4种污染物基本呈现低层级处污染物浓度高,高层级处污染物浓度较低;5月—7月SO2,NO,NO2的垂直梯度浓度变化不明显,均处于较低水平,O3浓度在垂直梯度呈现明显差异。     

关于输配电价几个重要问题的探讨

我国电力企业将要由传统的垂直垄断的模式转变为网厂分开、竞价上网的模式。电网公司作为一个独立的经营实体分离开来,有着独立的收益需求。在市场运营过程中,通过输配电价取得收益就成了电网公司取得收益的主要手段。在输配电价的制订过程之中,管制方式、输配电成本、输电定价方法、价格水平及电网投资、输配电价价区、电网提供的辅助服务等六个问题十分重要。文中就这六个问题的解决作了一些有价值的探讨。     

慎重看待大用户直供电问题

论述了在电力市场初期我国缺少实施大用户直供电所必须具备的若干条件,分析了当前开展大用户直供电存在的问题及可能造成的影响,指出开展直供是改革的趋势但不可急于求成.     

有限元法在热轧辊三维温度场研究中的应用

多功能轧光机的关键技术是轧光辊与热轧辊的设计及制造。针对电热棒加热方式的缺点,采用导热油循环加热方案来解决。分析热轧辊三维温度场,可以进一步改进热轧辊的结构及加热方式,获得更高质量的轧光织物。本文采用大型有限元分析软件ANSYS对热轧辊三维温度场进行分析计算。结果表明:在轧辊端部的温度梯度变化的主要方向仍是沿径向,但还有一些温度梯度沿轴向变化。提高轧辊端部温度分布均匀性是改善热轧辊温度均匀性的关键。     

Spatial patterns of poverty in Vietnam and their implications for policy

This study examines the geographic distribution of poverty in Vietnam by applying small area estimation methods to household budget data and population census data. The resulting district-level poverty estimates suggest that the incidence of poverty is highest in the remote northern and central highlands and lowest in the south-east and in large urban centres. However, mapping the density of poverty reveals that most poor people do not live in the poorest districts but in the two lowland deltas, where poverty incidence is intermediate. The policy implications of these findings present an important trade-off between targeting poor areas and poor people that can only be resolved with better information on the relative costs of delivering different programmes and their expected impact. Existing government estimates of poverty at the district level are not closely correlated with our poverty estimates, perhaps because of regional variation in their methods of collecting poverty data.     

潜油电泵泵轴寿命可靠性分析

统计了大庆油田近五年应用的4123套潜油电泵机组，针对248件失效泵轴的寿命进行分布检验分析，验证了其符合威布尔分布规律,并进行了可靠性评定。应用编制的工程软件可计算不同样本下泵轴寿命的概率分布规律，确定其可靠性指标，实现对泵轴使用可靠性的定性分析和定量评定，为进一步开展潜油电泵机组可靠性研究提供必要的基础数据和数据处理手段。     

Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration

Several studies that have investigated a few stocks have found that the spacing between consecutive financial transactions (referred to as trade duration) tend to exhibit long-range dependence, heavy tailedness, and clustering. In this study, we empirically investigate whether a larger sample of stocks exhibit those characteristics. We do so by comparing goodness of fit in modeling trade duration data for stable distribution and fractional stable noise based on a procedure applying bootstrap methods developed by the authors with several alternative distributional assumptions in modeling trade duration data. The empirical results suggest that the autoregressive conditional duration model with stable distribution fits better than other combinations, while fractional stable noise itself fits better for the time series of trade duration. Our result is consistent with the general findings in the literature that trade duration is informative and that short trade durations move prices more than long trade duration. In addition, our result confirms the advantage of fractal models in the study of roughness in trade duration and provides some evidence for duration dependence. S. Rachev’s research was supported by grants from the Division of Mathematical, Life and Physical Science, College of Letters and Science, University of California, Santa Barbara, and the Deutschen Forschungsgemeinschaft. W. Sun’s research was supported by grants from the Deutschen Forschungsgemeinschaft. P.S. Kalev’s research was supported with a NCG grant from the Faculty of Business and Economics, Monash University. Data are supplied by Securities Industry Research Center of Asia-Pacific (SIRCA) on behalf of Reuters. The first draft of this paper was presented at the International Conference on High Frequency Finance 2006; the authors would like to thank the conference participants for their valuable comments.