ISSN 0253-2778

CN 34-1054/N

2017 Vol. 47, No. 3

Display Method:
Original Paper
A note on optimistic strongly regular graphs
QIAO Zhi, PAN Yongliang
2017, 47(3): 197-203. doi: 10.3969/j.issn.0253-2778.2017.03.001
It is known that for a fixed integer α≥2, all but finitely many coconnected ones, the strongly regular graphs with smallest eigenvalue -α fall into two infinite families. Graham and Lovász raised the question of whether optimistic graphs exist and it was answered positively by Azarija. Here strongly regular graphs were classified with smallest eigenvalue -3, and the optimistic ones among them were determined.
A C1 bivariate rational cubic interpolating spline
WANG Dongyin, TAO Youtian
2017, 47(3): 204-213. doi: 10.3969/j.issn.0253-2778.2017.03.002
A bivariate rational bicubic interpolating spline(BRIS) with biquadratic denominator and six shape parameters was constructed using both function values and partial derivatives of the function as the interpolation data in a rectangular domain. The C1 continuous condition of BRIS was discussed. Some properties of BRIS such as symmetry were given. BRIS was proved to be bounded and its error was estimated. In the end, a numerical example was given to illustrate the effect of the shape parameters on the shape of BRIS surface.
On the asymptotic properties of the shrinkage empirical likelihood estimators for longitudinal data
XU Gang, ZHANG Yan, ZHANG Weiping
2017, 47(3): 214-220. doi: 10.3969/j.issn.0253-2778.2017.03.003
When there exist time-dependent covariates in some longitudinal study, it is well-known that the widely used generalized estimating equations approach would not preserve unbiasedness and robustness in an arbitrary working correlation structure. However, incorrect application of the working correlation structure could result in loss of efficiency and biased estimation. To deal with this problem, Leung et al. proposed a shrinkage empirical likelihood approach which combines the unbiased estimating equations and the extracted additional information from the estimating equations that excluded by the independence assumption. Although their simulations have shown the proposed estimators are efficient, the asymptotic properties of the proposed estimators are unknown. Here it is was shown that the proposed estimators are consistent and asymptotically normally distributed under some regular conditions.
The release of effective crisis statements during product-harm crises in China
DING Qiying, WANG Fei, WANG Feng
2017, 47(3): 221-230. doi: 10.3969/j.issn.0253-2778.2017.03.004
The release of effective corporate statements in crisis communication was investigated. Based on 92 crisis statements released by companies in China between 2005 and 2012 during product-harm crises, two key parameters were studied: statement diffusion range and statement acceptability within news coverage. The results show that the approach taken (crisis statement releasing strategy) is more important than the content (instructing and adjusting information) in predicting diffusion range. Although the hypotheses regarding statement acceptability were rejected, nine key statement errors and omissions that result in negative comments from news media were identified. These can be used to guide practitioners to an error-free crisis statement. Additionally, regarding corporate characteristics, listing status and nationality do not influence the two parameters. Crisis type, however, shows an effect on statement diffusion range.
Research on raise compliance rate of bank financial products based on Logit
LU Wei, LIU Ling
2017, 47(3): 231-235. doi: 10.3969/j.issn.0253-2778.2017.03.005
The factors that influence whether financial products would raise enough amounts to reach the standard (the actual amounts of products raised reach prescribed minimum of planned amounts) were studied. A sample of 13667 bank financial products issued in two years from 2011 December to 2013 December was used, which contains two parts(a training sample and a prediction sample), and Logit model was employed to analyze the relationship between the basic elements of bank financial products and raise compliance rate. In addition, the validity of the model was verified with a prediction sample. The results indicate that higher credit ratings of the issuing banks, wider sales area, higher expected rates of return, and lower prescribed minimum of planned amounts of producted raised will create a higher raise compliance rate. Furthermore, among the four factors, bank’s credit ratings made the largest influence, followed by sales area, expected rates of return ceiling and prescribed minimum of planned amounts of producted raised.
Endogenous growth, tax rate structure and Chinas private consumption
HE Jun, LIU Liangliang, ZHANG Yujuan
2017, 47(3): 236-243. doi: 10.3969/j.issn.0253-2778.2017.03.006
Models of Milesi-Ferretti and Roubini were expanded, and the dynamic relationship between the tax rate on capital income, labor income, consumption and private consumption which are embedded into endogenous growth model was studied, explicit relationships between consumption growth rate and various parameters were obtained by the Hamilton function, and relationship between tax rate structure and consumption growth rate were obtained by numerical simulation. The empirical study based on the Chinese provincial panel data from 2002 to 2013 suggest that labor income tax rate had a significant positive effect on household consumption; capital income tax, consumption tax rate has a significant negative effect on consumption, namely labor income tax rate is crowding in private consumption, while, capital income tax, consumption tax rate are crowding out of private consumption.
Empirical research on price discovery in RMB foreign exchange markets from the perspective of development
WEI Yongfeng, XU Dongdong
2017, 47(3): 244-254. doi: 10.3969/j.issn.0253-2778.2017.03.007
RMB exchange rate reformation has been deepening over the past decade. During this RMB internationalization process, one of the most important research issues is how the price relationship has been developing among the onshore spot market, onshore forward market, offshore spot market, offshore forward market and non-deliverable forward market. Based on the co-integration, vector error correction (VEC) model and information share (IS) model, price discovery mechanism among these five markets of seven periods was studied. The result shows that non-deliverable forward (NDF) market has greater price discovery ability before the emergence of the offshore market. However, as the result of easing policies and the development of the offshore market, the centrality of market price information is gradually transferred from the non-deliverable forward market to the offshore market. It is expected that the offshore market will play the main role in the price discovery mechanism.
Characteristics of companies with financial fraud based on time-dependent COX model
PAN Wanbin, HONG Yuan
2017, 47(3): 255-261. doi: 10.3969/j.issn.0253-2778.2017.03.008
Financial fraud of the listed companies taken place in China A share market from 2008 to 2015 was investigated. By using the time-dependent COX model, the characteristics of the financial fraud companies were analyzed from financial ratios, ownership structure, corporate governance and other aspects and the relative hazard rate of each factor was given. The results show that the greater the size of the company, getting a standard unqualified audit opinion, the greater its quick ratio, the higher the shareholding proportion of the controlling shareholder,and the higher the shareholding proportion of the board of supervisors, the smaller the likelihood that financial fraud will occur, while great frequency of board meetings will more likely result in financial fraud.
A simulation approach to financial options Greeks estimation under Lévy processes
LIU Gang, CUI Zhenyu, LIU Yanchu, XIE Jingui
2017, 47(3): 262-266. doi: 10.3969/j.issn.0253-2778.2017.3.009
Accurate estimation of the Greeks for financial options is an important practical procedure for risk management of financial derivatives. It is also an important topic in financial engineering research. Monte Carlo simulation method, being capable of avoiding the problem of “curse of dimensionality”, is one of the most popular computational tools in financial engineering. Here a new Monte Carlo simulation method was developed to estimate Greeks for financial options under Lévy processes. For asset price models following Lévy processes, only the characteristic functions are known. By building our method on Fourier transform inversion and linear interpolations, approximations of the cumulative distribution functions and the probability density functions can be obtained, paving the way for generating random samples and constructing Monte Carlo simulation estimates to the Greeks. Numerical experiments were conducted to illustrate the efficiency of the proposed method and the results show that it performs more efficiently than alternatives in the literature.
Agriculture supply chain optimization based on supply and demand uncertainty with government subsidy policies
NIE Tengfei, YU Haisuo, DU Shaofu
2017, 47(3): 267-273. doi: 10.3969/j.issn.0253-2778.2017.03.010
Under the background of random output and random market demand of agriculture, and with government subsidies for the retailer, a one-period two-echelon supply chain optimization consisting of one manufacturer and one retailer was studied. A Stackelberg game between the manufacturer and the retailer was considered, and the existence of Stackelberg equilibrium was derived. The results show that the government subsidy policy can improve the supply chain’s total profit. In addition, an interesting finding shows that, under the reasonable government subsidies and exogenous parameters, the supply chain can be coordinated with a simple wholesale price contract, which does not happen in traditional cases.
Finite element analysis of the differential rebound of piles in pit during top-down excavation
2017, 47(3): 274-282. doi: 10.3969/j.issn.0253-2778.2017.03.011
Differential rebounds between piles will bring extra stresses in the basement structure during top-down excavation. Methods for minimizing differential rebounds between piles were discussed, including variations in pile location, pile length and pile radius as well as variations in vertical or horizontal connection stiffness of joint between horizontal bracing system and vertical sustaining structure. Results of the finite element method show that: variation in pile length is an effective way to diminish rebounds and differential rebounds of piles and keep differential rebounds unchanged during pit excavation; variation in pile radius helps to diminish differential rebounds between piles, but their effect on differential rebounds are really small; for non-displacement piles, the impact of variation in pile space on rebounds at pile head can be neglected; when piles and retaining wall can slip vertically, the effect of differential rebounds of piles on slabs can be neglected and lateral deflections of piles decrease accordingly; when horizontal support of columns to slabs is weakened, there are sharp increases in rebounds and differential rebounds of piles, resulting in the lateral deflections of piles towards pit center.