基于元胞自动机的股票价格宏观变化的研究

为了研究股票价格在宏观上的变化趋势以及产生这些变化的主要因素.提出了一种新的基于元胞自动机的模型分析股票价格宏观变化,构建了新的股票价格变化规则以及新的股票交易量的变化模型,假设了两大类影响股票价格宏观变化趋势的肉素,同时也细化了股票交易量的函数.模拟了当影响因素都利好,影响因素都利空以及影响因素利好利空交替出现的情况下,股票价格在宏观上的变化情况.仿真结果在一定程度上模拟了股票价格的宏观变化情况和股票价格变化的波动壤集性,说明了假设的两大类因素的合理性以及演化模型的正确性.     

A PTAS for Cutting Out Polygons with Lines

We present a simple O(m+n ⁶/ε ¹²) time (1+ε)-approximation algorithm for finding a minimum-cost sequence of lines to cut a convex n-gon out of a convex m-gon.     

Application of VPRS model with enhanced threshold parameter selection mechanism to automatic stock market forecasting and portfolio selection

This study proposes a technique based upon Fuzzy C-Means (FCM) classification theory and related fuzzy theories for choosing an appropriate value of the Variable Precision Rough Set (VPRS) threshold parameter (β) when applied to the classification of continuous information systems. The VPRS model is then combined with a moving Average Autoregressive Exogenous (ARX) prediction model and Grey Systems theory to create an automatic stock market forecasting and portfolio selection mechanism. In the proposed mechanism, financial data are collected automatically every quarter and are input to an ARX prediction model to forecast the future trends of the collected data over the next quarter or half-year period. The forecast data are then reduced using a GM(1, N) model, classified using a FCM clustering algorithm, and then supplied to a VPRS classification module which selects appropriate investment stocks in accordance with a pre-determined set of decision-making rules. Finally, a grey relational analysis technique is employed to weight the selected stocks in such a way as to maximize the rate of return of the stock portfolio. The validity of the proposed approach is demonstrated using electronic stock data extracted from the financial database maintained by the Taiwan Economic Journal (TEJ). The portfolio results obtained using the proposed hybrid model are compared with those obtained using a Rough Set (RS) selection model. The effects of the number of attributes of the RS lower approximation set and VPRS β-lower approximation set on the classification are systematically examined and compared. Overall, the results show that the proposed stock forecasting and stock selection mechanism not only yields a greater number of selected stocks in the β-lower approximation set than in the RS approximation set, but also yields a greater rate of return.     

Applying Artificial Neural Networks to prediction of stock price and improvement of the directional prediction index – Case study of PETR4, Petrobras,Brazil

Predicting the direction of stock price changes is an important factor, as it contributes to the development of effective strategies for stock exchange transactions and attracts much interest in incorporating variables historical series into the mathematical models or computer algorithms in order to produce estimations of expected price fluctuations. The purpose of this study is to build a neural model for the financial market, allowing predictions of stocks closing prices future behavior negotiated in BM&FBOVESPA in the short term, using the economic and financial theory, combining technical analysis, fundamental analysis and analysis of time series, to predict price behavior, addressing the percentage of correct predictions of price series direction (POCID or Prediction of Change in Direction). The aim of this work is to understand the information available in the financial market and identify the variables that drive stock prices. The methodology presented may be adapted to other companies and their stock. Petrobras stock PETR4, traded in BM&FBOVESPA, was used as a case study. As part of this effort, configurations with different window sizes were designed, and the best performance was achieved with a window size of 3, which the POCID index of correct direction predictions was 93.62% for the test set and 87.50% for a validation set.     

EOQ Model: The Case in Which the Placing of Orders Is Rewarded

The first models of optimization of inventory management costs have undergone few changes since they were developed at the beginning of the last century. It is only with the passage of time that new scenarios have appeared with the introduction of new systems of production, and consequently of new strategies in the logistics chain. In this article, we analyze and propose a revision of the basic inventory model of economic order quantity first defined by Harris in 1913 for a scenario in which the owner of the stock receives a bonus or reward each time he replenishes his stock. This situation arises when the supplier receives a benefit (which he then shares with the customer) when managing his stock replenishment. An array of nested models is shown to illustrate this scenario, from which the constraints of previous scenarios have been removed. The model provides insights into the negotiation of batch size between supplier and buyer in a win‐win environment in the specific situation in which the supplier gives a bonus to the buyer at each stock replenishment. © 2011 Wiley Periodicals, Inc.     

Stock loan valuation based on the Finite Moment Log-Stable process

The empirical test suggests that the log-return series of stock price in US market reject the normal distribution and admit instead a subclass of the asymmetric distribution. In this paper, we investigate the stock loan problem under the assumption that the return of stock follows the finite moment log-stable process (FMLS). In this case, the pricing model of stock loan can be described by a space-fractional partial differential equation with time-varying free boundary condition. Firstly, a penalty term is introduced to change the original problem to be defined on a fixed domain, and then a fully-implicit difference scheme has been developed. Secondly, based on the fully-implicit scheme, we prove that the stock loan value generated by the penalty method cannot fall below the value obtained when the stock loan is exercised early. Thirdly, the numerical experiments are carried out to demonstrate differences of stock loan model under the FMLS and the standard normal distribution. Optimal redemption strategy of stock loan has been achieved. Furthermore the impact of key parameters in our model on the stock loan evaluation are analyzed, and some reasonable explanation are given.     

股份合作制企业收入分配制度及其模式

对股份合作制企业收人分配制度的基本原则、逻辑基础及其框架构造进行了初步探讨,并构建了劳动者和经营者的收入分配模式．     

现代企业制度与国有企业改革

国有企业改革的终极目标是建立现代企业制度,而股份制和股份合作制对于我国国有企业改革,具有重要的现实意义．     

证券行情库实时传送系统的研究

在分析了证券行情库结构的基础上,详细介绍了开发证券行情库实时传送系统的过程.