To find out which factors determine stock return and to give rational explanation of return predictability, according to the principle of stock price formulation, the trend of stock price is obtained by use of option ...To find out which factors determine stock return and to give rational explanation of return predictability, according to the principle of stock price formulation, the trend of stock price is obtained by use of option pricing method. The trend of stock price is put into reconstructing CAPM （capital asset pricing model） beta; it is concluded that the firm-specific biases and the scale biases potentiaUy induce return predictabih＇ty. In addition, through the relation between the biases structure and the intrinsic value, an appropriate theoretic explanation is supplied for three-factor pricing model proposed by Fama and French.展开更多
This work contributes to the theoretical foundation for pricing in data markets and offers practical insights for managing digital data exchanges in the era of big data.We propose a structured pricing model for data e...This work contributes to the theoretical foundation for pricing in data markets and offers practical insights for managing digital data exchanges in the era of big data.We propose a structured pricing model for data exchanges transitioning from quasi-public to marketoriented operations.To address the complex dynamics among data exchanges,suppliers,and consumers,the authors develop a threestage Stackelberg game framework.In this model,the data exchange acts as a leader setting transaction commission rates,suppliers are intermediate leaders determining unit prices,and consumers are followers making purchasing decisions.Two pricing strategies are examined:the Independent Pricing Approach(IPA)and the novel Perfectly Competitive Pricing Approach(PCPA),which accounts for competition among data providers.Using backward induction,the study derives subgame-perfect equilibria and proves the existence and uniqueness of Stackelberg equilibria under both approaches.Extensive numerical simulations are carried out in the model,demonstrating that PCPA enhances data demander utility,encourages supplier competition,increases transaction volume,and improves the overall profitability and sustainability of data exchanges.Social welfare analysis further confirms PCPA’s superiority in promoting efficient and fair data markets.展开更多
Let Mn denote the partial maximum of a strictly stationary sequence （Xn）. Suppose some of the random variables of （Xn） can be observed and let Mn stand for the maximum of observed random variables from the set {X1...Let Mn denote the partial maximum of a strictly stationary sequence （Xn）. Suppose some of the random variables of （Xn） can be observed and let Mn stand for the maximum of observed random variables from the set {X1,..., Xn}. In this paper, the almost sure limit theorems related to random vector （Mn, Mn） are considered in terms of i.i.d, case. The related results are also extended to weakly dependent stationary Gaussian sequence as its covariance function satisfies some regular conditions.展开更多
We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homog...We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homogeneous Markov chain as well as the other default. By using the idea of ＇change of measure＇ and some closed-form formulas for the Laplace transforms of the integrated intensity processes, we derive the two-dimensional conditional and unconditional joint distributions of the default times. Based on these results, we give the explicit formulas for the fair spreads of the first-to-default and second-to-default credit default swaps （CDSs） on two underlyings.展开更多
文摘To find out which factors determine stock return and to give rational explanation of return predictability, according to the principle of stock price formulation, the trend of stock price is obtained by use of option pricing method. The trend of stock price is put into reconstructing CAPM （capital asset pricing model） beta; it is concluded that the firm-specific biases and the scale biases potentiaUy induce return predictabih＇ty. In addition, through the relation between the biases structure and the intrinsic value, an appropriate theoretic explanation is supplied for three-factor pricing model proposed by Fama and French.
基金supported by the National Natural Science Foundation of China[grant numbers 12171158,12371474 and 12571510]Fundamental Research Funds for the Central Universities[grant number 2025ECNU-WLJC006].
文摘This work contributes to the theoretical foundation for pricing in data markets and offers practical insights for managing digital data exchanges in the era of big data.We propose a structured pricing model for data exchanges transitioning from quasi-public to marketoriented operations.To address the complex dynamics among data exchanges,suppliers,and consumers,the authors develop a threestage Stackelberg game framework.In this model,the data exchange acts as a leader setting transaction commission rates,suppliers are intermediate leaders determining unit prices,and consumers are followers making purchasing decisions.Two pricing strategies are examined:the Independent Pricing Approach(IPA)and the novel Perfectly Competitive Pricing Approach(PCPA),which accounts for competition among data providers.Using backward induction,the study derives subgame-perfect equilibria and proves the existence and uniqueness of Stackelberg equilibria under both approaches.Extensive numerical simulations are carried out in the model,demonstrating that PCPA enhances data demander utility,encourages supplier competition,increases transaction volume,and improves the overall profitability and sustainability of data exchanges.Social welfare analysis further confirms PCPA’s superiority in promoting efficient and fair data markets.
基金Supported by National Natural Science Foundation of China （Grant No. 70371061） and the Program for Excellent Talents in Chongqing Higher Education Institutions （Grant No. 120060-20600204）Acknowledgements The authors would like to express their deep thanks to the referees for carefully reading the paper and for their comments which greatly improve the paper.
文摘Let Mn denote the partial maximum of a strictly stationary sequence （Xn）. Suppose some of the random variables of （Xn） can be observed and let Mn stand for the maximum of observed random variables from the set {X1,..., Xn}. In this paper, the almost sure limit theorems related to random vector （Mn, Mn） are considered in terms of i.i.d, case. The related results are also extended to weakly dependent stationary Gaussian sequence as its covariance function satisfies some regular conditions.
基金Acknowledgements The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province （Grant No. BK20130260）, the National Natural Science Foundation of China （Grant No. 11301369）, and the China Postdoctoral Science Foundation （Grant No. 2013M540371）. The research of Guojing Wang was supported by the National Natural Science Foundation of China （Grant No. 11371274） and the Natural Science Foundation of Jiangsu Province （Grant No. BK2012613）.
文摘We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homogeneous Markov chain as well as the other default. By using the idea of ＇change of measure＇ and some closed-form formulas for the Laplace transforms of the integrated intensity processes, we derive the two-dimensional conditional and unconditional joint distributions of the default times. Based on these results, we give the explicit formulas for the fair spreads of the first-to-default and second-to-default credit default swaps （CDSs） on two underlyings.
