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Now showing items 1 - 16 of 19

  • Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market

    Gong, Pu   Weng, Yingliang  

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  • Pricing real estate index options under stochastic interest rates

    Gong, Pu   Dai, Jun  

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  • Monetary policy, exchange rate fluctuation, and herding behavior in the stock market

    Gong, Pu   Dai, Jun  

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  • Pricing and simulation for real estate index options: Radial basis point interpolation

    Gong, Pu   Zou, Dong   Wang, Jiayue  

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  • Characteristics of Crude Palm Oil Produced in Hainan

    Gong, Pu   Deng, Gan Ran   Cao, Jian Hua   Li, Guo Jie   Liu, Zhi   Li, Yu Lin   Zheng, Shuang   Peng, Zhi Lian  

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  • Optical selection rules for excitonic Rydberg series in the massive Dirac cones of hexagonal two-dimensional materials

    Gong, Pu   Yu, Hongyi   Wang, Yong   Yao, Wang  

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  • Nonlinear optics in the electron-hole continuum in 2D semiconductors: two-photon transition, second harmonic generation and valley current injection

    Gong, Pu   Yu, Hongyi   Wang, Yong   Yao, Wang  

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  • [IEEE 2014 9th International Symposium on Communication Systems, Networks & Digital Signal Processing (CSNDSP) - Manchester, UK (2014.7.23-2014.7.25)] 2014 9th International Symposium on Communication Systems, Networks & Digital Sign (CSNDSP) - Energy Harvesting Aware routing protocol for wireless sensor networks

    Gong, Pu   Xu, Quan   Chen, Thomas M.  

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  • Dynamics of the Bogie of Maglev Train with Distributed Magnetic Forces

    Liu, Yaozong   Deng, Wenxi   Gong, Pu  

    A dynamic model of the bogie of maglev train with distributed magnetic forces and four identical levitating controllers is formulated. The vertical, pitching, and rolling degree of freedom of the electromagnet modules and their coupling are considered. The frequency responses of the bogie to track irregularity are investigated with numerical simulation. The results tell us that there are resonances related to the first electromagnetic suspension whose frequencies are determined by the control parameters. A comparative analysis has been carried out between the models with distributed or concentrated magnetic forces. The comparison indicates that simplifying the distributed magnetic force to concentrated one degenerates the dynamic behavior of the maglev bogie, especially resulting in overestimated resonances of the first electromagnetic suspension of maglev trains. The results also indicate that those resonances only occur on specific wavelengths of irregularity that relate to the length of the electromagnets.
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  • Monetary policy,exchange rate fluctuation,and herding behavior in the stock market

    Gong, Pu   Dai, Jun  

    Interest rate and exchange rate are two important macroeconomic variables that exert considerable effects on the stock market. In this study, we investigate whether variations in interest and exchange rates induce herding behavior in the Chinese stock market. Empirical results indicate that interest rate increase and Chinese currency (CNY) depreciation will induce herding and this phenomenon is mainly manifested in down markets. Moreover, the herding level of the highest idiosyncratic volatility quintile portfolio is twice that of the lowest quintile portfolio which we consider evidence of intentional herding. This result is consistent with those of previous studies, which report that retail investors prefer and overweigh lottery-type stocks. Finally, we investigate the effects of monetary policy announcements and extreme exchange rate volatility on herding because these events elicit considerable public attention and may trigger collective behavior in the aggregate market. (C) 2017 Elsevier Inc. All rights reserved.
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  • Measuring the coupled risks: A copula-based CVaR model

    He, Xubiao   Gong, Pu  

    Integrated risk management for financial institutions requires an approach for aggregating risk types (such as market and credit) whose distributional shapes vary considerably. The financial institutions often ignore risks' coupling influence so as to underestimate the financial risks. We constructed a copula-based Conditional Value-at-Risk (CVaR) model for market and credit risks. This technique allows us to incorporate realistic marginal distributions that capture essential empirical features of these risks, such as skewness and fat-tails while allowing for a rich dependence structure. Finally, the numerical simulation method is used to implement the model. Our results indicate that the coupled risks for the listed company's stock maybe are undervalued if credit risk is ignored, especially for the listed company with bad credit quality. (C) 2008 Elsevier B.V. All rights reserved.
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  • Competitive investing equilibrium under a procurement mechanism

    Zhang, Heng   Yang, Ming   Bao, Jiye   Gong, Pu  

    This paper proposes a procurement mechanism for a research and development (R&D) project, in which the stochastic nature of R&D is incorporated, and the potential agents needed to invest prior to the agent are selected. The incentive contract aims to attract the investment of potential agents through a sharing rate. By establishing the stopping time game, an optimal investing strategy for potential agents is derived. Furthermore, the investment equilibria are discussed, and the conditions under which the equilibrium represents preemption or simultaneous investment are presented. (C) 2013 Elsevier B.V. All rights reserved.
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  • Effects of Cost Factors on National Manufacturing Based on Global Perspectives

    Liu, Fangtao   Ding, Yong   Gao, Jia   Gong, Pu  

    Currently, the real economy is the important basis for the development of a country, especially after the global financial crisis in 2008. Given that the manufacturing industry is the main part of the national real economy, many developed and developing countries have paid considerable attention to its significance. This study focused on cost factors given that they influence national manufacturing development. Initially, this study proposed two elements, namely, manufacturing development scale and manufacturing development level, to evaluate national manufacturing development from two aspects: quantity and quality. Subsequently, we extracted a series of cost factors on the bass of the theoretical framework and literature, including labor costs, financing costs, tax and rental costs, energy and raw materials, foreign trade exports and business environments. On the basis of the data of 13 main manufacturing countries around the world from 2000 to 2015, we tested the influence degree of each cost element index on the scale and level of national manufacturing industry development through a two-way fixed effects model and incorporated it with the development of China's manufacturing industry as a case study. Finally, we deduced the future development trend of the manufacturing industry by specifically analyzing the cost factors affecting the development of this industry and provided policy suggestions. The main innovation and contribution of this study including: to comprehensively evaluate the national manufacturing development from two aspects, namely, "quantity" and "quality"; to identify the impact of national cost of the six elements; to demonstrate and determine the extent of its impact on the development trend of manufacturing sector and carry out pre-judgment through empirical research on each indicator; to provide policy recommendations targeted for each of the indicators.
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  • A Radial Basis Function-Generated Finite Difference Method to Evaluate Real Estate Index Options

    He, Xubiao   Gong, Pu  

    The local radial basis functions (RBF) method is becoming increasingly popular as an alternative to the global version that suffers from ill-conditioning. The purpose of this paper is to design and describe the valuation of the real estate index options by a local RBF scheme based multiquadric radial basis function-generated finite difference (RBF-FD) method. As a generalized finite differencing scheme, the RBF-FD method functions without the need for underlying meshes to structure nodes. It offers high-order accuracy approximation and removes the difficulty of the ill-conditioned conventional global collocation methods. This paper employs an optimal variable shape parameter for the multiquadric basis functions at each grid point of the domain. Meanwhile, a local mesh refinement technique is adopted to deal with non-smooth payoffs of option. These techniques are effective and stable in improving the computational accuracy of the RBF-FD method. Several numerical experiments are presented and compared with the FD and compactly supported RBF methods to demonstrate the good performances of the proposed method. Lastly, the RBF-FD method is extended to price the American option of the real estate index.
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  • Three new species of genus Mecopoda Serville,1831 from China (Orthoptera:Tettigoniidae:Mecopodinae)

    Liu, Yun-Fei   Shen, Chu-Ze   Gong, Pu   Zhang, Ling   He, Zhu-Qing  

    Only six species or subspecies of genus Mecopoda have been recorded with two species recorded from China prior to this study. We describe 3 new species, M. hainanensis He sp. nov., M. fallax He sp. nov. and M. marmorata He sp. nov. from Yunnan and Hainan. Although M. hainanensis is similar to M. niponensis, M. fallax is similar to M. elongata elongata, their songs can be used for identification. The result of molecular study also supports the validity of three new species. The type specimens are deposited in Museum of Biology, East China Normal University (ECNU).
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  • Modeling spatial and temporal dependencies among global stock markets

    Weng, Yingliang   Gong, Pu  

    An intensive analysis of the dependence structure among stock markets is invaluable to financial experts, policy makers, and academic researchers, providing them with important implications for portfolio management, policy-making, and risk assessment. This paper proposes a novel spatiotemporal model to both examine global stock market linkages and investigate what drives stock returns. The newly introduced model allows us to go beyond conventional correlation analyses confined to studying pairwise relationships and seems to be more suitable for detecting the dependence structure of high-dimensional financial time series. Moreover, a new copula-based approach to define the spatial weight matrix is presented that is based on the construction of a dissimilarity matrix using the Spearman's contagion index. To the best of our knowledge, this paper is the first to incorporate copulas into the definition of the spatial weight matrix. In addition, the maximum likelihood estimator of our model is derived, together with a Monte Carlo simulation study evaluating its performance compared to two other methods. Finally, the results demonstrate that our proposed measure of the spatial weight matrix, coupled with our model, performs very well in terms of capturing spatial and temporal dependencies among global stock markets, and that the relative values of conditional volatilities are also important factors in determining stock returns. (C) 2015 Elsevier Ltd. All rights reserved.
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