A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establ...A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.展开更多
Focusing on the issue to deal with inadequate extraction of metallogenic information especially geological information,a new method of extracting metallogenic information based on field model,i.e.the field analysis me...Focusing on the issue to deal with inadequate extraction of metallogenic information especially geological information,a new method of extracting metallogenic information based on field model,i.e.the field analysis method of metallogenic information,was proposed.In addition,a case study by using the method of the extraction of metallogenic information from the west Guangxi and southeast Yunnan district as an example was performed.The representation method for the field models of metallogenic information,including the metallogenic influence field model and the metallogenic distance field model,was discussed by introducing the concept of the field theory,based on the characteristic analysis of the distance gradualness and the influence superposition of metallogenic information.According to the field theory superposition principle and the spatial distance analysis method,the mathematical models for the metallogenic influence field and the metallogenic distance field of point,line and area geological bodies were derived out by using parameter equation and calculus.Based on the metallogenic background analysis,the metallogenic information field models of synsedimentary faults and manganese sedimentary basins were built.The relationship between the metallogenic information fields and the manganese mineralization distribution was also investigated by using the method of metallogenic information field analysis.The instance study indicates that the proposed method of metallogenic information field analysis is valid and useful for extracting the ore-controlling information of synsedimentary faults and manganese sedimentary basins in the study area,with which the extraction results are significant both statistically and geologically.展开更多
A reliability-based stochastic system optimum congestion pricing(SSOCP) model with endogenous market penetration and compliance rate in an advanced traveler information systems(ATIS) environment was proposed. All trav...A reliability-based stochastic system optimum congestion pricing(SSOCP) model with endogenous market penetration and compliance rate in an advanced traveler information systems(ATIS) environment was proposed. All travelers were divided into two classes. The first guided travelers were referred to as the equipped travelers who follow ATIS advice, while the second unguided travelers were referred to as the unequipped travelers and the equipped travelers who do not follow the ATIS advice(also referred to as non-complied travelers). Travelers were assumed to take travel time, congestion pricing, and travel time reliability into account when making travel route choice decisions. In order to arrive at on time, travelers needed to allow for a safety margin to their trip.The market penetration of ATIS was determined by a continuous increasing function of the information benefit, and the ATIS compliance rate of equipped travelers was given as the probability of the actually experienced travel costs of guided travelers less than or equal to those of unguided travelers. The analysis results could enhance our understanding of the effect of travel demand level and travel time reliability confidence level on the ATIS market penetration and compliance rate; and the effect of travel time perception variation of guided and unguided travelers on the mean travel cost savings(MTCS) of the equipped travelers, the ATIS market penetration, compliance rate, and the total network effective travel time(TNETT).展开更多
文摘A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.
基金Project(2006BAB01B07) supported by the National Science and Technology Pillar Program during the 11th Five-Year Plan Period of China
文摘Focusing on the issue to deal with inadequate extraction of metallogenic information especially geological information,a new method of extracting metallogenic information based on field model,i.e.the field analysis method of metallogenic information,was proposed.In addition,a case study by using the method of the extraction of metallogenic information from the west Guangxi and southeast Yunnan district as an example was performed.The representation method for the field models of metallogenic information,including the metallogenic influence field model and the metallogenic distance field model,was discussed by introducing the concept of the field theory,based on the characteristic analysis of the distance gradualness and the influence superposition of metallogenic information.According to the field theory superposition principle and the spatial distance analysis method,the mathematical models for the metallogenic influence field and the metallogenic distance field of point,line and area geological bodies were derived out by using parameter equation and calculus.Based on the metallogenic background analysis,the metallogenic information field models of synsedimentary faults and manganese sedimentary basins were built.The relationship between the metallogenic information fields and the manganese mineralization distribution was also investigated by using the method of metallogenic information field analysis.The instance study indicates that the proposed method of metallogenic information field analysis is valid and useful for extracting the ore-controlling information of synsedimentary faults and manganese sedimentary basins in the study area,with which the extraction results are significant both statistically and geologically.
基金Project(12YJCZH309) supported by Humanities and Social Sciences Youth Foundation of the Ministry of Education of ChinaProject(20120041120006) supported by Specialized Research Fund for the Doctoral Program of Higher Education,China
文摘A reliability-based stochastic system optimum congestion pricing(SSOCP) model with endogenous market penetration and compliance rate in an advanced traveler information systems(ATIS) environment was proposed. All travelers were divided into two classes. The first guided travelers were referred to as the equipped travelers who follow ATIS advice, while the second unguided travelers were referred to as the unequipped travelers and the equipped travelers who do not follow the ATIS advice(also referred to as non-complied travelers). Travelers were assumed to take travel time, congestion pricing, and travel time reliability into account when making travel route choice decisions. In order to arrive at on time, travelers needed to allow for a safety margin to their trip.The market penetration of ATIS was determined by a continuous increasing function of the information benefit, and the ATIS compliance rate of equipped travelers was given as the probability of the actually experienced travel costs of guided travelers less than or equal to those of unguided travelers. The analysis results could enhance our understanding of the effect of travel demand level and travel time reliability confidence level on the ATIS market penetration and compliance rate; and the effect of travel time perception variation of guided and unguided travelers on the mean travel cost savings(MTCS) of the equipped travelers, the ATIS market penetration, compliance rate, and the total network effective travel time(TNETT).
