Table of Content

25 July 2020, Volume 29 Issue 7

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Theory Analysis and Methodology Study

Multi-stage Location Model of Terror Response Facilities Based on Adversarial Risk Analysis

LIU Si, MA Liang, ZHANG Hui-zhen

2020, 29(7):  1-8.  DOI: 10.12005/orms.2020.0165

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Terrorist attacks have always been a major threat to human security. While the frequently terrorist attack occurs all over the world, it is increasingly more urgent for researchers to analyze terror activities deeply. While the revolution in the science of game theory has emerged in recent decades, previous research work in the field indicates it is possible to make prediction and reveal the patterns of terror activities through statistical method and behavioral analysis. Dealing with the location problem for the terror response facilities, we take the characteristics of multi-stage and dynamics into account. In this paper, we apply a method called adversarial risk analysis which represents a combination of statistical risk analysis and game theory without requiring common knowledge in the calculation. According to the Bayesian Decision Theory, the idea of sequential game theory and strategic thinking, we construct a multi-stage model of anti-terrorist facilities location based on adversarial risk analysis. Standing in the shoes of both attackers and defenders, we analyze the decision-making influential diagrams respectively and provide a global and comprehensive computing framework. We expand the previous model just including one resource facility, consider fixed number of facilities and aim to minimize the loss of terrorist attack by proactive and reactive measures. This comprehensive framework could also be applied in the case of multiple terror attacks at the mean time. In the end, we conduct several programming simulations in the background of Shanghai districts and compare results towards different parameters and assumptions. The numerical results show that the adversarial risk analysis model is an effective and feasible method to obtain the best location solutions under various resource scheduling.

Measurement and Optimization of Invulnerability of Low-orbit Satellite Communication Networks Based on Resilience

SHAO Rui-rui, FANG Zhi-geng, LIU Si-feng, YOU Wei-qing, NIE Yuan-yuan, GAO Su

2020, 29(7):  9-17.  DOI: 10.12005/orms.2020.0166

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The invulnerability of low-orbit satellite communication networks is an effective tool to describe network security and reliability. It has been widely used in network architecture design and routing strategies. According to the characteristics of satellites moving in the orbital plane in the low-orbit satellite communication network, it is necessary to continuously switch. From the establishment of the invulnerability measurement model and the network invulnerability optimization, the network invulnerability is evaluated and improved. A measure of the invulnerability of low-orbit satellite communication networks based on resilience is proposed. Through the structural analysis of the mobile model and the switch model, the resilience degree function is applied to the low-orbit satellite communication network with a certain probability for each structure, and the invulnerability of the network at a certain moment and a certain period of time is obtained. The deficiencies of the switching model are optimized, and the weighted resilience is used to reflect the optimization effect, and the optimized network invulnerability is obtained. Simulation with Iridium system as an application example shows that the invulnerability of the network is related to the resilience value of the topology at any time, and it is a linear relationship, that is, as the resilience increases, the invulnerability increases. Through the optimization of the switching model of the Iridium communication system, the invulnerability and average invulnerability of the network are improved, which shows the validity and practicability of the model constructed in this paper.

An Improved Model Based on DSM Considering Multi-period Busy Fractionin Ambulance Layout

LI Rui, SU Qiang, ZHU Yan-hong, WANG Qian

2020, 29(7):  18-24.  DOI: 10.12005/orms.2020.0167

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he ambulance layout plays a decisive role in the response to the needs of the pre-hospital emergency services. This paper focuses on the optimal layout of ambulances with multi-period busy fractions. Based on the traditional DSM (the Double Standard Model), this paper considers the busy fraction of an ambulance, and therefore, proposes an improved model. First, we calculate the expected coverage of demands considering the busy fraction, and then combine the reality, and divide one day by morning and evening peaks into 5 periods to explore the different layout schemes in different periods. Using the real data of Songjiang District in 2014, this paper applies the improved model to carry out a systematic and in-depth empirical study, and draws the curve of the impact of busy fraction on the coverage rate of demand. The results show that the expected coverage of demands obtained by proposed layout scheme is 3.19% higher than the actual scheme, and 0.54% higher than DSM scheme. This proves the effectiveness of the improved model, and the demand coverage curve decreases with the increase of the busy fraction, which is consistent with the practical significance. The proposed model provides an intuitive and concise way to obtain the layout scheme, which is conducive to the improvement of pre-hospital emergency service level, and provides a strong guarantee for social security.

Uncertain Programming Model and Algorithm for Oilfield Development Planning under SEC Criterion

TAN Ya-jing, JI Xiao-yu, WANG Tian-zhi, QIAO Shu-jiang

2020, 29(7):  25-32.  DOI: 10.12005/orms.2020.0168

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In the international context of sluggish oil prices, listed oil companies pay more and more attention to business benefits when they plan oilfield development programing. As China's three major oil companies are listed on the New York Stock Exchange in the United States, the listed oil companies are required to adopt the unit production method to withdraw discount by U.S. Securities and Exchange Commission(SEC), which greatly affect the results of the oil companies' development plans. Oilfield development planning is subject to many uncertain factors, such as nature and technology, and it is better to take full account of the uncertainty of those uncertain factors.On the basis of fully considering two types of uncertainties, namely the stimulation effect of oil measures and the new investment cost per well, and in order to satisfy the listed oil companies' pursuit of operating benefits in oil field development planning, this paper builds an uncertain oilfield development programming model under SEC criterion, and further uses differential evolution algorithm to solve it. In this paper, D oilfield annual development plan is taken as an example for analysis. It is found that the decrease of SEC reserves significantly influences business benefits, the return of new investment, annual oil production and oil complete costs, and these results can provide valuable references for enterprises to plan their development planning.

The Minimax 2-point Sets Covering Problem and Improved Algorithm

XU Yi, CHEN Ying

2020, 29(7):  33-40.  DOI: 10.12005/orms.2020.0169

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For a variation of two center problem, we consider the minimax 2-point sets covering problem. This problem considers finding two disks covering two point sets respectively such that the maximum among the two radii and the distance between two centers is minimized. According to the relationship between a center hull and the farthest point Voronoi diagram, when the radius is increasing from 0, we propose the minimum distance between two center hulls. We improve the previous result and give an improved algorithm which is the best known algorithm so far.

Dynamic Adjustment Method of Emergency Decision Scheme for Major Incidents Based on Big Data Analysis of Public Preference

XU Xuan-hua, LUI Shang-long, CHEN Xiao-hong

2020, 29(7):  41-51.  DOI: 10.12005/orms.2020.0170

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Aiming at the issues of how to divide events and determine the risk of events according to the related public preference information during the process of outsize emergencies, this paper proposes a two-stage clustering algorithm based on public preference big data information. Public preference information about the events published on social media is used for cluster analysis to identify several sub-events related to the event and derive the objective risk level of each sub-event. Then, combined with the experts' experience and judgment, the risk level of each sub-event is comprehensively obtained, and then the corresponding alternative is selected. On this basis, according to the characteristics of the multi-stage evolution of emergency, the dynamic adjustment process of multi-event and multi-altenative in emergency decision-making is described. Considering the correlation between the alternatives, the effects of emergency treatment for sub-events at different levels, and the capacity of dealing with loss, as well as the conversion costs between different programs and other factors, the best adjustment alternative under different scenarios can be obtained. The feasibility and effectiveness of this method are illustrated through case studies.

Study on the Investment of Container Port along the Maritime Silk Road in the Context of Industry Transfer

YANG Zhong-zhen, CHEN Dong-xu, GONG Zhi-guang

2020, 29(7):  52-57.  DOI: 10.12005/orms.2020.0171

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Port investment and port pricing along the maritime silk road(MSR)where plants may be relocated due to economic globalization are studied. First, dummy links are added to the physical transport network to form a super-network to describe the processes of industry transfer, products manufacturing and transportation. Then, a model for optimizing the port investment along the MSR is built with the variables of transport impedance, land rent and wage describing the equilibrium among port investment, industry transfer and regional economic growth. The model determines the port investment amount and the price level for the sites where the plants are relocated with the objective of maximizing the port profits. At last, taking port of Colombo as an example, we calculate the interactions between the port demand and supply and the upper bound to offer theoretical base for port investment along the MSR.

Research on the Retailer's Markdown Decisions with Strategic Consumers and Returns

YUAN Yi-chao, SHI Kui-ran

2020, 29(7):  58-63.  DOI: 10.12005/orms.2020.0172

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Based on the retailer's markdown promotion problem, this paper has introduced the strategic consumers and considered the heterogeneous consumers may be dissatisfied with the product. A two-period decision-making model is constructed to improve the retailer's profit from two aspects of return and price path optimization. Our study gives pricing suggestions for retailer facing strategic consumers in the case with(without)money-back guarantee. It is found that retailer should refer to commodity types to a certain extent when setting prices. When the order quantity is the same, this paper gives the condition that the behavior of strategic consumers will reduce the retailer's expected profit. When facing myopic consumers or strategic consumers, money-back guarantee can improve the retailer's profits under certain conditions. The higher the return cost of consumers, the more obvious the inhibition of the negative impact on strategic consumers, and the more significant the profit growth of retailer. Finally, numerical examples are made to analyze the effect of the commodity types on the price threshold under two kinds of return decisions and different return costs, our study also shows the inhibitory effect of return measures on the negative influence of strategic consumers.

Dynamic Stowage Planning Decision for Inland Container Liner Route Shipping with Uncertain Container Quantity

LI Jun, ZHANG Yu, JI San-you, MA Jie

2020, 29(7):  64-71.  DOI: 10.12005/orms.2020.0173

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The inland container liner route stowage planning needs to make the dynamic decision as the quantity of foreign trade containers can be changed by the customs inspection continuously. Based on the rolling scheduling strategy, the stowage planning of current port is divided into multiple stages according to the random event, namely, customs inspection. The stowage planning model for a single stage in current port is developed with the objective of minimizing the ship stack occupancy number and the differences of stowage plans between adjacent stages. Then the liner route stowage planning decision is made by rolling. The matheuristic algorithm which contains the integer programming, the destructor and the rebuilder is proposed to make the multiple stages rolling stowage planning for each port. Numerical examples based on real-world shipping scenarios show the difference between the proposed model and algorithm for minimizing the ship stack occupancy number is small. And for the differences of stowage plans between adjacent stages, the results from the algorithm are better than the model. Therefore, the proposed model and algorithm can be utilized to assist in making the dynamic stowage planning decision for inland container liner route shipping with uncertain container quantity. They can both make the stowage plans to absorb the uncertain container quantity robustly and the algorithm has a better performance than the model.

Investigation of the Precious Jewelry Dealer's Decision-making with the Consumer Utility Model

ZHOU Jing, ZHENG Wen-jie

2020, 29(7):  72-79.  DOI: 10.12005/orms.2020.0174

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Based on the heterogeneous consumers, we study the influence of tariff ratio adjustment on the precious jewelry dealer decision-making process. Under the constraints of Individual Rationality(IR)and Incentive Compatibility(IC), the demand functions based on heterogeneous consumer utility is formed, with an aim to analyze the dealer's optimal decision-making behaviors in different markets. In addition, the influence of consumer's price sensitivity on social welfare is considered, and the optimal tariff ratio levels are analyzed as well. The findings show that firstly, both the tariff ratio and the consumer's price sensitivity jointly affect the precious jewelry dealer's decision-making behaviors. Secondly, on the premise of certain consumer price sensitivity there exists a specific range of tariff ratios, within which the whole precious jewelry market can be controlled by the government to maximize the social welfare. Finally, when the level of tariff ratio is fixed, the type of the precious jewelry market is affected by the consumer price sensitivity mainly.

Retailer's Demand Forecasting Information Sharing Considering Information Leakage

WANG Wen-long, WANG Cheng-jun, HU Hai-hua

2020, 29(7):  80-88.  DOI: 10.12005/orms.2020.0175

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Focused on the reduction of retailers' information sharing willingness caused by information leakage, retailer's demand forecasting information sharing model is constructed based on competing manufacturer's innovation investment. Equilibrium decisions of each party are solved, and the impact of information leakage on retailer's information sharing is analyzed. It finds that while demand forecasting information leakage can increase the innovation investment of two competing manufacturers, it will undermine the position of game-leading manufacturer. The information leakage in the upstream competing supply chain will undermine the ex ante profit of the downstream retailer and reduce the value of the retailer's information sharing. This article overcomes the shortcomings of Shamir about the supply chain information leakage that is limited to retailers, and further takes into account the competition and innovation of manufacturers.

Impact of Information Sharing on Closed-loop Supply Chain under Reward-Penalty Mechanism

WANG Wen-bin, DING Jun-fei

2020, 29(7):  89-98.  DOI: 10.12005/orms.2020.0176

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This paper studies the retailer' strategy of information sharing and its impact on the closed-loop supply chain(CLSC)under reward-penalty mechanism(RPM). We develop a CLSC model which consists of one manufacturer, one retailer and consumers, in which the manufacturer collects waste products and then conducts remanufacturing. In this model, the manufacturer is the Stackelberg leader and the retailer is the follower. We use game theory to solve this dynamic decision problem. Furthermore, we investigate the centralized case and decentralized cases, which includes the cases that the retailer shares information and does not share information. The results show that, if the target of the social welfare includes the reward-penalty cost and the degree of collection difficulty is low relatively, information sharing increases the social welfare, otherwise, it decreases the total social welfare; the information sharing strategy always reduces the expected consumer surplus, while it can enhance the collection rate. Finally, we design a collection responsibility sharing contract to encourage the retailer to share information under the setting where the information sharing strategy strengthens the social welfare.

Research on Product Reliability for Exponential Distribution Based on Ranked Set Sampling

DONG Xiao-fang, ZHANG Liang-yong

2020, 29(7):  99-104.  DOI: 10.12005/orms.2020.0177

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In order to improve the estimation efficiency of the product reliability for exponential distribution, this paper considers the maximum likelihood estimator(MLE)based on ranked set sampling. The proposed MLE is shown to have existence, uniqueness and asymptotic normality, and its asymptotic variance is obtained by the Fisher information of ranked set sampte. However, the root of likelihood equation cannot be written in closed form. Therefore, the modified MLE having closed from is proposed using the technique replaced some terms in the likelihood equation by their expectations. The values of asymptotic relative efficiency and simulated relative efficiency show that the proposed MLE and modified MLE are always more efficient than the MLE using simple random sampling. Finally, the proposed method is applied to a clinical study on metastatic renal carcinoma.

Single Machine Slack Due Window Scheduling with Convex Resource and Deterioration Effect

JINAG Kun

2020, 29(7):  105-109.  DOI: 10.12005/orms.2020.0178

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In this paper we consider the single machine due window assignment scheduling problem with convex resource and deterioration effect, in which due window is a slack due window, and convex resource and deterioration effect mean that the actual processing time of a job is a linear function of its starting time and a convex function of resource consumption. The objective is to find the optimal schedule, the resource allocation of jobs and the starting time of slack due window and its size of due window, so as to minimize the schedule cost associated with the slack due window (the total resource consumption cost) when the total resource consumption cost (the schedule cost associated with the slack due window) is a given upper bound. The optimal algorithms are proposed, and we prove that this problem can be solved in polynomial time.

Application Research

Leverage Effect Analysis of DryBulkIndex Based on AsymmetricStochastic Volatility Model

LIDian-sheng, NIE Fu-hai

2020, 29(7):  110-114.  DOI: 10.12005/orms.2020.0179

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The violentfluctuation of dry bulk index caused by news impactbrings huge risks for shipping market entities, and bad news generallycauses greater volatility than good news of the same intensity. In this paper, the leverage effect characteristics of freight rate fluctuation in dry bulk shipping market are studied, so that we provide important basis of grasping the market dynamics for shipping companies and charterers. Considering the fattails of freight rate returns' distributions,we change the normal distribution assumption of the random error term in the Asymmetric Stochastic Volatility model. A new improvedAsymmetric Stochastic Volatility modelon the basis ofstudent-t distribution is built, in which parameters are estimatedby means of the Markov chain Monte Carloalgorithm based on Bayesian analysis. The empirical results show that, the new improvedAsymmetric Stochastic Volatility model has advantages overprevious ones when describingleverage effect characteristics of freight rate fluctuations in dry bulk shipping market.

Optimal Add-on Items Recommendation Service Level Strategy of B2C Platform with Contingent-free-shipping

LI Chun-fa, CHU Ming-sen, ZHOU Chi, XIE Wen-qian

2020, 29(7):  115-122.  DOI: 10.12005/orms.2020.0180

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Under the contingent-free-shipping(CFS), a scientific and reasonable shopping add-on items recommendation service level strategy is presented to improve the performance of B2C platform based on consumers' heterogeneity preferences for basic shipping charge or add-on items recommendation. Through analyzing the game relationship between participants and constructing the consumer utility function, a Stackelberg game model is established to reveal the interaction between the platform's recommendation service and the consumers' willingness-to-pay. Furthermore, the effects of basic shipping, reservation price, recommended commodity price and consumer preference on the platform's optimal recommendation service level strategy are examined on account of consumers' willingness-to-pay with shipping and add-on items preferences. The results show that different basic shipping charges and consumer preferences have different effects on the profitability of the B2C platform. Additionally, appropriate recommendation services are beneficial to enhancing consumers' willingness-to-pay and then increasing the profits of the platform. Therefore, it is an effective way to improve the performance of the B2C platform to reasonably formulate the basic shipping, CFS threshold and add-on items recommendation service level.

Research on Profitability Difference Based on the Theil Index

LIU Xiao-hui, PENG Xiao-hong, CHI Guo-tai, LI Gang, GUO Yu-xin, CHEN Kai

2020, 29(7):  123-130.  DOI: 10.12005/orms.2020.0181

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Profitability is an important guarantee for the stability of commercial banks.Return on Assets(ROA)is an important index to measure the profitability of commercial banks. However, ROA can neither directly measure the differences in profitability among different types of banks nor reflect the contribution of different factors of profitability differences directly.The main work of this paper is to use the Theil index to construct two indicators——ROUAT and ROPPT on the basis of ROA, which are used to measure differences in profitability of commercial banks.And we have conducted the empirical study on the financial data of 13 listed commercial banks in China from 2006 to 2015. The empirical result shows that the intra-group differences in the profitability of state-owned holding banks are far greater than the intra-group differences in joint-stock banks and also greater than the differences between state-owned holding banks and joint-stock banks.By comparing the index ROUAT and ROPPT, it is further found that the difference in per capita income ratio is more prominent than that of unit asset returns. This shows that at this stage,the number of employees has a greater impact on bank profitability than the total assets. The main contribution of this paper is to use the Theil index and ROA to construct the two indicators of ROUAT and ROPPT , which solves the problem of measuring the profitability of commercial banks under different sub-groups and the contribution of the different influencing factors.The measure of profitability difference provides reference for the policy making of relevant departments.

Complex Network Structure and Centrality of China's Stock Market under the Extreme Fluctuation of Stock Index

LI Yan-shuang, ZHUANG Xin-tian, ZHANG Wei-ping

2020, 29(7):  131-143.  DOI: 10.12005/orms.2020.0182

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Based on the complex network theory, this paper separately constructs the minimum spanning tree network of China's stock market before, during and after the stock disaster in the context of the two domestic stock market disasters in 2008 and 2015. The basic topological indicators such as degree, degree distribution and average path length are used to analyze the changes of China's stock market network characteristics and network structure. Using the degree centrality, betweenness centrality and closeness centrality, we select and analyze the core stocks and core industries in the network .We analyze the systematic risk and its change of stock market based on the network Eigenvector centrality, and analyze the robustness of stock market network through simulation experiment. The research shows that the complex network of China's stock market in the context of the two stock market disasters has small world and no scale characteristics. Compared with the 2008 international financial crisis, the impact of the domestic stock market crash on China's stock market in 2015 is great and the flexibility of Chinese stock market is great when facing with financial risks in 2015. During the period of stock market disaster, various industry sectors have obvious risk contagiousness, pointing out the role of various industry sectors in stabilizing the stock market and repairing stock indexes. The research provides a reference for grasping the market structure characteristics and stock market risk management under the extreme fluctuation of stock index.

Evaluation Index and Evaluation Method of Traffic Environment in Urban Old Residential Communities

PENG Zhong-yi, WANG Yan

2020, 29(7):  144-155.  DOI: 10.12005/orms.2020.0183

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In order to quantitatively evaluate the overall traffic environment quality of the urban old communities and then scientifically and effectively propose the traffic environment renewal and improvement measures for the old communities, the traffic environments of urban old residential communities are surveyed, and the outstanding traffic problems in the old residential communities are clarified. The index system of the traffic environment evaluation of the old residential communities in the city is proposed, including pedestrian crossing index, no sidewalks stretch length ratio, the ratio of parking berth supply and demand, the proportion of illegal parking in the road, the average walking distance for parking, the ratio of the number of parking spaces and the number of households, the per capita walking space, the percentage of barrier-free passage, the percentage of blind passage, the ratio of supply and demand of non-motorized berths, the ratio of the number of vehicles parked on the ground and the area of the community, the ratio of external through traffic turnover and the area of the community and so on. The calculation methods and obtaining methods of the specific indicators are given. Taking the four typical old residential communities in Changsha as an example, the appraisal method is demonstrated and general problems exist in the old residential communities in the city, including mixed people and vehicles, serious interweaving of people and vehicles, shortage of parking berths, and uncontrolled parking of vehicles. Transportation facilities, especially the transport facilities for vulnerable groups, are lacking. The evaluation indicators, evaluation methods and conclusions given can be used for the renovation of the old community in the city, especially for the very important traffic environment renovation.

Does CEO Power Influence the Idiosyncratic Risk? ——Based on the Dual Perspective of Corporate Governance and Risk Taking

CHEN Xiao-hui, YANG Shui-li, YE jian-hua

2020, 29(7):  156-164.  DOI: 10.12005/orms.2020.0184

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At present, the factors affecting heterogeneity volatility of stock price are the hot research issues. This paper argues that CEO power may reduce the heterogeneity volatility of stock price by reducing the level of corporate risk taking and weakening the effectiveness of corporate governance mechanism. In order to verify this basic hypothesis, this paper takes Chinese A-share listed companies from 2011 to 2017 as samples for empirical analysis. After controlling relevant influencing factors,we finds that CEO power still has a significant negative correlation with heterogeneity volatility of stock price.The relationship is even more pronounced among non-state-owned listed companies and small scale companies. This study enriches the research on the economic consequences of CEO power and thefactors influencing heterogeneity volatility of stock price, and has certain enlightenment significance for the reasonable allocation of CEO power and corporate risk management.

Portfolio Rebalancing Method Based on Brachistochrone Curve

LI Zong-xin, CHEN Zhi-ping, WANG Mei-hua

2020, 29(7):  165-171.  DOI: 10.12005/orms.2020.0185

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The mean-variance model has played a crucial role in single-period portfolio optimization theory and practice since it is proposed by Markowitz in 1952. Nevertheless, due to the time value of capital, investors would like to achieve their scheduled targets as soon as possible. To this end, we propose a new method for portfolio rebalancing based on the famous brachistochrone curve in mathematics and further discuss the solution steps of it. This approach allows us to model the well-known horizon effect and disposition effect phenomena in finance. The empirical results in the German Stock Exchange Market and Chinese Stock Market not only confirm the necessity of portfolio rebalancing, but also show the effectiveness of the new method.

Research on Insurance Investment Strategy under Trade Credit Transaction

LIU Lu, DENG Wei-sheng, DONG Xing-lin, LI Ya-ting

2020, 29(7):  172-179.  DOI: 10.12005/orms.2020.0186

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Trade credit finance has been widely used to solve the financing difficulties of small and medium-sized enterprises. Insurance is becoming an important means to solve the risk of the financing. This paper explores the optimizing operation strategy of trade credit finance based on the core enterprise's perspective. We use Stackelberg game method to build and compare four kinds of optimization models—trade credit finance, trade credit finance insurance, capital-constraint and none-financing, capital adequate. We explore the optimal equilibrium operation decisions and analyze the impacts of key parameters such as the retailer's initial capital amount and the manufacturer's risk attitude. The results show that trade credit finance is beneficial to not only the supply chain, but also bringing win-win between the manufacturer and the retailer. When the manufacturer's risk aversion degree and the competitive degree of insurance market are high, and the retailer's initial capital amount is low, trade credit finance insurance can create value for the manufacturer and the supply chain. Otherwise, the manufacturer should give up to invest the insurance. This research gives strategy guidance and managerial insights for the industry to operate the trade credit finance insurance more reasonably and effectively.

Impact of Credit Enhancement on City Investment Bond Rating and Pricing

CHEN Shan-shan, LUO Ye-fei

2020, 29(7):  180-188.  DOI: 10.12005/orms.2020.0187

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Based on the 2010~2018 city investment bond data, this paper studies the effect of credit enhancement on the rating and financing cost of city investment bonds, and the difference in the effect of credit enhancement before and after No. 43 document. The empirical study finds that the credit enhancement measures can improve the debt rating and reduce the cost, and the effect of this credit enhancement is more significant for the city investment bonds with weaker credit qualifications. Further, the issuance cost of city investment bonds issued before 2015 is basically not affected by the credit enhancement measures. Investors pay more attention to the economic development level of the area where the city investment bonds are issued, indicating that the city investment platform reflects the credit of local government. After 2015, the proportion of guarantees has increased, and various credit enhancement measures have significantly reduced financing costs. The above results indirectly prove that after the No. 43 document, the credit enhancement measures do bring financing facilities to the city investment company.

Pricing Convertible Bonds Based on Tsallis Entropy under Stochastic Interest Rate Model

CHANG Jing-wen, WANG Yong-mao

2020, 29(7):  189-197.  DOI: 10.12005/orms.2020.0188

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This paper mainly studies the convertible bonds pricing with instantaneous default risk under the Tsallis entropy and the Vasicek model. Under the premise that the stock price follows the Tsallis entropy distribution, building the portfolio and the partial differential equation satisfying the price of convertible bonds is obtained by the principle of no arbitrage. By using the finite element method, we can get the numerical solution of the price of convertible bonds. According to the market real data of the Changjiang Securities、Liou shares and Jilin Aodong shares, the Tsallis entropy distribution is used to simulate the yield sequence, and the optimal parameter of the stock price model based on the Tsallis entropy distribution is obtained. On this basis, we draw the three-dimensional graphs of theoretical prices of convertible bonds corresponding to three underlying stocks based on Tsallis entropy distribution and compare them with the actual market price. The results show that the theoretical price of the three securities convertible bonds based on Tsallis entropy distribution is closer to the market price.

Formulation of Special Transfer Payment System for Financial Support for Agriculture: Correcting the Alienation of Industrial and Commercial Capital Moving to Agriculture

LI Juan, ZHUANG Jin-cai, JIA Peng

2020, 29(7):  198-205.  DOI: 10.12005/orms.2020.0189

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What kind of special transfer payment systems for financial support to correctly guide and correct the behavior of industrial and commercial capital moving to agriculture? In order to explore a financial system that can effectively correct the alienation of business capital moving to agriculture, the article uses the dynamic game method to analyze the behavior of industrial and commercial capital to the countryside. It is found that the effectiveness of the implementation of the state financial payment system depends on the distribution system(“encourage” or “reward”) and the development stage of industrial and commercial capital moving to agriculture. With the gradual growth of enterprises, for the development of agriculture to enhance the interests of enterprises and to feed farmers to improve people's livelihood, compared with the afterwards “encouragement” system, incorporating the “reward” system into the policy mechanism will better guide the correct and reasonable distribution of funds for industrial and commercial capital to the countryside.

Research on Risk Contagion of Foreign Exchange Market and Capital Market ——An Empirical Analysis of the Three-Dimensional VAR-BEKK-GARCH Model Based on Exchange Rate, Stock Price and House Price

ZHANG Hao, HAH Ming-hui, YAO Jia-ying

2020, 29(7):  206-213.  DOI: 10.12005/orms.2020.0190

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This paper puts the RMB exchange rate, house price and stock price into a unified analysis framework, and considers the variance and the risk transfer effect between variables from the two aspects of horizontal change and volatility risk. With the monthly data from July 2010 to December 2017, the ternary GARCH and BEKK time series models are used to study the dynamic relationship between RMB exchange rate, house price and stock price and its volatility risk interaction mechanism. The results show that the three markets have significant effects on each other, especially the risk of price fluctuations. There is a risk transfer effect between the real estate market and the stocks, between the stock market and the exchange rate market, either long-term or short-term. Specifically, in terms of the average spillover, the appreciation of the RMB will promote the rise in house prices and stock prices; however, the price effect between house prices and stock prices is not obvious. In terms of volatility spillovers, the volatility spillover effect between house prices and stock prices is obvious. At the same time, there are ARCH and GARCH volatility effects, and the impact of stock price on exchange rate fluctuations also has ARCH and GARCH volatility effects, but the exchange rate versus stock price is only GARCH type volatility effects.

Management Science

Modeling and Simulation of Quality Risk Transmission of Construction Project Based on SEIRS

WANG Yu-ting, FENG Jing-chun, ZHANG Ke, LI Ming, XUE Song

2020, 29(7):  214-221.  DOI: 10.12005/orms.2020.0191

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Since the construction process, the professional level of employees and information of construction project have a prominent fragmentation phenomenon leading to the quality risk transmission. In order to reveal the transfer effect and amplification effect of quality risk in construction project,based on the dynamic principle of infectious disease model, considering comprehensively the factors of the quality risk transmission, we establish a SEIRS model of the quality risk transmission. The simulation research shows that there is a threshold in the quality risk transmission process of construction project. When the threshold is h1, the risk gradually attenuates until it disappears under the action of barrier factors. When the threshold is h<1, the risk will be stable in construction projects and even endanger the overall quality under the action of promoting factors.This paper can provide theoretical support for the government to realize the transition from direct supervision to indirect supervision, from prior supervision to process-oriented supervision.

Research on the Evaluation of Enterprise Patent Quality Balancing Function and Coordination: Empirical Analysis of Chinese Listed Chip Enterprises

ZHANG Xiao-yue, HUANG Jun-wei

2020, 29(7):  222-231.  DOI: 10.12005/orms.2020.0192

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The existing research on patent quality evaluation model lacks a more reasonable and perfect method at the enterprise level. In order to scientifically and comprehensively evaluate the quality of enterprise patents, this paper establishes a patent quality evaluation system from the three dimensions of technology quality, legal quality and economic quality. By combining subjective-objective weighting method, this article further uses the objective preference coefficients to fuse two aggregation operators to establish a combination weighting evaluation model of enterprise patents quality balancing function and coordination. Then an empirical study on the patent quality of Chinese listed chip enterprises from 2010 to 2015 suggests: firstly, during the period, the overall chip enterprises' patent quality is relatively good, but some enterprises have large fluctuations in evaluation values; secondly, some chip enterprises have the problem of “being less coordinated” among patent quality indicators, which may lead to “virtual-high” evaluation results, especially in smaller size enterprises; thirdly, invention patents play an important role in the quality of chip enterprise patents. The research provides practical reference for enterprises to improve patents quality and the government to formulate patent policies.

Customer Satisfaction Analysis and Management Method Based on Enterprise Network Public Opinion

GAO Xue-dong, WANG Ai

2020, 29(7):  232-239.  DOI: 10.12005/orms.2020.0193

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With the rapid development of social network platforms, public opinion has become a significant information source for enterprises to excavate valuable information and expand their competitive advantages. This paper studies the problem of enterprise customer relationship management under online public opinion. By constructing the information feedback model of enterprise customers, this paper describes the relationship among enterprise customer, social network user and enterprise public opinion. An algorithm of variable scale clustering based on the information feedback model is also proposed. The algorithm expands the solution of traditional clustering methods via transforming single scale analysis to multi-scale analysis, which overcomes the inconspicuous characteristics problem of clustering results in actual data application. This paper selects Weibo as data source, and implements data analysis experiments through an enterprise network public opinion data set and an enterprise customer data set. The experimental results show that enterprises can achieve customer satisfaction prediction by acquiring public opinion related to their main business. Also, the results of the variable-scale clustering algorithm can provide decision support for enterprises to further develop sales strategies and sales tactics.