159 Result(s)
within
Operations Research/Decision Theory
**mo Wang
Article
Economics
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Article
Aggregating individual credences into collective binary beliefs: an impossibility result
This paper addresses how multiple individual credences on logically related issues should be aggregated into collective binary beliefs. We call this binarizing belief aggregation. It is vulnerable to dilemmas ...
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Article
Skewness-based test diagnosis of technical inefficiency in spatial autoregressive stochastic frontier models
In the Spatial Autoregressive (SAR) Stochastic Frontier (SF) model, the inefficiency term, which distinguishes it from the SAR model, can capture the effects of technical inefficiency. To determine whether ine...
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Article
Open AccessPerformance analysis of hospitals in Australia and its peers: a systematic and critical review
Along with the development of productivity and efficiency analysis techniques, extensive research on the performance of hospitals has been conducted in the last few decades. In this article, we conduct a syste...
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LightGBM-BES-BiLSTM Carbon Price Prediction Based on Environmental Impact Factors
A carbon trading price fusion prediction model is proposed to capture the non-linear, non-stationary, multi-frequency, and other irregular characteristics of carbon price data, as well as the temporal periodic...
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Article
Stock Returns Prediction Based on Implied Volatility Spread Under Network Perspective
Using 50 ETF options data from the Shanghai Stock Exchange as samples, this paper explores the predictive power of option implied volatility spread (IVS) on stock market returns, mainly from a network perspect...
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Article
The Effect of News Photo Sentiment on Stock Price Crash Risk Based on Deep Learning Models
This study examines the impact of investor sentiment on stock price crash risk from the perspective of news photo sentiment. First, the paper derives investor sentiment from news photos based on deep learning ...
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Article
Open AccessIs it what you say or how you say it?
This study investigates the mechanisms driving the effectiveness of free-form communication in promoting cooperation within a sequential social dilemma game. We hypothesize that the self-constructing nature of...
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Article
Rational Spectral Collocation Method for Solving Black-Scholes and Heston Equations
In this paper, we raise a new method for numerically solving the partial differential equations (PDEs) of the Black-Scholes and Heston models, which play an important role in financial option pricing theory. O...
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Article
A Hybrid Parallel Processing Strategy for Large-Scale DEA Computation
Using data envelopment analysis (DEA) with large-scale data poses a big challenge to applications due to its computing-intensive nature. So far, various strategies have been proposed in academia to accelerate ...
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Article
Finding the \(\mathrm{K}\) Mean-Standard Deviation Shortest Paths Under Travel Time Uncertainty
The mean-standard deviation shortest path problem (MSDSPP) incorporates the travel time variability into the routing optimization. The idea is that the decision-maker wants to minimize the travel time not only...
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Article
Participation constraints in first-price auctions
We study the endogenous participation problem when bidders are characterized by a two-dimensional private information on valuations and participation costs in first-price auctions. Bidders participate whenever...
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Article
Improving Sliding Window Effect of LSTM in Stock Prediction Based on Econometrics Theory
This study examines the influence of the sliding window in the LSTM model on its predictive performance in the stock market. The investigation encompasses three aspects: the impact of the stationarity of the o...
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Article
Contests with multiplicative sabotage effect
This paper investigates a two-player contest with a multiplicative sabotage effect, showing it can be converted into a standard Tullock contest with a nonlinear, endogenous cost function. We prove the existenc...
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Article
Cross-Correlation Analysis of Crude Oil-Related Stock Markets in China Caused by the Conflict Between Russia and Ukraine
In this study, we apply multifractal detrended fluctuation analysis (MF-DFA) to explore the differences in China’s financial markets efficiency around the Russia-Ukraine Conflict. We investigate the stock mark...
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Article
Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility
In this paper, we study the variance and volatility swaps pricing problem under the framework of double Heston jump diffusion model with approximative fractional stochastic volatility. The pricing formulas of ...
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Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models
Valuation of large portfolios of variable annuities (VAs) is a well-researched area in the actuarial science field. However, the study of producing reliable prediction intervals for prices has received compara...
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Article
Evolution of Complex Network Topology for Chinese Listed Companies Under the COVID-19 Pandemic
The purpose of this study is to analyze the topological structure dynamics of the complex network of stocks before and after the outbreak of the COVID-19, so as to provide a basis for preventing financial risk...
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Article
Incomplete contracts with disparity, uncertainty, information and incentives
Cooperation among firms is governed by contracts. An interesting phenomenon is that some contracts are comprehensive while some are limited. This study tries to explain different levels of the incompleteness o...
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Article
Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test
This paper extends the fixed-b Phillips–Perron unit root test, namely PP(fb), by using a sieve bootstrap method to deal with serial-correlated errors, especially negative moving average errors. We derive the asym...
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Intelligent Prediction of Annual CO2 Emissions Under Data Decomposition Mode
CO2 emissions have contributed to global warming and belong to high-noise, non-stationary and nonlinear systems. An accurate prediction method for annual CO2 emissions can improve the effectiveness of emission re...
