Important Strategic and Tactical Manufacturing Issues in the 1990s*

This paper reports the identification and ranking of major manufacturing issues that American manufacturing managers and academics must focus on and resolve in the 1990s to be competitive on a global basis. Vice-presidents of manufacturing from over 75 companies across the United States were asked in a Delphi study to rank the key strategic and tactical issues facing American manufacturing in the next three to five years. Based on three rounds of a Delphi study, quality management, manufacturing strategy, and process technology emerged as the top ranked strategic issues. The top ranked tactical issues were quality control, manufacturing planning and control systems, and work force supervision. These issues were valid across diverse industry groups, since the industrial and educational background of the respondents was shown to have no impact on the final consensus rankings and opinions reported in this paper. Factor analysis of the responses by the panel revealed that certain issues tend to be consistently viewed together, and were interpreted accordingly to provide insights into the ranking of issues. Apart from building a consensus among experts on key manufacturing issues of present and future importance, this study can also be helpful for setting future academic research and pedagogical priorities for the field of production and operations management.     

中国证券市场的分形分析

在分形市场假说的基础上,运用R/ S 分析方法、BDS 检验对中国证券市场收益率波动 的长记忆性、易变性的期限结构、非周期性循环、非正态分布等特征进行实证分析,结果表明分 形市场假说比传统的有效市场假说更好地描述了中国证券市场的非线性特征     

中国股市隔天收益波动率的实证研究

对上证综合指数5分钟高频数据计算得到的隔天收益率的行为进行了实证研究.在与前人研究结果比较的基础上得出结论,开盘交易机制主要改变的是隔天收益波动的高峰出现的位置.发现隔天收益波动率出现一个"驼峰"形状,认为这主要是由于开盘采用连续竞价所致.并从各区间收益相关性的角度对隔天收益方差给予了解释.此外还观察到隔天收益率的方差和一阶自协方差有着近似线性的反向变动关系,并利用一个价格变动模型对此现象进行了解释.     

中国股市的Granger因果关系分析

本文分析了香港、上海和深圳股市的相互关系 .借助 Granger因果关系的思想 ,从收益率与波动性两方面研究了三个股市间的相互联系与互动性 .结果表明 :沪深股市收益率与波动性间存在着很强的相关性 ;沪深股市的变化受香港股市等外来因素的影响很小 ;深圳股市对上海股市存在着显著的 Granger因果关系     

Lot Splitting in Stochastic Flow Shop and Job Shop Environments*

In recent years many firms have been implementing small lot size production. Lot splitting breaks large orders into smaller transfer lots and offers the ability to move parts more quickly through the production process. This paper extends the deterministic studies by investigating various lot splitting policies in both stochastic job shop and stochastic flow shop settings using performance measures of mean flow time and the standard deviation of flow time. Using a computer simulation experiment, we found that in stochastic dynamic job shops, the number of lot splits is more important than the exact form of splitting. However, when optimal job sizes are determined for each scenario, we found a few circumstances where the implementation of a small initial split, called a “flag,” can provide measurable improvement in flow time performance. Interestingly, the vast majority of previous research indicates that methods other than equal lot splitting typically improves makespan performance. The earlier research, however, has been set in the static, deterministic flow shop environment. Thus, our results are of practical interest since they show that the specific method of lot splitting is important in only a small set of realistic environments while the choice of an appropriate number of splits is typically more important.     

Cash Flow Modelling and Forecasting in Capital Budgeting Under Uncertainty*

The subject of this paper is modelling and forecasting of cash flows generated by a capital investment. The paper proposes the application of autoregressive, moving average, and mixed autoregressive moving-average processes to capital budgeting. In addition, models for deterministic, stochastic and seasonal trends are considered. For each class of cash flows, analytical expressions are developed for the mean and variance of a project's net present value (NPV). Also considered are several equilibrium pricing models. For two of them, the forecasting methodology developed here is integrated into the pricing equation. Although the overall emphasis of the paper is on modelling and forecasting of cash flows, the implications for NPV pricing and risk analysis are also investigated. Several examples are used to illustrate the impact of particular cash flow models on the price and risk of a project.     

生存分析与股指涨跌的概率推断

通过研究上证指数连涨连跌的收益率,发现其服从伽玛分布,并且可得出股指涨跌的条件概率,以及极值时的情况,进一步研究了成交量的影响,从而说明了技术分析特别是价量分析为何在实际中仍然被广泛运用.可认为随机游动假说是一种粗糙的近似,本研究也有助于加深对市场有效性理论的认识.     

Gender and physician-assisted suicide: an analysis of the Kevorkian cases, 1990-1997

This study examines the seventy-five suicide cases Dr. Jack Kevorkian acknowledged assisting during the period between 1990-1997. Although these cases represent a range of regional and occupational backgrounds, a significant majority are women. Most of these individuals had a disabling, chronic, nonterminal-stage illness. In five female cases, the medical examiner found no evidence of disease whatsoever. About half of the women were between the ages of forty-one and sixty, and another third were older adults. Men's conditions were somewhat less likely than women's to be chronic and nonterminal-stage. The main reasons for the hastened death mentioned by both the person and their significant others were having disabilities, being in pain, and fear of being a burden. The predominance of women among Kevorkian's assisted suicides contrasts with national trends in suicide mortality, where men are a clear majority. It is possible that individuals whose death was hastened by Kevorkian are not representative of physician-assisted suicide cases around the country, because of Kevorkian's unique approach. Alternatively, the preponderance of women among Kevorkian's assisted suicides may represent a real phenomenon. One possibility is that, in the United States, assisted suicide is particularly acceptable for women. Individual, interpersonal, social, economic, and cultural factors encouraging assisted suicide in women are examined.     

上海股票市场的投资组合分析：基于均值-绝对偏差的折中方法

针对中国股票市场的大规模投资组合分析在文献中尚很少予以讨论.本文基于均值-绝对偏差的折中方法探讨了上海股票市场169种股票的投资组合分析,得到了一些有益的启示和结论.这些结论将有助于市场投资者和监管者深化对上海股票市场投资的理解.本文所使用的投资分析软件Quanz Portfolio具有大规模投资组合的数据处理能力,将是投资者(尤其基金公司)的市场投资组合分析的有用工具.     

上海股票市场的投资组合分析:基于均值—绝对偏差的折中方法

针对中国股票市场的大规模投资组合分析在文献中尚很少予以讨论 .本文基于均值—绝对偏差的折中方法探讨了上海股票市场 1 69种股票的投资组合分析 ,得到了一些有益的启示和结论 .这些结论将有助于市场投资者和监管者深化对上海股票市场投资的理解 .本文所使用的投资分析软件 Quanz Portfolio具有大规模投资组合的数据处理能力 ,将是投资者 (尤其基金公司 )的市场投资组合分析的有用工具     

Impact of temporal aggregation on stock control performance of intermittent demand estimators: Empirical analysis

Intermittent demand is characterized by occasional demand arrivals interspersed by time intervals during which no demand occurs. These demand patterns pose considerable difficulties in terms of forecasting and stock control due to their compound nature, which implies variability both in terms of demand arrivals and demand sizes. An intuitively appealing strategy to deal with such patterns from a forecasting and stock control perspective is to aggregate demand in lower-frequency ‘time buckets’, thereby reducing the presence of zero observations. In this paper, we investigate the impact of forecasting aggregation on the stock control performance of intermittent demand patterns. The benefit of the forecasting aggregation approach is empirically assessed by means of analysis on a large demand dataset from the Royal Air Force (UK). The results show that the aggregation forecasting approach results in higher achieved service levels as compared to the classical forecasting approach. Moreover, when the combined service-cost performance is considered, the results also show that the former approach is more efficient than the latter, especially for high target service levels.     

中国股票市场存在特质波动率之谜吗? ——基于分位数回归模型的实证分析

选取我国沪深A股所有股票作为研究对象,采用OLS回归残差标准差提取和GARCH(1,1)加权平均等两种方法估计特质波动率,并利用Fama-MacBeth横截面回归法和分位数回归法对特质风险与股票预期回报之间的相关关系进行了实证研究.发现:OLS回归结果表明我国股票市场的特质波动率与股票预期回报之间呈现负相关关系,但在统计上不显著;分位数回归则表明我国股票市场的特质波动率风险与股票预期回报之间的关系是随着分位水平的变化而变化的,特质风险在低分位水平下与股票预期回报呈显著负相关关系,而在高分位水平下则与股票预期回报之间呈显著正相关关系.     

非线性协整建模研究及沪深股市实证分析

讨论了线性协整和非线性协整的涵义,指出在非线性系统中,非线性协整可以更好地刻画多个时间序列之间的均衡关系.提出了利用小波神经网络逼近非线性协整函数的方法,并给出了训练小波神经网络的变尺度算法.最后利用上海和深圳股指数据进行了实证研究,通过与BP神经网络的比较,证实了小波神经网络在非线性协整建模中的有效性,并说明沪深股市之间存在着非线性协整关系.     

Application of the Net Present Value Criterion in Random and Flow Shop Scheduling*

While the majority of the literature on shop scheduling has emphasized time-based performance criteria such as mean flow time, lateness, and tardiness, the primary goal of management should be the maximization of shop profitability. In this research the net present value (NPV) criterion is introduced to measure shop profitability. This measure combines aspects of job flow time and inventory holding costs into a single measure. A simulation model of a job shop is used to examine the performance of a variety of time- and value-based scheduling rules. These rules are evaluated with respect to the NPV criterion in both random and flow shop environments. The results suggest that priority rules that utilize monetary information about jobs yield a higher NPV than many time-based rules in most situations, with little sacrifice in job tardiness. A well-researched time-based rule, critical ratio, also provides excellent performance when the shop is heavily loaded.     

中国香港股票市场的溢出效应和收益引导角色——基于亚太地区股票市场的分析

从两个角度考察了亚太股市间的关系: 同期的收益( 波动) 溢出效应和跨期的收益可预 测性( 领先—滞后关系) ． 首先,通过构造溢出指数和滚动窗口分析,研究亚太地区股市的同期 收益( 波动) 溢出效应,发现近二十年随着各国金融合作与区域一体化进程加速,亚太地区股 市收益( 波动) 溢出效应均呈现波动上升趋势． 进一步研究中国香港对其他亚太地区股市的溢 出效应,发现中国香港股市收益溢出指数显示出其区域的领导地位及其影响力逐渐加强; 波动 溢出指数震荡幅度较大,金融危机时期呈现跳跃式变化． 结合经济、政治等事件分析,发现中 国香港股市的发展和国际区域合作会提高其溢出效应,而在危机中波动溢出效应大幅提升,社 会和政治稳定性会降低中国香港的溢出效应． 最后,通过全样本和分样本中中国香港与13 个 亚太地区股市收益的领先—滞后关系检验,发现中国香港处于领先地位． 但在全球金融危机 发生后,中国香港股市对多数亚太地区国家的影响力下降． 研究结论对人们理解国际市场之 间的风险传染机制、各国如何加强宏观审慎监管、如何保持中国香港国际金融中心地位等都有 重要的政策含义．     

A Simulation Study of Sequencing Rules in a Kanban-Controlled Flow Shop*

This paper addresses the problem of sequencing in decentralized kanban-controlled flow shops. The kanban production control system considered uses two card types and a constant withdrawal period. The flow shops are decentralized in the sense that sequencing decisions are made at the local workstation level rather than by a centralized scheduling system. Further, there are no material requirements planning (MRP)-generated due dates available to drive dispatching rules such as earliest due date, slack, and critical ratio. Local sequencing rules suitable for the decentralized kanban production-control environment are proposed and tested in a simulation experiment. These rules are designed so that they can be implemented with only the information available at the workstation level. Example sequencing problems are used to show why the shortest processing time rule minimizes neither average work-in-process inventory nor average finished-goods withdrawal kanban waiting time. Further, it is shown how work station supervisors can use the withdrawal period, in addition to the number of kanbans, to manage work-in-process inventories.     

Coping with unemployment: a literature review and presentation of a new model

This paper reviews the unemployment literature with a view to identifying a new way of modelling the process of coping with unemployment. The review shows that early models of coping adopted a trait-based approach, which viewed coping as a stable, transcending disposition of the person and, therefore, failed to consider the range of coping responses that people use during unemployment. The use of state-based approaches to coping, in more recent research, has overcome this problem. However, the newer models still assess coping via discrete, linear relationships and have focused primarily on the obtainment of re-employment rather than promotion of psychological health during unemployment. In an attempt to overcome these problems, the 'Coping, Psychological and Employment Status' (CoPES) model is presented in the current paper. This new and comprehensive model illustrates the non-recursive relationships between stressors, cognitive appraisals, coping efforts and psychological health during unemployment. The CoPES model also depicts the relationship between coping, psychological health and re-employment. This model provides a more integrated approach to coping with unemployment and allows for the examination of new relationships. The CoPES model, applied within Ipsative-Normative designs and assessed using quantitative and qualitative techniques, will make a significant contribution to research conducted into unemployment.     

Strategy implementation: Taking stock and moving forward

Strategy implementation (SI) is a significant managerial, and organizational challenge as many practitioners struggle to make strategies actionable and to achieve intended results. Moreover, there is no unified body of research on SI. This is problematic for academics aiming to contribute to a research-based body of knowledge on implementation. To remedy this problem, we draw on the strategy-as-practice perspective and conceptualize SI as a particular type of ‘strategy work’, manifest in the activities, actors, and tools through which strategy is executed. This conceptual framework allows us to synthesize the fragmented literature into five implementation practices: structure and process matching, resource matching, monitoring, framing, and negotiating. We show how these implementation activities operate at different levels and involve different actors and tools. With its emphasis on what managers (and other people) do within specific structural, temporal, and material arrangements, the strategy-as-practice perspective offers exciting opportunities for future implementation research.     

多元GARCH 建模及其在中国股市分析中的应用

简要回顾了一元ARCH类模型的发展过程,介绍了多元GARCH类模型的四种形式.针对传统基于梯度信息的多元GARCH模型估计方法的不足,提出了基于遗传算法的似然估计方法,并利用中国股市数据进行了实证研究.结果说明中国股市存在着波动的持续性和显著的二元GARCH效应,并且沪、深股市不存在协同持续性.