Mechanisms to Induce Buyer Forecasting: Do Suppliers Always Benefit from Better Forecasting?

In this study, we consider a supplier's contract offerings to a buyer who may obtain improved forecasts for her demand over time. We investigate how the supplier can take advantage of the buyer's better forecasts and what kind of contracts he should offer to the buyer in order to maximize his profits. We model a natural forecast evolution where the buyer can obtain a more accurate forecast closer to the selling season. We assume there is information asymmetry between the buyer and the supplier at all times in that the buyer understands her demand better than the supplier. Three types of contracts that the supplier can offer are considered: (1) one where a contract is offered before the buyer has a chance to obtain improved forecasts, (2) one where a contract is offered after the buyer has obtained improved forecasts, and (3) a contingent (dynamic) contract which offers an initial contract to the buyer before she obtains improved forecasts, followed by a later contract (contingent on the initial contract) offered after improved forecasts have been obtained. We consider two scenarios: (1) where the supplier is certain that the buyer can obtain more accurate forecasts over time, and (2) where the supplier is uncertain about the buyer's forecasting capability (or forecasting cost). In the first scenario, we show that among the three types of contracts, the contingent contract is always the most profitable for the supplier. Furthermore, using the contingent contract, the supplier always benefits from higher accuracy of the buyer's demand forecasts. In the second scenario, we explicitly model the supplier's level of certainty about the buyer's capability of obtaining better forecasts, and explore how the supplier can design contracts to induce the buyer to obtain better forecasts when she is capable.     

Restrictiveness and guidance in support systems

Restrictiveness and guidance have been proposed as methods for improving the performance of users of support systems. In many companies computerized support systems are used in demand forecasting enabling interventions based on management judgment to be applied to statistical forecasts. However, the resulting forecasts are often ‘sub-optimal’ because many judgmental adjustments are made when they are not required. An experiment was used to investigate whether restrictiveness or guidance in a support system leads to more effective use of judgment. Users received statistical forecasts of the demand for products that were subject to promotions. In the restrictiveness mode small judgmental adjustments to these forecasts were prohibited (research indicates that these waste effort and may damage accuracy). In the guidance mode users were advised to make adjustments in promotion periods, but not to adjust in non-promotion periods. A control group of users were not subject to restrictions and received no guidance. The results showed that neither restrictiveness nor guidance led to improvements in accuracy. While restrictiveness reduced unnecessary adjustments, it deterred desirable adjustments and also encouraged over-large adjustments so that accuracy was damaged. Guidance encouraged more desirable system use, but was often ignored. Surprisingly, users indicated it was less acceptable than restrictiveness.     

中国股市已实现“核”波动研究

基于蒙特卡洛方法模拟出的股票价格路径分别考察“已实现”核波动（RK）、“已实现”波动（RV）方法的估计精度,结果表明:RK能有效滤出噪音更贴近于真实波动率。进一步将RK与分整自回归移动平均模型结合,并对其分数阶差分算法进行了修改,基于高频数据对我国股票市场的日波动率进行估计和预测。研究结果表明:RK方法在中国市场条件下具有较好的适用性,相对于RV有更好的预测效果。     

城市化与经济增长的互动关系研究——以内蒙古为例

城市化与经济增长之间存在着互促共进的关系。运用灰色关联法分析城市化与经济增长特征指标之间的相互关联影响程度,结果表明:城市化与经济增长呈动态相关关系,经济增长各项指标中对城市化影响程度最大的关键因子为第三产业增加值;城市化特征指标中对经济增长影响程度最大的关键因子是城市就业率与城市人口密度。     

基于灰理论的成都市铁路旅客周转量预测

铁路旅客周转量是一个受多种因子制约的多层次的复杂关系量,将成都市2004—2008年铁路旅客周转量作为基础数据,运用灰理论所提出的灰系统模型预测法,建立GM(1,1)模型,预测2009—2011年的铁路旅客周转量。预测结果表明2009—2011年成都市铁路旅客周转量总体呈上升趋势。同时,GM(1,1)预测值经过检验,预测结果精度较高,说明预测方法的可靠性,预测结果对合理布局规划成都市铁路枢纽具有重要的现实意义。     

浙江产业集群发展预测的分析模型

利用灰色系统理论的GM（1，1）模型，建立浙江产业集群产值预测模型预测2005年生产总值，并为预测2006年的生产总值提供计算途径．通过借鏊国外产业集群的成功经验，为浙江产业集群竞争力的研究提供一个有价值的数学模型．     

Economic Darwinism: Who has the Best Probabilities?

Simulation evidence obtained within a Bayesian model of price-setting in a betting market, where anonymous gamblers queue to bet against a risk-neutral bookmaker, suggests that a gambler who wants to maximize future profits should trade on the advice of the analyst cum probability forecaster who records the best probability score, rather than the highest trading profits, during the preceding observation period. In general, probability scoring rules, specifically the log score and better known “Brier” (quadratic) score, are found to have higher probability of ranking rival analysts in predetermined “correct” order than either (i) the more usual method of counting categorical forecast errors (misclassifications), or (ii) an economic measure of forecasting success, described here as the “Kelly score” and defined as the trading profits accumulated by making log optimal bets (i.e. Kelly betting) against the market maker based on the probability forecasts of the analyst being assessed. This runs counter to the conventional wisdom that financial forecasts are more aptly evaluated in terms of their financial consequences than by an abstract non-monetary measure of statistical accuracy such as the number of misclassifications or a probability score.      

汇率行为的混沌性及其分形维描述

汇率是一国经济研究的重要变量,在较大程度上影响着一国的对内均衡和对外均衡。越来越多的研究表明,汇率变动呈现出非线性特征。近年来,涌现出越来越多的非线性分析理论与方法,混沌理论便是其中一种。将混沌理论中的混沌与分形运用到汇率预测与汇率控制中,是汇率研究的一个重要分支。     

Estimation and forecasting hospital admissions due to Influenza: Planning for winter pressure. The case of the West Midlands, UK

Winters are a difficult period for the National Health Service (NHS) in the United Kingdom (UK), due to the combination of cold weather and the increased likelihood of respiratory infections, especially influenza. In this article we present a proper statistical time series approach for modelling and analysing weekly hospital admissions in the West Midlands in the UK during the period week 15/1990 to week 14/1999. We consider three variables, namely, hospital admissions, general practitioner consultants, and minimum temperature. The autocorrelations of each series are shown to decay hyperbolically. The correlations of hospital admission and the lag of other series also decay hyperbolically but with different speed and directions. One of the main objectives of this paper is to show that each of the three series can be represented by a Fractional Differenced Autoregressive integrated moving average model, (FDA). Further, the hospital admission winter and summer residuals shows significant interdependency, which may be interpreted as hidden periodicities within the last 10-years time interval. The short-range (8 weeks) forecasting of hospital admission of the FDA model and a fourth-order AutoRegressive AR(4) model are quite similar. However, our results reveal that the long-range forecasting of FDA is more realistic. This implies that, using the FDA approach, the respective authority can plan for winter pressure properly.     

通货膨胀预警系统探讨及实证分析

通货膨胀并不仅仅是物价现象和货币现象,而是诸多因素影响的综合经济现象,应从相关的经济指标体系来综合评价。通过综合指标评价法计算综合指数来评价通货膨胀,并以“灯区”分类来标明其区间,最后以福建为例来具体测算通货膨胀的幅度。