Xiaoguang Yang

SKEWNESS OF RETURN DISTRIBUTION AND COEFFICIENT OF RISK PREMIUM

The skewness of the return distribution is one of the important features of the security price. In this paper, the authors try to explore the relationship between the skewness and the coefficient of risk premium. The coefficient of the risk premium is estimated by a GARCH-M model, and the robust measurement of skewness is calculated by Groeneveld-Meeden method. The empirical evidences for the composite indexes from 33 securities markets in the world indicate that the risk compensation requirement in the market where the return distribution is positively skewed is virtually zero, and the risk compensation requirement is positive in a significant level in the market where the return distribution is negative skewed. Moreover, the skewness is negatively correlated with the coefficient of the risk premium.

Analyzing user behavior of the micro-blogging website Sina Weibo during hot social events

The spread and resonance of users’ opinions on Sina Weibo, the most popular micro-blogging website in China, are tremendously influential, having significantly affected the processes of many real-world hot social events. We select 21 hot events that were widely discussed on Sina Weibo in 2011, and do some statistical analyses. Our main findings are that (i) male users are more likely to be involved, (ii) messages that contain pictures and those posted by verified users are more likely to be reposted, while those with URLs are less likely, (iii) the gender factor, for most events, presents no significant difference in reposting likelihood.

A PTAS for parallel batch scheduling with rejection and dynamic job arrivals

In the parallel batch scheduling model, a group of jobs can be scheduled together as a batch while the processing time of this batch is the greatest processing time among its members; in the model of scheduling with rejection, any job can be rejected with a corresponding penalty cost added to the objective value. In this paper, we present a PTAS for the combined model of the above two scheduling models where jobs arrive dynamically. The objective is to minimize the sum of the makespan of the accepted jobs and the total penalty of the rejected ones. Our basic approaches are dynamic programming and roundings.

Inverse Center Location Problem on a Tree

This paper discusses the inverse center location problem restricted on a tree with different costs and bound constraints. The authors first show that the problem can be formulated as a series of combinatorial linear programs, then an O(∣V∣2 log ∣V∣) time algorithm to solve the problem is presented. For the equal cost case, the authors further give an O(∣V∣) time algorithm.

Some inverse min-max network problems under weighted l1 and l∞ norms with bound constraints on changes

We consider some inverse min-max (or max-min) network problems. Such an inverse problem is to modify the weights with bound constraints so that a given feasible solution becomes an optimal solution of a min-max (or max-min) network problem, and the deviation of the weights, measured by the weighted l1 norm or weighted l∞ norm, is minimum. In this paper, we present strongly polynomial time algorithms to solve the inverse min-max spanning tree problem and the inverse maximum capacity path problem.

Fashion, Cooperation, and Social Interactions

Fashion plays such a crucial rule in the evolution of culture and society that it is regarded as a second nature to the human being. Also, its impact on economy is quite nontrivial. On what is fashionable, interestingly, there are two viewpoints that are both extremely widespread but almost opposite: conformists think that what is popular is fashionable, while rebels believe that being different is the essence. Fashion color is fashionable in the first sense, and Lady Gaga in the second. We investigate a model where the population consists of the afore-mentioned two groups of people that are located on social networks (a spatial cellular automata network and small-world networks). This model captures two fundamental kinds of social interactions (coordination and anti-coordination) simultaneously, and also has its own interest to game theory: it is a hybrid model of pure competition and pure cooperation. This is true because when a conformist meets a rebel, they play the zero sum matching pennies game, which is pure competition. When two conformists (rebels) meet, they play the (anti-) coordination game, which is pure cooperation. Simulation shows that simple social interactions greatly promote cooperation: in most cases people can reach an extraordinarily high level of cooperation, through a selfish, myopic, naive, and local interacting dynamic (the best response dynamic). We find that degree of synchronization also plays a critical role, but mostly on the negative side. Four indices, namely cooperation degree, average satisfaction degree, equilibrium ratio and complete ratio, are defined and applied to measure people’s cooperation levels from various angles. Phase transition, as well as emergence of many interesting geographic patterns in the cellular automata network, is also observed.

Selfish bin covering

In this paper, we address the selfish bin covering problem, which is greatly related both to the bin covering problem, and to the weighted majority game. What we are mainly concerned with is how much the lack of central coordination harms social welfare. Besides the standard PoA and PoS, which are based on Nash equilibrium, we also take into account the strong Nash equilibrium, and several new equilibrium concepts. For each equilibrium concept, the corresponding PoA and PoS are given, and the problems of computing an arbitrary equilibrium, as well as approximating the best one, are also considered.

The Fashion Game: Network Extension of Matching Pennies

It is impossible, in general, to extend an asymmetric two-player game to networks, because there must be two populations, the row one and the column one, but we do not know how to define inner-population interactions. This is not the case for Matching Pennies, as we can interpret the row player as a conformist, who prefers to coordinate her opponents action, while the column player can be interpreted as a rebel, who likes to anti-coordinate. Therefore we can naturally define the interaction between two conformists as the coordination game, and that between two rebels as the anti-coordination game. It turns out that the above network extension of Matching Pennies can be used to investigate the phenomenon of fashion, and thus it is named as the fashion game. The fashion game possesses an obvious mixed Nash equilibrium, yet we are especially interested in pure Nash equilibrium (PNE for short), whose existence cannot be guaranteed. In this paper, we focus on the PNE testing problem, namely given an instance of the fashion game, answer whether it possesses a PNE or not. Our first result is on the negative side: PNE testing, in general, is hard. For the PNE testing problem restricted to several special structures, i.e. lines, rings, complete graphs and trees, either a simple characterization or an efficient algorithm is provided.

The reverse volatility asymmetry in Chinese financial market

We investigate the intraday return–volatility correlation in Chinese financial market with high-frequency transaction data of individual stocks. In contrast to the widely accepted theory of volatility asymmetry (i.e. negative returns induce higher price volatilities than positive ones), we show that the price volatilities in Chinese market react more intensively to positive returns than their reaction to negative returns. This reverse volatility asymmetry is mainly due to the higher trading volume associated with positive returns, that is, in Chinese market the investors’ rushing for a price rising stock makes the positive returns arouse higher volatility than their negative counterparts. So in an average sense, a positive return–volatility correlation is observed for most of the individual stocks in our sample. Besides, price jumps play an important role in the significance of this positive correlation. For most of the individual stocks in our sample, the positive correlation is insignificant until jumps are totally eliminated in both return and volatility. For multiple stocks analysed together, the jumps of individual stocks are mostly diversified, and therefore a significant positive return–volatility correlation shows up irrespective of the existence of jumps. Moreover, our results are robust in different market conditions, no matter in depression or flourish.

A note on anti-coordination and social interactions

This note confirms a conjecture of (Bramoullé in Games Econ Behav 58:30–49, 2007). The problem, which we name the maximum independent cut problem, is a restricted version of the MAX-CUT problem, requiring one side of the cut to be an independent set. We show that the maximum independent cut problem does not admit any polynomial time algorithm with approximation ratio better than n1−ϵ, where n is the number of nodes, and ϵ arbitrarily small, unless