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This study conducted a comprehensive and systematic investigation of the influencing factors for collaborative innovation project (CIP) performance. First, a theoretical framework model was constructed, and then a structural equation model (SEM) was used for an empirical analysis of 199 CIPs. Furthermore, we divided the factors into tangible and intangible categories and considered the impact mechanism of nine typical factors on project performance. The results are as follows: (1) All nine factors had a significant positive impact on the performance of collaborative innovation projects, among which benefit distribution and collaborative innovation capability were the most important. (2) Benefit distribution, resource dependence, organizational climate, and collaborative innovation affected project performance, both directly and indirectly. (3) Effective communication, leadership support, knowledge sharing, and collaborative innovation ability only had a direct influence, while the incentive mechanism played only an indirect role. Finally, three suggestions were put forward on the idea of high-quality, sustainable development.
Hong Liu; Zhihua Liu; Yongzeng Lai; Lin Li. Factors Influencing Collaborative Innovation Project Performance: The Case of China. Sustainability 2021, 13, 7380 .
AMA StyleHong Liu, Zhihua Liu, Yongzeng Lai, Lin Li. Factors Influencing Collaborative Innovation Project Performance: The Case of China. Sustainability. 2021; 13 (13):7380.
Chicago/Turabian StyleHong Liu; Zhihua Liu; Yongzeng Lai; Lin Li. 2021. "Factors Influencing Collaborative Innovation Project Performance: The Case of China." Sustainability 13, no. 13: 7380.
We propose an Attention-LSTM neural network model to study the systemic risk early warning of China. Based on text mining, the network public opinion index is constructed and used as a training set to be incorporated into the early warning model to test the early warning effect. The results show that: (i) the network public opinion is the non-linear Granger causality of systemic risk. (ii) The Attention-LSTM neural network has strong generalization ability. Early warning effects have been significantly improved. (iii) Compared with the BP neural network model, the SVR model and the ARIMA model, the LSTM neural network early warning model has a higher accuracy rate, and its average prediction accuracy for systemic risk indicators has been improved over short, medium and long terms. When the attention mechanism is included in the LSTM, the Attention-LSTM neural network model is even more accurate in all the cases.
Zi-Sheng Ouyang; Xi-Te Yang; Yongzeng Lai. Systemic financial risk early warning of financial market in China using Attention-LSTM model. The North American Journal of Economics and Finance 2021, 56, 101383 .
AMA StyleZi-Sheng Ouyang, Xi-Te Yang, Yongzeng Lai. Systemic financial risk early warning of financial market in China using Attention-LSTM model. The North American Journal of Economics and Finance. 2021; 56 ():101383.
Chicago/Turabian StyleZi-Sheng Ouyang; Xi-Te Yang; Yongzeng Lai. 2021. "Systemic financial risk early warning of financial market in China using Attention-LSTM model." The North American Journal of Economics and Finance 56, no. : 101383.
Whether the trans-regional transfer of resource-oriented enterprises produces a stress effect is a major issue concerning the green, sustainable, and high-quality development of resource-rich areas in the mid-west of China. Using the system engineering concept and socioeconomic statistics, in combination with a theoretical analysis and empirical testing, this study analyzed the functional characteristics of the natural environment in the region and clarified the mechanism characteristics by which a natural environment functional stress effect could be caused by the trans-regional transfer of resource-oriented enterprises. Resource-orientated industry data from 2000 to 2015 in the three mid-western provinces of Shanxi, Shaanxi, and Guizhou were selected for empirical testing. Several key findings were made. (1) The trans-regional transfer of resource-oriented enterprises had a significant strengthening effect on the five stress indicators of land subsidence, solid waste, waste water, waste gas, and dust in the three provinces of mid-west China. (2) The trans-regional transfer of resource-oriented enterprises led to the restoration of the natural environment in mining areas, which was coordinated by relevant governments and enterprises, resulting in a significant weakening of the land subsidence, solid waste, and waste water stress in the three provinces of the mid-west, as well as a significant weakening of the waste gas stress in Shaanxi Province and dust stress in Guizhou Province. (3) The trans-regional transfer of resource-oriented enterprises had a higher positive intensification effect than a negative weakening effect on the natural environment functional stress in the three provinces of the mid-west. (4) In a comparison of the effects of natural environment function stress due to the trans-regional transfer of resource-oriented enterprises there were large differences among the three provinces in terms of the intensifying and weakening flows of stress. The conclusions provide a theoretical basis for the formulation of relevant policies to regulate the trans-regional transfer of resource-oriented enterprises and reduce the stress effect.
Cunfang Li; Bo Zhang; Yongzeng Lai; Mei Dong; Danping Li. Does the trans-regional transfer of resource-oriented enterprises generate a stress effect? Resources Policy 2019, 64, 101524 .
AMA StyleCunfang Li, Bo Zhang, Yongzeng Lai, Mei Dong, Danping Li. Does the trans-regional transfer of resource-oriented enterprises generate a stress effect? Resources Policy. 2019; 64 ():101524.
Chicago/Turabian StyleCunfang Li; Bo Zhang; Yongzeng Lai; Mei Dong; Danping Li. 2019. "Does the trans-regional transfer of resource-oriented enterprises generate a stress effect?" Resources Policy 64, no. : 101524.
In this paper, we investigate an optimal investment and excess-of-loss reinsurance problem with delay and jump-diffusion risk process for an insurer. Specifically, the insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market, where the surplus of insurer is represented by a jump-diffusion model and the financial market consists of one risk-free asset and one risky asset whose price process is governed by a constant elasticity of variance model. In addition, the performance-related capital inflow/outflow is introduced, the wealth process of insurer is modeled by a stochastic differential delay equation. The insurer aims to seek the optimal excess-of-loss reinsurance and investment strategy to maximize the expected exponential utility of the combination of terminal wealth and average performance wealth. By solving a Hamilton–Jacobi-Bellman equation, the closed-form expressions for the optimal strategy and the optimal value function are derived. Finally, some special cases of our model and results are presented, and some numerical examples for our results are provided.
Chunxiang A; Yongzeng Lai; Yi Shao. Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model. Journal of Computational and Applied Mathematics 2018, 342, 317 -336.
AMA StyleChunxiang A, Yongzeng Lai, Yi Shao. Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model. Journal of Computational and Applied Mathematics. 2018; 342 ():317-336.
Chicago/Turabian StyleChunxiang A; Yongzeng Lai; Yi Shao. 2018. "Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model." Journal of Computational and Applied Mathematics 342, no. : 317-336.
In this paper, we use integer order and fractional order differential equation systems to model a financial system. Based on the interaction among several financial factors, a model is constructed. Both mathematical analyses and numerical simulations are carried out to illustrate the characteristic of the model. We find that the system displays a variety of rich dynamic behaviours including chaos over a wide range of system parameters. Our investigation indicates that the interplay among several financial factors lead to chaos under some circumstances. We then design control laws to synchronization two integer order financial systems and two fractional order financial systems. Numerical simulations are presented to verify the effectiveness of the designed control laws.
Fei Xu; Yongzeng Lai; Xiao-Bao Shu. Chaos in integer order and fractional order financial systems and their synchronization. Chaos, Solitons & Fractals 2018, 117, 125 -136.
AMA StyleFei Xu, Yongzeng Lai, Xiao-Bao Shu. Chaos in integer order and fractional order financial systems and their synchronization. Chaos, Solitons & Fractals. 2018; 117 ():125-136.
Chicago/Turabian StyleFei Xu; Yongzeng Lai; Xiao-Bao Shu. 2018. "Chaos in integer order and fractional order financial systems and their synchronization." Chaos, Solitons & Fractals 117, no. : 125-136.
In this paper we apply both biased and multivariate control variate methods to some exotic option pricing problems with exponential subordinated Brownian motion models for the underlying asset prices. For both arithmetic Asian and basket options, control variates conditional on geometric means of asset prices are constructed. To reduce biases, we derive expressions of expectations in terms of expectations of subordinators for relevant random variables. Numerical results show that the constructed control variates are more efficient than the classical control variates in reducing variances when pricing Asian and basket options under the normal inverse Gaussian and variance gamma models. We believe that the great variance reduction gains are due to the high correlations between the option playoffs and the constructed control variates. The efficiencies realized by the control variates are even much more significant when they are combined with quasi-Monte Carlo methods. Details are given in Section 6.
Ling Zhang; Yongzeng Lai; Shuhua Zhang; Lin Li. Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models. The North American Journal of Economics and Finance 2018, 47, 602 -621.
AMA StyleLing Zhang, Yongzeng Lai, Shuhua Zhang, Lin Li. Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models. The North American Journal of Economics and Finance. 2018; 47 ():602-621.
Chicago/Turabian StyleLing Zhang; Yongzeng Lai; Shuhua Zhang; Lin Li. 2018. "Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models." The North American Journal of Economics and Finance 47, no. : 602-621.
Lizhao Yan; Fei Xu; Yongzeng Lai; Mingyong Lai. Stability strategies of manufacturing-inventory systems with unknown time-varying demand. Journal of Industrial & Management Optimization 2017, 13, 2033 -2047.
AMA StyleLizhao Yan, Fei Xu, Yongzeng Lai, Mingyong Lai. Stability strategies of manufacturing-inventory systems with unknown time-varying demand. Journal of Industrial & Management Optimization. 2017; 13 (4):2033-2047.
Chicago/Turabian StyleLizhao Yan; Fei Xu; Yongzeng Lai; Mingyong Lai. 2017. "Stability strategies of manufacturing-inventory systems with unknown time-varying demand." Journal of Industrial & Management Optimization 13, no. 4: 2033-2047.
This paper discusses the differentiability of a class of functions associated with eigenvalues and eigenvectors of symmetric matrices. Recursive style formulas of partial derivatives for this class of functions are derived and higher order derivatives can be easily obtained from these formulas. Meanwhile, some interesting characteristics of multiple eigenvalues are revealed. Examples involving inverse eigenvalue problems and primary matrix functions are given to illustrate the applications of the results obtained in this paper.
Yongjia Xu; Yongzeng Lai. Derivatives of functions of eigenvalues and eigenvectors for symmetric matrices. Journal of Mathematical Analysis and Applications 2016, 444, 251 -274.
AMA StyleYongjia Xu, Yongzeng Lai. Derivatives of functions of eigenvalues and eigenvectors for symmetric matrices. Journal of Mathematical Analysis and Applications. 2016; 444 (1):251-274.
Chicago/Turabian StyleYongjia Xu; Yongzeng Lai. 2016. "Derivatives of functions of eigenvalues and eigenvectors for symmetric matrices." Journal of Mathematical Analysis and Applications 444, no. 1: 251-274.
We discuss simulation of sensitivities or Greeks of multi-asset European style options under a special Lévy process model: that is, the subordinated Brownian motion model. The Malliavin calculus method combined with Monte Carlo and quasi-Monte Carlo methods is used in the simulations. Greeks are expressed in terms of the expectations of the option payoff functions multiplied by the weights involving Malliavin derivatives for multi-asset options. Numerical results show that the Malliavin calculus method is usually more efficient than the finite difference method for options with nonsmooth payoffs. The superiority of the former method over the latter is even more significant when both are combined with quasi-Monte Carlo methods.
Yongzeng Lai; Haixiang Yao. SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS. The ANZIAM Journal 2016, 57, 280 -298.
AMA StyleYongzeng Lai, Haixiang Yao. SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS. The ANZIAM Journal. 2016; 57 (3):280-298.
Chicago/Turabian StyleYongzeng Lai; Haixiang Yao. 2016. "SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS." The ANZIAM Journal 57, no. 3: 280-298.
Yongzeng Lai; Zhongfei Li; Haixiang Yao. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial and Management Optimization 2015, 12, 187 -209.
AMA StyleYongzeng Lai, Zhongfei Li, Haixiang Yao. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial and Management Optimization. 2015; 12 (1):187-209.
Chicago/Turabian StyleYongzeng Lai; Zhongfei Li; Haixiang Yao. 2015. "Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate." Journal of Industrial and Management Optimization 12, no. 1: 187-209.
Yongjia Xu; Yongzeng Lai; Haixiang Yao. Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods. Applied Mathematics and Computation 2014, 236, 493 -511.
AMA StyleYongjia Xu, Yongzeng Lai, Haixiang Yao. Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods. Applied Mathematics and Computation. 2014; 236 ():493-511.
Chicago/Turabian StyleYongjia Xu; Yongzeng Lai; Haixiang Yao. 2014. "Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods." Applied Mathematics and Computation 236, no. : 493-511.
Haixiang Yao; Yongzeng Lai; Qinghua Ma; Minjie Jian. Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework. Insurance: Mathematics and Economics 2014, 54, 84 -92.
AMA StyleHaixiang Yao, Yongzeng Lai, Qinghua Ma, Minjie Jian. Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework. Insurance: Mathematics and Economics. 2014; 54 ():84-92.
Chicago/Turabian StyleHaixiang Yao; Yongzeng Lai; Qinghua Ma; Minjie Jian. 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework." Insurance: Mathematics and Economics 54, no. : 84-92.
In this paper, we discuss control variate methods with applications to Asian and basket options pricing under exponential jump diffusion models for the underlying asset prices. Conditional on geometric means of asset prices, new control variates for arithmetic Asian and basket options are constructed. Numerical results show that the constructed new control variate XNCV is much more efficient than the classical control variate XCCV even in high-dimensional cases when pricing Asian options. For example, the variance reduction ratios by XCCV are no more than 256 for all the cases whereas those by XNCV vary from 14253 to 95873 for low and normal volatilities, and they vary from 6564 to 16296 for high volatility (σ=0.5), on average over sample sizes 1024, 2048, 4096, 8192, 16384 and 32768. In the case of basket options, the new control variate is still more efficient than the classical control variate. Moreover, our tests also show that the variances of a trivariate control variate are smaller than either bivariate or single variate control variates for the basket options considered.
Yongzeng Lai; Zhongfei Li; Yan Zeng. Control variate methods and applications to Asian and basket options pricing under jump-diffusion models. IMA Journal Of Management Mathematics 2013, 26, 11 -37.
AMA StyleYongzeng Lai, Zhongfei Li, Yan Zeng. Control variate methods and applications to Asian and basket options pricing under jump-diffusion models. IMA Journal Of Management Mathematics. 2013; 26 (1):11-37.
Chicago/Turabian StyleYongzeng Lai; Zhongfei Li; Yan Zeng. 2013. "Control variate methods and applications to Asian and basket options pricing under jump-diffusion models." IMA Journal Of Management Mathematics 26, no. 1: 11-37.
Haixiang Yao; Yongzeng Lai; Zhifeng Hao. Uncertain exit time multi-period mean–variance portfolio selection with endogenous liabilities and Markov jumps. Automatica 2013, 49, 3258 -3269.
AMA StyleHaixiang Yao, Yongzeng Lai, Zhifeng Hao. Uncertain exit time multi-period mean–variance portfolio selection with endogenous liabilities and Markov jumps. Automatica. 2013; 49 (11):3258-3269.
Chicago/Turabian StyleHaixiang Yao; Yongzeng Lai; Zhifeng Hao. 2013. "Uncertain exit time multi-period mean–variance portfolio selection with endogenous liabilities and Markov jumps." Automatica 49, no. 11: 3258-3269.
Haixiang Yao; Yongzeng Lai; Qinghua Ma; Huabao Zheng. Characterization of efficient frontier for mean–variance model with a drawdown constraint. Applied Mathematics and Computation 2013, 220, 770 -782.
AMA StyleHaixiang Yao, Yongzeng Lai, Qinghua Ma, Huabao Zheng. Characterization of efficient frontier for mean–variance model with a drawdown constraint. Applied Mathematics and Computation. 2013; 220 ():770-782.
Chicago/Turabian StyleHaixiang Yao; Yongzeng Lai; Qinghua Ma; Huabao Zheng. 2013. "Characterization of efficient frontier for mean–variance model with a drawdown constraint." Applied Mathematics and Computation 220, no. : 770-782.
Yan Zeng; Huiling Wu; Yongzeng Lai. Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon. Economic Modelling 2013, 33, 462 -470.
AMA StyleYan Zeng, Huiling Wu, Yongzeng Lai. Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon. Economic Modelling. 2013; 33 ():462-470.
Chicago/Turabian StyleYan Zeng; Huiling Wu; Yongzeng Lai. 2013. "Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon." Economic Modelling 33, no. : 462-470.
This paper studies an optimal investment and reinsurance problem incorporating jumps for mean–variance insurers within a game theoretic framework and aims to seek the corresponding time-consistent strategies. Specially, the insurers are allowed to purchase proportional reinsurance, acquire new business and invest in a financial market, where the surplus of the insurers is assumed to follow a jump–diffusion model and the financial market consists of one risk-free asset and one risky asset whose price process is modeled by a geometric Lévy process. By solving an extended Hamilton–Jacobi–Bellman system, the closed-form expressions for the time-consistent investment and reinsurance strategies and the optimal value function are derived. Moreover, some special cases of our model and results are presented, and some numerical illustrations and sensitivity analysis for our results are provided.
Yan Zeng; Zhongfei Li; Yongzeng Lai. Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps. Insurance: Mathematics and Economics 2013, 52, 498 -507.
AMA StyleYan Zeng, Zhongfei Li, Yongzeng Lai. Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps. Insurance: Mathematics and Economics. 2013; 52 (3):498-507.
Chicago/Turabian StyleYan Zeng; Zhongfei Li; Yongzeng Lai. 2013. "Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps." Insurance: Mathematics and Economics 52, no. 3: 498-507.
Haixiang Yao; Zhongfei Li; Yongzeng Lai. Mean–CVaR portfolio selection: A nonparametric estimation framework. Computers & Operations Research 2013, 40, 1014 -1022.
AMA StyleHaixiang Yao, Zhongfei Li, Yongzeng Lai. Mean–CVaR portfolio selection: A nonparametric estimation framework. Computers & Operations Research. 2013; 40 (4):1014-1022.
Chicago/Turabian StyleHaixiang Yao; Zhongfei Li; Yongzeng Lai. 2013. "Mean–CVaR portfolio selection: A nonparametric estimation framework." Computers & Operations Research 40, no. 4: 1014-1022.
By introducing subdifferentiability of lower semicontinuous convex functionφ(x(t),x(t−τ))and its conjugate function, as well as critical point theory and operator equation theory, we obtain the existence of multiple subharmonic periodic solutions to the following second-order nonlinear nonautonomous neutral nonlinear functional differential equationx″(t)+x″(t−2τ)+f(t,x(t),x(t−τ),x(t−2τ))=0,x(0)=0.
Xiao-Bao Shu; Yongzeng Lai; Fei Xu. Existence of Subharmonic Periodic Solutions to a Class of Second-Order Non-Autonomous Neutral Functional Differential Equations. Abstract and Applied Analysis 2012, 2012, 1 -26.
AMA StyleXiao-Bao Shu, Yongzeng Lai, Fei Xu. Existence of Subharmonic Periodic Solutions to a Class of Second-Order Non-Autonomous Neutral Functional Differential Equations. Abstract and Applied Analysis. 2012; 2012 ():1-26.
Chicago/Turabian StyleXiao-Bao Shu; Yongzeng Lai; Fei Xu. 2012. "Existence of Subharmonic Periodic Solutions to a Class of Second-Order Non-Autonomous Neutral Functional Differential Equations." Abstract and Applied Analysis 2012, no. : 1-26.
In this paper, we discuss control variate methods for Asian option pricing under exponential jump diffusion model for the underlying asset prices. Numerical results show that the new control variate XNCV is much more efficient than the classical control variate XCCV when used in pricing Asian options. For example, the variance reduction ratios by XCCV are no more than 120 whereas those by XNCV vary from 15797 to 49171 on average over sample sizes 1024, 2048, 4096, 8192, 16384 and 32768.
Yongzeng Lai; Yan Zeng; Xiaojing Xi; Ilias Kotsireas; Roderick Melnik; Brian West. Efficient variance reduction methods for Asian option pricing under exponential jump-diffusion models. AIP Conference Proceedings 2011, 1368, 229 -232.
AMA StyleYongzeng Lai, Yan Zeng, Xiaojing Xi, Ilias Kotsireas, Roderick Melnik, Brian West. Efficient variance reduction methods for Asian option pricing under exponential jump-diffusion models. AIP Conference Proceedings. 2011; 1368 (1):229-232.
Chicago/Turabian StyleYongzeng Lai; Yan Zeng; Xiaojing Xi; Ilias Kotsireas; Roderick Melnik; Brian West. 2011. "Efficient variance reduction methods for Asian option pricing under exponential jump-diffusion models." AIP Conference Proceedings 1368, no. 1: 229-232.