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Recent Journal of Management Science and Engineering Articles

Recently published articles from Journal of Management Science and Engineering.

A Mixed Behaviour Equilibrium Model with Mode Choice and Its Application to the Endogenous Demand of Automated Vehicles

Available online 30 June 2020
Guangchao Wang | Hang Qi | Huiling Xu | Seungkyu Ryu

This study develops a mixed behavioural equilibrium model with explicit consideration of mode choice (MBE-MC) in a transportation system where fully automated vehicles (AV) coexist with conventional...

Consumers can learn and can forget – Modeling the dynamic decision procedure when watching TV

Available online 12 June 2020
Lianlian Song | Geoffrey Kwok Fai Tso

Facing the challenge of attracting consumers and winning market share under the proliferation of TV stations and channels, the traditional TV stations often make some marketing strategies. However,...

Pricing vulnerable European options with dynamic correlation between market risk and credit risk

Available online 8 April 2020
Huawei Niu | Yu Xing | Yonggan Zhao

In this paper, we study the valuation of vulnerable European options incorporating the reduced-form approach, which models the credit default of the counterparty. We provide an analytical pricing model...

Internet-of-things enabled supply chain planning and coordination with big data services: Certain theoretic implications

March 2020
Longfei He | Mei Xue | Bin Gu

Recent advances in information technology have led to profound changes in global manufacturing. This study focuses on the theoretical and practical challenges and opportunities arising from the Internet...

Measuring systemic importance of banks considering risk interactions: An ANOVA-like decomposition method

March 2020
Chunbing Bao | Dengsheng Wu | Jianping Li

The systemic importance of a bank is usually measured by its effect on the banking system, conditional on the insolvency of the bank and solvency of other banks. However, banks encounter different kinds...

Directional congestion in the framework of data envelopment analysis

March 2020
Guoliang Yang | Xiantong Ren | Mohammad Khoveyni | Robabeh Eslami

This study first proposes a definition for directional congestion in certain input and output directions within the framework of data envelopment analysis. Second, two methods from different viewpoints...

Contraction flexibility, operating leverage, and financial leverage

March 2020
Zhun Li | Qiang Li | Yong Zeng

This study investigates the impacts of contraction flexibility and operating leverage on financial leverage from the perspective of the agency conflict between shareholders and debtholders. In a continuous-time...

Computer-aided diagnosis and decision-making system for medical data analysis: A case study on prostate MR images

December 2019
Ailian Chen | Leilei Zhu | Huaijuan Zang | Zhenglong Ding | Shu Zhan

Prostate cancer is the most common cancer in males and a major cause of cancer-related death. Magnetic resonance (MR) imaging is recently emerging as a powerful tool for prostate cancer diagnosis. To...

The effects of an online inquiry service on gatekeeping systems with heterogeneous patients

December 2019
Xiuzhang Li | Weixiang Huang | Yan Chen | Wenhui Zhou

An online inquiry service (OIS) is an innovative service designed to make medical resources more accessible, especially in remote areas. An OIS provides patients with an alternative method of consulting...

Simulation modeling and optimization for ambulance allocation considering spatiotemporal stochastic demand

December 2019
Wei Yang | Qiang Su | Samuel H. Huang | Qiugen Wang | Yanhong Zhu | Ming Zhou

To ensure a timely response to emergencies, governments are obliged to implement effective ambulance allocation plans. In practice, an emergency medical service (EMS) system works in an uncertain environment,...

Inpatient bed allocation policy under uncertain capacity

December 2019
Xing Liu | Youhua Chen | Li Luo | Ting Zhu | Wenwu Shen | TAIWO Enayon Sunday

This paper concerns the problem of inpatient bed allocation for two classes of patients (scheduled and non-scheduled) when there is uncertainty about daily available capacity. In the afternoon of each...

Linear mixed-effects model for longitudinal complex data with diversified characteristics

Available online 14 November 2019
Zhichao Wang | Huiwen Wang | Shanshan Wang | Shan Lu | Gilbert Saporta

The increasing richness of data encourages a comprehensive understanding of economic and financial activities, where variables of interest may include not only scalar (point-like) indicators, but also...

Is bitcoin a safe haven or a hedging asset? Evidence from China

September 2019
Gangjin Wang | Yanping Tang | Chi Xie | Shou Chen

Based on daily data about Bitcoin and six other major financial assets (stocks, commodity futures (commodities), gold, foreign exchange (FX), monetary assets, and bonds) in China from 2013 to 2017,...

Policy spillover and regional linkage characteristics of the real estate market in China's urban agglomerations

September 2019
Xiangfei Li | Minghan Sun | Kees Boersma

The main purpose of this study is to determine the spillover effect of real estate regulatory policies released by core cities on the surrounding cities in major urban agglomerations based on regional...

Ensemble RBF modeling technique for quality design

June 2019
Linhan Ouyang | Liangqi Wan | Chanseok Park | Jianjun Wang | Yizhong Ma

This paper proposes an ensemble radial basis function neural network that selects important RBF subsets based on Pareto chart using Bootstrap samples. Then, the analysis of variance method is used to...

Time-consistent investment and reinsurance strategies for insurers under multi-period mean-variance formulation with generalized correlated returns

June 2019
Zhongbao Zhou | Tiantian Ren | Helu Xiao | Wenbin Liu

The existing literature on investment and reinsurance is limited to the study of continuous-time problems, while discrete-time problems are always ignored by researchers. In this study, we first discuss...

Vehicle flow formulation for two-echelon time-constrained vehicle routing problem

June 2019
Hongqi Li | Ming Bai | Yibin Zhao | Changzhi Dai

Two-echelon routing problems, including variants such as the two-echelon vehicle routing problem (2E-VRP) and the two-echelon location routing problem (2E-LRP), involve assignment and location decisions....

Refined analysis and prediction of natural gas consumption in China

June 2019
Ting Liang | Jian Chai | Yue-Jun Zhang | Zhe George Zhang

In view of the abrupt and phased features of natural gas consumption, this paper attempts to predict natural gas consumption in China with a refined forecasting approach. First, we establish a Markov...

Projection bias, sophistication, and sub-additive discounting

June 2019
Shou Chen | Richard Fu | Lei Wedge | Ziran Zou

Behavioral studies have revealed the sub-additive discounting pattern, which is at odds with the prevailing hyperbolic discounting framework that explains intertemporal choices. In this study, we demonstrate...

Risk measures for variable annuities: A hermite series expansion approach

June 2019
Zhenyu Cui | Jinhyoung Kim | Guanghua Lian | Yanchu Liu

In this study, we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits. Our approach is based on a novel...

A decomposition clustering ensemble learning approach for forecasting foreign exchange rates

March 2019
Yunjie Wei | Shaolong Sun | Jian Ma | Shouyang Wang | Kin Keung Lai

A decomposition clustering ensemble (DCE) learning approach is proposed for forecasting foreign exchange rates by integrating the variational mode decomposition (VMD), the self-organizing map (SOM)...

A combined random effect and fixed effect forecast for panel data models

March 2019
Bai Huang | Tae-Hwy Lee | Aman Ullah

When some of the regressors in a panel data model are correlated with the random individual effects, the random effect (RE) estimator becomes inconsistent while the fixed effect (FE) estimator is consistent....

Forecasting using supervised factor models

March 2019
Yundong Tu | Tae-Hwy Lee

This paper examines the theoretical and empirical properties of a supervised factor model based on combining forecasts using principal components (CFPC), in comparison with two other supervised factor...

Versatile HAR model for realized volatility: A least square model averaging perspective

March 2019
Yue Qiu | Xinyu Zhang | Tian Xie | Shangwei Zhao

A rapidly growing body of literature has documented improvements in forecasting financial return volatility measurement using various heterogeneous autoregression (HAR) type models. Most HAR-type models...

Out-of-sample forecasts of China's economic growth and inflation using rolling weighted least squares

March 2019
Yuying Sun | Yongmiao Hong | Shouyang Wang

Macroeconomic forecasting in China is essential for the government to take proper policy decisions on government expenditure and money supply, among other matters. The existing literature on forecasting...

Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients

December 2018
Zongwu Cai | Ying Fang | Dingshi Tian

To characterize heteroskedasticity, nonlinearity, and asymmetry in tail risk, this study investigates a class of conditional (dynamic) expectile models with partially varying coefficients in which some...

Econometric Modeling and Economic Forecasting

December 2018
Zongwu Cai | Yongmiao Hong | Shouyang Wang

A New Regime Switching Model with State–Varying Endogeneity

December 2018
Tingting Cheng | Jiti Gao | Yayi Yan

In this paper, we propose a state-varying endogenous regime switching model (the SERS model), which includes the endogenous regime switching model by Chang et al., the CCP model, as a special case....

Firm Characteristics and Chinese Stocks

December 2018
Fuwei Jiang | Guohao Tang | Guofu Zhou

This paper presents a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics. We use not only the traditional Fama-MacBeth...

Nowcasting China’s GDP Using a Bayesian Approach

December 2018
Yixiao Zhang | Cindy L. Yu | Haitao Li | Yongmiao Hong

Real time nowcasting is an assessment of current-quarter GDP from timely released economic and financial series before the GDP figure is disseminated. Providing a reliable current quarter nowcast in...

Competitive Analysis for Discrete Multiple Online Rental Problems

September 2018
Maolin Hu | Weijun Xu | Hongyi Li | Xiaoli Chen

Many actual rental activities present online rental problems with multiple units of assets or equipment whose use can be continuous, separable, or discrete. Using online algorithms and competitive analysis,...

Divergence in Reservation Prices and Its Impact on Housing Market Liquidity: A Theoretical Analysis

September 2018
Pu Gong | Yunyi Zhang | Huainan Zhao

In this paper, we build a two-period English auction model to study the relative movements between buyers’ and sellers’ reservation prices in the housing market. We show that changes in sellers’ reservation...

The Coordination and Preference of Supply Chain Contracts Based on Time-Sensitivity Promotional Mechanism

September 2018
Xin Fang | Fengjiao Yuan

To encourage retailers to submit orders as soon as possible, manufacturers usually launch a time-sensitivity promotional mechanism that the earlier you order, the cheaper the wholesale price will be...

Using Two-layer Minimax Optimization and DEA to Determine Attribute Weights

June 2018
Yao-Yao Song | Guo-Liang Yang | Jian-Bo Yang | Mohammad Khoveyni | Dong-Ling Xu

This study aims to explore a novel method for determining attribute weights, which is a key issue in constructing and analyzing multiple-attribute decision-making (MADM) problems. To this end, a hybrid...

Corporate Financial Policies under Heterogeneous Beliefs

June 2018
Wei-Ning Niu | Wei-Xing Wu | Leng Ling | Rong-Xi Zhou

This study investigates a firm’s financing, investment, and payout policies through a rational expectation equilibrium based on which managers and outside investors have heterogeneous prior beliefs....

Stochastic Route Choice Equilibrium Assignment for Travelers with Heterogeneous Regret Aversions

March 2018
Meng Li | Hai-Jun Huang | Henry X. Liu

Most route choice models assume that people are completely rational. Recently, regret theory has attracted researchers’ attentions because of its power to depict real travel behavior. This paper proposes...

Heterogeneous Traders, the Leverage Effect and Volatility of the Chinese P2P Market

March 2018
Xing Fang | Bo Wang | Lanbiao Liu | Yong Song

The new financial industry represented by peer-to-peer lending has gradually become a new source of volatility due to the increasing complexity of the Chinese financial market. This volatility leads...

The Effect of Market Quality on the Causality between Returns and Volatilities: Evidence from CSI 300 Index Futures

March 2018
Zhihong Jian | Pingjun Deng | Kaiyuan Luo | Zhican Zhu

This paper investigates the impact of market quality on volatility asymmetry of CSI 300 index futures by using short- and long-run causality measures proposed by Dufour et al. (2012). We use a high-frequency-based...

Cluster Analysis in Data‐Driven Management and Decisions

December 2017
Leilei Sun | Guoqing Chen | Hui Xiong | Chonghui Guo

Clustering plays an important role in management and decision‐making processes. This paper first discusses three types of cluster analysis methods—centroid‐based, connectivity‐based, and density‐based....

Intraday Volatility Spillover between the Shanghai and Hong Kong Stock Markets—Evidence from A+H Shares after the Launch of the Shanghai-Hong Kong Stock Connect

December 2017
Yajing Xu | Saiping Li | Xiong Xiong | Fei Ren

Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect (SHHKSC), we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized...

Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate

December 2017
Rongda Chen | Zexi Li | Liyuan Zeng | Lean Yu | Qi Lin | Jia Liu

This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SIR), stochastic volatility (SV), and double exponential jump into the jump-diffusion settings. The...

Patient Experience Enhancement at Accident and Emergency Department: Junior Doctor Manpower Reallocation Optimization

September 2017
Hong-Choon Oh | Wai-Leng Chow | Peter Looi | Ling Tiah | Pak-Liang Goh | Hoon-Chin Steven Lim | Mohan Tiruchittampalam

This study aimed to develop a new junior doctor allocation plan, and evaluate its impact on the door-to-doctor time (DDT) of a specific patient population at the Accident & Emergency (A&E) department...

Optimal Exit Layout Strategy for Crowd Safety Evacuation in a Ramp Domain

September 2017
Xiaoxia Jian | Hua Wang | Xiaoning Zhang

Pedestrian behavior modeling plays a considerably important role in improving operational efficiency and safety of pedestrian infrastructure. In this paper, we first propose a cost potential field cellular...

Overall Efficiency and its Decomposition in a Two-Stage Network DEA Model

September 2017
Guo-Liang Yang | Yao-Yao Song | Dong-Ling Xu | Jian-Bo Yang

This paper aims to propose a new approach to decompose an overall data envelopment analysis model into equivalent two-stage models. In this approach, we use a minimax reference point method to set the...

Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation

June 2017
Nian Yang | Yanchu Liu | Zhenyu Cui

The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts...

A Bibliometric Analysis of Digital Innovation from 1998 to 2016

June 2017
Xi Zhang | Yao Meng | Hui Chen | Jiang Yu | Yongqiang Sun | Patricia Ordóñez de Pablos | Joy Wei He

Digital technologies are ubiquitous in our everyday lives. They have been widely embedded into the core processes of services and products, as well as into the operations of many organizations. These...

Sourcing Decisions with Capacity Reservations under Supply Disruptions

June 2017
Jing Hou | Shan Zhao | Huimin Wang | Enkai Bi

Firms employing both offshore outsourcing and nearshore sourcing strategies may face supply disruption, demand uncertainty, and quality risks simultaneously. Sourcing decisions become inevitably important...

Measuring Performance Evolution of Academic Journals in Management Science and Operations Research: A DEA-Malmquist Approach

March 2017
Kun Chen | Guoliang Yang | Mohammad Khoveyni

This paper aims to measure the productivity of academic journals in the field of management science and operations research on the basis of a data envelopment analysis (DEA)-Malmquist approach. Using...

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