Professional Documents
Culture Documents
Term Structure Survey
Term Structure Survey
Mxqh 5334
,ALMK@BM
Wkh odvw wzr ghfdghv kdyh vhhq wkh ghyhorsphqw ri d surixvlrq ri
wkhruhwlfdo prghov ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv1 Wklv vwxg|
surylghv d jhqhudo ryhuylhz dqg d frpsuhkhqvlyh frpsdudwlyh vwxg|
ri wkh prvw srsxodu rqhv dprqj erwk dfdghplfv dqg sudfwlwlrqhuv1 Lw
dovr glvfxvvhv wkhlu uhvshfwlyh dgydqwdjhv dqg glvdgydqwdjhv lq whupv
ri erqg dqg2ru lqwhuhvw udwh frqwlqjhqw fodlpv frqwlqxrxv wlph ydo0
xdwlrq ru khgjlqj/ sdudphwhu hvwlpdwlrq/ dqg fdoleudwlrq1 Ilqdoo|/ lw
sursrvhv d xqlhg dssurdfk iru prgho ulvn dvvhvvphqw1 Ghvslwh wkh uho0
dwlyho| frpsoh{ pdwkhpdwlfv lqyroyhg/ qdqfldo lqwxlwlrq udwkhu wkdq
pdwkhpdwlfdo uljrxu lv hpskdvlvhg wkurxjkrxw1 Wkh fodvvlfdwlrq e|
phdqv ri jhqhudo fkdudfwhulvwlfv vkrxog hqdeoh wkh xqghuvwdqglqj ri
wkh glhuhqw ihdwxuhv ri hdfk prgho/ idflolwdwh wkh fkrlfh ri d prgho lq
vshflf wkhruhwlfdo ru hpslulfdo flufxpvwdqfhv/ dqg doorzv wkh whvwlqj
ri ydulrxv prghov zlwk qhvwhg dv zhoo dv qrq qhvwhg vshflfdwlrqv1
K1H1F1 Xqlyhuvlw| ri Odxvdqqh/ LQULD Vrskld0Dqwlsrolv dqg Wkxqghuelug/ wkh Dphu0
lfdq Judgxdwh Vfkrro ri Lqwhuqdwlrqdo Pdqdjhphqw1 Zh zlvk wr dnqrzohgjh qdqfldo
vxssruw iurp UlvnOde +]ÿulfk,1 Wklv zrun lv d sduw iurp wkh UlvnOde surmhfw hqwlwohg
Lqwhuhvw udwh ulvn pdqdjhphqw dqg prgho ulvn 1 Zh wkdqn Mhvvlfd Mdphv +IQE Fklfdjr,
dqg Pluhlooh Ervv| +LQULD Vrskld0Dqwlsrolv, iru khosixo vxjjhvwlrqv1 Suholplqdu| yhuvlrq1
Doo frpphqwv duh zhofrph1 Frqwdfw= iudqfrlvCokdelwdqw1qhw
4
Frqwhqwv
4 Lqwurgxfwlrq 8
414 Ghqlwlrqv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 9
415 Uhpdunv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ;
5
71914 Eodfn/ Ghupdq/ dqg Wr|*v +4<;:/ 4<<3, 1 1 1 1 1 1 1 1 1 6<
71915 Eodfn dqg Ndudvlqvnl +4<<4, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 74
71916 Vdqgpdqq dqg Vrqghupdqq +4<<6e, 1 1 1 1 1 1 1 1 1 1 74
71917 Plowhuvhq/ Vdqgpdq dqg Vrqghupdqq +4<<:, 1 1 1 1 1 1 75
71: Rwkhu prghov 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 76
71:14 Grwkdq +4<:;,/ Euhqqdq dqg Vfkzduw} +4<::, 1 1 1 1 1 76
71:15 Euhqqdq dqg Vfkzduw} +4<;3,/ Frxuwdgrq +4<;5, 1 1 1 77
71:16 Uhqgohpdq dqg Eduwwhu +4<;3, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 77
71:17 Fr{/ Lqjhuvroo dqg Urvv+4<;3, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 78
71:18 Fr{ +4<:8,/ Fr{ dqg Urvv +4<:9, 1 1 1 1 1 1 1 1 1 1 1 1 78
71:19 Orqjvwd +4<;<, dqg wkh grxeoh vtxduh0urrw prgho 1 1 78
71:1: Eodfn dqg Vfkrohv +4<:6, dqg Phuwrq +4<:6, 1 1 1 1 1 1 78
71:1; Edoo dqg Wrurxv +4<;6, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 79
71:1< Eodfn +4<:9, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 7:
6
91517 Dgglwlrqdo srvvleoh uhvwulfwlrqv wr rewdlq d Pdunryldq
prgho 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 :4
91518 Sudfwlfdo lpsohphqwdwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 :6
91519 Iurp wkh Khdwk/ Mduurz/ Pruwrq prgho wr vkruw whup
lqwhuhvw udwh prghov dqg edfn 1 1 1 1 1 1 1 1 1 1 1 1 1 1 :7
916 Pxowlidfwru jhqhudol}dwlrq ri wkh Khdwk/ Mduurz/ Pruwrq +4<<5, ::
917 Jrogvwhlq +4<<:,/ Nhqqhg| +4<<:, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 :<
; Frqfoxvlrqv ;5
7
4 Lqwurgxfwlrq
Xqghuvwdqglqj dqg prgholqj wkh whup vwuxfwxuh ri lqwhuhvw udwhv uhsuhvhqwv
rqh ri wkh prvw fkdoohqjlqj wrslfv ri qdqfldo uhvhdufk1 Wkhuh duh lq idfw
pdq| ehqhwv iurp d ehwwhu xqghuvwdqglqj ri wkh whup vwuxfwxuh ri lqwhuhvw
udwhv1 Vlqfh wkh lqwurgxfwlrq ri rswlrq wudglqj rq erqgv dqg rwkhu lqwhuhvw
udwh ghshqgdqw dvvhwv/ pxfk dwwhqwlrq kdv ehhq jlyhq wr wkh ghyhorsphqw ri
prghov wr sulfh dqg khgjh lqwhuhvw udwh ghshqgdqw dvvhwv ru wr pdqdjh wkh
ulvn ri lqwhuhvw udwhv frqwlqjhqw sruwirolrv1
Zkloh wkh Eodfn dqg Vfkrohv +4<:6, prgho kdv udslgo| hvwdeolvkhg klp0
vhoi dv wkh prgho iru vwrfn frqwlqjhqw fodlpv/ d odujh qxpehu ri frqwlqxrxv
wlph dssurdfkhv duh vlpxowdqhrxvo| xvhg dprqj dfdghplfv dqg sudfwlwlrqhuv
lq wkh hog ri lqwhuhvw udwhv frqwlqjhqw fodlpv1 Ghvslwh wkh zlghvsuhdg xvh ri
Eodfn +4<:9, prgho4 wr ydoxh lqwhuhvw udwh ghulydwlyhv vxfk dv erqg rswlrqv/
fdsv/ ru vzdsv/ lqwhuhvw udwh ghulydwlyhv kdyh vrph pdmru glhuhqfhv iurp
wkrvh rq vwrfnv wkdw qhhg wr eh uhvroyhg1 Iru lqvwdqfh/ ohw xv frqvlghu wkh
fdvh ri d vlpsoh erqg= xqolnh vwrfnv/ wkh erqg sulfh dw pdwxulw| lv {hg dqg
nqrzq/ dqg wkh Zlhqhu surfhvv xvhg wr prgho vwrfn sulfhv lv lqdssursuldwh1
Ixuwkhupruh/ erqg sulfhv duh ghshqgdqw rq lqwhuhvw udwhv/ zklfk h{klelw d
frpsoh{ vwrfkdvwlf ehkdylru dqg duh qrw gluhfwo| wudgdeoh/ zklfk phdqv wkdw
wkh g|qdplf uhsolfdwlrq vwudwhj| lv pruh frpsoh{1 Vlplodu glhuhqfhv fdq
eh irxqg lq wkh fdvh ri pruh frpsoh{ lqwhuhvw udwh ghulydwlyhv vxfk dv erqg
rswlrqv/ fdsv/ rruv/ ru lqwhuhvw udwh vzdsv1 Wkxv/ sulflqj/ khgjlqj ru pdq0
djlqj wkh ulvn ri lqwhuhvw udwh ghulydwlyhv lv d frpsoh{ wdvn/ dqg hdfk ri wkh
h{lvwlqj prghov kdv lwv rzq dgydqwdjhv dqg gudzedfnv1
Wkh dlp ri wklv sdshu lv wr surylgh d frpsuhkhqvlyh uhylhz ri wkh prg0
holqj whfkqltxhv ri wkh whup vwuxfwxuh dssolfdeoh wr ghidxow0iuhh erqgv dqg
rwkhu lqwhuhvw udwh ghulydwlyhv1 Zh sursrvh d w|srorj|/ ghvfuleh wkh prvw
lpsruwdqw prghov dqg phwkrgrorjlhv lq d frpprq iudphzrun/ h{sodlq wkhlu
dgydqwdjhv dqg glhuhqfhv/ uhsruw wkh prvw uhohydqw dqdo|wlfdo dqg hpslul0
fdo uhvxowv dqg surylgh uhihuhqfhv iru wkhlu ghulydwlrqv1 Jlyhq wkh ydvw duud|
ri lvvxhv lq wkh hog dv zhoo dv wkh odujh qxpehu ri h{lvwlqj vxuyh|v/ zh dw0
whpswhg wr surylgh dq dqdo|vlv iurp dq ryhudoo shuvshfwlyh/ irfxvlqj rq zkdw
wkh fhqwudo lvvxhv zhuh udwkhu wkdq rq vshflf ghwdlov1
4
Wkh hvvhqfh ri Eodfn +4<:9, prgho lv wkdw wkh xqghuo|lqj yduldeoh +erqg sulfh iru d
erqg rswlrq/ lqwhuhvw udwhv ri wkh frqvwlwxhqw fdsohwv iru d fds/ vzds udwh iru d vzds, lv
orjqrupdo dw wkh pdwxulw| ri wkh ghulydwlyh1 Wklv doorzv wkh xvh ri d voljkwo| prglhg
yhuvlrq ri wkh Eodfn dqg Vfkrohv +4<:6, irupxod iru vwrfn rswlrqv1
8
Wklv sdshu lv rujdql}hg dv iroorzv= vhfwlrq 4 lqwurgxfhv wkh ghqlwlrqv
dqg qrwdwlrqv zh zloo xvhg wkurxjkrxw wkh sdshu> vhfwlrq 5 suhvhqwv wkh edvlf
wkhrulhv ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv> vhfwlrq 6 sursrvhv d prgho
wd{rqrp| iru lqwhuhvw udwh prghov1 Vhfwlrq 7 uhylhzv vlpsoh idfwru lqwhuhvw
udwh prghov/ zlwk d vwurqj hpskdvlv rq wkh sulflqj ri frqwlqjhqw fodlpv
xvlqj sduwldo glhuhqwldo htxdwlrqv ru pduwlqjdohv wkhru|1 Lw dovr surylghv
qxphurxv h{dpsohv ri vxfk vlqjoh0idfwru prghov/ zlwk erwk frqvwdqw dqg
wlph ydu|lqj sdudphwhuv1 Vhfwlrq 8 frqvlghuv wkh h{whqvlrq wr pxowlidfwru
prghov1 Vhfwlrq 9 uhylhzv wkh h{whqvlrq wr d pxowlglphqvlrqdo vsdfh/ iurp
wkh slrqhhulqj zrun ri Kr dqg Ohh +4<;9, wr wkh prvw uhfhqw zrun rq udqgrp
hogv dqg lqfoxglqj wkh Khdwk/ Mduurz dqg Pruwrq +4<<5, idplo| ri prghov1
Vhfwlrq : suhvhqwv vrph ri wkh hpslulfdo qglqjv frpsdulqj wkh shuirupdqfh
ri dowhuqdwlyhv ryhu d eudg udqjh ri dssolhg lqwhuhvw udwh prghov1 Vhfwlrq ;
frqfoxghv1
414 Ghqlwlrqv
Zh zloo uvw uhfdoo vrph xvxdo qrwdwlrqv1 Doo rxu prghov zloo eh vhw xs lq
d jlyhq frpsohwh suredelolw| vsdfh + dqg dq dxjphqwhg owudwlrq
D jhqhudwhg e| d vwdqgdug Eurzqldq prwlrq lq +wr nhhs wklqjv
vlpsoh/ xqohvv h{solflwo| phqwlrqhg/ wkh xqfhuwdlqw| zloo eh uhsuhvhqwhg e| d
rqh0glphqvlrqdo surfhvv,1
Wr irfxv rq sxuh txhvwlrqv ri ydoxdwlrq/ zh zloo ljqruh wd{hv dqg wudqvdf0
wlrq frvwv1 Zh ghqrwh e| wkh sulfh dw wlph ri d glvfrxqw erqg/ l1h1
d }hur0frxsrq erqg zklfk sd|v rqh fxuuhqf| xqlw dw wlph dqg qrwklqj hovh
dw dq| rwkhu wlph1 Lw iroorzv lpphgldwho| wkdw 1 Dw wlph / wkh
|lhog wr pdwxulw| ri wkh glvfrxqw erqg lv wkh frqwlqxrxvo|
frpsrxqghg udwh ri uhwxuq wkdw fdxvhv wkh erqg sulfh wr ulvh wr rqh dw wlph
3
ru/ vroylqj iru wkh |lhog
+4,
Iru d {hg wlph / wkh vkdsh ri dv lqfuhdvhv ghwhuplqhv wkh whup
vwuxfwxuh ri lqwhuhvw udwhv1 Lq rxu iudphzrun/ wkh |lhog fxuyh lv wkh
9
vdph dv wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ dv zh rqo| zrun zlwk }hur0
frxsrq erqgv1 Ilqdqfh wudglwlrqdoo| ylhzv erqgv dv frqwlqjhqw fodlpv dqg
lqwhuhvw udwhv dv xqghuo|lqj dvvhwv1
Zh ghqrwh e| wkh lqvwdqwdqhrxv ulvn0iuhh lqwhuhvw udwh/ dovr
fdoohg vkruw whup udwh/ l1h1 wkh |lhog rq wkh fxuuhqwo| pdwxulqj erqg1
Wkxv/
<
D uroo ryhu srvlwlrq dw wkh vkruw whup udwh lv fdoohg prqh| pdunhw
dffrxqw1 Wkh ydoxh ri wkh prqh| pdunhw dffrxqw lqlwldol}hg dw wlph 3 zlwk
rqh groodu lqyhvwphqw lv 7
Zh ghqrwh e|
wkh iruzdug udwh/ l1h1 wkh udwh wkdw fdq eh
djuhhg xsrq dw wlph iru d ulvn0iuhh ordq vwduwlqj dw wlph dqg qlvklqj dw
wlph 1
Ri sduwlfxodu lqwhuhvw lv wkh lqvwdqwdqhrxv iruzdug udwh
Lw lv wkh udwh wkdw rqh frqwudfwv dw wlph iru d ordq vwduwlqj dw wlph iru dq
lqvwdqwdqhrxv shulrg ri wlph1 Zh kdyh
dvvxplqj wkdw erqg sulfhv duh glhuhqwldeoh1 Htxlydohqwo|/ rqh fdq ghqh
wkh erqg sulfh lq whupv ri iruzdug udwhv dv
7
3
:
415 Uhpdunv
Ohw xv uhfdoo wkdw wkhuh h{lvw d vhw ri erqg vshflf duelwudjh uhvwulfwlrqv=
dq| erqg sulfh surfhvv kdv d qrq vwrfkdvwlf whuplqdo ydoxh dw wkh hqg
ri lwv olih
d erqg sulfh zloo qhyhu h{fhhg lwv whuplqdo ydoxh soxv wkh rxwvwdqglqj
frxsrq sd|phqwv
;
pdwxulqj dw wlph vkrxog eh htxdo wr wkh jhrphwulf dyhudjh ri wkh h{shfwhg
vkruw0whup udwh iurp wr / dqg wkh whup vwuxfwxuh lv jlyhq e|
Qrwh wkdw lq idfw/ wkhuh h{lvw irxu frqwlqxrxv0wlph lqwhusuhwdwlrqv ri wkh
h{shfwdwlrq k|srwkhvlv=
wkh orfdo h{shfwdwlrq k|srwkhvlv vwdwhv wkdw iru dq| erqg rq wkh
pdunhw
ru htxlydohqwo| wkdw
7
3
<
zklfk lv htxlydohqw wr
Xvlqj Mhqvhq lqhtxdolw|/ rqh fdq vkrz wkdw wkhvh wkhrulhv duh pxwxdoo|
lqfrqvlvwhqw/ zlwk wkh h{fhswlrq ri wkh xqeldvhg h{shfwdwlrq k|srwkhvlv zlwk
wkh qdlyh h{shfwdwlrq k|srwkhvlv1
exw ghshqglqj rq wkh rhu dqg wkh ghpdqg/ wkh ulvn suhplxp dw0
wdfkhg wr erqgv ri ydulrxv pdwxulwlhv fdq eh srvlwlyh/ qhjdwlyh ru htxdo wr
}hur1 Wkxv/ wkh whup vwuxfwxuh ri lqwhuhvw udwhv fdq kdyh dq| vkdsh1
43
6 Lqwhuhvw udwh prghov wd{rqrp|
Lq rughu wr ehwwhu xqghuvwdqg lqwhuhvw udwh prghov/ lw lv khosixo wr lghqwli|
vrph ri wkhlu fkdudfwhulvwlf ihdwxuhv dqg glvwlqfwlrqv1 Xqiruwxqdwho|/ wkhvh
duh qrw pxwxdoo| h{foxvlyh/ dqg fdwhjrulhv duh iuhtxhqwo| ryhuodsslqj1
44
dq dowhuqdwlyh lv wr vshfli| wkh vwrfkdvwlf g|qdplfv ri wkh hqwluh whup
vwuxfwxuh ri lqwhuhvw udwhv/ hlwkhu e| xvlqj doo |lhogv ru doo iruzdug udwhv1
Wkh dssurdfk lv lqwxlwlyho| dwwudfwlyh/ exw wkh prgho frpsoh{lw| lq0
fuhdvhv1 Wklv kdv suhyhqwhg zkroh |lhog fxuyh prghov iurp frplqj lq
pruh zlghvsuhdg xvh1
Krzhyhu/ wkh wkuhh dssurdfkhv duh qrw lqghshqghqw/ dv wkhuh h{lvw uhod0
wlrqvklsv wkdw pxvw krog 0 hyhq zlwkrxw dvvxplqj wkdw pdunhwv duh iuhh ri
duelwudjh 0 ehwzhhq erqg sulfhv/ vkruw whup udwhv dqg iruzdug udwhv ru |lhogv1
wkh uvw rqh lv d vkliw ri wkh whup vwuxfwxuh/ l1h1/ d sdudooho pryhphqw
ri doo wkh udwhv1 Lw xvxdoo| dffrxqwv iru xs wr ;30<3 shufhqw ri wkh wrwdo
yduldqfh +wkh h{dfw qxpehu ghshqglqj rq wkh pdunhw dqg rq wkh shulrg
ri revhuydwlrq,1
wkh vhfrqg rqh lv d wzlvw/ l1h1 d vlwxdwlrq lq zklfk orqj udwhv dqg
vkruw whup udwhv pryh lq rssrvlwh gluhfwlrqv1 Lw xvxdoo| dffrxqwv iru
dq dgglwlrqdo 8043 shufhqw ri wkh wrwdo yduldqfh1
wkh wklug rqh lv fdoohg d exwwhu | +wkh lqwhuphgldwh udwh pryhv lq wkh
rssrvlwh gluhfwlrq ri wkh vkruw dqg orqj whup udwh,1 Lwv lq xhqfh lv
jhqhudoo| vpdoo +405 shufhqw ri wkh wrwdo yduldqfh,1
45
Rq wkh rwkhu kdqg/ vrph vhfxulwlhv duh vhqvleoh wr wkh vkdsh ri wkh whup
vwuxfwxuh +ru wr rwkhu dvshfwv vxfk dv wkh yrodwlolw| whup vwuxfwxuh ghirupd0
wlrqv/ dv zh zloo vhh odwhu, dqg qrw rqo| wr lwv ohyho1 Wkh| zloo uhtxluh dw ohdvw
d wzr idfwru prgho1 Jhqhudoo|/ d vhfrqg vwdwh yduldeoh vxfk dv wkh orqj udwh
ru wkh udwh ri lq dwlrq lv dgghg1
46
Exw wkh glvwlqfwlrq lv vxewoh/ vlqfh htxloleulxp prghov vkrxog eh duelwudjh0
iuhh +rwkhuzlvh/ wkh hfrqrp| zrxog qrw eh dw htxloleulxp,/ dqg dv vrph
vr0fdoohg duelwudjh0iuhh prghov zhuh vkrzq odwhu rq wr doorz iru duelwudjh
rssruwxqlwlhv1 Ixuwkhupruh/ dv srlqwhg rxw e| Gx!h dqg Ndq +4<<6,/ lw lv
dozd|v srvvleoh wr vxssruw dq| +uhjxodu, vkruw whup udwh surfhvv lq dq htxl0
oleulxp prgho edvhg rq d uhsuhvhqwdwlyh djhqw zlwk dq dssursuldwh xwlolw|
ixqfwlrq dqg frqvxpswlrq vwuhdp frqvwuxfwhg rq wkh lqwhuhvw udwh surfhvv1
47
ohqw pduwlqjdoh phdvxuh xqghu zklfk dvvhw sulfhv fdq eh frpsxwhg dv dq
h{shfwdwlrq1
Lq d vhfrqg vwhs/ zh zloo looxvwudwh wkh phwkrgrorj| e| vshflf h{dpsohv
ri vlqjoh0idfwru prghov1
8
Pdwkhpdwlfdoo|/ wkhvh ixqfwlrqv pxvw ixooo vrph uhjxodulw| frqglwlrqv vr wkdw wklv
vwrfkdvwlf glhuhqwldo htxdwlrq kdv rqo| d xqltxh vroxwlrq=
pxvw eh phdvxudeoh ixqfwlrqv iurp . wr 1
4 3 vxfk wkdw wkh Olsvfklw} frqglwlrq krogv/ l1h1 ^3 `>
+ , +
, . + , +
, 4
48
Xvlqj +7, wr frpsxwh dqg |lhogv wkh fodlp g|qdplfv
Glylglqj erwk vlghv e| |lhogv wkh lqvwdqwdqhrxv uhwxuq rq wkh frqwlqjhqw
fodlp=
wkdw lv/
+9,
zkhuh
dqg
duh ixqfwlrqv ri / / dqg 1
Qrz/ ohw xv frqvlghu wzr glvwlqfw lqwhuhvw udwh frqwlqjhqw fodlpv dqg
zlwk pdwxulw| dqg dqg ohw xv irup d sruwirolr pdgh ri fxuuhqf|
xqlw ri wkh fodlp dqg fxuuhqf| xqlwv ri wkh fodlp
1 Wkh sruwirolr ydoxh zloo eh ghvfulehg e| d surfhvv
ghqrwhg / dqg zh kdyh
Dv dqg duh lqwhuhvw udwh frqwlqjhqw fodlpv/ wkhlu sulfhv yhuli| +9,/ dqg
zh zloo ghqrwh
Wkxv/ wkh yduldwlrqv ri wkh sruwirolr ydoxh duh jlyhq e|
Zh fdq hdvlo| vhohfw dqg wr fdqfho rxw wkh lqvwdqwdqhrxv ulvn ri wkh
srvlwlrq/ l1h1 wr uhgxfh wkh yrodwlolw| ri wr }hur1 Lq vxfk d fdvh/ lq rughu
wr dyrlg duelwudjh rssruwxqlwlhv/ wkh uhwxuq rq wkh sruwirolr pxvw eh htxdo
wr wkh ulvn0iuhh udwh1 Wklv jlyhv wkh iroorzlqj v|vwhp ri htxdwlrqv
49
zklfk kdv d qrq wulyldo vroxwlrq li dqg rqo| li
Dv wklv uhodwlrqvkls pxvw krog iru dq| dqg / zh pxvw kdyh wkh ulvn
suhplxp shu xqlw ri ulvn frqvwdqw iru doo pdwxulwlhv1 Zh ghqrwh
+:,
zklfk lv txlwh vlplodu wr wkh Duelwudjh Sulflqj Wkhru| dqg wr fodvvlfdo wkhrulhv
ri wkh lqwhuhvw udwh vwuxfwxuh9 1
Vxevwlwxwlqj dqg lq +:, e| wkhlu ghqlwlrqv iurp htxdwlrq +9,
jlyhv xv d vhfrqg rughu sduwldo glhuhqwldo htxdwlrq +fdoohg wkh Ih|qpdq0Ndf
htxdwlrq, wkdw pxvw eh vdwlvhg e| dq| lqwhuhvw udwh frqwlqjhqw fodlp lq d
qr0duelwudjh rqh idfwru prgho=
+;,
zlwk rqh erxqgdu| frqglwlrq1 Wkh whup lv riwhq fdoohg wkh
ulvn dgmxvwhg guliw1
Htxdwlrq +;, zloo eh wkh ixqgdphqwdo htxdwlrq1 Dq| lqwhuhvw0udwh frqwlq0
jhqw fodlp sulfh fdq eh frpsxwhg dv wkh vroxwlrq wr vxfk d sduwldo glhuhqwldo
htxdwlrq vxemhfw wr dq dssursuldwh erxqgdu| frqglwlrq: 1 Ri frxuvh/ glhu0
hqw rqh idfwru prghov zloo surgxfh sduwldo glhuhqwldo htxdwlrqv ri lghqwlfdo
vwuxfwxuh/ exw zlwk glhuhqw dqg dv lqsxwv/ zkloh glhuhqw lqwhuhvw
udwh frqwlqjhqw fodlpv zloo surgxfh wkh vdph sduwldo glhuhqwldo htxdwlrq/
exw zlwk glhuhqw erxqgdu| frqglwlrqv1 Iru lqvwdqfh/ li rqh frqvlghuv dv
9
Dv phqwlrqhg douhdg|/ wkhvh wkhrulhv glvwlqjxlvk wkhpvhoyhv ghshqglqj rq wkh h{lvwhqfh
ri d ulvn suhplxp dqg lwv vljq1 Iru lqvwdqfh/ wkh h{shfwdwlrqv k|srwkhvlv dvvxphv wkdw
E @ +,/ zkdwhyhu wkh pdwxulw|/ zklfk lpsolhv @ 3 +qr oltxlglw| suhihuhqfh,1
:
Pdwkhpdwlfdoo|/ wklv fruuhvsrqgv wr d Juhhq ixqfwlrq1
4:
d }hur0frxsrq erqg zlwk pdwxulw| gdwh / zh kdyh
+<,
zlwk wkh erxqgdu| frqglwlrq
W
W
4;
Lq wkh sduwlfxodu fdvh ri d }hur0frxsrq erqg/ vroylqj wklv sduwldo glhu0
hqwldo htxdwlrq zloo jlyh xv wkh erqg sulfh / iurp zklfk zh jhw wkh
glvfrxqw ixqfwlrq dqg wkh zkroh |lhog fxuyh xvlqj +4,1
Sursrvlwlrq 4 Wkh vroxwlrq wr htxdwlrq +<, iru xqghu wkh
whuplqdo frqglwlrq lv jlyhq e|
7 7
7
3 3 3 +43,
Wkh uhodwlrq +<, doorzv xv lq wkhru| wr frpsxwh wkh sulfh ri d }hur frxsrq
nqrzlqj wkh uhdo ydoxhg ixqfwlrqv / / dqg 1 Wkxv/ vshfli|lqj wkhvh
ixqfwlrqv zloo ixoo| vshfli| wkh prgho1 Wkh idfw wkdw wkhvh ixqfwlrqv duh h{rjh0
qrxvo| vshflhg rqo| jlyhv xv d sduwldo htxloleulxp prgho= wkh htxloleulxp
lv qrw xqltxh/ dv glhuhqw vshflfdwlrqv zloo ghwhuplqh glhuhqw htxloleulxp1
Vshfli|lqj / fdq eh grqh h{dplqlqj orqj0whup vwdwlvwlfdo
surshuwlhv ri wkh vkruw whup lqwhuhvw udwh1 Exw vshfli|lqj lv d kdughu
wdvn/ dv lw lv qrw revhuydeoh1
Qrwh wkdw li / htxdwlrq +:, wdnhv wkh irup ri wkh orfdo h{0
shfwdwlrq k|srwkhvlv/ d irup ri h{shfwdwlrq k|srwkhvlv frpsdwleoh zlwk wkh
qr0duelwudjh uhtxluhphqw/ dqg wkh erqg sulfh vlpsolhv lqwr
7
3 +44,
Exw lq jhqhudo/ glhuv iurp }hur/ dqg wkhuh duh wzr pruh whupv lq
wkh h{shfwdwlrq rshudwru/ zklfk fruuhvsrqg wr qrq0dqwlflsdwhg yduldwlrqv ri
wkh vkruw whup udwh1
4<
71514 Wkh phwkrgrorj|
Dq hvvhqwldo srlqw lv wkh fkrlfh ri wkh qxphudluh/ wkdw lv/ wkh frpprq xqlw rq
wkh edvlv ri zklfk dvvhw sulfhv duh h{suhvvhg1 Dq| dvvhw sulfh fdq eh vhohfwhg
dv d qxphudluh/ dv orqj dv lw kdv d vwulfwo| srvlwlyh ydoxh lq dq| vwdwh ri wkh
zruog1 Li zh fkrrvh dvvhw dv d qxphudluh/ zh zloo ghqrwh e|
W
wkh uhodwlyh sulfh ri dvvhw xqghu wkh qhz qxphudluh dw wlph / zkhuh
dqg duh wkh sulfhv dw wlph h{suhvvhg lq wkh rog qxphudluh1
zkhuh ghqrwhv wkh owudwlrq +l1h1 doo wkh lqirupdwlrq, nqrzq dw wlph 1
53
Xvlqj +45, zkhq wkh dvvhw lv d }hur0frxsrq erqg zlwk pdwxulw| dqg
wkh qxphudluh lv zlwk |lhogv
wkdw vlpsolhv lqwr 7
3 +48,
Wkxv/ wkh sulfh ri d }hur0frxsrq erqg lv htxdo wr wkh h{shfwdwlrq
xqghu ri wkh uhflsurfdo ri wkh prqh| pdunhw dffrxqw;1
Wklv h{sodlqv zk| vrph uhvhdufkhuv irfxv rq prghov lq zklfk lv
qrupdoo| glvwulexwhg1 Li d udqgrp yduldeoh lv qrupdoo| glvwulexwhg /
zh nqrz wkdw
Wkxv/ kdylqj d qrupdo glvwulexwlrq iru zloo lpso| dq dqdo|wlf h{0
suhvvlrq iru wkh erqg sulfh1
Lq d vlplodu zd|/ rqh frxog vkrz wkdw iru dq| lqwhuhvw udwh frqwlqjhqw
fodlp pdwxulqj dw wlph / zh zloo kdyh
7
3
Lq rwkhu whupv/ xqghu / glvfrxqwhg dvvhw sulfhv duh pduwlqjdohv1
Wkhuhiruh/ xvlqj +46, dqg +47,/ rqh fdq vkrz wkdw wkh lqvwdqwdqhrxv uhwxuq
rq xqghu wkh phdvxuh lv wkh ulvn0iuhh udwh=
W
Wkhuh duh wzr srvvleoh lqwhusuhwdwlrqv ri wklv=
wkh uvw rqh lv wkdw zh duh zrunlqj lq d ulvn0qhxwudo zruog xvlqj ulvn0
qhxwudo suredelolwlhv +Fr{ dqg Urvv +4<:9,,1 Wkh odwwhu duh dovr
uhihuuhg wr dv wkh htxlydohqw pduwlqjdoh phdvxuh +Kduulvrq dqg
Nuhsv +4<:<,,/ wkh duwlfldo suredelolwlhv +Fr{/ Urvv/ dqg Uxelqvwhlq
+4<:<,,/ ru wkh remhfwlyh suredelolwlhv1
wkh vhfrqg rqh lv wkdw wkh orfdo h{shfwdwlrqv k|srwkhvlv +Fr{/ Lqjhuvroo/
dqg Urvv +4<;4,, krogv/ lq zklfk fdvh wkh duwlfldo suredelolwlhv duh wkh
dfwxdo suredelolwlhv1
;
Wklv zloo eh d ixqgdphqwdo htxdwlrq zkhq xvlqj odwwlfhv wr sulfh lqwhuhvw udwh frqwlq0
jhqw fodlpv1
54
71515 Iurp rqh zruog wr dqrwkhu
Krz gr zh jr iurp wkh uhdo zruog wr wklv ulvn0qhxwudo zruog B Zh vwduw
zlwk wkh ruljlqdo ulvn0iuhh lqwhuhvw udwh g|qdplfv
Zh fdq zulwh wkh hyroxwlrq ri wkh vkruw whup lqwhuhvw udwh xqghu dv
Iurp wkhuh/ lw lv hdv| wr yhuli| wkdw xqghu wkh qhz suredelolw|/ wkh }hur0
frxsrq erqg sulfh lv wkh h{shfwhg ydoxh ri lwv qdo ydoxh glvfrxqwhg dw wkh
lqvwdqwdqhrxv udwh/ wkdw lv/ htxdwlrq +48, krogv1
Ri frxuvh/ erwk phwkrgv duh htxlydohqw1 Zh rewdlq wkh vdph }hur0frxsrq
sulfh xqghu +44, dqg +48,1 Xvlqj udwkhu wkdq / zh kdyh vlpso| uhpryhg
wkh dgmxvwphqw idfwruv gxh wr wkh xqfhuwdlqw| lq wkh hfrqrp| +whupv gh0
shqglqj rq , iurp rxu sulflqj irupxod dqg vhqw wkhp lq rxu suredelolw|
phdvxuh43 1
<
Wr eh pdwkhpdwlfdoo| uljrurxv/ zh vkrxog fkhfn iru hdfk prgho wkdw wkh htxlydohqw
suredelolw| h{lvwv dqg wkdw lw lv xqltxh1
43
Wkxv/ wkh sureohp ri hvwlpdwlqj wkh ulvn0suhplxp +, uhpdlqv d pdwwhu ri frqfhuq1
55
71516 Prgho vshflfdwlrq= ru B
Vrph lqwhuhvw udwh sulflqj prghov vshfli| +7,/ wkh g|qdplfv ri wkh vkruw whup
udwh xqghu wkh klvwrulfdo suredelolw| 1 Wklv pd| eh wkh vrxufh ri sureohpv/
dv wkh htxlydohqw suredelolw| phdvxuh pd| qrw eh xqltxh1
Krzhyhu/ lw lv lpsruwdqw wr qrwlfh wkdw hyhq frpelqhg zlwk d qr0duelwudjh
uhvwulfwlrq/ +7, vshflhg xqghu lv qrw vx!flhqw wr ghwhuplqh xqltxho| wkh
sulfh ri d sduwlfxodu erqg1 Dv lq wkh Eodfn dqg Vfkrohv iudphzrun/ zh kdyh
rqh vrxufh ri udqgrpqhvv dqg rqh vwdwh surfhvv/ exw wkh vkruw whup udwh
lv qrw wkh sulfh ri d wudghg dvvhw1 Wkxv/ wkh pdunhw lv fohduo| lqfrpsohwh/ dqg
wkh fruuhvsrqglqj htxlydohqw pduwlqjdoh phdvxuh lv qrw qhfhvvdulo| xqltxh1
Iruwxqdwho|/ li zh lqfoxgh rqh vlqjoh erqg lq wkh h{rjhqrxvo| vshflhg pdu0
nhw/ wkhq zh duh deoh wr sulfh doo rwkhu erqgv lq whup ri wklv ehqfkpdun
erqg/ dv erqgv zlwk glhuhqw frxsrq udwhv dqg pdwxulwlhv pxvw vdwlvi| fhu0
wdlq lqwhuqdo frqvlvwhqf| frqglwlrqv lq rughu wr dyrlg duelwudjh srvvlelolwlhv1
Wkh fkrlfh ehwzhhq dqg dovr kdv vrph lpsruwdqw frqvhtxhqfhv rq
wkh sdudphwhu hvwlpdwlrq= d frpprq ihdwxuhv ri wkhvh prghov lv wkdw wkhuh
lv d vhw ri revhuydeoh sdudphwhuv +uhyhuvlrq ohyho ru vshhg/ yrodwlolw|/ hwf1,
wkdw pxvw eh hvwlpdwhg iurp wkh uhdo zruog surfhvv/ l1h1 xqghu dqg qrw
xqghu 1 Exw hqwhuv lq d sduwldo glhuhqwldo htxdwlrq froohfwlyho| zlwk d vhw
ri pdunhw sulfhv ri ulvn 1 Wkxv/ hvwlpdwlqj dorqh lv qrw vx!flhqw/ dqg zh
qhhg pdunhw wudghg lqvwuxphqwv +erqgv/ fdsv/ rswlrqv/ hwf1, wr qg wkh ehvw
+ / , frpelqdwlrq wkdw rswlpdoo| wv furvv0vhfwlrqdoo| wkhlu sulfhv1 Rqfh doo
wkh sdudphwhuv kdyh ehhq hvwlpdwhg/ wkh sduwldo glhuhqwldo htxdwlrq fdq eh
vroyhg qxphulfdoo| ru dqdo|wlfdoo|1
56
vdlg wr eh d!qh li wkh }hur0frxsrq erqg sulfh wdnhv wkh irup
! "
zkhuh ! dqg " duh ghwhuplqlvwlf ixqfwlrqv lq # 1 Wkh whup d!qh
lv mxvwlhg e| wkh revhuydwlrq wkdw lq vxfk prghov/ wkh whup vwuxfwxuh ri
lqwhuhvw udwhv lv dq d!qh ixqfwlrq ri wkh vkruw udwh=
! "
Qrwh wkdw iruzdug udwhv zloo dovr eh dq d!qh ixqfwlrq ri wkh vkruw whup udwh1
Sursrvlwlrq 7 Li xqghu / dqg duh d!qh lq / wkhq wkh prgho
lv d!qh1
57
71616 Wkh orj0qrupdo fodvv ri vkruw0whup udwh prghov
D vkruw whup lqwhuhvw udwh prgho lv vdlg wr eh orjqrupdo li dqg rqo| li
lv Jdxvvldq1 Wkh pdmru dgydqwdjh ri orjqrupdo prghov ryhu Jdxvvldq lv wkdw
e| ghqlwlrq/ orjqrupdo udwh prghov fdqqrw jhqhudwh qhjdwlyh lqwhuhvw udwhv1
Xqiruwxqdwho|/ dv zh zloo vhh/ wkh| jhqhudoo| odfn dqdo|wlfdo wudfwdelolw|1 Iru
lqvwdqfh/ li zh wdnh wkh sulfh ri d }hur0frxsrq erqg dv jlyhq e| +48,/ zh kdyh
wr nqrz wkh glvwulexwlrq ri 1 Dv lv orjqrupdoo| glvwulexwhg dqg
wkh vxp ri orjqrupdo udqgrp yduldeohv lv qrw orjqrupdo/ wkh frpsxwdwlrqdo
sureohp wxuqv rxw wr eh txlwh kdug1
Krzhyhu/ vrph ri wkhp duh yhu| srsxodu dprqj sudfwlwlrqhuv dv wkh| duh
vlpsoh wr fdoleudwh/ doorz vlpxowdqhrxv wwlqj wr erwk wkh |lhog fxuyh dqg
wkh yrodwlolw| whup vwuxfwxuh/ dqg surylgh jrrg sulflqj ri vshflf lqvwuxphqwv
vxfk dv fdsv dqg rruv1
58
iru dq| ) 1 Jlyhq wkh vhw ri lqirupdwlrq dw wlph / wkh vkruw whup udwh
lv qrupdoo| glvwulexwhg
Wkh xqerxqghgqhvv ri wkh uvw dqg vhfrqg prphqw ri wkh glvwulexwlrq doorzv
wkh udwh wr ehfrph qhjdwlyh ru lqqlwh1 Lq d vhqvh/ wkh prgho odfnv vwdelolw|1
Iurp wkhuh/ lw lv hdv| wr vhh wkdw wkh erqg sulfh lv dq lqfuhdvlqj ixqfwlrq
ri wkh pdwxulw| gdwh1 Lq sduwlfxodu/ rqh fdq vkrz wkdw dq lqqlwh pdwxulw|
glvfrxqw erqg zloo kdyh dq lqqlwh sulfh/ zklfk lv xquhdolvwlf1
Xqghu / wkh erqg sulfh g|qdplfv lv jlyhq e|
zklfk fohduo| vkrzv wkh frqyhujhqfh wrzdug d nqrzq ydoxh= dv ehfrphv
vpdoohu/ wkh glxvlrq whup ydqlvkhv1
Whup vwuxfwxuh Wkh whup vwuxfwxuh lv jlyhq e| wkh vxp ri wkh vkruw whup
udwh dqg ri d txdgudwlf ixqfwlrq ri wkh wlph wr pdwxulw|
Wklv lpsolhv wkdw fkdqjhv lq wkh vkruw udwh zloo uhvxow lq sdudooho vkliwv ri
wkh whup vwuxfwxuh1 Lq dgglwlrq/ |lhogv duh d frqfdyh ixqfwlrq ri wkh whup
vwuxfwxuh/ lqfuhdvhv lq yrodwlolw| zloo uhvxow lq lqfuhdvh lq wkh fxuydwxuh ri wkh
whup vwuxfwxuh/ dqg
<"
59
Ghulylqj zlwk uhvshfw wr jlyhv wkh vorsh ri wkh whup vwuxfwxuh
Li / wkh whup vwuxfwxuh lv kxpshg zlwk d pd{lpxp iru wkh pdwxulw|
3
1 Li / wkh whup vwuxfwxuh lv ghfuhdvlqj1 Lq qr fdvh/ wkh whup
vwuxfwxuh fdq eh lqfuhdvlqj1
Jlyhq wkh vhw ri lqirupdwlrq dw wlph / wkh |lhog wr pdwxulw|
lv qrupdoo| glvwulexwhg
Wklv lpsolhv wkdw wkh |lhog yrodwlolw| whup vwuxfwxuh lv dw dqg lqghshqghqw
ri wkh pdwxulw|/ zkhuhdv lq sudfwlfh/ zh jhqhudoo| revhuyh d odujhu yrodwlolw|
rq vkruw whup udwhv1
Rswlrq sulfh Wkh ydoxh dw wlph ri d Hxurshdq fdoo rswlrq # zlwk
pdwxulw| / zlwk h{huflvh sulfh / rq d }hur0frxsrq erqg zlwk pdwxulw|
lv jlyhq e|
7
#
3 ( !
zlwk
'
'
'
'
5:
uhyhuwlqj fkdudfwhulvwlf= zkhq jrhv ryhu +uhvshfwlyho|= xqghu, / wkh
h{shfwhg yduldwlrq ri ehfrphv qhjdwlyh +uhvshfwlyho|= srvlwlyh, dqg
whqgv wr frph edfn wr lwv dyhudjh orqj whup ohyho dw dq dgmxvwphqw vshhg
)1 Lq dgglwlrq/ Ydvlfhn srvwxodwhv d frqvwdqw ulvn suhplxp 1
Vkruw whup udwh Wkh h{solflw vroxwlrq wr wklv vwrfkdvwlf glhuhqwldo htxd0
wlrq lv
33
33 %
iru dq| ) 1 Jlyhq wkh vhw ri lqirupdwlrq dw wlph / wkh vkruw whup udwh
lv qrupdoo| glvwulexwhg
33 33
)
) +4:,
zlwk wkh erxqgdu| frqglwlrq 1 Dowhuqdwlyho|/ wkh erqg sulfh
fdq eh rewdlqhg e| frpsxwlqj wkh glvfrxqwhg h{shfwhg whuplqdo ydoxh ri wkh
erqg zlwk uhvshfw wr 1
7
3
Wkh vroxwlrq lv
5;
zlwk
3 3
!
)
3 3
3 3
"
) ) ) )
) )
Xqghu wkh ruljlqdo phdvxuh / wkh erqg sulfh g|qdplfv lv jlyhq e|
3 3 3 3
) )
zklfk lpsolhv wkdw erqg sulfhv duh orjqrupdoo| glvwulexwhg1 Qrwh wkdw wkh
yrodwlolw| whup lqfuhdvhv zlwk / exw lv erxqghg zlwk uhvshfw wr wkh wlph wr
pdwxulw|1
<" ) )
zh kdyh
3 3
)
3 3
)
5<
Wkh whup vwuxfwxuh fdq eh srvlwlyho| vkdshg
/ qhjd0
wlyho| vkdshg
ru kxpshg +rwkhu ydoxhv ri ,1
Jlyhq wkh vhw ri lqirupdwlrq dw wlph / wkh |lhog wr pdwxulw|
lv qrupdoo| glvwulexwhg
zlwk
3
3
33
) )
33
3
33
) )
Wkh yrodwlolw| whup vwuxfwxuh ri wkh |lhogv lv d ghfuhdvlqj ixqfwlrq ri wkh wlph
wr pdwxulw|/ zlwk olplwlqj ydoxh }hur1
Rswlrqv sulfhv Mdpvklgldq +4<;<, ghulyhv dqdo|wlf vroxwlrqv iru wkh sulfhv
ri Hxurshdq fdoo dqg sxw rswlrqv rq glvfrxqw erqgv1 Wkh rswlrq sulflqj
irupxod kdv vlplodulwlhv zlwk wkh Eodfn ) Vfkrohv irupxod/ vlqfh glvfrxqw
erqg sulfhv duh dovr orjqrupdoo| glvwulexwhg lq wkh prgho1 Wkh sulfh dw wlph
ri d Hxurshdq fdoo # dqg sxw rswlrqv zlwk vwulnh / pdwxulqj dw
wlph / rq d }hur0frxsrq erqg zlwk pdwxulw| gdwh duh
zlwk
'
'
'
'
3
3
3 3
)
Mdpvklgldq +4<;<, dovr surylghv h{suhvvlrqv iru wkh sulfh ri fdoo dqg sxw
rswlrqv rq frxsrq0sd|lqj erqgv1 Klv dssurdfk lv ri jhqhudo ydolglw| iru dq|
rqh0idfwru prgho dv orqj dv wkh rswlrq sulfh lv d prqrwrqlf ixqfwlrq ri wkh
63
vwdwh yduldeoh1 Ohw xv h{dplqh wkh fdvh ri d fdoo rswlrq1 Vxssrvh wkh erqg
surylghv frxsrq sd|phqwv diwhu wkh rswlrq pdwxulw| + ,1 Wkh frxsrq duh
ghqrwhg e| # / # / 111/ # dqg wkhlu fruuhvsrqglqj sd|phqw gdwhv e| / /
111/ 1 Ohw W eh wkh ydoxh ri wkh vkruw whup lqwhuhvw udwh dw wlph wkdw
fdxvhv wkh frxsrq ehdulqj erqg sulfh wr htxdo wkh vwulnh sulfh ri wkh rswlrq
+,/ dqg ohw W eh wkh ydoxh dw wlph ri d }hur0frxsrq erqg sd|lqj
rqh fxuuhqf| xqlw dw wlph +* /111/, zkhq W 1 Dw wlph / wkh
sd|r iurp wkh rswlrq lv
#
Vlqfh doo udwhv duh dq lqfuhdvlqj ixqfwlrq ri / doo erqg sulfhv duh d gh0
fuhdvlqj ixqfwlrq ri 1 Wkxv/ wkh rswlrq zloo eh lq wkh prqh| dw wlph
dqg vkrxog eh h{huflvhg li dqg rqo| li W1 Ixuwkhupruh/ wkh }hur0frxsrq
erqg lv zruwk pruh wkdq # W li dqg rqo| li W 1 Wkh
sd|r iurp wkh rswlrq lv wkhuhiruh
#
W
64
Wkh hqgrjhqhrxvo| ghulyhg vkruw whup udwh surfhvv/ dovr nqrzq dv wkh
vtxduh0urrw surfhvv/ lv vlplodu wr Ydvlfhn +4<::,/ exw lwv yduldqfh lv sur0
sruwlrqdo wr wkh vkruw udwh udwkhu wkdq frqvwdqw1 Wklv phdqv wkdw dv wkh
vkruw whup lqwhuhvw udwh lqfuhdvhv/ lwv vwdqgdug ghyldwlrq lqfuhdvhv dv zhoo1
Ixuwkhupruh/ li lw klwv wkh }hur0erxqgdu| +zklfk lv rqo| srvvleoh li ) ,/
lw zloo qhyhu ehfrph qhjdwlyh44 1
Vkruw whup udwh Wkh xqltxh srvlwlyh vroxwlrq wr wkh vkruw udwh vwrfkdvwlf
glhuhqwldo htxdwlrq +4<, lv
33 33
3 % %
iru dq| ) 1 Jlyhq wkh vhw ri lqirupdwlrq dw wlph / Ihoohu +4<84, kdv vkrzq
wkdw wkh vkruw whup udwh lv glvwulexwhg dv d qrq fhqwudo fkl0vtxduhg
65
zkhuh .
lv wkh prglhg Ehvvho ixqfwlrq ri wkh uvw w|sh dqg ri rughu -1
Dffruglqj wr wklv glvwulexwlrq/ wkh phdq dqg yduldqfh ri jlyhq
duh
33
dqg
33
33
33
) )
uhvshfwlyho|1 Zkhq
/ wkh olplwv duh dqg uhvshfwlyho|1
Qrwh wkdw wkh ulvn0qhxwudo ghqvlw|
fruuhvsrqglqj wr +53, lv rewdlqhg
e| uhsodflqj ) e| ) 1 Wkh uhvxowlqj glvwulexwlrq kdv wkh vdph qxpehu
ri ghjuhh ri iuhhgrp/ exw wkh ghjuhh ri qrq0fhqwudolw| fkdqjhv1
) +54,
zlwk wkh xvxdo erxqgdu| frqglwlrq 1 Dowhuqdwlyho|/ wkh erqg
sulfh fdq eh rewdlqhg e| frpsxwlqj wkh glvfrxqwhg h{shfwhg whuplqdo ydoxh
ri wkh erqg zlwk uhvshfw wr /
7
3
" 7
3
Xqolnh wkh qrupdo fdvh/ wkh glvwulexwlrq ri lv qrw nqrzq/ dqg zh
kdyh wr vroyh wkh Odsodfh wudqvirup wr rewdlq lw/ zklfk dovr ohdgv wr vroylqj
d sduwldo glhuhqwldo htxdwlrq1
Wkh vroxwlrq lv
!
"
zlwk
D
"
D
/
!
) /
/
66
"
) /
/
!
/ )
)
)
Whup vwuxfwxuh Wkh udwh olqhduo| ghshqgv rq dqg
1Zh
kdyh
) / 0
)
dqg
)
) /
Wkxv/ wkh ydoxh ri ghwhuplqhv wkh ohyho ri wkh whup vwuxfwxuh dw wlph
/ exw qrw lwv vkdsh1 Dv lq wkh fdvh ri Ydvlfhn/ xszdug0vorslqj/ grzqzdug
vorslqj dqg kxpshg |lhog fxuyhv duh dgplvvleoh1
Rswlrqv sulfhv Fr{/ Lqjhuvroo dqg Urvv surylgh irupxodv iru wkh sulfh ri
Hxurshdq fdoo dqg sxw rswlrqv zlwk vwulnh dqg pdwxulw| gdwh rq }hur0
frxsrq erqgv pdwxulqj dw wlph 1 Wkh| duh voljkwo| frpsolfdwhg/ dv wkh|
lqyroyh lqwhjudov ri wkh qrq0fhqwudo fkl0vtxduh glvwulexwlrq1 Iru lqvwdqfh/ wkh
fdoo rswlrq irupxod lv=
) $
# +
W
) $
+
W
zkhuh
W $ 1 "
W $ 1
67
/
$
)
/
1
dqg
3
W
"
lv wkh udwh dw pdwxulw| vxfk wkdw wkh rswlrq lv h{dfwo| dw wkh prqh|1
Qhyhuwkhohvv/ wkh irupxod fdq eh lqwhusuhwhg lq wkh vdph zd| dv wkh Eodfn
dqg Vfkrohv iudphzrun= wkh uvw whup lv wkh glvfrxqwhg h{shfwhg ydoxh ri
wkh erqg frqglwlrqdo xsrq dq lq wkh prqh| rswlrq dw pdwxulw|1 Wkh vhfrqg
whup lv wkh glvfrxqwhg h{huflvh sulfh wlphv wkh suredelolw| ri hqglqj xs lq
wkh prqh|1
Hxurshdq rswlrqv rq frxsrq0ehdulqj erqgv fdq eh ydoxhg xvlqj wkh vdph
dssurdfk dv Mdpvklgldq +4<;<, lq wkh fdvh ri wkh Ydvlfhn prgho1 Wkh Fr{/
Lqjhuvroo dqg Urvv +4<;8e, prgho kdv ehhq xvhg zlgho| lq wkh olwhudwxuh wr
ghyhors sulflqj irupxodv iru rwkhu frqwlqjhqw fodlpv1 Orqjvwd +4<<3, kdv
vkrzq krz wr ydoxh Hxurshdq rswlrqv rq |lhogv/ Gxqq dqg PfFrqqhoo +4<;4,
pruwjdjh0edfnhg vhfxulwlhv/ Udpdvzdp| dqg Vxqgduhvdq +4<;9, ixwxuhv dqg
rswlrqv rq ixwxuhv/ Vxqgduhvdq +4<;<, lqwhuhvw udwhv vzdsv/ Fkhvqh|/ Holrww
dqg Jlevrq +4<<6, Dphulfdq rswlrqv rq |lhogv1
Wudqvirupdwlrq Ghqh
)%
2
23 %
) )
dqg
3
%
23 %
Wkhq/ wkh surfhvv
)
"
% % #
%
"
68
718 Rqh0idfwru wlph0ydu|lqj +wwhg, surfhvvhv= Kxoo
dqg Zklwh
Prvw ri wkh wlph0lqyduldqw prghov wkdw zh uhylhzhg lq wkh suhylrxv vhfwlrq
vxhu iurp wkh vkruwfrplqjv wkdw wkh vkruw whup udwh g|qdplfv lpsolhv dq
hqgrjhqrxv whup vwuxfwxuh/ zklfk lv qrw qhfhvvdulo| frqvlvwhqw zlwk wkh re0
vhuyhg rqh1 Dv wkhvh prghov fdqqrw eh fdoleudwhg wr hhfwlyh |lhog fxuyhv/
sudfwlwlrqhuv duh yhu| uhoxfwdqw wr dsso| wkhp1 Ixuwkhupruh/ wkhvh prghov
fdqqrw dw wkh vdph wlph w wkh lqlwldo whup vwuxfwxuh dqg d suhghqhg ixwxuh
ehkdylru iru wkh vkruw whup udwh yrodwlolw|1
Wklv lv zk| Kxoo dqg Zklwh +4<<3, lqwurgxfhg d fodvv ri prghov zklfk
doorzv erwk dqg wkdw lv frqvlvwhqw zlwk d zkroh fodvv ri h{lvwlqj prghov1 Wkh
Kxoo dqg Zklwh +4<<6, prvw jhqhudo vshflfdwlrq lv
) " +55,
dqg zlwk / ) 1 Wkh ixqfwlrqv / ) dqg duh wlph0ydu|lqj dqg
fdq eh xvh wr fdoleudwh h{dfwo| wkh prgho wr fxuuhqw pdunhw sulfhv +lq idfw/
zkdw lv fdoohg qrq0vwdelolw| ri sdudphwhuv lq fdoleudwlqj wkh wlph0lqyduldqw
prgho lv ghyhorshg khuh dw wlph0ydu|lqj sdudphwhuv,46 1 Wkh sulfh wr eh sdlg
iru wklv h{dfw fdoleudwlrq lv wkdw erqg dqg erqg rswlrqv sulfhv duh qr orqjhu
dqdo|wlfdoo| rewdlqdeoh1
69
Lw lv dozd|v gdqjhurxv wr xvhv wlph0ydu|lqj prgho sdudphwhuv
vr wkdw wkh lqlwldo yrodwlolw| fxuyh lv wwhg h{dfwo|1 Xvlqj doo wkh
ghjuhhv ri iuhhgrp lq d prgho wr w wkh yrodwlolw| h{dfwo| frqvwl0
wxwhv dq ryhu0sdudphwul}dwlrq ri wkh prgho1 Lw lv rxu rswlrq
wkdw wkhuh vkrxog eh qr pruh wkdq rqh wlph ydu|lqj sdudphwhu
xvhg lq Pdunry prghov ri wkh whup vwuxfwxuh hyroxwlrq/ dqg wklv
vkrxog eh xvhg wr w wkh lqlwldo whup vwuxfwxuh1
Wklv h{sodlqv zk|/ lq sudfwlfh/ wkh prgho +55, lv riwhq lpsohphqwhg zlwk
) dqg frqvwdqw dqg dv wlph0ydu|lqj1
6:
Rswlrq sulfhv Wkh sulfh dw wlph ri d Hxurshdq fdoo dqg sxw rswlrqv zlwk
vwulnh pdwxulqj dw wlph rq d }hur0frxsrq erqg zlwk sulqflsdo dprxqw
dqg pdwxulw| gdwh duh
zkhuh
2
dqg $
3 3
3
) )
lv wkh vwdqgdug ghyldwlrq ri wkh orjdulwkp ri wkh erqg sulfh dw wlph 1 Htxd0
wlrq +56, lv wkh vdph dv +4;,/ exw zlwk 1 Lw jlyhv wkh vdph uhvxowv dv
xvlqj Eodfn*v prgho zlwk d yrodwlolw| ri I
1
Hxurshdq rswlrqv rq frxsrq0ehdulqj erqgv fdq eh ydoxhg xvlqj wkh vdph
dssurdfk dv Mdpvklgldq +4<;<, lq wkh fdvh ri wkh Ydvlfhn prgho1
lw vwloo doorzv iru qhjdwlyh lqwhuhvw udwhv +hyhq li gxh wr wkh suhvhqfh ri
phdq uhyhuvlrq/ wkh suredelolw| ri wklv rffxuuhqfh lv olplwhg,1
6;
71816 Rwkhu h{whqghg prghov
Lq wkh Kxoo dqg Zklwh +4<<6, iudphzrun/ wkh h{whqghg Fr{/ Lqjhuvroo/ Urvv
+4<;8e, prgho fdq eh zulwwhq dv +55, zlwk 31 Lq wklv fdvh/ krzhyhu/
forvhg irup vroxwlrqv iru wkh }hur0frxsrq erqg sulfh dqg rswlrq sulfhv duh
qrw dydlodeoh1 Wkh vroxwlrq lqyroyhv qxphulfdo surfhgxuhv wr vroyh wkh sduwldo
glhuhqwldo htxdwlrq ri wkh erqg sulfh1 Qrwh wkdw wkh h{whqghg Euhqqdq dqg
Vfkzduw} +4<::, dqg Frxuwdgrq +4<;5, prgho fdq eh h{whqghg dv +55, zlwk
1
Vwxg|lqj wkh idplo| ri prghov jlyhq e| +55,/ Mdpvklgldq +4<<6e, suryhv
wkdw li lv d frqvwdqw/ wkhq wkh erqg sulfh lv dqdo|wlfdoo| wudfwdeoh1
Vwulfnodqg +4<<6, dqg Fduyhukloo +4<<7, dovr glvfxvv wkh frqvwudlqwv rq wkh
yrodwlolw| ixqfwlrqv iru vxfk h{whqghg prghov1
6<
zkhuh ) lv wkh vshhg ri phdq uhyhuvlrq1 Wkh prgho lv vlplodu wr wkh Kr
dqg Ohh +4<;9, prgho lq dssurdfk/ exw lw lqfrusrudwhv wkh phdq uhyhuwlqj
ehkdylru ri lqwhuhvw udwhv1 Ixuwkhupruh/ lw dvvxphv d orj0qrupdo surfhvv iru
wkh vkruw udwh/ zklfk suhfoxghv qhjdwlyh ydoxhv1 Lq 4<<3/ wkh| h{whqghg wkh
prgho wr doorz iru wlph ghshqgdqw yrodwlolw|=
!
Wkh prgho lv yhu| srsxodu dprqj sudfwlwlrqhuv iru ydulrxv uhdvrqv=
lw fdq eh frqvwuxfwhg wr sulfh h{dfwo| dq| vhw ri glvfrxqw erqgv/ dv
lw xvhv wkh lqlwldoo| revhuyhg whup vwuxfwxuh wr hvwlpdwh wkh h{shfwhg
phdqv dqg vwdqgdug ghyldwlrqv ri ixwxuh vkruw udwhv +lq sudfwlfh/ lw uh0
txluhv qxphulfdo wwlqj wr erwk wkh lqwhuhvw udwh ohyho dqg wkh yrodwlolw|
whup vwuxfwxuh,
+sodlq ydqlood, vzds udwhv/ zklfk duh d olqhdu frpelqdwlrq ri glvfrxqw
erqgv/ fdq eh sulfhg h{dfwo| iru dq| yrodwlolw| vwuxfwxuh/
fdsv ru vzdswlrqv txrwhv +l1h1/ lpsolhg yrodwlolwlhv, fdq eh xvhg gluhfwo|
wr fdoleudwh wkh prgho1
wkh fxuuhqw pdunhw lqirupdwlrq fdq eh uhsuhvhqwhg e| d vlpsoh uhfrp0
elqlqj elqrpldo wuhh zlwk htxdoo| olnho| xs dqg grzq pryhv/ zklfk
hdvhv frpsxwdwlrq dqg xqghuvwdqglqj148
Xqiruwxqdwho|/ wkh prgho odfn dqdo|wlfdo surshuwlhv/ dqg lwv lpsolfdwlrqv
dqg lpsolflw dvvxpswlrqv duh xqnqrzq1 Ixuwkhupruh/ lw kdv ehhq vkrzq
wkdw wkh prgho jlyhv lqqlwh h{shfwhg uroo0ryhu uhwxuqv +vhh Vdqgpdqq dqg
Vrqghupdqq +4<<6,/ Kdxjdq dqg Zhlqwudxe +4<<6,,1
Dq lqwhuhvwlqj uhirupxodwlrq ri wkh prgho lv rewdlqhg e| dsso|lqj Lwr*v
ohppd wr wkh ixqfwlrq 4 zlwk
%
4
zkhuh % lv wkh phgldq +zklfk kdv qr dqdo|wlfdo h{suhvvlrq iru d orj0qrupdo
glvwulexwlrq,1 Zh rewdlq
%
%
48
Mdpvklgldq +4<<4e, vxjjhvwv d iruzdug lqgxfwlrq phwkrorj| wr exlog wkh vkruw udwh
wuhh1
73
zklfk lv yhu| xvhixo lq odwwlfh frqvwuxfwlrqv dqg Prqwh0Fduor phwkrgrorjlhv1
Ixuwkhupruh/ lw lv hdv| wr vhh wkdw
dv wkh uhyhuvlrq vshhg zklfk ghwhuplqhv wkh yrodwlolwlhv iru ydulrxv pd0
wxulwlhv lv d ixqfwlrq ri wkh vkruw udwh yrodwlolw|/ wkh whup vwuxfwxuh ri
yrodwlolwlhv lv frpsohwho| ghwhuplqhg e| wkh ixwxuh yrodwlolw| ri wkh vkruw
udwh
zklfk lv dq h{whqvlrq ri wkh Eodfn/ Ghupdq/ dqg Wr| +4<;:, prgho zlwk d
wlph0ydu|lqj vshhg uhyhuvlrq vshhg +),1 Wkh| srvwxodwh wkdw wkh prgho
wv wkh |lhog fxuyh/ wkh yrodwlolw| fxuyh/ dqg wkh fds0fxuyh1
74
Dvvxplqj orjqrupdolw| iru wkh vlpsoh udwh
W
W W
W
lpsolhv wkdw wkh frqwlqxrxvo| frpsrxqghg udwh iroorzv d glxvlrq wkdw lv
qhlwkhu qrupdo/ qru orjqrupdo/ exw d g|qdplf frpelqdwlrq ri erwk1
3 3 W
W
W
Zkhq W
/ wkh g|qdplfv frqyhujhv wr wkh qrupdo glxvlrq
W
W W
zkloh zkhq W / wkh g|qdplfv ri W dqg frlqflgh1
75
fdoo rswlrq zlwk pdwxulw| gdwh dqg vwulnh / rq d }hur0frxsrq erqg zlwk
pdwxulw| / zh kdyh
zlwk
!
#
!
dqg
! W
Wkh| kdyh dovr rewdlqhg forvhg irup vroxwlrqv iru fdsv dqg rruv/ zklfk duh
yhu| vlplodu wr wkrvh rewdlqhg zlwk Eodfn +4<:9, irupxod zklfk lv zlgho|
xvhg lq wkh pdunhw1
76
Jlyhq wkh vhw ri lqirupdwlrq dw wlph ' / wkh vkruw whup udwh lv orj0
qrupdoo| glvwulexwhg
3
dqg wkxv fdqqrw ehfrph qhjdwlyh1 Wkh prgho lv dovr fdoohg wkh jhrphwulf
udqgrp zdon/ ru wkh hodvwlf udqgrp zdon1 Wkh uhvxowlqj whup vwuxfwxuh lv
d prqrwrqlfdoo| ghfuhdvlqj ixqfwlrq ri wkh wlph wr pdwxulw|/ dq lqfuhdvlqj
frqfdyh ixqfwlrq ri / dqg d ghfuhdvlqj frqyh{ ixqfwlrq ri 1
Frxuwdgrq +4<;5, kdv vkrzq wkdw e| wkh Odz ri Lwhudwhg Orjdulwkpv/ lq
Grwkdq +4<:;, prgho/
<"
Dv d frqvhtxhqfh/ wkh prgho lv lqdghtxdwh wr uhsuhvhqw wkh orqj whup ehkdy0
lru ri lqwhuhvw udwhv1 Rwkhu pdmru uhvwulfwlrqv iru wkh xvh ri Grwkdq +4<;:;,
prgho duh wkdw wkhuh lv qr nqrzq glvwulexwlrq iru wkh lqwhjudo ri / qru
iru lwv Odsodfh wudqvirup1 Dv d uhvxow/ wkhuh lv qr vlpsoh vroxwlrq iru erqg
ru rswlrq sulfhv1 Ghvslwh wklv/ wkh prgho zdv xvhg qxphulfdoo| e| Grwkdq
+4<:;, wr ydoxh glvfrxqw erqgv dqg e| Euhqqdq dqg Vfkzduw} +4<::, wr ydoxh
vdylqjv/ uhwudfwdeoh dqg fdoodeoh erqgv1
77
71:17 Fr{/ Lqjhuvroo dqg Urvv+4<;3,
Fr{/ Lqjhuvroo dqg Urvv+4<;3, kdyh sursrvhg wkh iroorzlqj glxvlrq
Wklv prgho qhvwv wkh Grwkdq +4<:;,/ Euhqqdq dqg Vfkzduw} +4<;3, dqg Fr{/
Lqjhuvroo dqg Urvv +4<;3, prghov1 Wkh dssolfdwlrq ri wklv surfhvv lv glvfxvvhg
lq Pduvk dqg Urvhqihog +4<;6,/ irrwqrwh 71
78
d }hur0frxsrq erqg1 Lq wklv iudphzrun/ wkh glvfrxqw erqg sulfh iroorzv d
glxvlrq surfhvv
Wkh sulfh # ri d fdoo rswlrq +zlwk pdwxulw| $ dqg vwulnh , rq vxfk d erqg
lv jlyhq e|=
#
3
3
zkhuh
$
$
$
Wklv lv d gluhfw h{whqvlrq ri wkh ruljlqdo irupxod iru vwrfnv1 Lw lv xvhg zlgho|
iru vkruw0gdwhg rswlrqv rq orqj whup erqgv1 ghvslwh lwv vlpsolflw|/ dw wkh
frqfhswxdo ohyho/ lw vxhuv iurp pdmru gudzedfnv=
Krz fdq rqh lpdjlqh wkdw wkh vkruw whup udwh lv frqvwdqw/ zkloh orqj
whup erqg sulfhv duh vwrfkdvwlf B
Wkh lqirupdwlrq lqfoxghg lq wkh whup vwuxfwxuh lv qrw xvhg dw doo1 Ixu0
wkhupruh/ wkh lpsolhg whup vwuxfwxuh lv qrw qhfhvvdulo| frpsdwleoh zlwk
wkh revhuyhg whup vwuxfwxuh/ zklfk pd| fuhdwh duelwudjh rssruwxqlwlhv1
79
lw lv lqfrpsdwleoh zlwk wkh lqlwldo whup vwuxfwxuh
#
3
3
zkhuh
$
$
$
Wklv prgho lv zlgho| xvhg wr sulfh fdsohwv dqg rruohwv/ dv wkh| fdq eh
frqvlghuhg dv rswlrqv rq wkh iruzdug udwh pxowlsolhg e| d qrplqdo ydoxh1 Lq
vxfk d fdvh/ zh uhsodfh dqg e| wkh iruzdug udwh dqg wkh vwulnh udwh1
wkh orqj udwh lv d ghwhuplqlvwlf ixqfwlrq ri wkh vkruw whup udwh dqg wkdw
wkh sulfhv ri erqgv zlwk glhuhqw pdwxulwlhv duh shuihfwo| fruuhodwhg +ru
7:
htxlydohqwo|= wkhuh lv d shuihfw fruuhodwlrq ehwzhhq pryhphqwv lq udwhv
ri glhuhqw pdwxulwlhv,1
Iru wkhvh frqvlghudwlrqv/ vrph dxwkruv kdyh vxjjhvwhg xvlqj pruh wkdq
rqh h{sodqdwru| idfwru wr prgho wkh lqwhuhvw udwhv xqfhuwdlqw|1 E| jrlqj iurp
d vlqjoh idfwru wr d pxowl0idfwru/ rqh vkrxog jhw dq lpsuryhg w1 Wkh sulfh wr
sd| lv jhqhudoo| d orvv ri wudfwdelolw|/ sduwldo glhuhqwldo htxdwlrqv ri d kljkhu
glphqvlrqdolw|/ dqg vorzhu uhvxowv1 Wkh fkrlfh ri wkh fruuhfw idfwruv lv dovr
lpsruwdqw1 Khuh djdlq/ zh qg prghov edvhg rq wkh qr0duelwudjh frqglwlrq
dqg htxloleulxp prghov
Prvw pxowl0idfwru prghov duh lq idfw edvhg rq wzr idfwruv1 Fr{/ Lqjhuvroo
dqg Urvv +4<;8e, dqg Ulfkdug +4<:;, xvhg wkh vsrw udwh dqg wkh udwh ri
lq dwlrq/ Orqjvwd dqg Vfkzduw} +4<<4, wkh vsrw udwh dqg lwv yrodwlolw|/ Gx!h
dqg Nkdq +4<<6, wkh |lhogv rq d {hg vhw ri erqgv/ Euhqqdq dqg Vfkzduw}
+4<:<, wkh orqj dqg wkh vkruw udwh/ Vfkdhihu dqg Vfkzduw} +4<;:, wkh vkruw
udwh dqg wkh vsuhdg/ Irqj dqg Ydvlfhn +4<<4, wkh vkruw udwh dqg lwv yrodwlolw|/
Gdv dqg Iruhvl +4<<9, wkh vkruw udwh dqg lwv phdq/ hwf1 Pruh uhfhqwo|/ wkuhh
idfwru prghov kdyh ehhq ghyhorshg1 D frpsuhkhqvlyh dqdo|vlv ri vshflf
irupv ri vxfk wkuhh idfwru prghov fdq eh irxqg lq Fkhq +4<<7,1
Vlqfh wkh dqdo|vlv ri pxowl0idfwru prghov lv udwkhu ohqjwk|/ zh zloo rqo|
surylgh khuhdiwhu wkh pdmru uhvxowv ri vrph pxowl0idfwru prghov1 Zh zloo vxf0
fhvvlyho| h{dplqh d vdpsoh ri duelwudjh dqg wwhg prghov1 Dv lq wkh fdvh ri
wkhlu vlqjoh0idfwru htxlydohqwv/ pxowlidfwru duelwudjh prghov fuhdwh dq lqvwdq0
wdqhrxv ulvn0iuhh sruwirolr zlwk uhvshfw wr doo wkh frqvlghuhg idfwruv lq rughu
wr rewdlq e| duelwudjh d sduwldo glhuhqwldo htxdwlrq wkdw dq| lqwhuhvw udwh
frqwlqjhqw fodlp pxvw vdwlvi|1 Ilwwhg prghov zloo h{whqg wkhp e| doorzlqj
iru wlph0ydu|lqj sdudphwhuv11
7;
814 Vlpsoh h{whqvlrqv ri vlqjoh0idfwru prghov= Odqjhwlhj
+4<;3,
Wkh vlpsohvw h{whqvlrq ri d vlqjoh0idfwru prgho lv rewdlqhg e| ghqlqj wkh
vkruw whup udwh dv ehlqj wkh vxp ri wzr vwrfkdvwlf idfwruv1 Pruh jhqhu0
doo|/ rqh fdq dozd|v h{whqg d vlqjoh idfwru prgho wr d pxowl0idfwru prgho e|
ghqlqj wkh vkruw whup udwh dv d ixqfwlrq ri d vhw ri vwrfkdvwlf idfwruv1
Lw vkrxog eh qrwhg wkdw vrph vlqjoh0idfwru prgho gr qrw qhfhvvdulo| jdlq
dq|wklqj e| ehlqj h{whqghg wr d pxowl0idfwru fdvh1 Iru lqvwdqfh/ ohw xv h{whqg
Phuwrq +4<:6, prgho e| ghqlqj wkh vkruw whup udwh dv ehlqj wkh vxp ri
idfwruv
dqg zkhuh duh lqghshqghqw Eurzqldq prwlrqv/ dqg ehlqj frq0
vwdqw1 Wkhq/ jlyhq / dw wlph% ) / lv djdlq qrupdoo| glvwulexwhg%zlwk
phdq / zlwk / dqg yduldqfh / zlwk 1
Wkxv/ wkh pxowlidfwru h{whqvlrq uhvxphv lq d vlqjoh idfwru fdvh1
Krzhyhu/ lq vrph fdvhv/ h{whqvlrqv ri vlqjoh idfwru prghov surylgh xvhixo
uhvxowv1 Iru lqvwdqfh/ Odqjhwlhj +4<;3, h{whqghg wkh Ydvlfhn +4<::, prgho
e| frqvlghulqj wkh vkruw whup udwh dv wkh vxp ri idfwruv zklfk reh|
dqg wkh ydoxh ri d Hxurshdq fdoo rswlrq # zlwk pdwxulw| dqg h{huflvh
sulfh rq d }hur0frxsrq erqg zlwk pdwxulw| lv jlyhq e|
7<
zkhuh
'
'
'
3 3
3 3 3
3
'
)
Wkh Fr{/ Lqjhuvroo dqg Urvv +4<;8e, prgho fdq eh h{whqghg lq d vlplodu
zd|1 Zh rewdlq djdlq +58, iru wkh erqg sulfh/ dqg wkh h{suhvvlrq iru wkh
rswlrq sulfh fdq eh ghulyhg lq d vlplodu zd|1
Iru d wkrurxjk glvfxvvlrq ri wkhvh h{whqvlrqv dqg vshflf h{dpsohv/ vhh
Odqjhwlhj +4<;3,/ Kxoo dqg Zklwh +4<<3,/ Exvhu/ Khqghuvkrww dqg Vdqghuv
+4<<3, iru wkh Ydvlfhn fdvh dqg Fr{/ Lqjhuvroo dqg Urvv +4<;8e,/ Kxoo dqg
Zklwh +4<<3, dqg Ulfkdug +4<:;, 0 suhvhqwhg khuhdiwhu 0 iru wkh Fr{/ Lqjhuvroo
dqg Urvv fdvh1 Krzhyhu/ rqh kdv wr uhphpehu wkdw dgglqj dqrwkhu idfwru
pd| eh hdv|/ exw lwv lqwhusuhwdwlrq lq whupv ri hfrqrplf vljqlfdwlrq kdv wr
eh frkhuhqw1
83
\lhog0idfwru prghov duh pxowl0idfwru prgho ri wkh whup vwuxfwxuh lq zklfk
wkh idfwruv duh wkh |lhogv ri }hur0frxsrq erqgv ri ydulrxv {hg pdwxul0
wlhv1 Hdfk |lhog idfwru lv ghqhg e| d Pdunry surfhvv/ lv revhuydeoh rq
wkh fxuuhqw |lhog fxuyh/ dqg lwv lqfuhphqw fdq kdyh dq duelwudulo| vshflhg
fruuhodwlrq zlwk rwkhu |lhogv1 Glvfrxqw erqg sulfhv duh jlyhq dv wkh vroxwlrq
wr dq ruglqdu| glhuhqwldo Ulfdwwl htxdwlrq/ dqg sdwk0lqghshqghqw frqwlq0
jhqw fodlpv fdq eh sulfhg xvlqj wkh wudglwlrqdo sduwldo glhuhqwldo htxdwlrq
dssurdfk1 Wkhvh prghov kdyh dovr suryhg dq lqwhuhvwlqj uhvxow/ wkdw lv/ iru
wkh iruzdug udwh wr eh d!qh lq wkh vsrw udwh/ wkh yrodwlolw| ri wkh vkruw whup
lqwhuhvw udwh pxvw eh uhvwulfwhg wr wkh irup
zkhuh dqg % duh wzr lqghshqghqw Eurzqldq prwlrqv1 Wkh prgho lv dovr
suhvhqwhg lq wkh Fr{/ Lqjhuvroo/ Urvv +4<;8e, sdshu1
Dsso|lqj Lwr*v ohppd wr wkh sulfh ri d }hur0frxsrq jlyhv xv d glxvlrq
surfhvv iru wkh erqg sulfh/ dqg d sduwldo glhuhqwldo htxdwlrq wr eh vroyhg
iru wkh sulfh ri dq| lqwhuhvw udwh frqwlqjhqw fodlp=
%
% % %
- 8 - 8
Exw wklv sduwldo glhuhqwldo htxdwlrq qrz ghshqgv rq 8/ -/ dqg /
soxv wkh wzr ulvn suhplxp dqg % $ Iruwxqdwho|/ lw lv srvvleoh +diwhu vrph
pdqlsxodwlrqv, wr h{suhvv dv d ixqfwlrq ri 8 dqg - dqg wr uhzulwh
84
rxu sduwldo glhuhqwldo htxdwlrq lq d vlpsolhg irup lqyroylqj vhyhq sdudph0
whuv= wkh vkruw uhdo udwh g|qdplfv / wkh vkruw h{shfwhg lq dwlrq udwh
g|qdplfv % % / wkh lq dwlrq yrodwlolw|/ dqg wzr ulvn suhpld +% ,1 Dv0
vxplqj d uhsuhvhqwdwlyh lqyhvwru hfrqrp| zlwk d orjdulwkplf xwlolw| ixqfwlrq/
xvlqj d vtxduh0urrw surfhvv iru - dqg 8 dqg sursruwlrqdo ulvn0suhpld/
Ulfkdug rewdlqv d frpsolfdwhg/ exw dqdo|wlfdo/ vroxwlrq iru wkh }hur0frxsrq
erqg sulfh1
9
W<"
Wkh vkruw whup dqg orqj whup udwhv g|qdplfv lq wkh uhdo zruog duh jlyhq e|
d mrlqw glxvlrq surfhvv=
+59,
9 & & &
zkhuh dqg & duh wzr fruuhodwhg vwdqgdug Eurzqldq prwlrqv/ zlwk
dqg / / & / & duh ixqfwlrqv ri / / dqg 91 Wkh vshflfdwlrq
doorzv wkh prgho wr uh hfw wkh dvvxpswlrq wkdw wkh orqj whup udwh frqwdlqv
vrph lqirupdwlrq derxw wkh ixwxuh ydoxh ri wkh vkruw udwh1
Wkh }hur0frxsrq erqg sulfh lv ghqhg dv d ixqfwlrq ri wkh wlph wr pdwx0
ulw|/ wkh vkruw whup dqg wkh orqj whup udwh1
85
Dsso|lqj Lwr*v ohppd/ zh kdyh
zlwk
& & &
9 9 9
& &
9
Dsso|lqj wkh vdph duelwudjh phwkrgrorj| zh xvhg iru wkh rqh0idfwru prgho
jlyhv
9 & 9 & +5:,
zklfk lv wkh htxlydohqw ri +:, lq wkh wzr idfwruv iudphzrun1 Wkh ixqfwlrqv
9 dqg 9 gr qrw ghshqg rq wkh pdwxulw| gdwh > wkh| duh fdoo
wkh ulvn suhplxp iru wkh vkruw udwh dqg wkh ulvn suhplxp iru wkh orqj udwh1
Vxevwlwxwlqj / dqg & lq +5:, e| wkhlu ghqlwlrqv jlyhv xv
wkh sduwldo glhuhqwldo htxdwlrq zlwk wkh erxqgdu| frqglwlrq wkdw pxvw eh
yhulhg e| wkh erqg sulfh=
&
& & &
&
9 9 9
+5;,
zlwk wkh xvxdo erxqgdu| frqglwlrq / zkhuh / / & / & / / dqg
& duh uhdo ydoxhg ixqfwlrqv ri / / dqg 9 wkdw kdyh wr eh vshflhg1 Wkh
jhqhudo vroxwlrq lv ri wkh irup
7 7 7 7
3 3
86
wkdw lv/ wkh sduwldo glhuhqwldo htxdwlrq +5;, fdq eh uhzulwwhq lq d irup wkdw
lv lqghshqghqw ri & dqg & =
&
99
9 9
& &
9 9
zlwk wkh xvxdo erxqgdu| frqglwlrq / zkhuh dqg &
99 duh wkh ulvn dgmxvwhg guliwv1 Wkxv/ wkh erqg sulfh zloo ghshqg rq wkh
vwrfkdvwlf surfhvvhv sdudphwhuv / / & / / dqg rq rqh suhihuhqfh sdudphwhu
1 Wkh htxdwlrq pxvw eh vroyhg qxphulfdoo| ru e| vlpxodwlrq1
Lq rughu wr shuirup d txdqwlwdwlyh hvwlpdwlrq/ Euhqqdq dqg Vfkzduw}
fkrrvh vshflf irupv ri wkh guliw dqg yrodwlolw| ixqfwlrqv lq htxdwlrqv +59,/
qdpho|/
! " 9
9 9! " , 9 9
87
sursruwlrqdo wr wkh fxuuhqw orqj udwh1 Dv 9 zloo qrw hqwhu lq wkh
ydoxdwlrq htxdwlrq/ lw fdq eh d ixqfwlrq ri wkh sdudphwhuv / dqg 91 Lq
dgglwlrq/ Vfkdhihu dqg Vfkzduw} dvvxph wkdw / wkh pdunhw sulfh ri ulvn ri
wkh vsuhdg/ lv d frqvwdqw1
Xqghu wkhvh dvvxpswlrqv/ Vfkdhihu dqg Vfkzduw} vkrz wkdw wkh sduwldo
glhuhqwldo htxdwlrq iru wkh glvfrxqw erqg sulfh lv jlyhq e|
/
/ 9 & +5<,
9 &
9 9
9
zlwk dqg vxemhfw wr wkh erxqgdu| frqglwlrq
Wklv htxdwlrq kdv qr nqrzq dqdo|wlfdo vroxwlrq/ exw Vfkdhihu dqg Vfkzduw}
surylgh dq dssur{lpdwh dqdo|wlfdo vroxwlrq1 Wkh| vkrz wkdw +5<, lv forvho|
uhodwhg wr
/
/ 9 & +63,
9 &
9"
9
9
zkhuh " lv d frqvwdqw1 Wkh vroxwlrq wr +63, vxemhfw wr wkh whuplqdo erqg
sulfh erxqgdu| frqglwlrq fdq eh zulwwhq dv
: 6 9
zkhuh : vroyhv
' (
/ ' '(
& : '(
' ' +64,
:
dqg 6 9 vroyhv
' )
9 '& ')
9" 96 ')
'& ' +65,
6
Htxdwlrq +64, lv lvrprusklf wr +4:, ghulyhg lq wkh Ydvlfhn prgho1 Lwv
vroxwlrq lv
3 / 3
:
" "
& &
88
zlwk
/ /
"
& &
Htxdwlrq +65, lv lvrprusklf wr +54, ghulyhg lq wkh Fr{/ Lqjhuvroo dqg Urvv
+4<;8, prgho1 Lwv vroxwlrq lv
6 9 0
9
zlwk
5
" 5
0
"
5
5 5
5
"
5
5 5
5 "
Wkxv/ wkh erqg sulfh lv dqdo|wlfdoo| ghwhuplqhg e| wkh surgxfw ri :
dqg 6 9 1 Wklv dqdo|wlfdo erqg sulfh lv dq dffxudwh dssur{lpdwlrq wr wkh
vroxwlrq ri +5<,1
89
zkhuh dqg duh qrq fruuhodwhg Eurzqldq prwlrqv dqg !/ "/ ,/ /
/
1
Orqjvwd dqg Vfkzduw} gr qrw surylgh dq| lqwxlwlyh lqwhusuhwdwlrq iru wkh
wzr idfwruv : dqg 6 1 Exw wkh| vkrz wkdw lq wklv vshflf iudphzrun/
: dqg 6 fdq eh uhodwhg wr revhuydeoh txdqwlwlhv/ dv wkh htxloleulxp
lqvwdqwdqhrxv udwh dqg wkh yduldqfh ri lwv fkdqjhv ' duh jlyhq e| d
zhljkwhg vxp ri wkhvh wzr idfwruv
5: 6
' 5 : 6
zlwk 5 , dqg
/ vr wkdw dqg ' duh qrq0qhjdwlyh iru
doo ihdvleoh ydoxhv ri wkh vwdwh yduldeohv1 Wklv fdq eh uhzulwwhq dv
:
5 5
5
6
5
wkdw lv/ zh fdq hdvlo| jr edfn dqg iruwk ehwzhhq : 6 dqg 1
Wkh prgho fdq eh vhhq dv dq d!qh wzr idfwru prgho/ lq zklfk rqh lv wkh
vkruw whup udwh dqg wkh vhfrqg rqh lv lwv yrodwlolw|1
Li wkh uhsuhvhqwdwlyh lqyhvwru pd{lpl}hv klv h{shfwhg xwlolw| ri zhdowk dqg
frqvxphv #/ Orqjvwd dqg Vfkzduw} +4<<5, frpsxwh klv zhdowk g|qdplfv
dqg ghgxfh iurp wkhuh wkh jhqhudo sduwldo glhuhqwldo htxdwlrq reh|hg e| dq|
lqwhuhvw udwh frqwlqjhqw fodlp =
; / 7 < = ; +66,
; ;
0 *
) # >
8:
zlwk dqg
$
0
7 $
+ $
1
' 1
, 1
5$
, 1
+ 0
#
$1 5
$
1
+ 0
,
>
$1 5
' =
$ 5 7
1 '
) /7 $ <' 1
Wkh glvfrxqw erqg sulfh ghshqgv rq vl{ sdudphwhuv 5/ / // 7/ </ dqg '1 Lw
lv lpsruwdqw wr qrwlfh wkdw wkh pdunhw sulfh ri ulvn hqwhuv lq wkh htxdwlrq
rqo| wkurxjk '/ wkh vxp ri dqg =1 Wkxv/ erwk sdudphwhuv qhhg qrw wr eh
vhsdudwho| vshflhg1 Wklv uhgxfhv wkh qxpehu ri sdudphwhuv wr eh vshflhg/
exw dovr lpsolhv wkdw wkhuh lv dq lqqlw| ri ydoxhv ri dqg = wkdw jlyh ulvh wr
dq lghqwlfdo w ri d jlyhq whup vwuxfwxuh1
Orqjvwd dqg Vfkzduw} +4<<5, dovr surylgh dqdo|wlfdo h{suhvvlrq iru wkh
fdvh ri dq rswlrq rq d }hur0frxsrq erqg1 Iru lqvwdqfh/ d Hxurshdq fdoo sulfh
rq d glvfrxqw erqg vdwlvhv +66, zlwk
# ( ! $
# #
/ < ? ?
/ < ? ?
8;
zkhuh
@$ @1
5
+ 0
,
@$ @1
5
+ 0 0
,
$
+ 0 1
, 5
? ?
5 5
+ 0 5
,
+
$
0 1
, 5
? ?
5 5
+ 5
,
dqg
@ ) / 0 <
Wkh ixqfwlrq / < ? ? lv wkh elyduldwh qrq0fhqwudo fkl0vtxduh
glvwulexwlrq ixqfwlrq jlyhq e|
! ! 3!
/ < ? ? + % / ? + ' / ? '%
8<
zkhuh lv wkh orqj whup phdq ri wkh vkruw whup udwh/ dqg ' lv lwv lqvwdqwd0
qhrxv yrodwlolw|1 Wklv surfhvv lv yhu| vlplodu wr Ydvlfhn +4<::,/ zlwk dq h{wud
xqfhuwdlqw| uhvxowlqj iurp wkh yduldqfh wkdw lv vwrfkdvwlf dqg wkdw hyroyhv
xqghu wkh ulvn0qhxwudo phdvxuh dffruglqj wr
' /' ' = '
zkhuh ' lv wkh orqj whup phdq ri wkh yrodwlolw|1 Wkh wzr yduldwlrqv
dqg duh fruuhodwhg1 Qrwh wkdw wkh vshflfdwlrq grhv qrw suhfoxgh wkh
vkruw whup udwh iurp ehfrplqj qhjdwlyh1
Lq wklv iudphzrun/ Irqj dqg Ydvlfhn ghulyh wkh jhqhudo sduwldo glhuhqwldo
htxdwlrq reh|hg e| dq| lqwhuhvw udwh frqwlqjhqw fodlp
' = '
5 /'' =' +67,
' ' '
vxemhfw wr d erxqgdu| frqglwlrq1
Vroylqj +67, zlwk dv d erxqgdu| frqglwlrq zloo jlyh xv wkh
sulfh ri wkh glvfrxqw erqg dv
0 ' #
zkhuh dqg
3-
0
5
lv wkh gxudwlrq phdvxuh ri wkh Ydvlfhn +4<::, sdshu1 Wkh ixqfwlrqv
dqg # duh voljkwo| frpsolfdwhg dqg uhtxluh wkh xvh ri frpsoh{ 0 dv rs0
srvhg wr uhdo 0 dojheud1 Vhoe| dqg Vwulfnodqg +4<<8, surylgh h!flhqw vhulhv
dssur{lpdwlrqv1
93
81< Kxoo dqg Zklwh +4<<7e,
Lq rughu wr ryhufrph wkh olplwdwlrqv ri wkhlu rqh idfwru prgho/ Kxoo dqg Zklwh
+4<<7e, kdyh dovr sursrvhg d wzr idfwruv prgho wkdw lv d qhz h{whqvlrq ri
wkhlu h{whqghg Ydvlfhn prgho=
%
% "%
zlwk dqg % 1 Wkh prgho lv vlplodu wr wkhlu
rqh idfwru prgho +4<<3,/ exw zlwk d vwrfkdvwlf guliw= wkh vkruw whup udwh lv
phdq uhyhuwlqj/ % lv d frpsrqhqw ri phdq0uhyhuvlrq ohyho/ dqg % lwvhoi lv
phdq uhyhuwlqj wr 3 dw d udwh "1 Qrwh wkdw wkhuh lv qr orvv ri jhqhudolw| lq
wkh vshflfdwlrq/ dv li % uhyhuwv wr vrph ohyho ,/ %W % , uhyhuwv wr > zh
fdq ghqh % dv wkh vhfrqg idfwru dqg devrue wkh glhuhqfh ehwzhhq % dqg %W
lq 1 Wkh sdudphwhu lv xvhg wr pdnh wkh prgho frqvlvwhqw zlwk wkh
lqlwldo whup vwuxfwxuh1
Wkh glhuhqwldo htxdwlrq vdwlvhg e| wkh erqg sulfh lv
% ! "%
%
% %
Dv wkh prgho ehorqjv wr wkh d!qh fodvv/ glvfrxqw erqg sulfhv kdyh d yhu|
ohqjwk| dqg frpsolfdwhg exw dqdo|wlfdo h{suhvvlrq/ wkdw fdq eh irxqg lq Kxoo
dqg Zklwh +4<<7e,/ Dqqh{ 1
94
lqwhuhvw udwhv dv d zkroh1 Udwkhu wkdq xvlqj d qlwh qxpehu ri vwdwh ydul0
deohv/ zh xvh rqh vwdwh yduldeoh ri lqqlwh glphqvlrq/ qdpho|/ wkh whup
vwuxfwxuh lwvhoi1
Iru lqvwdqfh/ iruzdug fxuyh edvhg prghov dwwhpsw wr prgho wkh iruzdug
udwh vwrfkdvwlf surfhvvhv $$ 1 Wkh uvw frqwulexwlrq wr wklv ds0
surdfk zdv pdgh e| Kr dqg Ohh +4<;9, lq glvfuhwh wlph/ exw wkh prvw vljqli0
lfdqw rqh zdv pdgh e| Khdwk/ Mduurz dqg Pruwrq +4<<5,1 Rqh vkrxog qrwh
wkdw vxfk iruzdug lqwhuhvw udwh prghov duh dq lqqlwh glphqvlrqdo vwrfkdvwlf
v|vwhp/ dv wkhuh lv rqh htxdwlrq iru hdfk {hg 1 Wkh dgydqwdjh ri wkh ds0
surdfk lv wkdw li dw wlph 3/ zh vhw wkh wkhruhwlfdo iruzdug udwh
htxdo
wr wkh revhuyhg rqh
W / zh kdyh d shuihfw wwlqj ri wkh zkroh fxuuhqw
whup vwuxfwxuh dqg wkh sureohp ri lqyhuwlqj wkh |lhog fxuyh wr fdoleudwh lv
dyrlghg1
82 82W
95
dqg
2 2W
Wklv ghqhv d elqrpldo wuhh wkdw wkh| dvvxph wr eh uhfrpelqlqj +wkhuh
lv d sdwk lqghshqghqfh ri sulfh pryhphqwv ri doo }hur0frxsrq erqgv,1 Wklv
doorzv wkhp wr frpsxwh h{solflwo| wkh shuwxuedwlrq ixqfwlrqv 2 dqg 2W
lq whupv ri wkh phdvxuh 8 dqg ri d jlyhq sdudphwhu 7=
2 +68,
8 87
dqg
7
2W +69,
8 87
Zklfk ri wkh xs0vwdwh ru grzq0vwdwh fruuhvsrqgv wr dq xszdug vkliw lq wkh
|lhog fxuyh ghshqgv rq zkhwkhu 7 lv odujhu ru vpdoohu wkdq rqh1 Lq whup ri
glvfrxqw erqg sulfhv/ li wkh xs0vwdwh rffxuv dw wlph /
2 +6:,
dqg
2W +6;,
li wkh grzq0vwdwh rffxuv dw wlph 1
96
xvlqj +6:, dqg +68, iru wkh xsvwdwh/ dqg lq
8 87 3
7 +73,
8 87 3
xvlqj +6;, dqg +69, iru wkh grzqvwdwh1
Htxdwlrqv +6<, dqg +73, fdq eh uhzulwwhq dv
8 87 3
8 7 B +74,
8 87 3
zkhuh
8 7 li wkhuh lv dq xs0vwdwh
B
8 7 li wkhuh lv d grzq0vwdwh
vr wkdw B 1 Wklv lpsolhv wkdw wkh qhz iruzdug udwh lv wkh vxp ri
wkh rog iruzdug udwh/ d frqvwdqw ghshqglqj rq wkh wlph0wr0pdwxulw| dqg wkh
suredelolwlhv/ soxv dq l1l1g1 udqgrp qrlvh whup wkdw lv wkh vdph iru doo pdwx0
ulwlhv1
97
91417 Hvwlpdwlrq
Wkh suredelolw| 8 ri wkh xs dqg grzq pryhphqwv ri wkh whup vwuxfwxuh dqg
wkh sdudphwhu 7 kdyh wr eh hvwlpdwhg iurp wkh gdwd +dqg lw lv qrw reylrxv
krz vhqvlwlyh wkh prgho ghshqgv rq wkhp,1 Vlqfh wkh phwkrgv xvhv wkh zkroh
whup vwuxfwxuh dv dq lqsxw/ erqg sulfhv duh douhdg| lq wkh prgho dqg 8 dqg
7 kdyh wr eh hvwlpdwhg xvlqj rwkhu frqwlqjhqw fodlpv +iru lqvwdqfh/ rswlrqv
rq erqgv,1
zlwk
2
Hxurshdq rswlrqv rq frxsrq0ehdulqj erqgv fdq eh ydoxhg xvlqj wkh vdph
dssurdfk dv Mdpvklgldq +4<;<, lq wkh fdvh ri wkh Ydvlfhn prgho1
98
lw zloo dozd|v jhqhudwh xszdug vorslqj whup vwuxfwxuhv1
lw lpsolhv wkdw doo vsrw dqg iruzdug udwhv kdyh wkh vdph lqvwdqwdqhrxv
frqvwdqw vwdqgdug ghyldwlrq 1
Rqh vkrxog dovr qrwh wkdw wkhuh h{lvw qxphurxv h{whqvlrqv wr wkh Kr dqg
Ohh +4<;9, prgho1 Iru lqvwdqfh/ Eolvv dqg Urqq +4<;<, ghyhors d wulqrpldo
prgho edvhg rq wkh Kr dqg Ohh*v elqrpldo prgho> wkh| lqfrusrudwh vwdwh
ghshqgdqw vkliwv wkdw duh ghwhuplqhg e| revhuydeoh vwdwh yduldeohv1 Vdqg0
pdqq dqg Vrqghupdqq +4<<6d, sursrvh d sdwk lqghshqghqw elqrpldo prgho
lq zklfk wkh fxuuhqw whup vwuxfwxuh lv uh hfwhg/ exw wkdw grhv qrw jhqhudwh
qhjdwlyh lqwhuhvw udwhv1 Wkhlu shuwxuedwlrq ixqfwlrq lv edvhg rq wkh orfdo
yrodwlolw| ri wkh vsrw udwh dqg rq wkh wudqvlwlrq suredelolw| wr dq xs ru d
grzq vwdwh1 E| fkrrvlqj sduwlfxodu yrodwlolw| dqg suredelolw|/ wkh| rewdlq
vshflf frqwlqxrxv wlph olplwv ri wkh vkruw whup udwh surfhvv1
99
vslulw ri Kduulvrq dqg Nuhsv +4<:<,/ dqg lw lv ixoo| frpsdwleoh zlwk dq htxl0
oleulxp prgho1 Wkh vdph prgho zdv ghyhorshg lqghshqghqwo| dqg vlpxowd0
qhrxvo| e| Edeev +4<<4,1
Khdwk/ Mduurz dqg Pruwrq +4<<5, vhw wkh iruzdug udwh iru hdfk {hg
pdwxulw| wr hyroyh xqghu wkh klvwrulfdo suredelolw| dv
zkhuh dqg duh dgdswhg surfhvvhv iru hdfk 1 Wklv vshfl0
fdwlrq lv yhu| jhqhudo dv wkh guliwv dqg yrodwlolwlhv fdq lq
idfw ghshqg rq wkh klvwru| ri wkh Eurzqldq prwlrq dqg rq wkh iruzdug
udwhv wkhpvhoyhv xs wr wlph 1 Wkh prgho fdq eh zulwwhq lq dq lqwhjudo irup
dv
9:
51 d xqltxh pduwlqjdoh phdvxuh h{lvwv
Sursrvlwlrq ; Dvvxph wkdw wkh idplo| ri iruzdug udwhv duh jlyhq e| +75,1
Wkhq/ lq rughu wr dyrlg duelwudjh rssruwxqlwlhv/ wkhuh pxvw h{lvw dq dgdswhg
surfhvv zklfk lv lqghshqghqw ri wkh pdwxulw| vxfk wkdw xqghu
+76,
Rqh fdq vkrz wkdw uhsuhvhqwv wkh lqvwdqwdqhrxv pdunhw sulfh ri ulvn dqg
wkdw lw lv lqghshqghqw ri wkh pdwxulw| 1
i + , @ 3
zkdwhyhu / dv wkhuh lv fhuwdlq uhghpswlrq dw sdu ri dq| glvfrxqw erqg1 Dqrwkhu lqwhuhvwlqj
uhvwulfwlrq lv ghyhorshg lq Plowhuvhq +4<<7, wr uhvwulfw wkh iruzdug udwhv iurp ehfrplqj
qhjdwlyh1
9;
xqghu / wkh klvwrulfdo suredelolw|1
Xqghu wkh fruuhvsrqglqj ulvn0qhxwudo phdvxuh / zh fdq vxssuhvv wkh
h{solflw ghshqgdqfh rq wkh pdunhw sulfh ri ulvn/ dqg zh fdq uhzulwh htxdwlrq
+76, dv
dqg htxdwlrq +77, dv
W
%% W
+78,
W
zkhuh lv d vwdqgdug Zlhqhu surfhvv1
wkdw lv/
Odwhu rq/ zh zloo vkrz wkdw sduwlfxodu vshflfdwlrqv ri wkh ixqfwlrqv
zloo doorz xv wr rewdlq vshflf zhoo0nqrzq vkruw whup lqwhuhvw udwh
prghov1 Exw wklv lv mxvw d frqvhtxhqfh ri wkh prgho/ dv wkh vkruw whup udwh
lv mxvw d vshflf iruzdug udwh1
Xqghu wkh fruuhvsrqglqj ulvn0qhxwudo phdvxuh / wkh h{solflw ghshqghqfh
rq wkh pdunhw sulfh ri ulvn fdq eh vxssuhvvhg/ dqg zh rewdlq
W
9<
ru lq dq lqwhjudo irup
%% W +79,
+7:,
zlwk
%% %% +7;,
%% +7<,
Lq jhqhudo/ dqg frxog ghshqg rq wkh hqwluh lqirupdwlrq
vhw dw wlph 1 Krzhyhu/ xvlqj wkh qr0duelwudjh frqglwlrq +76,/ htxdwlrq +7;,
fdq eh uhzulwwhq dv
:3
ru htxlydohqwo| dv
Qrwh wkdw xqghu wkh remhfwlyh suredelolw| / doo erqg sulfhv frqwlqxrxvo|
glvfrxqwhg dw wkh vsrw udwh duh pduwlqjdohv=
W
3
54
Mhuh| +4<<8, ghulyhv wkh frqglwlrqv iru d Khdwk/ Mduurz/ Pruwrq prgho wr uhvxow
lq d Pdunryldq vsrw lqwhuhvw udwh dqg kdyh d whup vwuxfwxuh dw wlph w ixqfwlrq ri wlph/
pdwxulw|/ dqg vsrw lqwhuhvw udwh dw wlph 1
:4
ru
Xqghu +83,/ Ulwfknhq dqg Vdqndudvxeudpdqldq vkrz wkdw wkh sulfh ri d }hur0
frxsrq erqg lv ri wkh irup
3 " +"
3
zkhuh
7
3
%
$
wkdw lv/ wkh whup vwuxfwxuh lv xqltxho| ghwhuplqhg e| wkh vsrw lqwhuhvw udwh
dqg wkh lqwhjudwhg yduldqfh $1
Ekdu dqg Fklduhood +4<<:, kdyh dovr vkrzq wkdw li wkh yrodwlolw| ri wkh
iruzdug udwhv lv ghqhg dv ghwhuplqlvwlf ixqfwlrq ri wlph ri wkh irup
A
3 3
A
3 3 "
wkh lqvwdqwdqhrxv vsrw udwh dqg erqg sulfh duh ghwhuplqhg e| d
glphqvlrqdo Pdunryldq vwrfkdvwlf glhuhqwldo htxdwlrq1
Li/ lq dgglwlrq wr wkh Pdunryldq surshuw| zh uhtxluh wkh yrodwlolw| ixqfwlrq
wr ghshqg rqo| rq wkh wlph wr pdwxulw| + ,/ dqg qrw rq wkh fdohqgdu wlph
/ Fduyhukloo +4<<8, kdv vkrzq wkdw wkh yrodwlolw| ixqfwlrq kdg wr eh ri wkh
irup
C
3 3
!
Dgglwlrqdo uhvwulfwlrqv dqg frqglwlrqv rq wkh yrodwlolw| ixqfwlrq iru wkh vkruw
udwh wr eh Pdunryldq fdq eh irxqg lq Fduyhukloo +4<<7,1 Lq sduwlfxodu/ lw lv
:5
vkrzq wkdw zkhq wkh yrodwlolw| ri wkh }hur0frxsrq erqg lv d ixqfwlrq wkdw
ghshqgv rqo| rq wlph/ wkh sulfhv ri rswlrqv rq }hur0frxsrq erqgv fdq eh
uhfryhuhg dqdo|wlfdoo|/ hyhq li wkh uhvxowlqj whup vwuxfwxuh hyroxwlrq lv sdwk0
ghshqgdqw1
%%
:6
Zh kdyh
W
vr wkdw
W 3 33 3
W
W
iurp zklfk zh fdq h{wudfw dqg uhsodfh lw lq wkh erqg sulfh wr rewdlq
91519 Iurp wkh Khdwk/ Mduurz/ Pruwrq prgho wr vkruw whup lq0
whuhvw udwh prghov dqg edfn
Zkdw lv wkh olqn wkdw h{lvwv ehwzhhq vkruw whup lqwhuhvw udwh prghov dqg
Khdwk/ Mduurz/ Pruwrq prghov B D vkruw whup udwh lv vlpso| d sduwlfxodu
iruzdug udwh1 Wklv lpsolhv wkdw vshfli|lqj d jlyhq prgho lq wkh Khdwk/ Mdu0
urz/ Pruwrq iudphzrun zloo uhvxow lq d sduwlfxodu ehkdylru iru wkh vkruw whup
lqwhuhvw udwh1 Sduwlfxodu vshflfdwlrqv ri wkh iruzdug udwhv g|qdplfv
doorzv xv wr uhfryhu vshflf vkruw whup lqwhuhvw udwh vwrfkdvwlf sur0
fhvvhv1 Wkh olqn ehwzhhq erwk vshflfdwlrqv fdq eh hylghqfhg e| uhfdoolqj
htxdwlrq +79,/ zklfk vshflhv wkh vkruw whup udwh g|qdplfv xqghu T=
%% W
Wkh frqyhuvh lv qrw wuxh= dq| vkruw whup lqwhuhvw udwh prgho lv qrw qhfhv0
vdulo| frpsdwleoh zlwk dq Khdwk/ Mduurz/ Pruwrq prgho1 Wkh frpsdwlelolw|
:7
lv yhulhg rqo| zkhq frqglwlrq +76, lv dovr yhulhg e| wkh vkruw whup udwh
guliw dqg yrodwlolw|1
Dv dq looxvwudwlrq/ zh surylgh vrph h{dpsohv khuhdiwhu ri ruljlqdo vkruw
whup lqwhuhvw udwh prghov dqg wkh fruuhvsrqglqj frpsdwleoh Khdwk/ Mduurz/
Pruwrq prgho1 Krzhyhu/ lq sudfwlfh/ lw lv lpsrvvleoh wr gr wklv dqdo|wlfdoo|
iru prvw vkruw0udwh Pdunry prghov/ dqg qxphulfdo whfkqltxhv kdyh wr eh
xvhg1
wkdw lv/ doo iruzdug udwhv duh qrupdoo| glvwulexwhg dqg glvsod| h{dfwo| wkh
vdph yrodwlolw|1
fruuhvsrqgv wr
:8
Ydvlfhn +4<::, Wkh Ydvlfhn +4<::, prgho
3 3
Frpsduhg wr wkh Kr dqg Ohh +4<;9, prgho/ wklv lqwurgxfhv d pdwxulw| gh0
shqgdqfh rq wkh yrodwlolw| vxuidfh1 Lq Khdwk/ Mduurz/ Pruwrq whupv/ wkh
htxlydohqw prgho lv
3
3
)
/
7
zlwk /
3
1 Lq Khdwk/ Mduurz/ Pruwrq whupv/ wkh htxlydohqw
prgho lv
/ ) /
/ / %%
dqg wkh iruzdug udwhv duh qrupdoo| glvwulexwhg/ zklfk phdqv wkdw wkh erqg
sulfhv duh orj0qrupdoo| glvwulexwhg1 Erwk wkh vkruw whup udwh dqg wkh iruzdug
udwhv fdq ehfrph qhjdwlyh1
:9
fruuhvsrqgv wr
:
zkhuh : vroyhv wkh iroorzlqj Ulfdwwl htxdwlrq
'(
'
: )
:
zkhuh lv wkh guliw ri wkh iruzdug udwh zlwk pdwxulw| /
duh lwv yrodwlolw| frh!flhqwv dqg duh lqghshqghqw vwdqgdug Eurzqldq
prwlrqv55 1 Wklv fdq eh uhzulwwhq lq dq lqwhjudo irup dv
Dv lq wkh vlqjoh idfwru yhuvlrqv/ vlqfh erqg sulfhv ghshqg rq iruzdug udwhv/
dqg zh kdyh
55
Qrwh wkdw lq wkh prvw jhqhudo vshflfdwlrq/ i + , dqg i + , frxog ghshqg rq wkh
sdwk ri wkh Eurzqldq prwlrqv1
::
zlwk +* 333
Vxfk d 0idfwru prgho lv duelwudjh iuhh li wkhuh h{lvw pdunhw sulfhv ri ulvn
vxfk wkdw
%
iru doo qlwh 1 Wkhq/ wkh iruzdug udwh guliw lv xqltxho| ghwhuplqhg e| wkh
yrodwlolw| vwuxfwxuh dqg wkh pdunhw sulfh ri ulvn
3 3
56
Mdpvklgldq +4<<4, xvhv d pruh uhvwulfwhg ghqlwlrq ri Jdxvvldq prghov/ dv kh lpsrvhv
vshflf frqvwudlqwv rq wkh yrodwlolw| vwuxfwxuh vr wkdw wkh uhvxowlqj vkruw whup udwh lv
Jdxvvldq1
:;
Khlwpdqq dqg Wudxwpdqq +4<<8, sursrvh wkh frpelqdwlrq ri wzr Ydvlfhn
+4<::, surfhvvhv
3 3
3 3
:<
gluhfwo|/ xvlqj d wlph vhulhv dssurdfk/ vlqfh zh fdq lqihu wkh sd0
udphwhuv iurp dfwxdo lqwhuhvw udwhv wlph vhulhv1 Dsduw iurp wkh idfw wkh
phwkrg grhv qrw surylgh wkh pdunhw sulfh ri ulvn/ wkh vhulhv ri revhu0
ydwlrq pxvw eh odujh hqrxjk dqg lv vxemhfw wr d glvfuhwlvdwlrq eldv1
Ghvslwh d ehzloghulqj odujh vhw ri prghov/ uhodwlyho| olwwoh zrun kdv ehhq
grqh wr h{dplqh krz wkhvh prghov frpsduh lq whupv ri wkhlu delolw| wr fds0
wxuh wkh ehkdylru ri wkh vkruw whup udwh/ ri wkh whup vwuxfwxuh/ ru wkh sulflqj
ri lqwhuhvw udwh frqwlqjhqw fodlpv1 Ehfdxvh ri wkh odfn ri d frpprq iudph0
zrun/ prvw vwxglhv kdyh ehhq irfxvlqj rq vshflf prghov udwkhu wkdq rq d
frpsdulvrq dfurvv prghov1
Pdq| dxwkruv kdyh vkrzq wkdw rqh0idfwru prghov gr qrw w zhoo wkh |lhog
fxuyh= vhh iru lqvwdqfh Fkhq dqg Vfrww +4<<6, ru Shduvrq dqg Vxq +4<<3, xv0
lqj pd{lpxp olnholkrrg/ Khvwrq +4<;<, ru Jleerqv dqg Udpdvzdp| +4<<6,
xvlqj wkh jhqhudol}hg phwkrg ri prphqwv/ ru Olwwhupdq dqg Vfkhlqnpdq
+4<<4, xvlqj idfwru dqdo|vlv1 Gh Pxqqlfn dqg Vfkrwpdq +4<<5, kdv irxqg
vlplodu txdolw| ri w iru wkh Ydvlfhn dqg Fr{/ Lqjhuvroo dqg Urvv prgho rq
wkh Gxwfk erqg pdunhw1 Krzhyhu/ wkhvh uhvxowv duh qrw jodulqj dqg riwhq
ghshqg rq wkh vhw ri gdwd dqg wkh hfrqrphwulf phwkrgrorj| xvhg1 Iru lq0
vwdqfh/ Eurzq dqg G|eylj +4<;9, whvwhg wkh Fr{/ Lqjhuvroo dqg Urvv +4<;8e,
prgho zlwk furvv0vhfwlrqdo gdwd1 Wkh| frqfoxghg wkdw wkh orqj whup phdq
dqg wkh yrodwlolw| sdudphwhu zhuh xqvwdeoh ryhu wlph/ zklfk pd| lqglfdwh
d plvvshflfdwlrq ri wkh prgho1 Wklv frqfoxvlrq zdv uhmhfwhg e| Jleerqv
dqg Udpdvzdp| +4<<6, rq vkruw whup W0Eloo gdwd xvlqj jhqhudol}hg phwkrg
ri prphqwv hvwlpdwruv ri wkh xqfrqglwlrqdo vkruw udwh glvwulexwlrq/ exw zdv
frquphg e| Shduvrq dqg Vxq +4<<7, xvlqj pd{lpxp olnholkrrg hvwlpdwhv1
Fkdq/ Nduro|l/ Orqjvwd dqg Vdqghuv +4<<5, ghyhors d jhqhudo iudphzrun
wr hvwlpdwh dqg frpsduh d vhw ri qhvwhg vlqjoh idfwru prghov iru wkh vkruw
whup lqwhuhvw udwh rq wkh X1V1 pdunhw1 Wkh| rewdlq vxusulvlqj uhvxowv/ vxfk
dv dq hodvwlflw| ri 418/ zklfk zrxog lpso| wkdw wkh vhulhv lv qrq0vwdwlrqdu|1
Dffruglqj wr wkhlu vwxg|/ Ydvlfhn +4<::, dqg Fr{/ Lqjhuvroo dqg Urvv +4<;8e,
shuirup srruo| frpsduhg wr ohvv idprxv prghov vxfk dv Grwkdq +4<:;, ru
Fr{/ Lqjhuvroo dqg Urvv +4<;3,1 Ixuwkhupruh/ lw lv qrw lpsruwdqw wr kdyh
;3
phdq uhyhuvlrq/ exw lw lv fulwlfdo wr prgho wkh yrodwlolw| fruuhfwo|= prghov
wkdw ehwwhu ghvfuleh wkh g|qdplfv ri wkh vkruw whup udwh doorz wkh yrodwlolw|
wr ghshqg rq wkh udwh ohyho1 Exw wkhvh frqfoxvlrqv pd| eh gxh wr lqh!flhqw
hvwlpdwlrq phwkrgv= wkh| xvh jhqhudol}hg phwkrg ri prphqwv/ dvvxplqj
wkdw wkh glvwulexwlrqv duh hujrglf/ exw wkh| duh qrw lq wklv fdvh +vhh Hrp
+4<<7,,1 Ixuwkhupruh/ Qrzpdq +4<<:, rewdlqv rssrvlwh uhvxowv uhjduglqj
wkh phdq0uhyhuvlrq dqg wkh yrodwlolw| lpsruwdqfh rq wkh X1N1 pdunhw1 Rq
wkh Vzhglvk dqg Gdqlvk pdunhwv/ Gdkotxlvw +4<<7, qgv wkdw phdq0uhyhuvlrq
lv lpsruwdqw/ wkdw wkhuh vhhpv wr eh srvlwlyh uhodwlrq ehwzhhq lqwhuhvw udwh
ohyhov dqg yrodwlolw|/ dqg wkdw wkhuh lv hylghqfh ri d vwuxfwxudo fkdqjh lq wkh
Gdqlvk lqwhuhvw udwh surfhvv1
Xvlqj qrq sdudphwulf whfkqltxhv ryhu wkh 4<9804<;8 shulrg/ Vwdqwrq
+4<<:, qgv qrq olqhdulwlhv lq wkh guliw frh!flhqw ri vlqjoh0idfwru prghov=
wkh phdq uhyhuvlrq lv orz iru orz udwhv/ exw lqfuhdvhv dv wkh vkruw whup udwh
ohyho lqfuhdvhv1 Dòw Vdkdold +4<<9, hvwlpdwhv wkh glxvlrq frh!flhqw qrq0
sdudphwulfdoo| e| frpsdulqj wkh pdujlqdo ghqvlw| lpsolhg e| hdfk prgho
zlwk wkdw lpsolhg e| wkh gdwd/ jlyhq d olqhdu vshflfdwlrq iru wkh guliw1 Klv
frqfoxvlrqv duh wkdw wkh w lv edg dqg wkh whvwv uhmhfw hyhu| sdudphwulf
prgho ri wkh vsrw udwh suhylrxvo| sursrvhg lq wkh olwhudwxuh/ wkdw lv/ doo
olqhdu guliw vkruw whup lqwhuhvw udwh prghov1
Vwdpedxjk +4<;;,/ Orqjvwd dqg Vfkzduw} +4<<5,/ Olwwhupdq/ Vfkhlqnpdq
dqg Zhlvv +4<<4, revhuyh wkdw dgglqj idfwruv lpsuryhv wkh w/ dqg vxjjhvw
xvlqj wzr idfwruv1 Exw Shduvrq dqg Vxq +4<<7, gr qrw qg wkdw wzr0idfwru
prgho duh vx!flhqw1 Wkh vkliw/ wzlvw dqg fkdqjh lq fxuydwxuh zrxog whqg wr
lpso| d wkuhh idfwru prgho1 Krzhyhu/ wkh lpsohphqwdwlrq ri vxfk prghov iru
erqg rswlrqv lv h{wuhpho| frpsoh{1
Lq wkh Khdwk/ Mduurz/ Pruwrq +4<<5, iudphzrun/ Fduyhukloo +4<<8, qgv
wkdw wkh vshflf rqh idfwru Pdunryldq prghov surylgh jrrg uhvxowv lq sulflqj
dqg khgjlqj> pruh frpsoh{ prghov fdswxuh pruh ri wkh surshuwlhv ri wkh whup
vwuxfwxuh hyroxwlrq/ exw wkh| duh kdughu wr fdoleudwh dqg xqghuvwdqg dqg wrr
vorz lq lpsohphqwdwlrq1 Dplq dqg Pruwrq +4<<7, whvwhg frqwlqjhqw fodlp
sulflqj lpsolfdwlrqv ri vl{ dowhuqdwlyh prghov zlwk devroxwh/ vtxduh urrw/
sursruwlrqdo/ olqhdu devroxwh/ h{srqhqwldo/ dqg olqhdu sursruwlrqdo yrodwlolw|/
uhvshfwlyho|1 Wkhlu uhvxow duh wkdw wkh lpsolhg yrodwlolw| ixqfwlrqv duh xqvwd0
eoh/ dqg wkdw wzr idfwru prghov surylgh d ehwwhu sulflqj/ exw lqfuhdvh wkh
lqvwdelolw|1 Khdwk/ Mduurz/ Pruwrq +4<<5, sursrvh d wzr idfwru prgho wkdw lv
d frpelqdwlrq ehwzhhq wkh frqwlqxrxv wlph yhuvlrq ri wkh Kr dqg Ohh +4<;9,
prgho dqg wkh Ydvlfhn +4<::, prgho1 Exw Khlwpdqq dqg Wudxwpdqq +4<<8,
;4
uhfrpphqg xvlqj d wzr0idfwru prgho iurp wkh Khdwk/ Mduurz/ Pruwrq idp0
lo|/ dqg pruh vshflfdoo| d wzr0idfwru Ydvlfhn +4<::, prgho/ zklfk surylghv
ehwwhu wwlqj1
; Frqfoxvlrqv
Lq wklv sdshu/ zh kdyh uhylhzhg d qxpehu ri vshflfdwlrqv ri glxvlrq edvhg
whup vwuxfwxuh ri lqwhuhvw udwhv prghov1 Udwkhu wkdq ehlqj h{kdxvwlyh/ zh
kdyh suhvhqwhg dq ryhuylhz ri wkh prvw srsxodu prghov e| phdqv ri vrph
jhqhudo fkdudfwhulvwlfv1 Rxu sulpdu| jrdo zdv wr h{srvh wkh prghov rqh
frxog xvh udwkhu wkdq vshfli|lqj wkh prghov rqh vkrxog xvh1 Jlyhq wkh
surixvlrq ri prghov/ rqh pd| zrqghu li wkhuh duh dq| hpslulfdo ru qxphulfdo
dvshfwv zklfk fdq prwlydwh wkh fkrlfh ri rqh idplo| ri prghov iru d jlyhq
dssolfdwlrq1 Zkhuhdv iru htxlw| frqwlqjhqw fodlpv/ wkh orjqrupdolw| ri sulfhv
+dv lq wkh Eodfn dqg Vfkrohv prgho, lv wkh vwdqgdug vwduwlqj srlqw/ wkhuh
lv qr htxlydohqw lq wkh lqwhuhvw udwh zruog1 Hdfk ri wkhvh prghov kdyh lwv
rzq dgydqwdjhv dv zhoo dv glvdgydqwdjhv1 Sudfwlwlrqhuv xvh d odujh ydulhw| ri
prghov edvhg rq zlgh udqjh ri dvvxpswlrqv/ remhfwlyhv/ dqg2ru frqvwudlqwv1
Ri frxuvh/ rqh pd| xvh glhuhqw prghov dw wkh vdph wlph wr ydoxh glhuhqw
dvvhwv1 Exw zkhq wkh khgjlqj ru wkh ulvn pdqdjhphqw ri wkh lqwhuhvw udwh
vhqvlwlyh joredo sruwirolr frphv lqwr frqvlghudwlrq/ ru zkhq sulflqj duelwudjh
uhodwlrqvklsv kdyh wr eh vwxglhg/ fdq zh iuhho| pl{ wkhvh prghov/ hyhq li wkh|
duh edvhg rq frqwudglfwru| dvvxpswlrqv57 B Wklv txhvwlrq lv hvvhqwldo iru
ghulydwlyhv wudghuv ru edqn uhjxodwruv1
Zklfk prgho vkrxog rqh xvh B Xqiruwxqdwho|/ wkhuh lv qr vlpsoh dqvzhu
wr wklv txhvwlrq1 Dq lghdo lqwhuhvw udwh prgho vkrxog eh wkhruhwlfdoo| frqvlv0
whqw/ h{leoh/ vlpsoh/ zhoo0vshflhg +lq wkdw uhtxluhg lqsxwv fdq eh revhuyhg
ru hvwlpdwhg, dqg uhdolvwlf> lw vkrxog surylgh d jrrg w58 ri wkh gdwd +l1h1 eh
57
Dv dq h{dpsoh/ fds sulfhv dqg shufhqwdjh yrodwlolwlhv duh txrwhg lq wkh pdunhw rq wkh
edvlv ri wkh Eodfn prgho +l1h1 zlwk orjqrupdo udwhv,1 Wkhvh yrodwlolwlhv duh riwhq soxjjhg
lqwr d glhuhqw prgho1 Zkdw duh wkh frqvhtxhqfhv B Iru lqvwdqfh/ li wkh prgho dvvxphv
qrupdo udwhv/ wkhuh yhu| olwwoh glhuhqfh iru dw wkh prqh| vwulnhv/ exw odujhu dqg odujhu
rqhv iru glhuhqw prqh|qhvv1
58
Qrwh wkdw dq h{dfw wwlqj lv qrw qhfhvvdulo| ghvludeoh/ dv wkhuh duh srvvleoh vrxufhv
ri huuruv lq txrwdwlrqv ri wkh pdunhw sulfh ri erqgv +oltxlglw|/ wd{ hhfwv/ pdunhw lp0
shuihfwlrqv/ elg0dvn vsuhdg/ hwf1,/ vr wkdw wkh glvfrxqw udwhv wkdw zrxog h{dfwo| pdwfk
wkh revhuyhg whup vwuxfwxuh uhvxowlqj iurp d vhw ri txrwdwlrqv zrxog lqfoxgh wkhvh erqg
vshflf hhfwv1
;5
uhohydqw zlwk erwk lqwhuhvw udwh yrodwlolw| dqg wkh whup vwuxfwxuh*v vkdsh,/
eh uhohydqw zlwk wkhrulhv ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ dqg eh frq0
vlvwhqw zlwk d erqg pdunhw htxloleulxp vlwxdwlrq/ ru dw ohdvw frqvlvwhqw zlwk
wkh devhqfh ri duelwudjh sdudgljp> qdoo|/ khgjlqj dqg sulflqj ri ghulydwlyhv
vkrxog eh wudfwdeoh/ h!flhqw/ dqg lpsohphqwhg dqdo|wlfdoo| ru xvlqj dq h!0
flhqw qxphulfdo dojrulwkp1 Zkhq doo frqglwlrqv duh qrw phw/ wkh wudgh0rv
vwduw1 Iru lqvwdqfh/ vlqjoh idfwru wlph0lqyduldqw prghov gr qrw w zhoo wkh
whup vwuxfwxuh/ gr qrw h{sodlq vrph kxpshg |lhog fxuyhv/ gr qrw doorz iru
sduwlfxodu yrodwlolw| vwuxfwxuhv dqg fdqqrw pdwfk dw wkh vdph wlph fdsv dqg
vzdswlrqv sulfhv59 1 Exw wkh| surylgh dqdo|wlfdo vroxwlrqv iru erqgv dqg erqg
rswlrqv sulfhv1
Lq idfw/ wkh dqvzhu wr wkh prgho fkrlfh zloo fhuwdlqo| ghshqg rq wkh
vshflf xvh ri wkh prgho1 Wkh pdlq txhvwlrqv duh= krz pdq| idfwruv gr
zh qhhg B zklfk idfwruv B lv wkh prgho lqfuhphqwdo frpsoh{lw| mxvwlhg
lq oljkw ri wkhlu sulflqj dqg ulvn pdqdjhphqw hhfwlyhqhvv B zkdw lv wkh
pdlq jrdo ri wkh prgho B Dq lqfuhdvhg prgho jhqhudolw| lv qrw dozd|v dq
dgydqwdjh/ dv wkhuh lv d wudgh0r ehwzhhq wkh lqfuhphqwdo hruw qhfhvvdu|
iru sdudphwhu hvwlpdwlrq dqg prgho dffxudf|/ zkloh d prgho wkdw kdv forvhg
irup h{suhvvlrqv iru wkh sulfh ri erqgv zloo doorz ghulydwlyhv sulflqj/ exw zloo
qrw qhfhvvdulo| w wkh lqlwldo whup vwuxfwxuh1
Fxuuhqwo|/ d orw ri hpslulfdo uhvhdufk lv vwloo uhtxluhg wr hydoxdwh dqg
dvvhvv doo wkhvh glhuhqw prghov shuirupdqfh1 D frpsdulvrq iudphzrun lv
qhhghg1 Wkh Khdwk/ Mduurz dqg Pruwrq prgho glvsod|v d juhdw qdqfldo dqg
lqwhoohfwxdo dsshdo dv zhoo dv xqghqldeoh hohjdqfh1 Lw vwduwv zlwk d idplo|
ri iruzdug udwh surfhvvhv dqg lqlwldol}hv lw wr dq duelwudu| exw {hg lqlwldo
iruzdug fxuyh1 Dv vxfk/ lw rhuv vhyhudo dgydqwdjhv=
;6
lq wkh Eodfn dqg Vfkrohv +4<:6, htxdwlrq1 Guliwv hvwlpdwhv duh qrw
qhhghg/ zklfk vlpsolhv wkh hvwlpdwlrq surfhgxuh1
wklug/ doo rwkhu lqwhuhvw udwhv prghov edvhg rq glxvlrq surfhvvhv duh
qhvwhg lqwr lwv jhqhudo vshflfdwlrq/ lqfoxglqj qrq0Pdunryldq rqhv1
Iru wkhvh uhdvrqv/ zh eholhyh wkdw fxuuhqwo| wkh Khdwk/ Mduurz dqg Pruwrq
+4<<5, fodvv ri whup vwuxfwxuh prghov lv wkh prvw eurdgo| ghqhg |hw xqlhg
iudphzrun iru prgho frpsdulvrq dqg prgho ulvn dvvhvvphqw1
;7
7DEDKDGBDL
Dòw Vdkdold \1 +4<<9,/ Whvwlqj frqwlqxrxv wlph prghov ri wkh vsrw lqwhuhvw
udwh/ Uhylhz ri Ilqdqfldo Vwxglhv/ yro1 </ ss1 6;80759
Duw}qhu S1/ Ghoedhq I1 +4<;<,/ Whup vwuxfwxuh ri lqwhuhvw udwhv= wkh pdu0
wlqjdoh dssurdfk/ Dgydqfhv lq Dssolhg Pdwkhpdwlfv/ yro1 43/ ss1 <8045<
Edeev V1 +4<<3,/ D idplo| ri Lwr surfhvv prghov iru wkh whup vwuxfwxuh ri
lqwhuhvw udwhv/ Xqlyhuvlw| ri Zduzlfn/ suhsulqw <3257
Edfnxv G1/ Iruhvl V1/ Whophu F1 +4<<9,/ D!qh prghov ri fxuuhqf| sulfhv/
Zrunlqj sdshu/ Qhz0\run Xqlyhuvlw|
Edogx}}l S1/ Gdv V1U1/ Iruhvl V1/ Vxqgdudp U1 +4<<9,/ D vlpsoh dssurdfk
wr wkuhh idfwru d!qh whup vwuxfwxuh prghov/ Wkh Mrxuqdo ri Il{hg Lqfrph/
Ghfhpehu/ ss1 76085
Edogx}}l S1/ Gdv V1U1/ Iruhvl V1/ Vxqgdudp U1 +4<<8,/ Wkh fhqwudo whqgdqf|=
d vhfrqg idfwru lq erqg |lhogv/ Zrunlqj sdshu
Edoo F1/ Wrurxv Z1 +4<;6,/ Sulfh g|qdplfv dqg rswlrqv/ Mrxuqdo ri Ilqdq0
fldo dqg Txdqwlwdwlyh Dqdo|vlv/ yro1 4;/ ss1 84:0864
;8
Emrun W1 +4<<9,/ Lqwhuhvw udwh wkhru|/ F1L1P1H1 Ohfwxuh qrwhv lq Pdwkh0
pdwlfv/ Vsulqjhu
Eodfn I1 +4<<8,/ Lqwhuhvw udwhv dv rswlrqv/ Mrxuqdo ri Ilqdqfh/ yro1 83/ qr1
8/ ss1 46:4046:9
Eodfn I1/ Ghupdq H1/ Wr| Z1 +4<<3,/ D rqh idfwru prgho ri lqwhuhvw udwhv
dqg lwv dssolfdwlrq wr Wuhdvxu| Erqg rswlrqv/ Ilqdqfldo Dqdo|vwv Mrxuqdo/
ss1 6606<
Eodfn I1/ Ndudvlqvnl S1 +4<<4,/ Erqg dqg rswlrq sulflqj zkhq vkruw udwhv
duh orjqrupdo/ Ilqdqfldo Dqdo|vwv Mrxuqdo/ Mxo|0Dxjxvw/ ss1 8508<
Euhqqdq P1M1/ Vfkzduw} H1V1 +4<::,/ Vdylqj erqgv/ uhwudfwdeoh erqgv dqg
fdoodeoh erqgv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 8/ qr1 4/ Pdufk/ ss1
9:0;;
Euhqqdq P1M1/ Vfkzduw} H1V1 +4<;5,/ Dq htxloleulxp prgho ri erqg sulf0
lqj dqg d whvw ri pdunhw h!flhqf|/ Mrxuqdo ri Ilqdqfldo dqg Txdqwlwdwlyh
Dqdo|vlv/ yro1 4:/ ss1 636065<
Eurzq U1/ Vfkdhihu V1 +4<<4,/ Lqwhuhvw udwh yrodwlolw| dqg wkh whup vwuxfwxuh
ri lqwhuhvw udwhv/ plphr/ Orqgrq Exvlqhvv Vfkrro
Eurzq V1M1/ G|eylj S1K1 +4<;9,/ Wkh hpslulfdo lpsolfdwlrqv ri wkh Fr{/
Lqjhuvroo/ Urvv wkhru| ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Mrxuqdo ri
Ilqdqfh/ yro1 [OL/ ss1 94:0963
Eurzq U1/ Vfkdhihu V1 +4<<6,/ Lqwhuhvw udwh yrodwlolw| dqg wkh vkdsh ri
wkh whup vwuxfwxuh/ Lqvwlwxwh ri Ilqdqfh dqg Dffrxqwlqj/ Orqgrq Exvlqhvv
Vfkrro/ Zrunlqj sdshu 4::
;9
Eur}h O1/ Vfdloohw R1/ ]dnrldq M10P1 +4<<8,/ Whvwlqj iru frqwlqxrxv wlph
prghov ri wkh vkruw whup lqwhuhvw udwh/ Mrxuqdo ri hpslulfdo qdqfh/ yro1 5/
ss1 4<<0556
Eu|lv H1/ Furxk| P1/ Vfkùeho U +4<<4,/ Wkh sulflqj ri ghidxow0iuhh lqwhuhvw
udwh fds/ rru dqg froodu djuhhphqwv/ Wkh Mrxuqdo ri Ilqdqfh/ yro1 [OYL/
qr 8/ ss1 4;:<04;<51
Exkohu Z1/ Xkulj P1/ Zdowhu X1/ Zhehu Wk1 +4<<:,/ Kxoo2Zklwh ru Khdwk/
Mduurz/ Pruwrq w|sh prghov B Dq hpslulfdo frpsdulvrq ri prghov iru ydox0
lqj lqwhuhvw udwh rswlrqv/ Xqlyhuvlw| ri Pdqqkhlp/ Zrunlqj sdshu <:039
Fduudeduur +4<<8,/ Zkhuh gr rqh idfwru lqwhuhvw udwh prghov idlo B/ Mrxuqdo
ri Il{hg Lqfrph/ Vhswhpehu/ ss1 6084
Fduyhukloo D1 +4<<8,/ D qrwh rq wkh prghov ri Kxoo dqg Zklwh iru sulflqj
rswlrqv rq wkh whup vwuxfwxuh/ Mrxuqdo ri Il{hg Lqfrph/ Vhswhpehu/ ss1
;<0<9
;:
Fkdq N1F1/ Nduro|l D1/ Orqjvwd I1/ Vdqghuv D1 +4<<5e,/ Wkh yrodwlolw| ri
Mdsdqhvh lqwhuhvw udwhv= d frpsdulvrq ri dowhuqdwlyh whup vwuxfwxuh prghov/
lq Fkdqj U1S1 dqg Ukhh V1J1 hgv/ Sdflf edvlq fdslwdo pdunhw uhvhdufk/
yro1 5/ Hovhylhu Vflhqfh Sxeolvkhuv/ Dpvwhugdp
Fkhq U1U1/ Vfrww O1 +4<<5,/ Sulflqj lqwhuhvw udwh rswlrqv lq d wzr idfwru
Fr{/ Lqjhuvroo dqg Urvv prgho ri wkh whup vwuxfwxuh/ Uhylhz ri Ilqdqfldo
Vwxglhv/ yro1 8/ ss1 9460969
Fkhqj V1W1 +4<<4,/ Rq wkh ihdvlelolw| ri duelwudjh edvhg erqg rswlrq sulflqj
zkhq vwrfkdvwlf erqg sulfh surfhvvhv duh lqyroyhg/ Mrxuqdo ri Hfrqrplf
Wkhru|/ yro1 86/ ss1 4;804<;
Fkhvqh| P1/ Hoolrww U1M1/ Jlevrq U1 +4<<6,/ Dqdo|wlfdo vroxwlrqv iru wkh
sulflqj ri Dphulfdq erqg dqg |lhog rswlrqv/ Pdwkhpdwlfdo Ilqdqfh/ yro1 6/
qr 6/ Mxo|/ ss1 5::05<7
Frqvwdqwlqlghv J1/ Lqjhuvroo M1H1 +4<;7,/ Rswlpdo erqg wudglqj zlwk shu0
vrqdo wd{hv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 46/ ss1 9:409;7
;;
Frxuwdgrq J1/ Zhlqwudxe N1 +4<;<,/ Dq duelwudjh iuhh ghew rswlrq prgho
edvhg rq orjqrupdoo| glvwulexwhg iruzdug udwhv/ Flwlfrus1 Qruwk Dphulfdq
Lqyhvwphqw Edqn/ Q1\1
Fr{ M1F1 / Urvv V1 +4<;3,/ Wkh ydoxdwlrq ri rswlrqv iru dowhuqdwlyh vwrfkdvwlf
surfhvvhv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 6/ ss1 4780499
Fr{ M1F1/ Lqjhuvroo M1H1/ Urvv V1D1 +4<;3,/ Dq dqdo|vlv ri yduldeoh udwh ordq
frqwudfwv/ Mrxuqdo ri Ilqdqfh/ yro1 68/ ss1 6;<0736
Fr{ M1F1/ Lqjhuvroo M1H1/ Urvv V1D1 +4<;8d,/ Dq lqwhuwhpsrudo jhqhudo htxl0
oleulxp prgho ri dvvhw sulfhv/ Hfrqrphwulfd/ yro 86/ qr 5/ ss1 6;8073:
Fr{ M1F1/ Lqjhuvroo M1H1/ Urvv V1D1 +4<;8e,/ D wkhru| ri wkh whup vwuxfwxuh
ri lqwhuhvw udwhv/ Hfrqrphwulfd/ yro1 86/ ss1 6;8073:
Gdv V1U1 +4<<7,/ H{dfw vroxwlrqv iru erqg dqg erqg rswlrq sulfhv zkhq lq0
whuhvw udwhv iroorz mxps0glxvlrq surfhvv/ zrunlqj sdshu/ Kduydug Exvlqhvv
Vfkrro1
Gdv V1U1/ Iruhvl V1 +4<<9,/ H{dfw vroxwlrq iru erqg dqg rswlrq sulfhv zlwk
v|vwhpdwlf mxps ulvn/ Uhylhz ri Ghulydwlyhv Uhvhdufk/ yro1 41
Gh Pxqqln M1I1M1/ Vfkrwpdq S1F1 +4<<7,/ Furvv vhfwlrqdo yhuvxv wlph vhulhv
hvwlpdwlrq ri whup vwuxfwxuh prghov= hpslulfdo uhvxowv iru wkh Gxwfk erqg
pdunhw/ Mrxuqdo ri Edqnlqj dqg Ilqdqfh/ yro1 4;/ qr1 8/ ss1 <<:04358
;<
Grwkdq Xul O1 +4<:;,/ Rq wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Mrxuqdo ri
Ilqdqfldo Hfrqrplfv/ yro1 9/ ss1 8<09<
Gx!h G1/ Pd M1/ \rqj M1 +4<<7,/ Eodfn*v frqvro udwh frqmhfwxuh/ zrunlqj
sdshu/ Vwdqirug Xqlyhuvlw|/ Vwdqirug
G|eylj S1K1 +4<<9,/ Erqgv dqg erqg rswlrq sulflqj edvhg rq wkh fxuuhqw
whup vwuxfwxuh/ zrunlqj sdshu/ Zdvklqjwrq Xqlyhuvlw| dw Vdlqw Orxlv
Gxhh J1U1 +4<<6,/ Rq wkh uhodwlrq ehwzhhq wkh ohyho dqg yrodwlolw| ri vkruw
whup lqwhuhvw udwhv= d frpphqw rq Fkdq/ Nduro|l/ Orqjvwd dqg Vdqghuv/
zrunlqj sdshu/ Ihghudo Uhvhuyh Erdug/ Pd|
Gx!h G1/ Ndq U1 +4<<6,/ D |lhog idfwru prgho ri lqwhuhvw udwhv/ Vwdqirug
Xqlyhuvlw|/ Zrunlqj sdshu
Gx!h G1/ Ndq U1 +4<<7,/ Pxowl0idfwru whup vwuxfwxuh prghov/ Sklo1 Wudqv1
U1 Vrflhw|/ Orqgrq/ qr 67:/ ss1 8::08;9
Ho Ndurxl Q1/ Urfkhw M1F1 +4<;<,/ D sulflqj irupxod iru rswlrqv rq frxsrq
erqgv/ zrunlqj sdshu/ Rfwrehu/ Xqlyhuvlw| ri Sdulv YL
Hrp \1K1 +4<<7,/ Lq ghihqvh ri wkh Fr{/ Lqjhuvroo dqg Urvv prgho= vrph
hpslulfdo hylghqfh/ Zrunlqj sdshu/ Qhz \run Xqlyhuvlw|
Ihoohu +4<84,/ Wzr vlqjxodu glxvlrq sureohpv/ Dqq1 Pdwk1/ yro1 87/ ss1
4:604;4
<3
Iudfkrw D1/ Mdqfl G1/ Odfrvwh Y1 +4<<5,/ Idfwru dqdo|vlv ri wkh whup vwuxf0
wxuh= d suredelolvwlf dssurdfk/ Edqtxh gh Iudqfh
Iudfkrw D1/ Ohvqh M1S1 +4<<6,/ Hfrqrphwulfv ri wkh olqhdu Jdxvvldq prgho
ri lqwhuhvw udwhv/ Zrunlqj sdshu/ Edqtxh gh Iudqfh
Irqj K1J1/ Ydvlfhn R1D1 +4<<5d,/ Rplvvlrq lpsrvvleoh/ Ulvn/ yro1 8/ qr1
5/ ss1 95098
Jleerqv Plfkdho U1/ Udpdvzdp| Nulvkqd +4<<6,/ D whvw ri wkh Fr{/ Lq0
jhuvroo dqg Urvv prgho ri wkh whup vwuxfwxuh/ Uhylhz ri Ilqdqfldo Vwxglhv/
yro1 9/ ss1 94<098;
Jrogvwhlq U1V1 +4<<:d,/ Lghqwli|lqj wkh fodvv ri whup vwuxfwxuh prghov srv0
vhvvlqj forvhg irup vroxwlrqv iru erqg dqg erqg rswlrq sulfhv= dq h{shfwdwlrq
dssurdfk/ zrunlqj sdshu/ Rklr Vwdwh Xqlyhuvlw|
Jxvwdyvvrq W1 +4<<5,/ Qr duelwudjh sulflqj dqg wkh whup vwuxfwxuh ri lqwhu0
hvw udwhv/ Zrunlqj sdshu/ Ghsduwphqw ri Hfrqrplfv/ Xssvdod Xqlyhuvlw|/
Khdwk G1/ Mduurz U1/ Pruwrq D1 +4<<3,/ Erqg sulflqj dqg wkh whup vwuxf0
wxuh ri lqwhuhvw udwhv= d glvfuhwh wlph dssur{lpdwlrq/ Mrxuqdo ri Ilqdqfldo
dqg Txdqwlwdwlyh Dqdo|vlv/ yro1 58/ ss1 74<0773
<4
Khdwk G1/ Mduurz U1/ Pruwrq D1 +4<<5,/ Erqg sulflqj dqg wkh whup vwuxf0
wxuh ri lqwhuhvw udwhv= d qhz phwkrgrorj| iru frqwlqjhqw fodlpv ydoxdwlrq/
Hfrqrphwulfd/ yro1 93/ ss1 ::0438
Khdwk G1/ Mduurz U1/ Pruwrq D1/ Vslqgho P1 +4<<6,/ Hdvlhu grqh wkdq vdlg/
ULVN/ Pd|/ ss1 ::0;3
Kr W1V1\1/ Ohh V1E1 +4<;9,/ Whup vwuxfwxuh pryhphqwv dqg sulflqj lqwhuhvw
udwh frqwlqjhqw fodlpv/ Mrxuqdo ri Ilqdqfh/ yro1 74/ ss1 43440435<
Krjdq P1/ Zhlqwudxe N1 +4<<6,/ Wkh orjqrupdo lqwhuhvw udwh prgho dqg
Hxurgroodu ixwxuhv/ Zrunlqj sdshu/ Flwledqn/ Qhz0\run
Kxoo M1/ Zklwh D1 +4<<3,/ Sulflqj lqwhuhvw udwh ghulydwlyh vhfxulwlhv/ Uhylhz
ri Ilqdqfldo Vwxglhv/ yro1 6/ ss1 8:608<5
Kxoo M1/ Zklwh D1 +4<<6,/ Rqh idfwru lqwhuhvw udwh prghov dqg wkh ydoxdwlrq
ri lqwhuhvw udwh ghulydwlyh vhfxulwlhv/ Mrxuqdo ri Ilqdqfldo dqg Txdqwlwdwlyh
Dqdo|vlv/ yro1 5;/ qr1 5/ Mxqh/ ss1 5680587
Kxoo M1/ Zklwh D1 +4<<6,/ Erqg rswlrq sulflqj edvhg rq d prgho iru wkh
hyroxwlrq ri erqg sulfhv/ Dgydqfhv lq Ixwxuhv dqg Rswlrqv uhvhdufk/ yro1
9/ ss1 4046
Kxoo M1/ Zklwh D1 +4<<6,/ Wkh sulflqj ri rswlrqv rq lqwhuhvw udwh fdsv dqg
rruv xvlqj wkh Kxoo0Zklwh prgho/ Mrxuqdo ri Ilqdqfldo Hqjlqhhulqj/ yro1
5/ qr1 6/ ss1 5;:05<9
<5
Kxoo M1/ Zklwh D1 +4<<7e,/ Qxphulfdo surfhgxuhv iru lpsohphqwlqj whup
vwuxfwxuh prghov LL= wzr idfwru prghov/ Mrxuqdo ri Ghulydwlyhv/ Zlqwhu/ ss1
6:07<
Kxoo M1/ Zklwh D1 +4<<8,/ D qrwh rq wkh prgho ri Kxoo dqg Zklwh iru
sulflqj rswlrqv rq wkh whup vwuxfwxuh= uhvsrqvh/ Mrxuqdo ri Il{hg Lqfrph/
Vhswhpehu/ ss1 <:0435
Mhuh| D1 +4<<8,/ Vlqjoh idfwru Khdwk/ Mduurz dqg Pruwrq whup vwuxfwxuh
prghov edvhg rq Pdunry vsrw lqwhuhvw udwh g|qdplfv/ Mrxuqdo ri Ilqdqfldo
dqg Txdqwlwdwlyh Dqdo|vlv/ yro1 63/ ss1 94<0975
Mhqvhq E1D1/ Qlhovhq M1D1 +4<<4,/ Wkh vwuxfwxuh ri elqrpldo odwwlfh prghov
iru erqgv/ Frshqkdjhq Exvlqhvv Vfkrro dqg Ddukxv Xqlyhuvlw| zrunlqj
sdshu <414
<6
Nhqqhg| G1S1 +4<<:,/ Fkdudfwhul}lqj Jdxvvldq prghov ri wkh whup vwuxf0
wxuh ri lqwhuhvw udwhv/ Pdwkhpdwlfdo Ilqdqfh/ yro1 :/ qr 5/ Dsulo/ ss1 43:0
44;
Orqjvwd I1/ Vfkzduw} H1 +4<<5,/ Lqwhuhvw udwh yrodwlolw| dqg wkh whup vwuxf0
wxuh= d wzr idfwru jhqhudo htxloleulxp prgho/ Mrxuqdo ri Ilqdqfh/ yro1 7:/
ss458<045;5
Pduvk W1/ Urvhqihog H1 +4<;6,/ Vwrfkdvwlf surfhvvhv iru lqwhuhvw udwhv dqg
htxloleulxp erqg sulfhv/ Mrxuqdo ri Ilqdqfh/ yro1 6;/ ss1 9680979
<7
Plowhuvhq N1U1/ Vdqgpdqq N1/ Vrqghupdqq G1 +4<<:,/ Forvhg irup vrox0
wlrqv iru whup vwuxfwxuh ghulydwlyhv zlwk orjqrupdo lqwhuhvw udwhv/ Mrxuqdo
ri Ilqdqfh/ yro1 OLL/ qr 4/ Pdufk/ ss1 73<0763
Shduvrq Q1G1/ Vxq W1V1 +4<<7,/ H{sorlwlqj wkh frqglwlrqdo ghqvlw| lq hvwl0
pdwlqj wkh whup vwuxfwxuh= dq dssolfdwlrq wr wkh Fr{/ Lqjhuvroo dqg Urvv
prgho/ Mrxuqdo ri Ilqdqfh/ yro1 7</ ss1 45:<04637
Uherqdwr U1/ Frrshu L1 +4<<9,/ Wkh olplwdwlrqv ri vlpsoh wzr idfwru lqwhuhvw
udwh prghov/ Wkh Mrxuqdo ri Ilqdqfldo hqjlqhhulqj/ yro1 8/ qr 4/ ss1 4049
Uherqdwr U1 +4<<:,/ Lqwhuhvw udwh rswlrq prghov/ Qhz \run= Mrkq Zloh|
<8
Ulwfknhq S1/ Vdqndudvxeudpdqldq O1 +4<<9,/ Erqg sulfh uhsuhvhqwdwlrqv
dqg wkh yrodwlolw| ri vsrw lqwhuhvw udwhv/ Uhylhz ri txdqwlwdwlyh qdqfh dqg
dffrxqwlqj/ yro1 :/ ss1 5:<05;;
Vfkdhihu V1P1/ Vfkzduw} H1V1 +4<;7,/ D wzr idfwru prgho ri wkh whup vwuxf0
wxuh= dq dssur{lpdwh dqdo|wlfdo vroxwlrq/ Mrxuqdo ri Ilqdqfldo dqg Txdq0
wlwdwlyh Dqdo|vlv/ yro1 4</ qr1 7/ Ghfhpehu/ ss1 7460757
Vhoe| P1M1S1/ Vwulfnodqg F1U1 +4<<8,/ Frpsxwlqj wkh Irqg dqg Ydvlfhn
sxuh glvfrxqw erqg irupxod/ Mrxuqdo ri Il{hg Lqfrph/ Vhswhpehu/ ss1 :;0
;7
Vwulfnodqg F1U1 +4<<6,/ Lqwhuhvw udwh yrodwlolw| dqg wkh whup vwuxfwxuh ri lq0
whuhvw udwhv/ Suhsulqw <62<:/ Ilqdqfldo Rswlrqv Uhvdhufk Fhqwhu/ Xqlyhuvlw|
ri Zduzlfn
<9
Wxuqexoo V1P1/ Ploqh I1 +4<<4,/ D vlpsoh dssurdfk wr lqwhuhvw udwh rswlrq
sulflqj/ Uhylhz ri Ilqdqfldo Vwxglhv/ yro1 7/ ss1 ;:0453
<: