Prgholqj wkh whup vwuxfwxuh ri lqwhuhvw udwhv=

d uhylhz ri wkh olwhudwxuh

U1 JLEVRQ/ I10V1 OKDELWDQW/ G1 WDOD\

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 +]ulfk,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

Frqwhqwv
4 Lqwurgxfwlrq
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
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

8
9
;

5 Wkhrulhv ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv

;
514 Wkh h{shfwdwlrq k|srwkhvlv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ;
515 Wkh oltxlglw| suhihuhqfh wkhru| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 43
516 Wkh suhihuuhg kdelwdw wkhru| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 43
6 Lqwhuhvw udwh prghov wd{rqrp|
614 Frqwlqxrxv yhuvxv glvfuhwh prghov 1 1 1 1 1 1 1 1 1 1
615 Erqg sulfhv/ lqwhuhvw udwh yhuvxv |lhog fxuyh prghov
616 Vlqjoh yhuvxv pxowl0idfwru prghov 1 1 1 1 1 1 1 1 1 1
617 Ilwwhg yhuvxv qrq wwhg 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
618 Duelwudjh iuhh yhuvxv htxloleulxp 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
1
1
1
1

7 Vlqjoh idfwru prghov

714 Lqwhuhvw udwh ghulydwlyhv sulflqj= wkh sduwldo glhuhqwldo htxd0
wlrq dssurdfk 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
715 Lqwhuhvw udwh ghulydwlyhv sulflqj= wkh pduwlqjdoh dssurdfk 1 1
71514 Wkh phwkrgrorj| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
71515 Iurp rqh zruog wr dqrwkhu 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
71516 Prgho vshflfdwlrq=
ru  B 1 1 1 1 1 1 1 1 1 1 1 1 1
716 Vrph vshflf surshuwlhv ri vkruw whup lqwhuhvw udwh prghov 1
71614 Wkh d!qh fodvv ri vkruw whup udwh prghov 1 1 1 1 1 1
71615 Wkh Jdxvvldq fodvv ri vkruw whup udwh prghov 1 1 1 1
71616 Wkh orj0qrupdo fodvv ri vkruw0whup udwh prghov 1 1 1 1
717 Vrph vshflf h{dpsohv ri rqh0idfwru wlph0lqyduldqw surfhvvhv
71714 Phuwrq +4<:6, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
71715 Ydvlfhn +4<::, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
71716 Fr{/ Lqjhuvroo/ Urvv +4<;8e, 1 1 1 1 1 1 1 1 1 1 1 1 1 1
718 Rqh0idfwru wlph0ydu|lqj +wwhg, surfhvvhv= Kxoo dqg Zklwh 1
71814 Vkrxog zh frqvlghu doo sdudphwhuv dv wlph ydu|lqj B 1
71815 H{dpsoh= wkh h{whqghg Ydvlfhn prgho 1 1 1 1 1 1 1 1
71816 Rwkhu h{whqghg prghov 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
719 Vrph vshflf h{dpsohv ri orjqrupdo prghov 1 1 1 1 1 1 1 1 1
5

1
1
1
1
1

44
44
44
45
46
46
47

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

48
4<
53
55
56
56
56
57
58
58
58
5:
64
69
69
6:
6<
6<

71914
71915
71916
71917
71: Rwkhu
71:14
71:15
71:16
71:17
71:18
71:19
71:1:
71:1;
71:1<

Eodfn/ Ghupdq/ dqg Wr|*v +4<;:/ 4<<3, 1 1 1 1 1 1 1

Eodfn dqg Ndudvlqvnl +4<<4, 1 1 1 1 1 1 1 1 1 1 1 1 1
Vdqgpdqq dqg Vrqghupdqq +4<<6e, 1 1 1 1 1 1 1 1
Plowhuvhq/ Vdqgpdq dqg Vrqghupdqq +4<<:, 1 1 1 1
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
Grwkdq +4<:;,/ Euhqqdq dqg Vfkzduw} +4<::, 1 1 1
Euhqqdq dqg Vfkzduw} +4<;3,/ Frxuwdgrq +4<;5, 1
Uhqgohpdq dqg Eduwwhu +4<;3, 1 1 1 1 1 1 1 1 1 1 1 1
Fr{/ Lqjhuvroo dqg Urvv+4<;3, 1 1 1 1 1 1 1 1 1 1 1 1
Fr{ +4<:8,/ Fr{ dqg Urvv +4<:9, 1 1 1 1 1 1 1 1 1 1
Orqjvwd +4<;<, dqg wkh grxeoh vtxduh0urrw prgho
Eodfn dqg Vfkrohv +4<:6, dqg Phuwrq +4<:6, 1 1 1 1
Edoo dqg Wrurxv +4<;6, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 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

8 H{whqvlrqv wr d pxowl0glphqvlrqdo vsdfh

814 Vlpsoh h{whqvlrqv ri vlqjoh0idfwru prghov= Odqjhwlhj
815 Gx!h dqg Ndq +4<<6, dqg wkh d!qh prghov 1 1 1 1
816 Ulfkdug +4<:;,/ Fr{/ Lqjhuvroo/ Urvv +4<;8e, 1 1 1 1
817 Euhqqdq dqg Vfkzduw} +4<:</ 4<;5, 1 1 1 1 1 1 1 1 1
818 Vfkdhihu dqg Vfkzduw} +4<;7, 1 1 1 1 1 1 1 1 1 1 1 1
819 Orqjvwd dqg Vfkzduw} +4<<5, 1 1 1 1 1 1 1 1 1 1 1 1
81: Irqj dqg Ydvlfhn +4<<4/ 4<<5d/ 4<<5e, 1 1 1 1 1 1 1
81; Fkhq +4<<9, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
81< Kxoo dqg Zklwh +4<<7e, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
9 H{whqvlrq wr dq lqqlwh glphqvlrqdo vsdfh
914 Kr dqg Ohh +4<;9, 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
91414 Wkh odwwlfh prgho 1 1 1 1 1 1 1 1 1 1 1 1
91415 Iruzdug udwhv 1 1 1 1 1 1 1 1 1 1 1 1 1 1
91416 Vkruw whup udwh 1 1 1 1 1 1 1 1 1 1 1 1 1
91417 Hvwlpdwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
91418 Frqwlqxrxv wlph olplw 1 1 1 1 1 1 1 1 1
91419 Fulwltxhv dqg h{whqvlrqv 1 1 1 1 1 1 1 1
915 Khdwk/ Mduurz/ Pruwrq +4<<5, 1 1 1 1 1 1 1 1 1
91514 Uhvwulfwlrqv rq wkh srvvleoh sdudphwhuv
91515 Vkruw whup udwh 1 1 1 1 1 1 1 1 1 1 1 1 1
91516 Glvfrxqw erqg sulfh 1 1 1 1 1 1 1 1 1 1
6

+4<;3,
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 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
1 1 1 1
ydoxhv
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

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
1
1
1
1
1
1
1
1
1

6<
74
74
75
76
76
77
77
78
78
78
78
79
7:

1
1
1
1
1
1
1
1
1

1
1
1
1
1
1
1
1
1

7:
7<
83
84
85
87
89
8<
93
94

1
1
1
1
1
1
1
1
1
1
1

1
1
1
1
1
1
1
1
1
1
1

94
95
95
96
97
98
98
98
99
9:
9<
:3

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
91518 Sudfwlfdo lpsohphqwdwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
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
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

:4
:6
:7
::
:<

: Hpslulfdo dvvhvvphqw ri dowhuqdwlyh prghov

:<

; Frqfoxvlrqv

;5

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

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

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
  
3

7




Qrwh wkdw zh fdq zulwh

   

+5,

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
 d }hur0frxsrq sulfh fdqqrw h{fhhg wkh sulfh ri dq| }hur0frxsrq zlwk d
vkruwhu pdwxulw|
 wkh ydoxh ri d }hur0frxsrq erqg pxvw eh htxdo wr d ydoxh ri d uhsolfdwlqj
sruwirolr frpsrvhg ri }hur0frxsrq erqgv1
 lqwhuhvw udwhv vkrxog qrw eh qhjdwlyh1
Lq wkh iroorzlqj/ zh zloo dozd|v dvvxph wkdw wkhvh duelwudjh uhvwulfwlrqv
duh ixooohg/ xqohvv h{solflwo| phqwlrqhg1

Wkhrulhv ri wkh whup vwuxfwxuh ri lqwhuhvw

udwhv

Krz fdq zh h{sodlq wkh vkdsh ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv B Lq rwkhu
whupv/ lq zklfk pdqqhu duh wkh vsrw udwhv ru glvfrxqw idfwruv ghwhuplqhg
B Zkdw h{sodlqv wkh vkdsh ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv lv fohdo|
uhodwhg wr wkh h{lvwhqfh dqg wkh ydoxh ri whup suhpld1 Wkhuh h{lvw wkuhh pdmru
wkhrulhv wr h{sodlq wkh uhodwlrqvklsv ehwzhhq wkh lqwhuhvw udwhv ri ydulrxv
pdwxulwlhv= wkh h{shfwdwlrq k|srwkhvlv/ wkh oltxlglw| suhihuhqfh/ wkh suhihuuhg
kdelwdw wkhru|1

514

Wkh h{shfwdwlrq k|srwkhvlv

Dffruglqj wr wkh h{shfwdwlrq k|srwkhvlv/ wkh whup vwuxfwxuh lv gulyhq e| wkh

lqyhvwru*v h{shfwdwlrqv rq ixwxuh vsrw udwhv1 Wkh iruzdug udwh lv dq xqeldvhg
hvwlpdwru ri wkh ixwxuh suhydlolqj vsrw udwh1 Wkh udwh ri uhwxuq rq d erqg
;

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 qdlyh h{shfwdwlrq k|srwkhvlv vwdwhv wkdw wkh h{shfwhg uhwxuq
rq dq| vwudwhj| iru dq| kroglqj shulrg lv wkh vdph1 Lq sduwlfxodu/ wkh
lqyhvwru vkrxog eh lqglhuhqw ehwzhhq kroglqj d orqj whup erqg dqg
uroolqj ryhu d vkruw whup rqh1


 
  










 wkh orfdo h{shfwdwlrq k|srwkhvlv vwdwhv wkdw iru dq| erqg rq wkh
pdunhw


 
 

 
ru htxlydohqwo| wkdw

 7

   
3
 

 wkh uhwxuq wr pdwxulw| h{shfwdwlrqv k|srwkhvlv 0 zklfk lv dovr

fdoohg wkh Oxw} k|srwkhvlv 0 vwdwhv wkdw wkh h{shfwhg uhwxuq rq kroglqj
dq| erqg xs wr lwv pdwxulw| zloo kdyh wkh vdph h{shfwhg uhwxuq dv
uroolqj ryhu d vhw ri vkruw whup erqgv1


 

 

 
 


 wkh xqeldvhg h{shfwdwlrq k|srwkhvlv 0 zklfk lv dovr fdoohg wkh
Pdonlho k|srwkhvlv 0 vwdwhv wkdw wkh iruzdug udwh lv htxdo wr wkh ix0
wxuh h{shfwhg vsrw udwh
 
   
 
<

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

515

Wkh oltxlglw| suhihuhqfh wkhru|

Dffruglqj wr wkh oltxlglw| suhihuhqfh wkhru|/ lqyhvwruv duh ulvn0dyhuvh/ whqg

wr suhihu vkruw whup pdwxulwlhv dqg zloo uhtxluh d suhplxp wr hqjdjh lq orqj
whup ohqglqj1 Eruurzhuv suhihu orqj0whup vhfxulwlhv dqg djuhh wr sd| wklv
suhplxp1 Wkh whup vwuxfwxuh lv wkhq jlyhq e|
 

 

  

 
 





zkhuh     ghqrwhv wkh lqvwdqwdqhrxv whup suhplxp dw wlph  iru d
erqg pdwxulqj dw wlph 1
Dq lpsruwdqw frqvhtxhqfh lv wkdw wkh h{shfwhg uhwxuq iurp d ex| dqg
krog vwudwhj| zloo eh kljkhu wkdq wkh h{shfwhg uhwxuq iq d uroo ryhu vwudwhj|1
Wkh uhvxowlqj whup vwuxfwxuh ri lqwhuhvw udwhv vkrxog eh xszdug vorslqj1

516

Wkh suhihuuhg kdelwdw wkhru|

Dffruglqj wr wkh suhihuuhg kdelwdw wkhru|/ lqyhvwruv dqg eruurzhuv kdyh gli0
ihuhqw vshflf wlph0krul}rqv1 Wkh whup vwuxfwxuh lv vwloo jlyhq e|
 

 

  

 
 





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

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

614

Frqwlqxrxv yhuvxv glvfuhwh prghov

Vkrxog zh prgho wkh whup vwuxfwxuh g|qdplfv lq d glvfuhwh ru d frqwlqxrxv

iudphzrun B
 dv idu dv wkh wlph glphqvlrq lv frqfhuqhg/ prvw lqwhuhvw udwhv prghov
zhuh vshflhg lq d frqwlqxrxv wlph iudphzrun1 Wkh srzhu ri frqwlqxrxv
wlph vwrfkdvwlf fdofxoxv doorzv pruh hohjdqw ghulydwlrqv dqg surriv/ dqg
surylghv dq dghtxdwh iudphzrun wr surgxfh pruh suhflvh wkhruhwlfdo
vroxwlrqv dqg pruh uhqhg hpslulfdo k|srwkhvlv/ xqiruwxqdwho| dw wkh
frvw ri d frqvlghudeo| kljkhu ghjuhh ri pdwkhpdwlfdo vrsklvwlfdwlrq1
 rq wkh vsdfh glphqvlrq/ xqwlo uhfhqwo|/ glxvlrq prghov zhuh wkh uxoh1
Exw vkrxog zh xvh d glxvlrq prgho/ ru doorz iru glvfrqwlqxlw| B Uh0
fhqwo|/ prghov edvhg rq mxpsv ru srlqw surfhvvhv kdyh dsshduhg lq
rughu wr prgho glvfrqwlqxrxv uhdo zruog skhqrphqd vxfk dv wkh fhqwudo
edqn lqwhuyhqwlrqv1

615

Erqg sulfhv/ lqwhuhvw udwh yhuvxv |lhog fxuyh prg0

hov

Zkdw vkrxog zh prgho B

 hduo| prghov ri wkh whup vwuxfwxuh dwwhpswhg wr prgho wkh erqg sulfh
g|qdplfv1 Wkhlu uhvxowv glg qrw doorz iru d ehwwhu xqghuvwdqglqj ri wkh
whup vwuxfwxuh/ zklfk lv klgghq lq wkh erqg sulfhv1
 pdq| lqwhuhvw udwh prghov duh vlpso| prghov ri wkh vwrfkdvwlf hyroxwlrq
ri d jlyhq lqwhuhvw udwh +riwhq fkrvhq wr eh wkh vkruw whup udwh,1 Wklv
lqwhuhvw udwh lv riwhq ghqhg dv Pdunryldq= lwv ixwxuh hyroxwlrq rqo|
ghshqgv rq lwv fxuuhqw ydoxh/ qrw rq wkh klvwrulfdo sdwk lw iroorzhg
wr duulyh wkhuh1 Dv zh zloo vhh/ wklv wudqvodwhv wkh ydoxdwlrq sureohp
lqwr d sduwldo glhuhqwldo htxdwlrq wkdw fdq eh vroyhg dqdo|wlfdoo| ru
qxphulfdoo|1
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

616

Vlqjoh yhuvxv pxowl0idfwru prghov

Idfwru prghov dvvxph wkdw wkh whup vwuxfwxuh ri lqwhuhvw udwhv lv gulyhq e| d
vhw ri yduldeohv ru idfwruv1 Prvw hpslulfdo vwxglhv xvlqj d sulqflsdo frpsrqhqw
dqdo|vlv kdyh ghfrpsrvhg wkh prwlrq ri wkh lqwhuhvw udwh whup vwuxfwxuh lqwr
wkuhh lqghshqghqw dqg qrq0fruuhodwhg idfwruv +vhh Zlovrq +4<<7,,=
 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
Dv wkh uvw frpsrqhqw jhqhudoo| h{sodlqv d odujh iudfwlrq ri wkh |lhog
fxuyh pryhphqwv/ lw pd| eh whpswlqj wr uhgxfh wkh sureohp wr d rqh0idfwru
prgho1 Lw pxvw eh vwuhvvhg dw wklv srlqw wkdw wklv grhv qrw qhfhvvdulo| lpso|
wkdw wkh zkroh whup vwuxfwxuh lv irufhg wr pryh lq sdudooho/ exw vlpso| wkdw
rqh vlqjoh vrxufh ri xqfhuwdlqw| lv vx!flhqw wr h{sodlq wkh pryhphqwv ri wkh
whupv vwuxfwxuh +ru wkh sulfh ri d sduwlfxodu lqwhuhvw udwh frqwlqjhqw fodlp,1
Iru h{dpsoh/ doprvw doo duelwudjh0edvhg vlqjoh idfwru prghov ghulyh ru dvvxph
wkh lqvwdqwdqhrxv vsrw udwh wr eh wkh vlqjoh vwdwh yduldeoh1
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

617

Ilwwhg yhuvxv qrq wwhg

Lq wwhg prghov/ d whup vwuxfwxuh +ri lqwhuhvw udwhv/ ri iruzdug udwhv/ ri |lhog
yrodwlolwlhv/ hwf1, lv ghwhuplqhg h{rjhqrxvo|/ jhqhudoo| xvlqj pdunhw gdwd/
dqg wkh vwrfkdvwlf glhuhqwldo htxdwlrq ri vrph vwdwh yduldeohv lv vshflhg
vxfk wkdw wklv whup vwuxfwxuh lv rewdlqhg dw d sduwlfxodu gdwh1 Lq d vhqvh/
wkh prghov lv exlog vshflfdoo| wr w dq duelwudu| +h{rjhqrxv, lqlwldo whup
vwuxfwxuh1
Lq rwkhu prghov/ zh uvw vshfli| wkh g|qdplfv ri wkh vwdwh yduldeohv1 Dv
d frqvhtxhqfh ri d sduwlfxodu vshflfdwlrq/ zh zloo rewdlq hqgrjhqhrxvo| d
jlyhq whup vwuxfwxuh1 Wkhvh prghov jhqhudoo| gr qrw w zhoo wkh lqlwldoo|
revhuyhg whup vwuxfwxuh5 1

618

Duelwudjh iuhh yhuvxv htxloleulxp prghov

D ixqgdphqwdo txhvwlrq iurp wkh wkhruhwlfdo srlqw ri ylhz 0 exw qrw qhfhv0
vdulo| lq sudfwlfh 0 lv wkh glvwlqfwlrq ehwzhhq duelwudjh0iuhh dqg htxloleulxp
prghov1 Duelwudjh0iuhh prghov vwduw zlwk dvvxpswlrqv derxw wkh vwrfkdvwlf
ehkdylru ri rqh ru pdq| lqwhuhvw udwhv dqg derxw d vshflf pdunhw sulfh ri
ulvn dqg ghulyh wkh sulfh ri doo frqwlqjhqw fodlpv dvvxplqj wkdw wkhuh duh
qr duelwudjh rssruwxqlwlhv rq wkh pdunhw1 Lq rwkhu whupv/ wkhuh lv qr ulvn0
iuhh qdqfldo vwudwhj| zlwk }hur0vhwxs frvw wkdw vkrxog jlyh zlwk fhuwdlqw| d
srvlwlyh uhwxuq6 1 Lq frqwudvw/ htxloleulxp prghov vwduw iurp d ghvfulswlrq ri
wkh hfrqrp|/ lqfoxglqj wkh xwlolw| ixqfwlrq ri d uhsuhvhqwdwlyh lqyhvwru dqg
ghulyh wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ wkh ulvn suhplxp dqg rwkhu dvvhwv
sulfhv hqgrjhqrxvo|/ dvvxplqj wkdw wkh pdunhw lv dw htxloleulxp1
5

Qrwh wkdw G|eylj +4<;<, sursrvhv d phwkrgrorj| wr frqyhuw dq hqgrjhqrxv prgho

lqwr dq h{rjhqrxv rqh1
6
Wkh irupdo ghqlwlrq ri wkh qr0duelwudjh frqglwlrq +vhh Kduulvvrq dqg Nuhsv +4<:<,,
zrxog uhtxluh d uljrurxv ghqlwlrq ri d frpsohwh pdunhw/ d vhoi0qdqflqj vwudwhj|/ dq
dwwdlqdeoh frqwlqjhqw fodlp dqg dq lpsolflw sulfh0v|vwhp1

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

Vlqjoh idfwru prghov

Vlqjoh idfwru prghov dvvxph wkdw doo wkh lqirupdwlrq derxw wkh whup vwuxf0
wxuh dw dq| srlqw lq wlph fdq eh vxppdul}hg e| rqh vlqjoh vshflf idfwru1
Dowkrxjk dq| lqwhuhvw udwh frxog eh fkrvhq iru wklv vlqjoh idfwru/ lw lv xvx0
doo| vshflhg dv wkh vkruw whup lqwhuhvw udwh 1 Dv d frqvhtxhqfh/ rqo|
wkh vkruw whup lqwhuhvw udwh dqg wkh wlph wr pdwxulw| zloo dhfw wkh sulfh ri
dq| lqwhuhvw udwh frqwlqjhqw fodlp1 Lq sduwlfxodu/ iru ri d }hur0frxsrq erqg
pdwxulqj dw wlph   / zh kdyh
     

+6,

Vlqjoh idfwru prghov vwduw e| vshfli|lqj wkh vwrfkdvwlf glhuhqwldo htxdwlrq

gulylqj wkh vsrw udwh vwrfkdvwlf surfhvv 
D
dqg ghgxfh iurp wkhuh wkh
sulfh ri ydulrxv lqwhuhvw udwh ghshqgdqw dvvhwv7 1 Wkh vshflfdwlrq fdq eh
h{rjhqrxv ru h{rjhqrxv +dv wkh uhvxow ri dq htxloleulxp lq wkh hfrqrp|,1 Dv
wkh| glhu lq wkhlu vshflfdwlrq ri wkh g|qdplfv ri wkh vkruw whup udwh/ wkh|
dovr surylgh orxv| hpslulfdo uhvxowv1
Lq wklv vhfwlrq/ zh zloo uvw uhylhz wkh wzr edvlf phwkrgrorjlhv iru sulf0
lqj lqwhuhvw udwh frqwlqjhqw fodlpv lq d vlqjoh idfwru iudphzrun/ qdpho| wkh
sduwldo glhuhqwldo htxdwlrq dqg wkh pduwlqjdoh dssurdfk1 E| wkh wkhruhp
ri Ih|qpdq0Ndf/ wkhvh wzr dssurdfkhv duh htxlydohqw1 Wkh iruphu fuhdwhv
dq lqvwdqwdqhrxv ulvn0iuhh sruwirolr wr rewdlq e| duelwudjh d vhfrqg rughu
sduwldo glhuhqwldo htxdwlrq wkdw dq| lqwhuhvw udwh frqwlqjhqw fodlp pxvw vdw0
lvi|1 Wkh odwwhu uholhv rq wkh dujxphqw ri Kduulvrq dqg Solvnd +4<:<, wkdw
lq d frpsohwh pdunhw/ lq wkh devhqfh ri duelwudjh/ wkhuh h{lvwv dq htxlyd0
7

Qrwh wkdw li wkh dvvxpswlrq ri rqh xqltxh xqghuo|lqj idfwru lpsolhv wkdw doo udwhv
pryh lq wkh vdph gluhfwlrq ryhu dq| vkruw shulrg lqwhuydo/ exw qrw qhfhvvdulo| e| wkh vdph
dprxqw/ lw grhv qrw lpso| wkdw wkh whup vwuxfwxuh kdv dozd|v wkh vdph vkdsh1

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

714

Lqwhuhvw udwh ghulydwlyhv sulflqj= wkh sduwldo glhu0

hqwldo htxdwlrq dssurdfk

Ohw xv frqvlghu wkdw wkh vkruw whup lqwhuhvw udwh lv wkh vlqjoh idfwru gulylqj
wkh hqwluh whup vwuxfwxuh1 Zh dvvxph wkdw wkh g|qdplfv ri wkh vkruw whup
udwh lv jlyhq e|
        
+7,
zkhuh   lv d Zlhqhu surfhvv/       dqg         duh
jlyhq uhdo ydoxhg ixqfwlrqv zkrvh irup zloo wrwdoo| ghwhuplqh wkh ehkdylru
ri wkh vkruw whup udwh8 1 Zkhq   dqg    duh dw prvw ixqfwlrq ri wkh
vwdwh yduldeoh  dqg gr qrw ghshqg rq wlph/ wkh prgho lv fdoohg wlph
krprjhqhrxv1
Ohw xv ghqrwh e|   wkh ydoxh dw wlph  ri dq lqwhuhvw udwh frqwlqjhqw
fodlp zlwk pdwxulw| 1 Lq uhdolw|/  frxog eh d glvfrxqw ru d frxsrq erqg/ d
erqg rswlrq/ d fds/ d rru/ dq lqwhuhvw udwh vzds/ hwf1 Dv lw ghulyhv iurp wkh
vlqjoh idfwru prgho dvvxpswlrq/ rqo| wkh vkruw whup udwh  dqg wkh wlph
wr pdwxulw| +
, zloo dhfw wkh sulfh ri rxu fodlp/ dqg zh fdq zulwh
      

+8,

E| Lwr*v ohppd/


  
  
 
 




 
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  

  5  3 vxfk wkdw wkh jurzwk frqglwlrq lv vshflhg/ l1h1   ^3  `>  
5
5

+ , . + , 5 +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
 

  
  

+:,

zkhuh   lv fdoohg wkh pdunhw ulvn0suhplxp dqg lv lqghshqghqw

ri )1 Wklv doorzv xv wr h{suhvv wkh lqvwdqwdqhrxv uhwxuq rq wkh erqg dv
       




wrwdo ulvn suhplxp

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

    
 d sodlq ydqlood fdoo rswlrq rq   zlwk pdwxulw| gdwh   / zh
kdyh
     


 
  
  

  


 

zlwk wkh erxqgdu| frqglwlrq
       
 
 d vzds ri d {hg udwh W djdlqvw d rdwlqj udwh  zlwk pdwxulw| gdwh
/ zh kdyh

     

 

  
W   
  
  


 

zlwk wkh erxqgdu| frqglwlrq
   
 d fdsohw dw udwh W / zh kdyh

     

 

    W  
  
  


 

zlwk wkh erxqgdu| frqglwlrq
     
W  
 d rruohw dw udwh W / zh kdyh

     

 
  
  

   W   


 

zlwk wkh erxqgdu| frqglwlrq
    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,
zkhuh 
lv wkh vljpd0dojheud jhqhudwhg e| wkh sdvw lqirupdwlrq ri surfhvv
  xs wr wlph  dqg
lv wkh klvwrulfdo suredelolw| phdvxuh1
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

+44,
   
3
 

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

715

Lqwhuhvw udwh ghulydwlyhv sulflqj= wkh pduwlqjdoh

dssurdfk

Wkh vhfrqg dssurdfk wr erqg sulflqj xqghu vwrfkdvwlf lqwhuhvw udwhv wdnhv d
pruh suredelolvwlf ylhz1 Lw lv edvhg rq wkh pduwlqjdoh iudphzrun sursrvhg
Kduulvrq dqg Nuhsv +4<:<, dqg h{whqghg e| Duw}qhu dqg Ghoedhq +4<;<, dqg
Khdwk/ Mduurz/ Pruwrq +4<<5, iru whup vwuxfwxuh prgholqj1
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
Sursrvlwlrq 5 Xqghu vrph uhjxodulw| frqglwlrqv/ d frpsohwh pdunhw lv du0
elwudjh iuhh li wkhuh h{lvwv dq htxlydohqw pduwlqjdoh phdvxuh/ l1h1 d suredelolw|
phdvxuh  htxlydohqw wr
+wkh klvwrulfdo ru dfwxdo suredelolw|,/ vxfk wkdw wkh
uhodwlyh sulfh surfhvv ri dq| vhfxulw| lv d 0pduwlqjdoh1
 W  
  W

+45,

zkhuh 
ghqrwhv wkh owudwlrq +l1h1 doo wkh lqirupdwlrq, nqrzq dw wlph 1
Wkh Jluvdqry wkhruhp surylghv wkh qhfhvvdu| iudphzrun wr wudqvirup d
suredelolw| phdvxuh lq dqrwkhu htxlydohqw +l1h1 vkdulqj wkh vdph vxssruw,
phdvxuh1
Sursrvlwlrq 6 Dq| pduwlqjdoh W  fdq eh uhsuhvhqwhg dv
W  W  W 
zkhuh  W  lv wkh Zlhqhu surfhvv   xqghu wkh phdvxuh 1
D sduwlfxodu fkrlfh ri qxphudluh lv wkh prqh| pdunhw dffrxqw /
l1h1 wkh sulfh dw wlph  ri rqh fxuuhqf| xqlw frqwlqxrxvo| uhlqyhvwhg dw wkh
vkruw0whup udwh vlqfh d vshflhg lqlwldo wlph  1
 

7





+46,

Xqghu wklv qhz qxphudluh/ wkh uhodwlyh sulfh ri dvvhw  lv jlyhq e|

 W  
53

 


+47,

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
        
zklfk ghqhv d suredelolw| glvwulexwlrq
iru 1 Vwduwlqj iurp wkh
0
Eurzqldq prwlrq   dqg wkh ulvn suhplxp / zh fdq exlog d qhz
vwrfkdvwlf surfhvv  W  vxfk wkdw


W
    

  

Xqghu vrph whfkqlfdo frqglwlrqv/ xvlqj Jluvdqry*v wkhruhp/ zh nqrz wkdw

wkhuh h{lvw d suredelolw| phdvxuh  vxfk wkdw  W  lv d 0Eurzqldq prwlrq< 1
Lqyhvwruv djuhh rq wkh xqltxh suredelolw| phdvxuh / jlyhq e|

  
zkhuh   lv wkh Udgrq0Qlnrg|p ghulydwlyh ghqhg e|






W
 

 
  





Zh fdq zulwh wkh hyroxwlrq ri wkh vkruw whup lqwhuhvw udwh xqghu  dv
   
        W 
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

716

Vrph vshflf surshuwlhv ri vkruw whup lqwhuhvw udwh

prghov

Li rqh lv uhdg| wr lpsrvh uhvwulfwlrqv rq wkh guliw dqg glxvlrq sdudphwhuv

ri wkh vkruw whup udwh/ yhu| xvhixo uhvxowv fdq eh rewdlqhg1 Wkuhh sduwlfxodu
uhvwulfwlrqv zloo eh suhvhqwhg khuh= wkh d!qh prghov/ wkh Jdxvvldq prghov/
dqg wkh orjqrupdo prghov1
71614

Wkh d!qh fodvv ri vkruw whup udwh prghov

Prvw ri wkh rqh idfwru prghov frqvlghuhg lq wkh qdqfldo olwhudwxuh duh lq wkh
fodvv ri zkdw Gx!h dqg Ndq +4<<6, fdoo d!qh idfwru prghov1 D prgho lv
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
71615

Wkh Jdxvvldq fodvv ri vkruw whup udwh prghov

D vkruw whup lqwhuhvw udwh prgho lv vdlg wr ehorqj wr wkh Jdxvvldq fodvv li
lw fdq eh zulwwhq dv wkh iroorzlqj olqhdu glhuhqwldo htxdwlrq
          
           
Wklv fohduo| vkrzv wkdw Jdxvvldq prghov duh d sduwlfxodu fodvv ri d!qh
prghov1
Sursrvlwlrq 8 Lq d Jdxvvldq prgho/  lv qrupdoo| glvwulexwhg/ dqg






3
3
  $  
$ % %% 
$ %  % %

zkhuh $ vroyhv

$   $
$  

Sursrvlwlrq 9 Xqghu /

%% lv qrupdoo| glvwulexwhg zlwk d phdq
& dqg d yduldqfh ' wkdw duh hdv| wr fdofxodwh1 Erqg sulfhv duh orjqrupdoo|
glvwulexwhg dqg duh jlyhq e|


  
 

Wklv zloo doorz xv wr frpsxwh erqg sulfhv hdvlo|1 Xqiruwxqdwho|/ e| ghi0

lqlwlrq/ Jdxvvldq lqwhuhvw udwh prghov gr qrw suhyhqw wkh lqwhuhvw udwh iurp
ehfrplqj qhjdwlyh/ zklfk lv hfrqrplfdoo| xquhdolvwlf1
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

717

Vrph vshflf h{dpsohv ri rqh0idfwru wlph0lqyduldqw

surfhvvhv

Lq wklv vhfwlrq/ zh zloo uhylhz lq ghwdlo vrph vshflf h{dpsohv ri rqh0idfwru

wlph0lqyduldqw surfhvvhv/ qdpho| Phuwrq +4<:6,/ Ydvlfhn +4<::,/ dqg Fr{/
Lqjhuvroo dqg Urvv +4<;8, prghov1 Wkhvh prghov duh wkh prvw idprxv dqg
kdyh vrph lqwhuhvwlqj frpsxwdwlrqdo ihdwxuhv1 Xqohvv h{solflwo| phqwlrqhg/
zh dvvxph wkdw wkh g|qdplfv duh vshflhg xqghu wkh klvwrulfdo suredelolw|

+l1h1 lq wkh uhdo zruog,1
71714

Phuwrq +4<:6,

Phuwrq +4<:6, zdv wkh uvw wr sursrvh d jhqhudo vwrfkdvwlf surfhvv dv d prgho
iru wkh vkruw udwh1 Xqghu wkh klvwrulfdo suredelolw|
/ wkh vkruw whup udwh lv
        

+49,

zkhuh  dqg   duh frqvwdqw dqg   lv d vwdqgdug Eurzqldq prwlrq1

Ixuwkhupruh/ Phuwrq dvvxphv d frqvwdqw ulvn suhplxp 1
Vkruw whup udwh Wkh h{solflw vroxwlrq wr +49, lv


        
 


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
Glvfrxqw erqg sulfh Wkh vwrfkdvwlf glhuhqwldo htxdwlrq wr eh vroyhg lv
     

 
  


  


 

zlwk wkh erxqgdu| frqglwlrq     1 Lwv vroxwlrq lv
  
3 3

3

 3
  3    3
 






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


'
71715




  


 '

'
  

 
'
    
   


Ydvlfhn +4<::,

Ydvlfhn +4<::, sursrvhv wr prgho wkh vkruw whup lqwhuhvw udwh dv dq Ruqvwhlq0
Xkohqehfn surfhvv=
  )
   
zkhuh )/ / dqg  duh srvlwlyh frqvwdqwv dqg   lv d vwdqgdug Zlhqhu
surfhvv1 Wklv ghqhv dq hodvwlf udqgrp zdon durxqg d wuhqg/ zlwk d phdq
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


   

3
3   

3
3  %

iru dq|  ) 1 Jlyhq wkh vhw ri lqirupdwlrq dw wlph / wkh vkruw whup udwh
 lv qrupdoo| glvwulexwhg



3
3  
3
3
  
 


 


)
Dv d frqvhtxhqfh/ lqwhuhvw udwhv fdq ehfrph qhjdwlyh/ zklfk lv lqfrpsdwleoh
zlwk qr duelwudjh lq wkh suhvhqfh ri fdvk lq wkh hfrqrp|1
Iru yhu| odujh ydoxhv ri / wkh h{shfwhg ydoxh dqg yduldqfh ri wkh vkruw0

whup udwh duh dqg  1 Wkh phdq uhyhuvlrq surfhvv suhfoxghv wkhvh wzr ydoxhv
wr h{sorgh/ uhgxflqj wkh suredelolw| ri xquhdvrqdeo| odujh ru orz lqwhuhvw
udwhv1
Glvfrxqw erqg sulfh Wkh vwrfkdvwlf glhuhqwldo htxdwlrq wr eh vroyhg e|
wkh erqg sulfh lv
     


 )

  

  


 


+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
Whup vwuxfwxuh Wkh whup vwuxfwxuh lv jlyhq e|



 
  3 3



    

3 3

  


 )
)






   







3 3

)
)
)



 






 

)
)
Qrwlflqj wkdw wkh lqqlwh pdwxulw| lqwhuhvw udwh lv frqvwdqw dqg grhv qrw
ghshqg rq 

     

 <"

 



)
)

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 
   

 
 


  
)
)

3
3 




3

   


3
3  
)
)

3
3

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


'

+4;,




  


 '

'
  

 
'


   



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    



wkdw lv/ wkh vxp ri  rswlrqv rq wkh xqghuo|lqj }hur0frxsrq0erqgv1

Ilqdoo|/ ohw xv qrwh wkdw Vxqgduhvdq +4<;<, surylghv dq dqdo|wlfdo vroxwlrq
lq wkh fdvh ri {hg wr rdw lqwhuhvw udwh vzdsv1
71716

Fr{/ Lqjhuvroo/ Urvv +4<;8e,

Fr{/ Lqjhuvroo dqg Urvv +4<;8e, kdyh ghyhorshg dq htxloleulxp prgho lq

zklfk lqwhuhvw udwhv duh ghwhuplqhg e| wkh vxsso| dqg ghpdqg ri lqglylgxdov
kdylqj d orjdulwkplf xwlolw| ixqfwlrq1 Wkh uhvxow lv d vlqjoh idfwru prgho
lq zklfk wkh vkruw whup udwh vdwlvhv

  )
    
+4<,
zkhuh )/ / dqg  duh srvlwlyh frqvwdqwv/   lv d vwdqgdug Eurzqldq prwlrq
dqg wkh ulvn suhplxp dw htxloleulxp lv vkrzq wr eh

    
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



3
3
3
3
 

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
  +, -   %
zlwk -   ghjuhhv ri iuhhgrp dqg qrq fhqwudo sdudphwhu %/ zkhuh
)
  

3
3 
%  ,
3
3
'  ,
)
- 


 
, 

Wkh glvwulexwlrq fdq eh zulwwhq h{solflwo|45 dv

   ,
33

 %  
'

  
.  %'

+53,

Vhh Ihoohu +4<84, iru d surri1 Lqwxlwlyho|/ wkh yduldqfh 5u +, lv yhu| vpdoo li +, lv
forvh wr }hur dqg lv grplqdwhg e| wkh guliw frpsrqhqw1
45
Wklv glvwulexwlrq lv qrw d fkl0vtxduhg1 Exw li zh ghqh +,
5 +,/ wkhq +, lv d
qrq fhqwudo fkl0vtxduhg zlwk glvwulexwlrq
44

4
 + +,  +, , @ f+{+v,.5x,
5

+,
5

t@5

t

ks
l
5 +,

zkhuh 5 lv wkh ghjuhh ri qrq0fhqwudolw| dqg 5+ . 4, lv wkh ghjuhh ri iuhhgrp1

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
     

3
3
dqg
    

  3
3



3
3   

3
3 
)
)


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
Glvfrxqw erqg sulfh Wkh vwrfkdvwlf glhuhqwldo htxdwlrq wr eh vroyhg lv

     

  )

  

  


 


+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
  

/


)  /
 
  /
66

D



"







)  /

  /
!
/ 
)   

  )   
)

"  

Xqghu wkh ruljlqdo phdvxuh
/ wkh erqg sulfh g|qdplfv lv jlyhq e|



 
  "      "  

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
W 




  3



" 
 

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 
dqg

  


)%


 23 %     
)
)

% 


3 

23 %

Wkhq/ wkh surfhvv

"
 % 


)
#
%


%
"
 

lv ri wkh fodvv EHVT !

/ zklfk lv h{whqvlyho| vwxglhg e| Uhyx} dqg \ru
 
+4<<4,
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,

zlwk dq h{rjhqhrxvo| vshflhg ulvn suhplxp

   
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
71814

Vkrxog zh frqvlghu doo sdudphwhuv dv wlph ydu|lqj B

Lw pd| eh whpswlqj wr vhw ) dqg  dv wlph0ydu|lqj lq rughu wr h{dfwo|

pdwfk wkh lqlwldo whup vwuxfwxuh1 Krzhyhu/ dq lpsruwdqw frqvhtxhqfh lv
wkdw wkh uhvxowlqj yrodwlolw| whup vwuxfwxuh zloo jhqhudoo| eh qrq vwdwlrqdu|
dqg zloo riwhq hyroyh lq d txlwh xqsuhglfwdeoh zd| +Fduyhukloo +4<<8,,1 Dv
d frqvhtxhqfh/ rswlrq sulfhv frpsxwhg zlwk wklv yrodwlolw| vkrxog eh wdnhq
yhu| fdxwlrxvo|1 Yhu| xfwxdwlqj ydoxhv iurp wkh sdudphwhuv fdq riwhq srlqw
wr d plvvshflhg ru d plvhvwlpdwhg prgho1 Kxoo dqg Zklwh +4<<8, wkhpvhoyhv
zurwh=
46

Qrwh wkdw vshflfdwlrqv zlwk  `3> 38^ vkrxog eh wdnhq fdxwlrxvo|/ ehfdxvh wkh vr0
oxwlrq wr +55, lv qrw qhfhvvdulo| xqltxh+vhh Duqrog +4<:6/ s1 457,,1 Hpslulfdoo|/ Fkdq/
Nduro|l/ Orqjvwd/ dqg Vdqghuv +4<<5d, vxjjhvw   481

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
71815

H{dpsoh= wkh h{whqghg Ydvlfhn prgho

Lq wkh Kxoo dqg Zklwh iudphzrun/ wkh h{whqghg Ydvlfhn +4<::, prgho fdq
eh zulwwhq dv +55, zlwk   / ru htxlydohqwo| dv




      
  )
)
zkhuh ) dqg  duh srvlwlyh frqvwdqwv1 Lq d vhqvh/ lw lv erwk d Kr dqg Ohh
+4<;9, prgho zlwk phdq uhyhuvlrq dw udwh ) dqg d Ydvlfhn prgho zlwk wlph0
ghshqgdqw uhyhuvlrq ohyho +dw wlph / wkh vkruw whup udwh uhyhuwv wr !

dw

udwh ),1
Wkh sdudphwhu  fdq eh hvwlpdwhg xvlqj wkh lqlwldo whup vwuxfwxuh

 
      )    

3


)
Glvfrxqw erqg sulfhv Glvfrxqw erqg sulfhv duh jlyhq e|
  

 

 
zlwk
 3 3




)

 
  
"   

 
 



   
3

3
 



)
Wkhvh htxdwlrqv vshfli| wkh sulfh ri erqgv dw wlph  lq whupv ri wkh vkruw
udwh dqg wkh sulfh ri }hur0frxsrq erqgv wrgd| dw wlph 1
!  

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
#      2
  2
 

    
2   
    
2
zkhuh

+56,




   



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

1
xvlqj Eodfn*v prgho zlwk d yrodwlolw| ri I

Hxurshdq rswlrqv rq frxsrq0ehdulqj erqgv fdq eh ydoxhg xvlqj wkh vdph
dssurdfk dv Mdpvklgldq +4<;<, lq wkh fdvh ri wkh Ydvlfhn prgho1
Fulwltxhv Lq dgglwlrq wr wkh suhylrxv dqdo|wlfdo h{suhvvlrqv/ Kxoo dqg
Zklwh +4<<3, kdyh ghyhorshg d yhu| hohjdqw wulqrpldo odwwlfh phwkrgrorj|
wkdw fdq eh xvhg wr fdoleudwh wkh prgho wr pdunhw gdwd1 Exw ghvslwh lwv
srvlwlyh ihdwxuhv/ wkh h{whqghg Ydvlfhn prgho vwloo vxhuv iurp lpsruwdqw
sureohpv
 lw vwloo doorzv iru qhjdwlyh lqwhuhvw udwhv +hyhq li gxh wr wkh suhvhqfh ri
phdq uhyhuvlrq/ wkh suredelolw| ri wklv rffxuuhqfh lv olplwhg,1
 fdxwlrq lv qhhghg zkhq fdoleudwlqj wkh prgho wr fds sulfhv/ hvshfldoo|
iru vrph frpelqdwlrqv ri whup vwuxfwxuh vkdshv dqg pdunhw fds yrodwlo0
lwlhv/ zklfk jlyh yhu| vwurqj ru yhu| orz ohyhov ri phdq uhyhuvlrq +vhh
Uherqdwr +4<<9,,1
 dq h{dfw gd| wr gd| wwlqj wr wkh whup vwuxfwxuh jhqhudoo| surgxfhv
dq lpsodxvleoh h{wuhph xqvwdeoh ehkdylru/ lq sduwlfxodu iru 1 Wklv
h{sodlqv zk| wkh prgho lv riwhq lpsohphqwhg zlwk d frqvwdqw uhyhuvlrq
vshhg1

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

719

Vrph vshflf h{dpsohv ri orjqrupdo prghov

Lq prvw ri wkh prghov zh kdyh vhhq/ hlwkhu wkh vruw udwh ru wkh iruzdug
udwh zhuh prghohg dv Jdxvvldq surfhvvhv1 Wklv srsxodulw| lv gxh wr wkh
dqdo|wlfdo wudfwdelolw| ri Jdxvvldq surfhvvhv/ exw lw dovr lpsolhv wkdw wkhuh lv
d srvlwlyh suredelolw| ri qhjdwlyh udwhv/ zklfk lpsolhv duelwudjh rssruwxqlwlhv
lq wkh suhvhqfh ri fdvk1 Wklv kdv ohg vrph dxwkruv wr sursrvh prghov zlwk
orjqrupdo udwhv/ wkxv dyrlglqj qhjdwlyh udwhv1
71914

Eodfn/ Ghupdq/ dqg Wr|*v +4<;:/ 4<<3,

Eodfn/ Ghupdq/ dqg Wr| +4<;:, kdyh sursrvhg d rqh idfwru elqrpldo prgho
zkrvh frqwlqxrxv wlph htxlydohqw lv47
    
!       
47

Xvlqj Lwr*v ohppd/ lw fdq eh uhzulwwhq dv



4 5
+, @ +, +,   oq++,, . u  . u +, +,
5

Dqrwkhu srvvleoh irup riwhq vhhq lq wkh olwwhudwxuh lv=

+, @ +, K +w,}+w,

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
 li   lv frqvwdqw/ wkh prgho grhv qrw glvsod| dq| phdq uhyhuvlrq
71915

Eodfn dqg Ndudvlqvnl +4<<4,

Eodfn dqg Ndudvlqvnl +4<<4, vxjjhvwhg d elqrpldo wuhh dssurdfk zlwk wlph
vwhsv ri ydu|lqj ohqjwkv1 Wkh frqwlqxrxv wlph yhuvlrq ri wkhlu prgho lv
    
)       
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
71916

Vdqgpdqq dqg Vrqghupdqq +4<<6e,

Prgholqj orjqrupdoo| glvwulexwhg udwhv lv wkh vlpsohvw vroxwlrq wr dyrlg wkh

sureohp ri qhjdwlyh udwhv1 xqiruwxqdwho|/ dv zh kdyh vhhq/ qr forvhg0irup
vroxwlrq kdyh ehhq irxqg iru wkhvh prghov1 Exw wkh| vxhu iurp d pruh
lpsruwdqw gudzedfn1 Dv hylghqfhg e| Krjdq dqg Zhlqwudxe +4<<6,/ udwhv
h{sorgh zlwk srvlwlyh suredelolw|/ lpso|lqj lqqlwh uroo ryhu uhwxuq zkdwhyhu
wkh pdwxulw|/ }hur sulfhv iru erqgv/ dqg wkxv/ duelwudjh rssruwxqlwlhv1 Dv d
frqvhtxhqfh/ vxfk prghov fdqqrw ydoxh rqh ri wkh prvw zlgho| xvhg khgjlqj
lqvwuxphqw/ qdpho| wkh Hxurgroodu ixwxuhv frqwudfw/ zklfk lv zruwk plqxv
lqqlw|111
Dv hylghqfhg e| Vdqgpdqq dqg Vrqghupdqq +4<<6e,/ wkh h{sorvlrq uh0
vxowv iurp wkh fkrlfh ri wkh lqvwdqwdqhrxv shulrg dv d frpsrxqglqj shulrg1
Vshfli|lqj wkh lqvwdqwdqhrxv udwh dv orj0qrupdoo| glvwulexwhg zloo uhvxow lq
h{srqhqwldo ri h{srqhqwldo ixqfwlrqv1 Wkxv/ uhvhdufk lv qrz irfxvlqj rq prg0
holqj vlpsoh lqwhuhvw udwhv W  ryhu d {hg qlwh shulrg 0 udwkhu wkdq lq0
vwdqwdqhrxv udwhv 0 zlwklq wkh orjqrupdo iudphzrun1 Zh kdyh
    W 
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

71917

Plowhuvhq/ Vdqgpdq dqg Vrqghupdqq +4<<:,

Plowhuvhq/ Vdqgpdq dqg Vrqghupdqq +4<<:, ghyhorshg d orjqrupdo whup

vwuxfwxuh prgho iru vlpsoh dqqxdo iruzdug udwhv1 Wkh| ghqh wkh vlpsoh
iruzdug udwh W     dv wkh lqwhuhvw udwh vhw dw wlph  ryhu d {hg shulrg
iurp  wr  )  1 Zh kdyh
      


  5 W     

zlwk 5  
 1 Wkh olplw fdvh 5   fruuhvsrqgv wr frqwlqxrxvo| frp0

srxqghg iruzdug udwhv1 Wklv vlpsoh iruzdug udwh lv orj0qrupdoo| glvwulexwhg
 W     
  W        W      
W    
Wkh lqlwldoo| revhuyhg whup vwuxfwxuh lv xvhg wr fdoleudwh wkh prgho1 Wkh
prgho lv yhu| vlplodu wr Khdwk/ Mduurz/ Pruwrq +4<<5,/ h{fhsw wkdw lw lv
edvhg rq wkh vlpsoh iruzdug udwh udwkhu wkdq wkh frqwlqxrxvo| frpsrxqghg
iruzdug udwh1 Qrwh wkdw wkhlu prgho fdq eh vwdwhg lq d Khdwk/ Mduurz dqg
Pruwrq +4<<5, iudphzrun e| xvlqj d vshflf irup iru wkh yrodwlolw| ixqfwlrq
ri wkh lqvwdqwdqhrxv iruzdug udwh1 Wklv irup lv vwdwh ghshqghqw1
Plowhuvhq/ Vdqgpdq dqg Vrqghupdqq +4<<:, kdyh rewdlqhg forvhg irup
vroxwlrqv iru Hxurshdq erqg rswlrqv lq vxfk d iudphzrun1 Iru d Hxurshdq
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

71:

Rwkhu prghov

Lq wklv vhfwlrq/ zh zloo eulh | glvfxvv vrph rwkhu rqh0idfwru lqwhuhvw udwh
prghov1 Wkhvh prghov duh jhqhudoo| ohvv srsxodu wkdq wkh rqhv zh kdyh
h{dplqhg douhdg|> hlwkhu wkh| gr qrw surylgh dqdo|wlfdo vroxwlrqv/ hlwkhu wkh|
uho| rq wrr uhvwulfwlyh ru xquhdolvwlf dvvxpswlrqv1 Krzhyhu/ zh phqwlrq wkhp
eulh | dv wkh| duh riwhq wkh vwduwlqj srlqw ri d pruh hoderudwh dqg dffhswhg
prgho1 Zh zloo uvw suhvhqw prghov edvhg rq d yrodwlolw| wkdw lv sursruwlrqdo
wr wkh ohyho ri wkh vkruw whup udwh/ ru wr d srzhu ri wkh ohyho ri wkh vkruw
whup udwh1 Wkhq/ zh zloo h{srvh prghov wkdw irfxv rq wkh }hur0frxsrq erqg
sulfh g|qdplfv udwkhu wkdq rq wkh vkruw whup udwh1 Zh zloo hqg e| suhvhqwlqj
Eodfn +4<:9, prgho/ zklfk lv zlgho| xvhg dprqj sudfwlwlrqhuv ghdolqj zlwk
fdsv dqg rruv rq lqwhuhvw udwhv1 Krzhyhu/ ghvslwh wkh xvh ri wkhvh prghov wr
sulfh vshflf ghulydwlyhv/ rqh vkrxog dozd|v uhphpehu wkdw wkhlu frqfhswxdo
edfnjurxqg uhpdlqv iudjloh1 Lq sduwlfxodu/ wkh| duh qrw qhfhvvdulo| duelwudjh0
iuhh1
71:14

Grwkdq +4<:;,/ Euhqqdq dqg Vfkzduw} +4<::,

Lq Grwkdq +4<:;, prgho/ wkh vkruw whup udwh iroorzv d jhrphwulf Eurzqldq
prwlrq zlwkrxw guliw=
     
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
71:15

Euhqqdq dqg Vfkzduw} +4<;3,/ Frxuwdgrq +4<;5,

Euhqqdq dqg Vfkzduw} +4<;3, kdyh sursrvhg wr h{whqg Grwkdq +4<:;, prgho
e| dgglqj d phdq uhyhuwlqj whup=
  )
     
Exw wkhuh lv qr nqrzq glvwulexwlrq iru / dqg frqwlqjhqw fodlp sulfhv pxvw
eh frpsxwhg xvlqj qxphulfdo surfhgxuhv1 Euhqqdq dqg Vfkzduw} +4<;3, xvh
wkh prgho wr sulfh frqyhuwleoh erqg dqg Frxuwdgrq +4<;5, wr sulfh glvfrxqw
erqg sulfhv1
71:16

Uhqgohpdq dqg Eduwwhu +4<;3,

Uhqgohpdq dqg Eduwwhu +4<;3, dvvxphg wkdw  iroorzv d jhrphwulf Eurz0
qldq prwlrq zlwk d frqvwdqw guliw dqg glxvlrq sdudphwhuv1
        
Wkh prgho zdv dovr vwxglhg e| Pduvk dqg Urvhqihog +4<;6,1
77

71:17

Fr{/ Lqjhuvroo dqg Urvv+4<;3,

Fr{/ Lqjhuvroo dqg Urvv+4<;3, kdyh sursrvhg wkh iroorzlqj glxvlrq

    #  
wr vwxg| yduldeoh0udwh vhfxulwlhv1 Wkh prgho zdv dovr xvhg e| Frqvwdqwlqlghv
dqg Lqjhuvroo +4<;7, wr ydoxh erqg lq wkh suhvhqfh ri wd{hv1
71:18

Fr{ +4<:8,/ Fr{ dqg Urvv +4<:9,

Fr{ +4<:8, dqg Fr{ dqg Urvv +4<:9, kdyh sursrvhg xvlqj d frqvwdqw0hodvwlflw|
ri yduldqfh glxvlrq wr prgho wkh vkruw whup udwhv g|qdplfv1
       

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
71:19

Orqjvwd +4<;<, dqg wkh grxeoh vtxduh0urrw prgho

Orqjvwd +4<;<, prglhg wkh Fr{/ Lqjhuvroo dqg Urvv +4<;8e, prgho dv
iroorzv=


  )
    
Wklv prgho lv vrphwlphv uhihuuhg wr dv wkh grxeoh vtxduh0urrw prgho1 Orqjvwd
+4<;<, surylghv d forvhg irup h{suhvvlrq iru wkh sulfh ri d }hur0frxsrq erqg1
Klv hpslulfdo whvwv vxjjhvw wkdw wklv prgho rxwshuirupv wkh Fr{/ Lqjhuvroo
dqg Urvv +4<;8e, prgho lq prvw vlwxdwlrqv1
71:1:

Eodfn dqg Vfkrohv +4<:6, dqg Phuwrq +4<:6,

Eodfn dqg Vfkrohv +4<:6, dqg Phuwrq +4<:6, kdyh ghyhorshg wkh frpsohwh
iudphzrun iru rswlrq ydoxdwlrq rq dq dvvhw zkrvh sulfh iroorzv d jhrphwulf
Eurzqldq prwlrq1 Zkloh wklv dvvhw lv wudglwlrqdoo| frqvlghuhg dv ehlqj d
vwrfn/ wkh sulflqj ri erqg rswlrq zdv douhdg| glvfxvvhg e| Phuwrq +4<:6,/
zkr xvhg wkh }hur frxsrq erqg sulfh lwvhoi dv d vwdwh yduldeoh wr rewdlq d
suhihuhqfh iuhh forvhg irup irupxodh iru dq Hxurshdq fdoo rswlrq sulfh rq

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=
 Wkh yrodwlolw| sdudphwhu lv nqrzq wr ghfuhdvh dv zh jhw forvhu wr wkh
erqg pdwxulw|/ dv wkh uhghpswlrq sulfh lv nqrzq zlwk fhuwdlqw|1
 Li wkh erqg sulfh lv orjqrupdoo| glvwulexwhg/ wkh lqvwdqwdqhrxv uhwxuq
zloo eh qrupdoo| glvwulexwhg1 Lq d rqh idfwru prgho/ wklv lpsolhv wkdw
wkh vkruw whup udwh lv dovr qrupdoo| glvwulexwhg dqg fdq wdnh qhjdwlyh
ydoxhv1
 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
71:1;

Edoo dqg Wrurxv +4<;6,

Edoo dqg Wrurxv +4<;6, lqfrusrudwhg wkh frqvwudlqw ri erqg sulfh dssurdfklqj
lwv idfh ydoxh dw pdwxulw| e| dvvxplqj wkdw wkh erqg sulfh iroorzv d Eurzqldq
eulgjh surfhvv udwkhu wkdq wkh ruljlqdo jhrphwulf Eurzqldq prwlrq ri Eodfn
dqg Vfkrohv +4<:6,1
Wkh prgho vxhuv iurp lpsruwdqw gudzedfnv=
79

 lw lv lqfrpsdwleoh zlwk wkh lqlwldo whup vwuxfwxuh

 wkh lqvwdqwdqhrxv yduldqfh ri wkh erqg sulfh lv frqvwdqw1 Wkxv/ wkh
yrodwlolw| ri wkh fruuhvsrqglqj |lhog wr pdwxulw| lqfuhdvhv zlwkrxw erxqgv
dv zh jhw forvh wr pdwxulw|1
 dvvxplqj wkh h{lvwhqfh ri dq htxlydohqw ulvn0qhxwudo suredelolw|/ Edoo
dqg Wrurxv +4<;6, ghulyh forvhg0irup vroxwlrqv iru rswlrqv rq }hur0
frxsrq erqgv1 Exw wkh prgho lv lq idfw qrw duelwudjh iuhh= dv hylghqfhg
e| Fkhqj +4<;<,/ wkh fruuhvsrqglqj ulvn0qhxwudo suredelolw| grhv qrw
h{lvw1
71:1<

Eodfn +4<:9,

Wkh surshuw| ri srvlwlyh lqwhuhvw udwhv fdq eh uhfryhuhg e| dvvxplqj wkdw

lqwhuhvw udwhv duh orjqrupdoo| glvwulexwhg1 D srvvleoh dowhuqdwlyh lv wkh xvh
ri wkh Eodfn +4<:9, prgho wr sulfh rswlrqv rq iruzdug frqwudfwv1 Li  lv wkh
iruzdug sulfh/ wkh sulfh ri d fdoo rswlrq rq wkh iruzdug sulfh ehfrphv
#

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

H{whqvlrqv wr d pxowl0glphqvlrqdo vsdfh

Vr idu/ zh kdyh ehhq prvwo| zrunlqj zlwk lqwhuhvw udwh prghov zkhuh wkh vkruw
udwh  zdv wkh rqo| h{sodqdwru| yduldeoh1 Wkhvh prghov zhuh fkdudfwhul}hg
e| wkhlu dqdo|wlfdo wudfwdelolw| dqg wkhlu hdvh ri xvh1 Krzhyhu/ vlqjoh idfwru
prghov kdyh ehhq riwhq fulwlfl}hg rq ydulrxv jurxqgv=
 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
 prghov riwhq idlo wr pdwfk revhuyhg sulfhv/ dv zh zloo vhh odwhu rq lq
wkh hpslulfdo uhylhz1
 iurp dq hfrqrplf srlqw ri ylhz/ lw vhhpv xquhdvrqdeoh wr dvvxph wkdw
wkh hqwluh whup vwuxfwxuh lv jryhuqhg rqo| e| wkh vkruw udwh1
 lw lv gl!fxow wr rewdlq uhdolvwlf yrodwlolw| vwuxfwxuhv iru wkh iruzdug udwh
zlwkrxw jrlqj wr yhu| frpsolfdwhg vshflfdwlrqv iru wkh vkruw udwh1
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


 
 


zkhuh hdfk idfwru reh|v

  

 

    

dqg zkhuh   duh  lqghshqghqw Eurzqldq prwlrqv/  dqg   ehlqj frq0
vwdqw1 Wkhq/ jlyhq / dw wlph% ) /  lv djdlq qrupdoo| glvwulexwhg%zlwk


phdq   
 / zlwk 
  1
 / dqg yduldqfh  
/ zlwk  
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|
   )  
      

+57,

zkhuh   duh  lqghshqghqw Eurzqldq prwlrqv/ ) /  dqg   ehlqj frq0

vwdqw1 Lq vxfk d fdvh/ rqh fdq vkrz wkdw wkh glvfrxqw erqg sulfh lv jlyhq
e|

&
      
   
+58,


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

815

Gx!h dqg Ndq +4<<6, dqg wkh d!qh prghov

Gx!h dqg Ndq +4<<6, kdyh lqwurgxfhg prghov lq zklfk wkh guliwv dqg yrodwlo0
lw| frh!flhqwv ri wkh vwdwh0yduldeoh surfhvvhv duh d!qh ixqfwlrqv1 Wzr ds0
surdfkhv kdyh ehhq sxuvxhg lq wkh whup vwuxfwxuh olwhudwxuh=
 wkh uvw rqh dvvxphv wkdw wkh vkruw whup udwh lv d olqhdu frpelqdwlrq ri
dq xqrevhuyhg vwdwh yhfwru 6 / zklfk lwvhoi iroorzv dq d!qh glxvlrq
prgho zklfk uhpdlqv wr eh vshflhg1
  76 
Lq wklv iudphzrun/ rqh fdq ghfrpsrvh wkh whup vwuxfwxuh pryhphqwv
lq idfwru vxfk dv fxuydwxuh/ wzlvw/ vorsh/ ru ohyho1 H{dpsohv
ri wkhvh duh wkh vtxduh0urrw glxvlrq prghov xvhg e| Fkhq dqg Vfrww
+4<<6,/ Shduvrq dqg Vxq +4<<7,/ dqg Gx!h dqg Vlqjohwrq +4<<9,1
 wkh vhfrqg rqh srvlwv d prgho iru wkh vkruw udwh lq whupv ri lwv rzq odj
dqg rwkhu vwdwh yduldeohv/ vxfk dv orqj whup phdq dqg yrodwlolw| ri 1
H{dpsohv ri wkhvh duh Fkhq +4<<9,/ Edogx}}l/ Gdv dqg Iruhvl +4<<8,/
dqg Edfnxv/ Iruhvl dqg Whophu +4<<9,1
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
     !  "
Ulwfknhq dqg Vdqndudvxeudpdqldq +4<<9, kdyh h{whqghg wklv uhvxow e| vkrz0
lqj wkdw wkh fodvv ri yrodwlolw| vwuxfwxuhv lv wkh vdph li wkh iruzdug udwh lv d
qlwh ghjuhh sro|qrpldo ri wkh vkruw udwh1

816

Ulfkdug +4<:;,/ Fr{/ Lqjhuvroo/ Urvv +4<;8e,

Ulfkdug +4<:;, sursrvhg d prgho lq zklfk wkh whup vwuxfwxuh ri lqwhuhvw

udwhv lv ghwhuplqhg e| wzr idfwruv= wkh uhdo vkruw whup udwh - dqg wkh
h{shfwhg lqvwdqwdqhrxv lq dwlrq udwh 81 Erwk idfwruv duh dvvxphg wr iroorz
lqghshqghqw glxvlrq surfhvv

-        
8  %    % % 
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

817

Euhqqdq dqg Vfkzduw} +4<:</ 4<;5,

Euhqqdq dqg Vfkzduw} +4<:<, kdyh vxjjhvwhg d wzr idfwru prgho/ lq zklfk
wkh whup vwuxfwxuh ri lqwhuhvw udwhv ghshqgv rq erwk wkh vkruw whup udwh 
dqg wkh orqj whup udwh 91 Wkh orqj whup udwh lv ghqhg dv49
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
      9
49

Lq sudfwlfh/ wkh orqj whup udwh fdq eh dssur{lpdwhg e| wkh |lhog rq d frqvro erqg
+lqqlwh wlph0wr0pdwxulw| erqg wkdw rqo| sd|v frxsrqv, zklfk lv txrwhg rq vrph pdunhwv1
Krzhyhu/ krjdq +4<<6, vkrzv wkdw wklv pd| |lhogv vrph sureohpv vxfk dv wkh h{sorvlrq ri
wkh vroxwlrq ri wkh sduwldo glhuhqwldo htxdwlrq zh zloo rewdlq dqg rq wkh frpsdwlolelolw|
ehwzhhq wkh g|qdplfv vshflfdwlrqv iru erwk udwhv1

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 
   
    
   


   

Iruwxqdwho|/ htxdwlrq +5;, lv ydolg lq sduwlfxodu iru d frqvro erqg sd|lqj


d frqwlqxrxv wlph frxsrq/ zkrvh sulfh lv jlyhq e| 
  &

1 Iurp wkhuh/
zh fdq frpsxwh wkh ydulrxv ghulydwlyhv ri 
 dqg uhsodfh wkhp lq +5;,1
Zh rewdlq

&
&  &  &  99

9

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   
Krzhyhu/ wklv vshflfdwlrq dssurdfk kdv ehhq txhvwlrqhg uhfhqwo| e| Krjdq
+4<<6, dqg Gx!h/ Pd dqg \rqj +4<<7,/ zkr suryhv wkdw wkhuh duh qr uhdo0
ydoxhg vroxwlrqv wr wkh glxvlrq htxdwlrqv/ wkxv doorzlqj iru wkh h{lvwhqfh ri
duelwudjh1

818

Vfkdhihu dqg Vfkzduw} +4<;7,

Vfkdhihu dqg Vfkzduw} +4<;7, kdyh dovr vxjjhvwhg d wzr idfwru prgho ri wkh
whup vwuxfwxuh ri lqwhuhvw udwhv/ exw wkh| kdyh h{suhvvhg wkhlu prgho lq whupv
ri wkh orqj whup udwh 9 dqg wkh vsuhdg  ehwzhhq wkh orqj udwh dqg wkh
vkruw udwh1 Wkh fkrlfh ri wkhvh yduldeohv zdv edvhg rq wkh hpslulfdo hylghqfh
ri ruwkrjrqdolw| ehwzhhq 9 dqg  1 Lw doorzhg wkhp wr rewdlq dq
+dssur{lpdwhg, dqdo|wlfdo irupxod iru wkh erqg sulfh1
Wkh vshflf irup ri wkh vwrfkdvwlf surfhvvhv dvvxphg lv jlyhq e|

  &
 
/  
9   9    9 
l1h1 d phdq0uhyhuwlqj Ruqvwhlq0Xkohqehfn surfhvv iru wkh vsuhdg +zklfk do0
orzv iru qhjdwlyh vsuhdg,/ dqg orqj udwh zlwk d yduldqfh ri fkdqjh wkdw lv
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  
&



 

9

&
 


9
9  


9

zlwk  
 dqg vxemhfw wr wkh erxqgdu| frqglwlrq


+5<,

    
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
  ' (
/ ' 

dqg 6 9   vroyhv



:

:   

'(
&
'

  ' )
 9 '&


'(
'



  
9"
 ')

96
')

'&
'
6    

+64,

+65,

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


0  




5
 "
  5 
"
  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

819

Orqjvwd dqg Vfkzduw} +4<<5,

Orqjvwd dqg Vfkzduw} +4<<5, ghyhorshg dq htxloleulxp prgho ri wkh hfrq0

rp| dqg ghulyhg iurp wkhuh d wzr0idfwru whup vwuxfwxuh prgho1 Wkh wzr
idfwruv duh +lqgluhfwo|, wkh vkruw whup udwh  dqg wkh yduldqfh ri fkdqjhv
lq wkh vkruw whup udwh '1
Lq wkhlu iudphzrun/ wkh uhsuhvhqwdwlyh lqyhvwru kdv d orjdulwkplf xwlolw|
dqg kdv wkh fkrlfh ehwzhhq lqyhvwlqj ru frqvxplqj wkh rqo| jrrg dydlodeoh
lq wkh hfrqrp|/ zkrvh sulfh
 iroorzv wkh iroorzlqj vwrfkdvwlf glhuhqwldo
htxdwlrq



 :  6    6  


zkhuh :  dqg 6  duh wzr vshflf hfrqrplf idfwruv dqg   lv d Eurz0
qldq prwlrq1 Wkh wzr idfwruv duh fkrvhq lq vxfk d zd| wkdw :  lv wkh
h{shfwhg uhwxuq sduw wkdw lv xquhodwhg wr   dqg 6  lv wkh idfwru fru0
uhodwhg zlwk 
1 Wkh wzr idfwruv g|qdplfv duh jlyhq e|


:  !
":   , :   
6   

6   6  
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,

vxemhfw wr d erxqgdu| frqglwlrq zlwk   $( / ;  ) / /  $ / 7  "/ <   /

= 
/ dqg  uhsuhvhqwv wkh pdunhw sulfh ri wkh ulvn ri fkdqjhv lq wkh ohyho
ri surgxfwlrq xqfhuwdlqw| +zklfk lv jryhuqhg e| 6 ,1 Lw lv lpsruwdqw khuh
wr qrwh wkdw wkh idfw wkdw wkh pdunhw sulfh ri ulvn lv sursruwlrqdo wr ; lv hq0
grjhqrxvo| ghwhuplqhg e| wkh prgho udwkhu wkdq h{rjhqrxvo| lpsrvhg/ zklfk
hqvxuhv wkdw wkh ulvn suhplxp lv frqvlvwhqw zlwk wkh devhqfh ri duelwudjh1
Vroylqj +66, zlwk      dv d erxqgdu| frqglwlrq zloo jlyh xv wkh
sulfh ri wkh glvfrxqw erqg dv
   0   *  
 )  #   >  
8:

zlwk  
 dqg
0  
  
#  
>  
' 
$ 
1 
) 

$
7 

  $
1
'  1
,
  1
5$
,
 
1
+
0 
$1
5
,

$

   1
+
0 
$1
5
=

5  7 

  ' 
/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
#   ( !   $   

dv d erxqgdu| frqglwlrq1 Li zh ghqrwh e|   
 wkh wlph wr pdwxulw| ri
wkh rswlrq/ zh kdyh
#  #      
         / < ?   ?  

       / < ?   ? 

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! 

     / < ?   ?   
+ % / ?  + ' / ?  '%

zkhuh + 3 A - lv wkh qrq0fhqwudo fkl0vtxduh ghqvlw|4: zlwk A ghjuhhv ri

iuhhgrp dqg qrq0fhqwudolw| sdudphwhu -1
Jlyhq wkdw wkh Orqjvwd dqg Vfkzduw} +4<<5, prgho lv d!qh/ lw surylgh
forvhg0irup vroxwlrqv iru }hur0frxsrq erqgv dqg Hxurshdq rswlrqv1 Krzhyhu/
wkh gl!fxow| lv qrz wr hvwlpdwh wkh qxphurxv lqsxw sdudphwhuv1 Orqjvwd
dqg Vfkzduw} +4<<6, kdyh rxwolqhg d sdudphwhu hvwlpdwlrq phwkrg wkdw
xvhv wkh klvwrulfdo wlph vhulhv ri lqwhuhvw udwhv dqg lqwhuhvw udwhv yrodwlolwlhv/
exw Fohzorz dqg Vwulfnodqg +4<<7, kdyh vkrzq wkdw lwv lpsohphqwdwlrq zdv
udwkhu gl!fxow gxh wr wkh qdqfldo wlph vhulhv jhqhudoo| dydlodeoh lq sudfwlfh1

81:

Irqj dqg Ydvlfhn +4<<4/ 4<<5d/ 4<<5e,

Lq d vhulhv ri sdshuv/ Irqj dqg Ydvlfhn +4<<4/ 4<<5d/ 4<<5e, kdyh ghulyhg
d wzr0idfwru prgho xvlqj wkh vdph idfwruv dv wkh Orqjvwd0Vfkzduw} +4<<5,
sdshu/ l1h1 wkh vkruw whup udwh  dqg wkh yduldqfh ri fkdqjhv lq wkh vkruw
whup udwh '1 Lq wkhlu iudphzrun/ wkh vkruw whup udwh hyroyhv xqghu wkh
ulvn0qhxwudo phdvxuh dffruglqj wr

  5
  ' 
4:

Vhh Mrkqvrq dqg Nrw} +4<:3,/ fkdswhu 5;/ sdjh 466

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- 
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
0  

81;

Fkhq +4<<9,

Fkhq +4<<9, sursrvhg d wkuhh idfwru prgho ri wkh whup vwuxfwxuh1 Lq klv
prgho/ wkh vkruw udwh g|qdplfv ghshqgv rq wkh fxuuhqw vkruw udwh/ wkh vwrfkdv0
wlf phdq ri wkh vkruw udwh/ dqg wkh vwrfkdvwlf yrodwlolw| ri wkh vkruw udwh1



 
  ) 
  

  '
  =  

  
  <  

D glvfuhwh wlph yhuvlrq ri wkh prgho fdq eh lpsohphqwhg xvlqj d irxu gl0
phqvlrqdo odwwlfh1 Forvhg irup vroxwlrqv iru glvfrxqw erqgv dqg vrph lqwhuhvw
udwh ghulydwlyhv duh rewdlqhg lq yhu| vshflf fdvhv1
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

H{whqvlrq wr dq lqqlwh glphqvlrqdo vsdfh

Hyhq zlwk d pxowl0idfwru prgho/ wkh whup vwuxfwxuh ri lqwhuhvw udwhv kdv d
udwkhu olplwhg qxpehu ri ghjuhhv ri iuhhgrp1 Wkh revhuyhg whup vwuxfwxuh
grhv qrw qhfhvvdulo| pdwfk wkh wkhruhwlfdo rqh/ dw ohdvw lq qrq0wwhg prghov1
Ixuwkhupruh/ wwhg qlwh idfwru prghov vxhu iurp wkh gl!fxow| wkdw wkh|
qhhg wr eh uhfdoleudwhg frqvwdqwo| wr uhpdlq frqvlvwhqw zlwk wkh revhuyhg
whup vwuxfwxuh1 Wkxv/ dq dowhuqdwlyh dssurdfk wr vlqjoh dqg pxowl0idfwru
lqwhuhvw udwh prgholqj lv wr vshfli| wkh g|qdplfv ri wkh whup vwuxfwxuh ri

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

914

Kr dqg Ohh +4<;9,

Wkh glvfuhwh pxowl0shulrg elqrpldo prgho ri Kr dqg Ohh +4<;9, lv hvshfldoo|

lpsruwdqw vlqfh lw zdv wkh uvw wr prgho pryhphqwv lq wkh hqwluh whup vwuxf0
wxuh1 Kr dqg Ohh wdnh wkh lqlwldo whup vwuxfwxuh dv h{rjhqrxvo| jlyhq dw d
srlqw lq wlph +e| d vhw ri }hur0frxsrq sulfhv, dqg ghulyh wkh vxevhtxhqw ihdvl0
eoh whup vwuxfwxuh pryhphqwv vr wkdw wkh| duh frpsdwleoh zlwk qr0duelwudjh
rssruwxqlw|1 Qrwh wkdw wkh| fuhdwh d elqrpldo odwwlfh ri wkh whup vwuxfwxuh
udwkhu wkdq d elqrpldo surfhvv iru wkh erqg sulfh1
91414

Wkh odwwlfh prgho

Kr dqg Ohh ghqh d vhw ri htxlglvwdqw wudglqj gdwhv vhsdudwhg e| d shulrg ri

 +wkh vwhs vl}h lv wlph ghshqgdqw wr hqvxuh wkdw wkh erqg sulfh frqyhujhv
wr wkh idfh ydoxh dw pdwxulw|,1 Dw wlph 
 / wkh whup vwuxfwxuh lv vhw htxdo
wr wkh fxuuhqwo| revhuyhg whup vwuxfwxuh1 Wkhq/ wkh| lqwurgxfh wzr pdwxulw|
ghshqgdqw shuwxuedwlrq ixqfwlrqv 2  dqg 2W  1 Dw wlph   / wkhuh
lv d gudz ri dq xsvwdwh dqg d grzq vwdwh +wkh gudzv duh l1l1g1 ryhu wlph,/
dqg wkh qhz whup vwuxfwxuh lv htxdo wr wkh ruljlqdo rqh dw wlph  pxowlsolhg
e| wkh shuwxuedwlrq ixqfwlrq 2  zlwk suredelolw| 8 ru e| wkh shuwxuedwlrq
ixqfwlrq 2W   zlwk suredelolw| 
81 Wr hqvxuh wkdw 8 dqg 
8 duh
fruuhfwo| lqwhusuhwhg dv ulvn0qhxwudo suredelolwlhv/ wkh| vhw
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  


8  
87  

+68,

2W   

7
8  
87  

+69,

dqg

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:,


 

 

+6;,

dqg
   2W 

li wkh grzq0vwdwh rffxuv dw wlph 1
91415

Iruzdug udwhv

Wkh rqh shulrg iruzdug udwh/ l1h1 wkh udwh txrwhg dw wlph  iru eruurzlqj
iurp wr   lv jlyhq e|


  
  

 
zklfk fdq eh wudqviruphg lq

   
   

96

8  
87  3

8  
87  3


+6<,

xvlqj +6:, dqg +68, iru wkh xsvwdwh/ dqg lq



8  
87  3

   
   

7
8  
87  3

+73,

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
91416

Vkruw whup udwh

Djjuhjdwlqj +74, ryhu wlph/ zh rewdlq







8  
87  3.
     



8 7  B.
 3.
8




87
.





8  
87 
    


8 7 
B.
8  
87  3

.
dqg xvlqj +5,/





         8  
87


8 7 
B.
.

Glhuhqwldwlqj zlwk uhvshfw wr wlph jlyhv

  
    
 



8  
87

 


8 7  B

8  
87
3
wkdw lv/ wkh lqwhuhvw udwh dw wlph  ghshqgv rq wkh lqwhuhvw udwh rqh shulrg
djr/ wkh uhohydqw vorsh ri wkh |lhog fxuyh/ d frqvwdqw ghshqglqj rq wlph/ 8
dqg 7/ soxv vrph qrlvh1
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
91418

Frqwlqxrxv wlph olplw

Dv vkrzq e| G|eylj +4<;;, dqg Mdpvklgldq +4<<4d,/ lq wkh frqwlqxrxv wlph

htxlydohqw yhuvlrq ri wkh Kr dqg Ohh +4<;9, prgho/ wkh vkruw udwh lv gulyhq
xqghu  e| wkh vwrfkdvwlf glhuhqwldo htxdwlrq
        
zkhuh   lv ghwhuplqlvwlf dqg erxqghg dqg  lv frqvwdqw1 Dv vkrzq e|
Khdwk/ Mduurz/ Pruwrq +4<<5,/ glvfrxqw erqgv sulfhv fdq eh ydoxhg dqdo|wl0
fdoo|=
  3  
 3
3   3
 

  


 
Rswlrqv rq glvfrxqw erqg dovr kdyh dq dqdo|wlfdo vroxwlrq zklfk lv forvh wr
wkh Eodfn dqg Vfkrohv +4<:6, irupxod1 Iru lqvwdqfh/ iru d fdoo rswlrq zlwk
pdwxulw| dqg vwulnh sulfh / rq d erqg zlwk pdwxulw| wlph  / zh kdyh



#     2
  2
   


zlwk


  

     
 

 

2
   



Hxurshdq rswlrqv rq frxsrq0ehdulqj erqgv fdq eh ydoxhg xvlqj wkh vdph

dssurdfk dv Mdpvklgldq +4<;<, lq wkh fdvh ri wkh Ydvlfhn prgho1
91419

Fulwltxhv dqg h{whqvlrqv

E| ghqlwlrq/ wkh Kr dqg Ohh +4<;9, prgho lv d Pdunry dqdo|wlfdoo| wudfwdeoh

prgho wkdw wv shuihfwo| wkh revhuyhg whup vwuxfwxuh1 Exw
98

 lw zloo dozd|v jhqhudwh xszdug vorslqj whup vwuxfwxuhv1

 lw grhv qrw lqfrusrudwh dq| phdq0uhyhuvlrq ihdwxuh1 Uhjdugohvv ri krz
kljk ru orz lqwhuhvw udwhv duh/ wkh dyhudjh gluhfwlrq lq zklfk wkh| pryh
ryhu wkh qh{w shulrg ri wlph lv dozd|v wkh vdph1 Wkxv/ dw h{wuhph
srlqwv/ lqwhuhvw udwhv fdq ehfrph lqqlwh ru qhjdwlyh/ dqg wkh }hur
frxsrq sulfh fdq h{fhhg wkh idfh ydoxh1 Wklv fdq ohdg wr vhulrxv plv0
sulflqj14;
 lw lpsolhv wkdw doo vsrw dqg iruzdug udwhv kdyh wkh vdph lqvwdqwdqhrxv
frqvwdqw vwdqgdug ghyldwlrq   1
 lw lv qrw qhfhvvdulo| duelwudjh0iuhh1
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

915

Khdwk/ Mduurz/ Pruwrq +4<<5,

Khdwk/ Mduurz dqg Pruwrq +4<<5, kdyh vljqlfdqwo| h{whqghg wkh Kr dqg
Ohh +4<;9, prgho lq wkuhh gluhfwlrqv1 Iluvw/ wkh| frqvlghu iruzdug udwhv
udwkhu wkdq erqg sulfhv dv wkhlu edvlf exloglqj eorfnv1 Vhfrqg/ wkh| doorz iru
frqwlqxrxv wudglqj/ zklfk uhvxowv lq d ydoxdwlrq irupxod zklfk lv lqghshqghqw
ri wkh svhxgr suredelolwlhv 8 wkdw zh kdyh lq wkh Kr dqg Ohh prgho 1 Wklug/
wkh| h{whqg lw iurp d rqh idfwru prgho wr doorz iru pxowlsoh idfwruv1
Dowkrxjk wkhlu prgho lv qrw h{solflwo| ghulyhg lq dq htxloleulxp iudph0
zrun/ wkh Khdwk/ Mduurz dqg Pruwrq +4<<5, prgho lv d prgho wkdw h{sodlqv
wkh zkroh whup vwuxfwxuh g|qdplfv lq dq duelwudjh0iuhh iudphzrun lq wkh
4;

Li rqh vhwv xs d erxqgdu| frqglwlrq/ wklv zloo fxw r vrph xqghvludeoh sdwkv lq wkh
wuhh/ dqg wkh yrodwlolw| uhvxowlqj iurp wkh prgho zloo qrw fruuhvsrqg dq|pruh wr wkh lqsxw
gdwd yrodwlol|1

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
           

+75,

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




     
   
   

Dv d erxqgdu| ydoxh dw wlph 3/ zh xvh wkh revhuyhg iruzdug fxuyh W  /

wkdw lv/ iru doo / zh vhw
   W 
E| frqvwuxfwlrq/ wkh prgho zloo shuihfwo| w wkh revhuyhg whup vwuxfwxuh1
Rqh vkrxog qrwh wkdw d gluhfw lpsolfdwlrq lv wkdw wkhuh lv qr vxfk wklqj
dv wkh Khdwk/ Mduurz/ Pruwrq prgho> udwkhu/ wkhuh h{lvwv d zkroh fodvv ri
prghov/ hdfk ehlqj fkdudfwhul}hg e| vshflf ixqfwlrqdo irupv ri wkh guliwv
dqg yrodwlolwlhv1
91514

Uhvwulfwlrqv rq wkh srvvleoh sdudphwhuv ydoxhv

Wkh pdmru uhvxow ri Khdwk/ Mduurz/ Pruwrq lv wkh iroorzlqj sursrvlwlrq zklfk
lv hvvhqwldo iru wkh h{lvwhqfh ri d xqltxh htxlydohqw pduwlqjdoh phdvxuh4< / wkdw
lv/ iru frpsxwlqj wkh sulfh ri frqwlqjhqw fodlpv e| glvfrxqwlqj wkhlu whuplqdo
h{shfwhg ydoxhv1
Sursrvlwlrq : Wkh iroorzlqj frqglwlrqv duh htxlydohqw=
41 wkh pdunhw sulfh ri ulvn  lv lqghshqghqw ri wkh pdwxulw| gdwhv
4<

Duw}qhu dqg Ghoedhq +4<;<, dovr sursrvh d pduwlqjdoh dssurdfk wr prgho wkh whup
vwuxfwxuh ri lqwhuhvw udwhv/ lq zklfk wkh| sulfh glvfrxqw erqgv lq d uvw vwhs dqg frqwlqjhqw
fodlpv lq d vhfrqg rqh1 Khdwk/ Mduurz dqg Pruwrq +4<<5, kdyh rqo| rqh vwhs lq wkhlu
phwkrgrorj| ehfdxvh wkh| wdnh wkh erqg sulfhv dqg iruzdug sulfhv surfhvvhv dv jlyhq1

9:

51 d xqltxh pduwlqjdoh phdvxuh h{lvwv

61 wkh sdudphwhuv    dqg    fdqqrw eh iuhho| vshflhg= guliwv ri
iruzdug udwhv xqghu wkh ulvn0qhxwudo suredelolw| duh hqwluho| ghwhuplqhg
e| wkhlu yrodwlolw| dqg e| wkh pdunhw sulfh ri ulvn
Wkh wklug sduw ri wkh sursrvlwlrq lv suredeo| wkh pdmru frqwulexwlrq ri
wkh Khdwk/ Mduurz/ Pruwrq prgho/ dv lw doorzv wkh prgho wr eh duelwudjh0
iuhh53 / d pdmru lpsuryhphqw ryhu wkh Kr dqg Ohh +4<;9, dqg rwkhu vlplodu
prghov1
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
Wklv sursrvlwlrq lv vlplodu wr wkh duelwudjh frqglwlrq xvhg lq wkh rqh
idfwru prghov1 Exw lw lpsolhv wkdw wkh fkrlfh ri d sduwlfxodu prgho iurp
wkh jhqhudo vshflfdwlrq ri Khdwk/ Mduurz dqg Pruwrq fdq eh uhgxfhg wr
wkh vshflfdwlrq ri wkh yrodwlolw| frh!flhqw1 Iru d sduwlfxodu ulvn suhplxp/
wkh guliw frh!flhqw fdq hdvlo| eh uhwulhyhg xvlqj +76,1 Ixuwkhupruh/ dv wkh
yrodwlolw| lv wkh vdph xqghu wkh ulvn0qhxwudo dqg wkh vxemhfwlyh suredelolw|/
lw fdq eh hvwlpdwhg xvlqj klvwrulfdo gdwd1
Dffrxqwlqj iru wklv qhz qr0duelwudjh frqglwlrq/ htxdwlrq +75, fdq eh
uhzulwwhq dv
 

      
  
      
+77,

53

Lq dgglwlrq wr wklv qr0duelwudjh frqglwlrq/ dgglwlrqdo uhvwulfwlrqv duh riwhq srvwxodwhg1

D uvw qhfhvvdu| frqglwlrq rq wkh yrodwlolw| ixqfwlrq lv wkdw
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

ru htxlydohqwo| lq dq lqwhjudo irup dv


     


  




  %%  
   W 

zkhuh   lv d vwdqgdug Zlhqhu surfhvv1

91515

+78,

Vkruw whup udwh

Vlqfh    / wkh g|qdplfv ri wkh vkruw udwh xqghu wkh klvwrulfdo
suredelolw|
fdq eh rewdlqhg iurp +77, dv





 


     


 <

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,

zkhuh  W lv d vwdqgdug Zlhqhu surfhvv jhqhudwhg e| wkh ulvn0qhxwudo

suredelolw| phdvxuh 1 Dv zh frxog h{shfw/ wkh sulqflsdo gl!fxow| ri hv0
wlpdwlqj d Khdwk/ Mduurz/ Pruwrq prgho zloo dulvh ehfdxvh ri wkh qrq0
Pdunryldq whup lq htxdwlrq +79,/ zklfk ghshqgv rq wkh klvwru| ri wkh surfhvv
iurp wlph  wr wlph 1
91516

Glvfrxqw erqg sulfh

Wkh erqg sulfhv duh frqwdlqhg lq wkh iruzdug udwh lqirupdwlrqv/ dv erqg
sulfhv fdq eh zulwwhq grzq e| lqwhjudwlqj ryhu wkh iruzdug udwh ehwzhhq 
dqg lq whupv ri wkh ulvn0qhxwudo surfhvv1
7

  
3




Wkxv/ dq h{rjhqrxv vshflfdwlrq ri wkh iruzdug udwhv lv htxlydohqw wr d vshfl0

fdwlrq ri wkh erqg sulfhv iru doo pdwxulwlhv1 Lqwhjudwlqj wkh ruljlqdo htxdwlrq
iru wkh iruzdug udwhv  / xvlqj Lwr*v ohppd dqg d jhqhudol}hg yhuvlrq ri
wkh Ixelql*v wkhruhp/ Khdwk/ Mduurz dqg Pruwrq irxqg wkdw
7

7

  
3


7
7 7
    
 



  

wkdw lv/ wkh erqg sulfh g|qdplfv lv jlyhq e|

 
        

 
zlwk


     

  













  %% 

  %%






    

  %%

+7:,

+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
 
91517

Dgglwlrqdo srvvleoh uhvwulfwlrqv wr rewdlq d Pdunryldq prgho

Dv zh phqwlrqhg douhdg|/ prvw prghov ri iruzdug udwhv hyroxwlrq lq wkh

Khdwk/ Mduurz dqg Pruwrq idplo| uhvxow lq qrq Pdunryldq prghov +l1h1 sdwk0
ghshqgdqw, ri wkh vkruw whup lqwhuhvw udwh hyroxwlrq1 Exw qxphulfdo phwkrgv
iru Pdunryldq prghov duh xvxdoo| pruh h!flhqw wkdq wkrvh qhfhvvdu| iru qrq0
Pdunryldq prghov1 Wkxv/ d frpprq/ exw yhu| uhvwulfwlyh frqglwlrq vhw rq
lqwhuhvw udwhv prghov lv wkdw wkh vkruw whup udwh kdv wr eh Pdunryldq +dv wklv
doorzv wkh pdsslqj rq d uhfrpelqlqj odwwlfh,1 Kxoo dqg Zklwh +4<<6, dqg
Fduyhukloo +4<<7/ 4<<8, kdyh vkrzq wkdw wkh htxlydohqw frqglwlrq zdv wkdw
wkh yrodwlolw| ixqfwlrq kdg wr eh ri wkh irup
     ; 
;
zkhuh   dqg ;  duh dssursuldwho| zhoo ehkdyhg ixqfwlrqv54 1
Ulwfknhq dqg Vdqndudvxeudpdqldq +4<<8, kdyh h{whqghg Fduyhukloo +4<<7/
4<<8, uhvxowv vkrzlqj wkdw li wkh yrodwlolwlhv ri iruzdug udwhv zhuh glhuhq0
wldeoh zlwk uhvshfw wr wkhlu pdwxulw| gdwh/ iru dq| jlyhq lqlwldo whup vwuxfwxuh/
d qhfhvvdu| dqg vx!flhqw frqglwlrq iru wkh sulfhv ri doo lqwhuhvw udwh frqwlq0
jhqw fodlpv wr eh frpsohwho| ghwhuplqhg e| d wzr0vwdwh Pdunry surfhvv lv
wkdw wkh yrodwlolw| ri iruzdug udwh lv ri wkh irup
      
3

7



+83,

H{dpsohv ri vxfk yrodwlolw| vwuxfwxuhv duh

      
 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



%

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

zkhuh A  lv d 0ghjuhh sro|qrpldo ixqfwlrq ri % dqg ! lv d qxpehu +erwk wr
eh hvwlpdwhg,/ wkhq/ wkh lqvwdqwdqhrxv vsrw udwh  dqg erqg sulfh  
duh ghwhuplqhg e| d +.5, glphqvlrqdo Pdunryldq vwrfkdvwlf glhuhqwldo
htxdwlrq1 Zkhq wkh yrodwlolw| ri wkh iruzdug udwhv duh ghqhg dv wkh vdph
ixqfwlrq wlphv d ixqfwlrq ri wkh vkruw whup udwh/ l1h1
    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
91518

Sudfwlfdo lpsohphqwdwlrq

Iru sudfwlfdo sxusrvhv/ zkhq rqh xvhv dq Khdwk/ Mduurz/ Pruwrq prgho/ lw
lv qhfhvvdu| wr surfhhg dv iroorzv=
41 vshfli| wkh yrodwlolwlhv   1 Lq wkhru|/ dq| vshflfdwlrq ri   
fdq eh xvhg1 Lq sudfwlfh/ krzhyhu/ rqh vkrxog fkhfn iru wkh frqvh0
txhqfhv ri d sduwlfxodu vshflfdwlrq1 Zh gr qrw qhhg wr vshfli| wkh
iruzdug udwhv guliwv/ dv wkh| zloo eh xqltxho| ghwhuplqhg e|

      



  %%

41 Revhuyh wkh hhfwlyh iruzdug udwh vwuxfwxuh W  iru  1

51 Frpsxwh wkh iruzdug udwh dffruglqj wr




W
     
   
   

61 Frpsxwh erqg sulfhv dffruglqj wr

 
  





 

H{dpsoh < Frqvlghu wkh fdvh ri d frqvwdqw yrodwlolw|     1 Wkh

fruuhvsrqglqj guliw lv       
1 Wkh iruzdug udwh lv jlyhq e|
W

     

 
 

 


 W      
   


:6

Zh kdyh



vr wkdw


  



W       
  
 

 
  







 

 W   3   
  3
3 3
 



 W  

Zh fdq frpsxwh wkh vsrw udwh  dv

     W

   


  


iurp zklfk zh fdq h{wudfw   dqg uhsodfh lw lq wkh erqg sulfh wr rewdlq
  

 W    3
 W 

3   
 3
 3 3





 W  

wkdw lv/ wkh erqg sulfh dv d ixqfwlrq ri 1

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
Kr dqg Ohh +4<;9, Wkh Kr dqg Ohh +4<;9, prgho
        
fruuhvsrqgv wr d frqvwdqw yrodwlolw|
     
Lq Khdwk/ Mduurz/ Pruwrq whupv/ wkh htxlydohqw prgho lv
      
     
 
  
       
 



wkdw lv/ doo iruzdug udwhv duh qrupdoo| glvwulexwhg dqg glvsod| h{dfwo| wkh
vdph yrodwlolw|1
Jhqhudol}hg Kr dqg Ohh Wkh jhqhudol}hg Kr dqg Ohh prgho
        
fruuhvsrqgv wr
      
     

 
  
    
 
 
 




Iruzdug udwhv +dqg lqvwdqwdqhrxv vkruw udwhv, duh qrupdoo| glvwulexwhg1

:8

Ydvlfhn +4<::, Wkh Ydvlfhn +4<::, prgho

  )
   
fruuhvsrqgv wr wkh vshflf iruzdug yrodwlolw| ixqfwlrq
     
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 
)

Jhqhudol}hg Ydvlfhn +4<::, Wkh Kxoo dqg Zklwh prgho

  ) 
   
fruuhvsrqgv wr d vshflf h{srqhqwldoo| ghfd|lqj yrodwlolw|
      / 
zlwk /  
3
prgho lv

7



1 Lq Khdwk/ Mduurz/ Pruwrq whupv/ wkh htxlydohqw



   /  
) / 


 

 



  / 
/ %% 

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
Jhqhudol}hg Fr{/ Lqjhuvroo dqg Urvv +4<;8e, Wkh jhqhudol}hg Fr{/
Lqjhuvroo dqg Urvv +4<;8e, prgho
  ) 
   
:9

fruuhvsrqgv wr


:  
     

zkhuh :  vroyhv wkh iroorzlqj Ulfdwwl htxdwlrq
'(
    :     ) 

'

:     

Wklv htxdwlrq kdv qr dqdo|wlf vroxwlrq/ exw lv zhoo vwxglhg qxphulfdoo|1 Lq

Khdwk/ Mduurz/ Pruwrq whupv/ wkh htxlydohqw prgho lv
 
) : 
   :   

916

Pxowlidfwru jhqhudol}dwlrq ri wkh Khdwk/ Mduurz/

Pruwrq +4<<5,

Pxowlidfwru jhqhudol}dwlrqv ri wkh Khdwk/ Mduurz/ Pruwrq +4<<5, prgho kdyh

ehhq ghyhorshg lq wkh olwhudwxuh dv
       




    



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
   






      






   

Wkhuh h{lvw d 0idfwru pduwlqjdoh uhsuhvhqwdwlrq wkhruhp zklfk lv vlplodu

wr wkh rqh0idfwru prgho uhsuhvhqwdwlrq wkhruhp1 Lq wklv frqwh{w/ Mdpvklgldq
+4<<4, dovr lqwurgxfhg d iruzdug ulvn0dgmxvwhg phdvxuh lq rughu wr idflol0
wdwh wkh fdofxodwlrq ri forvhg irup vroxwlrqv iru Hxurshdq vw|oh lqwhuhvw udwh
frqwlqjhqw fodlpv1
Sduwlfxodu fdvhv ri vxfk pxowlidfwru prghov kdyh d ghwhuplqlvwlf yrodwlolw|
vwuxfwxuh   1 Wkh| duh fdoohg Jdxvvldq prghov/ dv iruzdug udwhv
ehfrph qrupdoo| glvwulexwhg dqg erqg sulfhv duh qrupdoo| glvwulexwhg 56
dqg kdyh dqdo|wlfdo h{suhvvlrqv lq vrph flufxpvwdqfhv1
Iru lqvwdqfh/ Khdwk/ Mduurz dqg Pruwrq +4<<5, sursrvh d wzr idfwru
prgho zklfk lv edvlfdoo| d frpelqdwlrq ri d Kr dqg Ohh +4<;;, dqg Ydvlfhn
+4<::,/ lq zklfk
      
      
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


917

Jrogvwhlq +4<<:,/ Nhqqhg| +4<<:,

Jrogvwhlq +4<<:, dqg Nhqqhg| +4<<:, uhfhqwo| lqwurgxfhg d qhz prgho ri

wkh whup vwuxfwxuh edvhg rq udqgrp hogv1 Wklv lv dq lqqlwh idfwru prgho
lq zklfk wkh iruzdug udwh iroorzv wkh iroorzlqj glxvlrq
           
Wkh lqqrydwlrq lv wkh iroorzlqj= fruuhvsrqglqj wr hdfk pdwxulw| gdwh / wkhuh
lv rqh xqltxh Eurzqldq prwlrq  / zlwk wkh fkdudfwhulvwlfv wkdw  
grhv qrw fruuhvsrqg wr dq| olqhdu frpelqdwlrq ri d qlwh qxpehu ri rwkhu
Eurzqldq prwlrqv   /   1 Wkh udqgrp hog lv fkdudfwhul}hg e| wkh
fruuhodwlrq
    #D    
Dv lq wkh Khdwk/ Mduurz/ Pruwrq +4<<5, fdvh/ wkh guliw frh!flhqw    lv
frpsohwho| ghwhuplqhg e| wkh yrodwlolw| vwuxfwxuh    dqg wkh fruuhodwlrq
vwuxfwxuh #D    1
Xqiruwxqdwho|/ qr sduwldo glhuhqwldo htxdwlrq h{lvwv +|hw $, iru lqwhuhvw
udwh frqwlqjhqw fodlpv1

Hpslulfdo dvvhvvphqw ri dowhuqdwlyh prghov

Wkh hpslulfdo lvvxhv uhodwlyh wr wkh shuirupdqfh ri dowhuqdwlyhv whup vwuxfwxuh

prghov duh odujh hqrxjk wr fdoo iru d vhsdudwh vxuyh|1 Lq wkh iroorzlqj/ zh zloo
eulh | uhylhz vrph ri wkh lvvxhv wkdw kdyh ehhq dgguhvvhg lq wkh hpslulfdo
zrun wr gdwh dqg wkhlu pdmru qglqjv1 Zlwkrxw glvfxvvlqj lpsohphqwdwlrq
ghwdlov/ prghov ri wkh whup vwuxfwxuh fdq eh whvwhg lq wkuhh glhuhqw zd|v=
 gluhfwo|/ xvlqj d furvv0vhfwlrq dfurvv erqgv ri glhuhqw pdwxulwlhv1
Wklv whfkqltxh kdv wkh dgydqwdjh ri h{solflwo| lghqwli|lqj wkh pdunhw
sulfh ri ulvn/ exw pdnhv lw gl!fxow wr whvw iru d zkroh fodvv ri prghov
lq d qhvwhg idvklrq1
:<

 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
 lqgluhfwo|/ wkurxjk edvhg rq dowhuqdwlyh prghov uhvxowv lq sulflqj ru
khgjlqj lqwhuhvw udwh frqwlqjhqw fodlpv/ ru wkurxjk dq h{dplqdwlrq ri
krz zhoo gr prghov w wkh whup vwuxfwxuh ri lqwhuhvw udwhv ru wkh whup
vwuxfwxuh ri yrodwlolwlhv1
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 Dw 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=
 uvw/ wkh fxuuhqw whup vwuxfwxuh lv pdwfkhg e| frqvwuxfwlrq/ zlwkrxw
uhtxlulqj dq duelwudu| wlph0ydu|lqj sdudphwhu1
 vhfrqg/ lw dvvxphv qrwklqj uhjduglqj lqyhvwruv suhihuhqfhv/ dqg lw |lhogv
d sulflqj ixqfwlrq wkdw lv xqltxho| ghwhuplqhg e| wkh vshflfdwlrq ri wkh
yduldqfh vwuxfwxuh ri lqwhuhvw udwhv fkdqjhv/ dv wkh yrodwlolw| sdudphwhu
59

D fds lv d sruwirolr ri lqghshqghqw rswlrqv/ zkloh d vzdswlrq lv dq rswlrq rq sruwirolr

ri udwhv dqg wkhuhiruh ghshqgv rq wkh lpshuihfw fruuhodwlrq ehwzhhq wkhp1 Dv vlqjoh idfwru
prghov dvvxph shuihfw lqvwdqwdqhrxv fruuhodwlrqv ehwzhhq doo udwhv/ wkh| fdq dffrxqw iru
doo wkh fds sulfhv/ exw qrw iru dq| vzdswlrq vlpxowdqhrxvo|1 Dv vkrzq e| Uherqdwru dqg
Frrshu +4<<9,/ wzr0idfwru prghov gr qrw gr pxfk ehwwhu= wkh| fdq pdwfk doo fds sulfhv/
soxv rqh vzdswlrq1

;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
 Dw Vdkdold \1 +4<<9,/ Whvwlqj frqwlqxrxv wlph prghov ri wkh vsrw lqwhuhvw
udwh/ Uhylhz ri Ilqdqfldo Vwxglhv/ yro1 </ ss1 6;80759

 Dplq N1/ Pruwrq D1 +4<<7,/ Lpsolhg yrodwlolw| ixqfwlrqv lq duelwudjh0iuhh

whup vwuxfwxuh prghov/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 68/ ss1 4740
4;3

 Duqrog O1 +4<:6,/ Vwrfkdvwlf glhuhqwldo htxdwlrqv/ Mrkq Zloh| dqg Vrqv/

Qhz \run

 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

 Edfn N1 +4<<:,/ \lhog fxuyh prghov= d pdwkhpdwlfdo uhylhz/ Zrunlqj

sdshu/ Xqlyhuvlw| ri Vdlqw0Orxlv

 Edfnxv G1/ Iruhvl V1/ Whophu F1 +4<<9,/ D!qh prghov ri fxuuhqf| sulfhv/
Zrunlqj sdshu/ Qhz0\run Xqlyhuvlw|

 Edku U1/ Fklduhood F1 +4<<:,/ Wudqvirupdwlrq ri Khdwk/ Mduurz/ Pruwrq

prghov wr Pdunryldq v|vwhpv/ Wkh Hxurshdq Mrxuqdo ri Ilqdqfh/ yro1 6/
ss1 4059

 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

 Ed{whu P1/ Uhqqlh D1 +4<<9,/ Ilqdqfldo fdofxoxv/ Fdpeulgjh Xqlyhuvlw|

Suhvv

;8

 Emrun W1 +4<<9,/ Lqwhuhvw udwh wkhru|/ F1L1P1H1 Ohfwxuh qrwhv lq Pdwkh0

pdwlfv/ Vsulqjhu

 Eodfn I1 +4<:9,/ Wkh sulflqj ri frpprglw| frqwudfwv/ Mrxuqdo ri Ilqdqfldo

Hfrqrplfv/ yro1 6/ Pdufk/ ss1 49:04:<

 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<:<,/ D frqwlqxrxv wlph dssurdfk wr wkh

sulflqj ri erqgv/ Mrxuqdo ri Edqnlqj dqg Ilqdqfh/ yro1 6/ ss1 4680488

 Euhqqdq P1M1/ Vfkzduw} H1V1 +4<;3,/ Dqdo|}lqj frqyhuwleoh erqgv/ Mrxuqdo

ri Ilqdqfldo dqg Txdqwlwdwlyh Dqdo|vlv/ yro1 48/ ss1<3:0<5<

 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/ Vfkeho 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

 Exkohu Z1/ ]lpphupdqq K1 +4<<9,/ D vwdwlvwlfdo dqdo|vlv ri wkh whup vwuxf0

wxuh ri lqwhuhvw udwhv lq Vzlw}huodqg dqg Jhupdq|/ Mrxuqdo ri Il{hg Lqfrph/
Ghfhpehu/ ss1 8809:

 Exujkdugw J1/ Krvnlqv E1 +4<<8,/ D txhvwlrq ri eldv/ ULVN/ Pdufk

 Exvhu V1/ Khqghuvkrww S/ Vdqghuv D +4<<3,/ Ghwhuplqdqwv ri wkh ydoxh ri
wkh fdoo rswlrq rq ghidxow iuhh erqgv/ Mrxuqdo ri Exvlqhvv/ yro1 96/ qr 4

 Fduudeduur +4<<8,/ Zkhuh gr rqh idfwru lqwhuhvw udwh prghov idlo B/ Mrxuqdo
ri Il{hg Lqfrph/ Vhswhpehu/ ss1 6084

 Fduyhukloo D1 +4<<6,/ D vlpsolhg h{srvlwlrq ri wkh Khdwk/ Mduurz dqg Pru0

wrq prgho/ Zrunlqj sdshu/ Krqj Nrqj Xqlyhuvlw| ri Vflhqfh dqg Whfkqro0
rj|/ wr dsshdu lq Vwrfkdvwlfv dqg Vwrfkdvwlfv Uhsruw

 Fduyhukloo D1 +4<<7,/ D elqrpldo surfhgxuh iru whup vwuxfwxuh rswlrqv=

zkhq lv wkh vkruw udwh Pdunryldq B/ Pdwkhpdwlfdo Ilqdqfh/ yro 7/ qr 7/ ss1
6380645

 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 Dqguhz/ Orqjvwd Iudqflv/ Vdqghuv Dqwkrq| +4<<5d,/

Dq hpslulfdo frpsdulvrq ri dowhuqdwlyh prghov ri wkh vkruw whup lqwhuhvw
udwh/ Mrxuqdo ri Ilqdqfh/ yro1 7:/ ss1 453<0455:

;:

 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 O1 +4<<7,/ Hvvd|v rq wkh Fdslwdo Pdunhwv/ Sk1G1 glvvhuwdwlrq/ Nhqqhg|

Vfkrro ri Jryhuqphqw/ Kduydug Xqlyhuvlw|

 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

 Fkhq U1U1/ Vfrww O1 +4<<6,/ Pd{lpxp olnholkrrg hvwlpdwlrq iru d pxowl0

idfwru htxloleulxp prgho ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Mrxuqdo ri
Il{hg Lqfrph/ yro1 6/ qr 6/ Ghfhpehu/ ss1 47065

 Fkhq O1 +4<<9,/ Vwrfkdvwlf phdq dqg vwrfkdvwlf yrodwlolw|= d wkuhh idfwru

prgho ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv dqg lwv dssolfdwlrq wr wkh sulflqj
ri lqwhuhvw udwh ghulydwlyhv/ Eodfnzhoo sxeolvkhuv

 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

 Fohzorz O1M1/ Vwulfnodqg F1U1 +4<<7,/ Sdudphwhu hvwlpdwlrq lq wkh wzr

idfwru Orqjvwd dqg Vfkzduw} lqwhuhvw udwh prgho/ Mrxuqdo ri Il{hg Lqfrph/
yro1 6/ qr1 7/ ss1 <80433

 Frqvwdqwlqlghv J1/ Lqjhuvroo M1H1 +4<;7,/ Rswlpdo erqg wudglqj zlwk shu0
vrqdo wd{hv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 46/ ss1 9:409;7

 Frqvwdqwlqlghv J1 +4<<5,/ D wkhru| ri wkh qrplqdo vwuxfwxuh ri lqwhuhvw

udwhv/ Uhylhz ri Ilqdqfldo Vwxglhv/ yro1 8/ ss1 8640885

 Frxuwdgrq J1 +4<;5,/ Wkh sulflqj ri rswlrqv rq ghidxow0iuhh erqgv/ Mrxuqdo

ri Ilqdqfldo dqg Txdqwlwdwlyh Dqdo|vlv/ yro1 4:/ ss1 :80433

;;

 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 +4<:8,/ Qrwhv rq rswlrq sulflqj L= frqvwdqw hodvwlflw| ri yduldqfh

glxvlrqv/ Vwdqirug Xqlyhuvlw| Zrunlqj Sdshu

 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<;4,/ D uhh{dplqdwlrq ri wudglwlrqdo

k|srwkhvlv derxw wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Mrxuqdo ri Ilqdqfh/
yro1 69/ ss1 :9<0:<<

 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:

 Gdkotxlvw P1 +4<<7,/ Rq dowhuqdwlyh lqwhuhvw udwh surfhvvhv/ Zrunlqj sd0

shu/ Vwrfnkrop Xqlyhuvlw|

 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 Mrqj I1 +4<<:,/ Wlph vhulhv dqg furvv0vhfwlrq lqirupdwlrq lq d!qh whup

vwuxfwxuh prghov/ Fhqwhu iru Hfrqrplf Uhvhdufk Zrunlqj Sdshu <:;9/ Rf0
wrehu

 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

 Gx!h G1/ Vlqjohwrq N1 +4<<6,/ Vlpxodwhg prphqwv hvwlpdwlrq ri Pdunry

prghov ri dvvhw sulfhv/ Hfrqrphwulfd/ yro1 94

 Gxqq N1E1/ PfFrqqho M1M1 +4<;4,/ Ydoxdwlrq ri JQPD pruwjdjh edfnhg

vhfxulwlhv/ Mrxuqdo ri Ilqdqfh/ yro1 69/ ss1 8<<0949

 Ho Ndurxl Q1/ Odfrvwh Y1 +4<<5,/ Pxowlidfwru prghov ri wkh whup vwuxfwxuh

ri lqwhuhvw udwhv/ zrunlqj sdshu/ Mxqh/ Xqlyhuvlw| ri Sdulv YL

 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

 Irqj K1J1/ Ydvlfhn R1D1 +4<<4,/ Lqwhuhvw udwh yrodwlolw| dv d vwrfkdvwlf

idfwru/ Jlrug Irqj Dvvrfldwhv zrunlqj sdshu

 Iohvdnhu E1 +4<<6,/ Whvwlqj wkh Khdwk/ Mduurz/ Pruwrq2Kr0Ohh prgho ri lq0

whuhvw udwh frqwlqjhqw fodlpv sulflqj/ Mrxuqdo ri Ilqdqfldo dqg Txdqwlwdwlyh
Dqdo|vlv/ yro 5;/ qr 7/ Ghfhpehu/ ss1 7;607<8

<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/ Uhqdxow H1 +4<<8,/ Lqgluhfw Lqihuhqfh hvwlpdwlrq ri

idfwru prghov ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Zrunlqj sdshu/ Iuhqfk
Ilqdqfh Dvvrfldwlrq/ Jhqhyd

 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<<4,/ Il{hg lqfrph yrodwlolw| pdqdjhphqw/

Mrxuqdo ri Sruwirolr Pdqdjhphqw/ Vxpphu/ ss 74079

 Irqj K1J1/ Ydvlfhn R1D1 +4<<5d,/ Rplvvlrq lpsrvvleoh/ Ulvn/ yro1 8/ qr1
5/ ss1 95098

 Irqj K1J1/ Ydvlfhn R1D1 +4<<5e,/ Lqwhuhvw udwh yrodwlolw| dv d vwrfkdvwlf

idfwru/ Jlrug Irqj Dvvrfldwhv/ Zrunlqj sdshu

 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,/ Wkh whup vwuxfwxuh ri lqwhuhvw udwhv dv d udqgrp

hog/ zrunlqj sdshu/ Rklr Vwdwh Xqlyhuvlw|

 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|/

 Kduulvrq P1M1/ Nuhsv G1P1 +4<:<,/ Pduwlqjdohv dqg duelwudjh lq pxowl0

shulrg vhfxulwlhv pdunhwv/ Mrxuqdo ri Hfrqrplf Wkhru|/ yro1 53/ ss1 6;40
73;

 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

 Khvwrq V1 +4<;<,/ Whvwlqj frqwlqxrxv wlph prghov ri wkh whup vwuxfwxuh ri

lqwhuhvw udwhv/ Vfkrro ri Rujdqlvdwlrq dqg Pdqdjhphqw/ \doh Xqlyhuvlw|

 Khlwpdqq I1/ Wudxwpdqq V1+4<<8,/ Jdxvvldq pxowlidfwru lqwhuhvw udwh prg0

hov= wkhru|/ hvwlpdwlrq dqg lpsolfdwlrq iru rswlrq sulflqj/ Zrunlqj sdshu/
Xqlyhuvlw| ri Pdlq}

 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 +4<<6,/ Sureohpv lq fhuwdlq wzr idfwru whup vwuxfwxuh prghov/

Dqqdov Dsso1 Suredelolw|/ yro1 6/ qr 5/ ss1 8:908;4

 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

 Kxoo M1/ Zklwh D1 +4<<7d,/ Qxphulfdo surfhgxuhv iru lpsohphqwlqj whup

vwuxfwxuh prghov L= vlqjoh idfwru prghov/ Mrxuqdo ri Ghulydwlyhv/ Idoo/ ss1
:049

<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

 Mdpvklgldq I1 +4<;:,/ Sulflqj ri frqwlqjhqw fodlpv lq wkh rqh idfwru whup

vwuxfwxuh prgho/ Phuuloo O|qfk Fdslwdo Pdunhwv

 Mdpvklgldq I1 +4<;<,/ Dq h{dfw erqg rswlrq irupxod/ Mrxuqdo ri Ilqdqfh/

yro1 77/ ss1 538053<

 Mdpvklgldq I1 +4<<3,/ Wkh suhihuhqfh0iuhh ghwhuplqdwlrq ri erqg dqg rs0

wlrq sulfhv iurp wkh vsrw lqwhuhvw udwh/ Dgydqfhv lq Ixwxuhv dqg Rswlrqv
Uhvhdufk/ yro1 7/ ss1 8409:

 Mdpvklgldq I1 +4<<4d,/ Erqg dqg rswlrq hydoxdwlrq lq wkh Jdxvvldq lqwhuhvw

udwh prgho dqg lpsohphqwdwlrq/ Uhvhdufk lq Ilqdqfh/ yro1 </ ss1 46404:3

 Mdpvklgldq I1 +4<<4e,/ Iruzdug lqgxfwlrq dqg frqvwuxfwlrq ri |lhog fxuyh

glxvlrq prghov/ Wkh Mrxuqdo ri Il{hg Lqfrph/ ss1 950:7

 Mdpvklgldq I1 +4<<6d,/ Erqg/ ixwxuhv dqg rswlrq hydoxdwlrq lq wkh txdgudwlf

lqwhuhvw udwh prgho/ plphr/ Ixml Edqn/ Orqgrq

 Mdpvklgldq I1 +4<<6e,/ D vlpsoh fodvv ri vtxduh urrw lqwhuhvw udwh prghov/

Uhvhdufk Gxfxphqw/ Ixml Lqwhuqdwlrqdo Ilqdqfh

 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

 Mrkqvrq Q1O1/ Nrw} V1 +4<:3,/ Frqwlqxrxv xqlyduldwh glvwulexwlrqv/ Krxjkwrq

Pl"lq Fr1/ Ervwrq/ Pdvv1

<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;

 Odqjhwlhj W1F1 +4<<3,/ D pxowlyduldwh prgho ri wkh whup vwuxfwxuh/ Mrxu0

qdo ri Ilqdqfh/ yro1 68/ ss1 :40<:

 Olwwhupdq U1/ Vfkhlqnpdq +4<<4,/ Frpprq idfwruv dhfwlqj erqg uhwxuqv/

Mrxuqdo ri Il{hg Lqfrph/ Mxqh/ ss1 87094

 Orqjvwd I1 +4<;<,/ D qrqolqhdu jhqhudo htxloleulxp prgho ri wkh whup

vwuxfwxuh ri lqwhuhvw udwhv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 56/ ss1
4<80557

 Orqjvwd I1 +4<<3,/ Wkh ydoxdwlrq ri rswlrqv rq |lhogv/ Mrxuqdo ri Ilqdq0

fldo Hfrqrplfv/ yro1 59/ ss1 <:0456

 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

 Orqjvwd I1/ Vfkzduw} H1 +4<<6,/ Lpsohphqwdwlrq ri wkh Orqjvwd0Vfkzduw}

lqwhuhvw udwh prgho/ Mrxuqdo ri Il{hg Lqfrph/ Vhswhpehu/ ss1 :047

 Pduvk W1/ Urvhqihog H1 +4<;6,/ Vwrfkdvwlf surfhvvhv iru lqwhuhvw udwhv dqg
htxloleulxp erqg sulfhv/ Mrxuqdo ri Ilqdqfh/ yro1 6;/ ss1 9680979

 Phuwrq U1F1 +4<:6,/ Wkhru| ri udwlrqdo rswlrq sulflqj/ Ehoo Mrxuqdo ri

Hfrqrplfv dqg Pdqdjhphqw Vflhqfh/ yro1 7/ ss1 47404;6

 Plowhuvhq N1 +4<<6,/ Dq hpslulfdo vwxg| ri wkh whup vwuxfwxuh ri lqwhuhvw

udwhv/ Vfdqglqdyldq Mrxuqdo ri Pdqdjhphqw/ yro1 </ ss1 5<079/ Vxssoh0

phqwdu| lvvxh= Surfhhglqjv ri wkh Qruglf V|pskrvlxp rq frqwlqjhqw fodlpv
dqdo|vlv lq Ilqdqfh

 Plowhuvhq N1 +4<<7,/ Dq duelwudjh wkhru| ri wkh whup vwuxfwxuh ri lqwhuhvw

udwhv/ Wkh dqqdov ri dssolhg suredelolw|/ yro1 7/ qr 7/ ss1 <860<9:

 Plowhuvhq N1U1/ Vdqgpdqq N1/ Vrqghupdqq G1 +4<<7,/ Forvhg irup whup

vwuxfwxuh ghulydwlyhv lq d Khdwk/ Mduurz dqg Pruwrq prgho zlwk orjqrupdo
dqqxdoo| frpsrxqghg lqwhuhvw udwhv/ Surfhhglqjv ri wkh vhyhqwk dqqxdo
Hxurshdq ixwxuhv uhvhdufk v|pskrvlxp/ Erqq/ Vhswhpehu/ ss1 4780498

<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

 Pruwrq D1M1 +4<;;,/ Duelwudjh dqg pduwlqjdohv/ Whfkqlfdo Uhsruw ;54/

Vfkrro ri Rshudwlrq Uhvhdufk dqg Lqgxvwuldo Hqjlqhhulqj/ Froohjh ri Hqjl0

qhhulqj/ Fruqhoo Xqlyhuvlw|/ Lwkdfd/ Qhz0\run

 Pxvlhod P1/ Uxwnrzvnl P1 +4<<9,/ Frqwlqxrxv wlph whup vwuxfwxuh prghov/

xqsxeolvkhg zrunlqj sdshu

 Pxvlhod P1/ Vrqghupdqq G1 +4<<:,/ Glhuhqw g|qdplfdo vshflfdwlrqv ri

wkh whup vwuxfwxuh ri lqwhuhvw udwhv dqg wkhlu lpsolfdwlrqv/ zrunlqj sdshu1

 Qrzpdq N1E1 +4<<:,/ Jdxvvldq hvwlpdwlrq ri vlqjoh idfwru frqwlqxrxv wlph

prghov ri wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Wkh Mrxuqdo ri Ilqdqfh/ yro1
OLL/ qr 7/ Vhswhpehu/ ss1 49<804:39

 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

 Udpdvzdp| N1/ Vxqgduhvdq V1 +4<;9,/ Wkh ydoxdwlrq ri rdwlqj udwh lq0

vwuxphqwv/ Mrxuqdo ri Ilqdqfldo hfrqrplfv/ yro1 4:/ ss1 58405:5

 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|
 Uhqgohpdq U1/ Eduwwhu E1 +4<;3,/ Wkh sulflqj ri rswlrqv rq ghew vhfxulwlhv/
Mrxuqdo ri Ilqdqfldo dqg Txdqwlwdwlyh Dqdo|vlv/ yro1 48/ Pdufk/ ss1 44057

 Uhyx} / \ru P1 +4<<4,/ Frqwlqxrxv pduwlqjdohv dqg Eurzqldq prwlrq/

Vsulqjhu Yhuodj

 Ulfkdug V1 +4<:;,/ Dq duelwudjh prgho ri wkh whup vwuxfwxuh ri lqwhuhvw

udwhv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 9/ ss1 6608:

 Ulwfknhq S1/ Vdqndudvxeudpdqldq O1 +4<<8,/ Yrodwlolw| vwuxfwxuh ri iruzdug

udwhv dqg wkh g|qdplfv ri wkh whup vwuxfwxuh/ Pdwkhpdwlfdo Ilqdqfh/ yro1
8/ ss1 880:5

<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;;

 Urjhuv O1F1J1/ Zklfk prgho iru whup0vwuxfwxuh ri lqwhuhvw udwhv vkrxog

rqh xvh B/ lq= Pdwkhpdwlfdo Ilqdqfh/ Gdylv/ Gx!h/ Iohplqj/ Vkuhyh +hgv,/
Vsulqjhu/ yro1 98/ ss1 <60448

 Vdqgpdqq N1/ Vrqghupdqq G1 +4<<6d,/ D whup vwuxfwxuh prgho dqg wkh

sulflqj ri lqwhuhvw udwh ghulydwlyhv/ Wkh Uhylhz ri Ixwxuhv Pdunhwv/ yro1
45/ qr 5/ ss1 6<40756

 Vdqgpdqq N1/ Vrqghupdqq G1 +4<<6e,/ Rq wkh vwdelolw| ri orj0qrupdo lq0

whuhvw udwh prghov/ glvfxvvlrq sdshu E0596/ Xqlyhuvlw| ri Erqq/ Ghfhpehu

 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

 Vfkdhihu V1P1/ Vfkzduw} H1V1 +4<;:,/ Wlph0ghshqgdqw yduldqfh dqg wkh

sulflqj ri erqg rswlrqv/ Mrxuqdo ri Ilqdqfh/ yro1 75/ ss1 44460445;

 Vhoe| P1M1S1/ Vwulfnodqg F1U1 +4<<8,/ Frpsxwlqj wkh Irqg dqg Ydvlfhn

sxuh glvfrxqw erqg irupxod/ Mrxuqdo ri Il{hg Lqfrph/ Vhswhpehu/ ss1 :;0
;7

 Vwdpedxjk U1 +4<;;,/ Wkh lqirupdwlrq lq iruzdug udwhv= lpsolfdwlrqv iru

prghov ri wkh whup vwuxfwxuh/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 54/ ss1
740:3

 Vwdqwrq U1 +4<::,/ D qrq sdudphwulf prgho ri whup vwuxfwxuh g|qdplfv

dqg wkh pdunhw sulfh ri lqwhuhvw udwh ulvn/ Zrunlqj sdshu/ X1F1O1D1

 Vwulfnodqg F1U1 +4<<6,/ Lqwhuhvw udwh yrodwlolw| dqg wkh whup vwuxfwxuh ri lq0
whuhvw udwhv/ Suhsulqw <62<:/ Ilqdqfldo Rswlrqv Uhvdhufk Fhqwhu/ Xqlyhuvlw|
ri Zduzlfn

 Vwulfnodqg F1U1 +4<<9,/ D frpsdulvrq ri prghov iru sulflqj lqwhuhvw udwhv

ghulydwlyhv/ Wkh Hxurshdq Mrxuqdo ri Ilqdqfh/ yro1 5/ ss1 4360456

 Vxqgduhvdq V1 +4<;<,/ Ydoxdwlrq ri vzdsv/ Zrunlqj sdshu/ Xqlyhuvlw| ri

Froxpeld

<9

 Wxuqexoo V1P1/ Ploqh I1 +4<<4,/ D vlpsoh dssurdfk wr lqwhuhvw udwh rswlrq

sulflqj/ Uhylhz ri Ilqdqfldo Vwxglhv/ yro1 7/ ss1 ;:0453

 Ydvlfhn R1 +4<::,/ Dq htxloleulxp fkdudfwhul}dwlrq ri wkh whup vwuxfwxuh/

Mrxuqdo ri Ilqdqfldo Hfrqrplfv/ yro1 8/ ss1 4::04;;

<: