经典风险模型的推广

本文将经典风险模型的盈余过程推广为一谱正L\'evy过程与一从属L\'evy过程的差,利用L\'evy过程的性质和鞅方法, 得到破产概率的一些结果.对一类谱负的L\'evy过程研究了它的首达时的性质并得出了生存概率的Pollaczek-Khinchin公式.     

二参数L{\'e}vy区域在Holder 范数下的局部Strassen重对数律

利用大偏差,得到了二参数L\'evy区域在H\"older 范数下的局部Strassen重对数律.     

稳定分布及其在金融中的应用

本文较为详细地介绍了稳定分布的一些基本性质, 并通过股票指数收益率的稳定化PP图和直方图发现其具有高峰厚尾特征\bd 统计分析表明, 用稳定分布去刻画收益率分布的比其它分布更加有效\bd 最后介绍了稳定分布在金融风险度量应用中的有效性.     

银行业如何影响房地产业?Copula分位数回归及预测方法

众所周知,房地产业与银行业是高度相关的,如何确定银行业股票收益率对房地产业股票收益率的影响以及如何根据银行业股票收益率预测房地产业股票收益率的波动是非常重要的问题。本文首先使用Copula分位数回归建立了银行业股票收益率对房地产业股票收益率的回归模型,并且给出了Copula分位数回归基础上的CopuIa选择新标准,即分位数损失函数距离意义下的Copula函数选择准则,依据该准则我们选取Clayton Copula分位数回归模型刻画了低迷时期银行业股票收益率如何影响房地产业股票收益率,并据此对房地产业股票收益率的波动进行了预测     

基于股票评论的投资者情绪对持有股票收益影响的研究

投资者行为易受互联网舆论的影响,进而造成股票收益的波动.分析投资者情绪对股票收益的影响方式有利于投资者规避投资风险,促进我国股票市场稳定发展.基于东方财富股吧2020年7月至2021年2月上证股票的评论数据,利用加权朴素贝叶斯分类模型构建了投资者情绪因子,并对情绪因子的构建方式进行了改进.随后将情绪因子引入中国版Fama-French三因子模型,针对单只股票和持股期为1个月的投资组合,基于线性回归、长短期记忆神经网络模型,从线性、非线性两个角度研究了投资者情绪对其持有股票收益率的影响.结果表明,投资者情绪对股票收益率具有非线性的正向影响.前一日的投资者情绪会对当日股票收益产生影响,投资者在研究期望收益率时需予以考虑.     

上证指数周收益率分布的分段高斯性

以往的研究显示股票收益率往往有厚尾的特性,在本文中,我们假设收益率服从不同的分布,所以我们将数据分段,用两种方法对数据进行分段分布拟合.第一种方法是假设这三段数据服从相同均值,但不同方差的正态分布;第二种方法是假设这三段数据服从均值和方差均不相同的正态分布.在这两种假设下,对于每一小段,用最小二乘原理得到了相应分布的参数值.最后利用K-S检验进行验证.结果显示,上证指数周收益率服从分段正态分布.     

条件VaR理论的应用与研究

本文是在假定股票的价格和收益率服从二维正态分布的基础上,对条件VaR进行研究.首先,利用条件分布的理论,推倒出在给定一定股票价格时,股票收益率的条件分布;然后,在此基础上,进一步推倒出条件VaR的一般计算公式;最后,根据沪深两市的实际股票数据进行了实证计算.     

具有连续红利的幂型欧式期权定价

在等价鞅测度框架下,讨论了在期权到期时刻具有连续红利支付的幂型股票欧式期权的定价公式.这里我们假设市场无风险利率,股票预期收益率,股价波动率以及股票红利率都是时间的确定性函数.     

政策型主题投资策略及其影响因素的实证研究——基于资金流影响的分析

以22个政策型主题为样本,运用事件研究法和回归分析法,实证检验了政策型主题投资策略的的超额收益率及其影响因素.结果显示,政策型主题存在显著正向的累计超额收益率.通过分析计超额收益影响因素发现,政策型主题投资策略在股市上涨周期特别是震荡上涨的情况下作用明显,在股票筛选上,应重点考虑因正式决议形成的政策型主题下的且在事件前一日股票上涨幅度较大的低价股.考虑资金流的影响后,发现政策型主题中在主题形成前8周至前7周左右的资金净主动买入额较高的,而在前4周至前3周净主动买入量占比较低的股票会在政策型主题形成后拥有更高更稳定的超额收益.     

复合白噪声驱动的输运方程

本文在现有Gauss白噪声理论体系及L\'{e}vy纯跳白噪声理论体系的基础上,讨论了复合L\'{e}vy白噪声分析的框架,并将Wick乘积、Hermite变换等概念推广到复合L\'{e}vy白噪声空间,同时给出了与复合L\'{e}vy白噪声空间对应的Hida分布空间的特征定理.最后, 在本文的理论框架下, 详细讨论了由复合\,L\'{e}vy白噪声驱动的随机输运方程在Hida分布空间中的解及其结构.     

A pricing model for clearing end-of-season retail inventory

The problem of setting prices for clearing retail inventories of fashion goods is a difficult task that is further exacerbated by the fact that markdowns enacted near the end of the selling season have a smaller impact on demand. In this article, we present discrete-time models for setting clearance prices in such an environment. When demand is deterministic, we compute optimal prices and show that decreasing reservation prices lead to declining optimal prices. When demand is stochastic and arbitrarily correlated across planning periods, we obtain bounds on the optimal expected revenue and on optimal prices. We also develop a heuristic procedure for finding near-optimal prices and test its accuracy through numerical experiments. These experiments reveal new insights for practitioners. For example, the penalty for choosing clearance price once and keeping it unchanged for the remainder of the selling season is found to be small when either the mean reservation prices do not change appreciably over time or when they drop sharply after the first period.     

Economic planning with institutional price constraints for a decentralized economy

This paper describes the relationship between market prices and shadow prices when the economy has general types of institutional price constraints. We consider a decentralized linear economy where market prices quide the decentralized behavior of each activity and the shadow prices measure the social values of resources. To measure the social values, we introduce a social objective criterion. Hence, our approach could be regarded as a central economic price control with institutional price constraints for a decentralized economy. A simple example is employed to graphically illustrate the wedges between market prices and shadow prices. It has been shown that our problem can be solved through mixed integer linear programming techniques.     

Competing trade mechanisms and monotone mechanism choice

We investigate the choice between posted prices and auctions of competing sellers with private valuations. Assuming that buyers face higher hassle costs in auctions, we show the existence of monotone pure strategy equilibria where sellers offer posted prices rather than auctions if and only if they have a sufficiently high reservation value. Posted prices sell with lower probability but yield a larger revenue in case of trade. Using an empirical strategy to compare revenues of posted prices and auctions that takes selling probabilities explicitly into account, we find our theoretical predictions supported by data from eBay auctions on ticket sales for the EURO 2008 European Football Championship.     

Electricity price modeling and asset valuation: a multi-fuel structural approach

We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity spot prices. The stack structure allows for a range of generator efficiencies per fuel type and for the possibility of future changes in the merit order of the fuels. The derived spot price process captures important stylized facts of historical electricity prices, including both spikes and the complex dependence upon its underlying supply and demand drivers. Furthermore, under mild and commonly used assumptions on the distributions of the input factors, we obtain closed-form formulae for electricity forward contracts and for spark and dark spread options. As merit order dynamics and fuel forward prices are embedded into the model, we capture a much richer and more realistic dependence structure than can be achieved by classical reduced-form models. We illustrate these advantages by comparing with Margrabe’s formula and a simple cointegration model, and highlight important implications for the valuation of power plants.     

郑州白糖期货的因果图分析

主要探讨郑州白糖期货价、纽约白糖期货价和郑州白糖现货价格三者之间的动态关系,利用图模型方法、多维的多元线性回归等方法来分析它们之间的相互影响关系.又由于三者之间的关系受到牛市、熊市等市场因素的影响,故在熊市、牛市和震荡市三种情况下分别探讨三者的关联性.结果显示:不论市场是熊市还是牛市或者是震荡市,郑州白糖期货价都受到纽约白糖期货价的影响作用,郑州白糖现货价都受到郑州白糖期货价的影响;在市场为牛市时,纽约白糖期货价对郑州白糖现货价有显著影响.     

Energy futures prices: term structure models with Kalman filter estimation

We present a class of multi-factor stochastic models for energy futures prices, similar to the interest rate futures models recently formulated by Heath. We do not postulate directly the risk-neutral processes followed by futures prices, but define energy futures prices in terms of a spot price, not directly observable, driven by several stochastic factors. Our formulation leads to an expression for futures prices which is well suited to the application of Kalman filtering techniques together with maximum likelihood estimation methods. Based on these techniques, we perform an empirical study of a one- and a two-factor model for futures prices for natural gas.     

石油价格波动与我国进口价格的动态关系研究——基于对油价冲击分解的结构VAR模型

以2000～2008年我国月度数据为研究样本,从油价冲击的正负冲击角度分析国际石油价格波动与我国进口价格之间的存在的动态传导关系,并对其产生的原因进行了讨论.首先采用结构VAR(SVAR)模型对我国进口价格受到的油价冲击进行结构分解,其次用移动平均形式的SVAR模型分析不同油价冲击对进口价格的影响.结果表明,油价上涨对进口价格有显著的正向拉动作用,同期经济需求上涨推动进口价格有较大涨幅;而油价下跌时进口价格跌幅较小,甚至与油价波动存在负相关关系,这主要是由经济需求增加造成的.因此,研究石油价格对进口价格水平的动态传导关系.要区分油价冲击形式,这一结论有助于政府部门针对油价正负冲击的不同影响来制定应对政策,确保经济的稳定发展.     

Incorporating the pricing decisions into the dynamic fleet management problem

This paper presents a model to coordinate the pricing and fleet management decisions of a freight carrier. We consider a setting where the loads faced by the carrier over a certain time horizon are deterministic functions of the prices. We want to find what prices the carrier should charge so that its pricing and fleet management decisions jointly maximize the profits. Our solution approach is an iterative one. At each iteration, we solve the fleet management problem with fixed prices, and then, adjust these prices by using the primal-dual solution to the fleet management problem so as to obtain ‘better’ prices. Computational experiments show that our approach yields high-quality solutions and can efficiently be applied on large problems.     

Why does the power law for stock price hold?

The aim of this paper is to explain why the power law for stock price holds. We first show that the complementary cumulative distributions of stock prices follow a power law using a large database assembled from the balance sheets and stock prices of a number of worldwide companies for the period 2004 through 2013. Secondly, we estimate company fundamentals from a simple cross-sectional regression model using three financial indicators-dividends per share, cash flow per share, and book value per share—as explanatory variables for stock price. Thirdly, we demonstrate that the complementary cumulative distributions of fundamentals follow a power law. We find that the power laws for stock prices and for fundamentals hold for the 10-year period of our study, and that the estimated values of the power law exponents are close to unity. Furthermore, we illustrate that the tail distribution of fundamentals closely matches the tail distribution of stock prices. On these grounds, we conclude that the power law for stock price is caused by the power law behavior of the fundamentals.     

Reflections about pseudo-dual prices in combinatorial auctions

Combinatorial auctions permitting bids on bundles of items have been developed to remedy the exposure problem associated with single-item auctions. Given winning bundle prices, a set of item prices is called market clearing or equilibrium if all the winning (losing) bids are greater (less) than or equal to the total price of the bundle items. However, the prices for individual items are not readily computed once the winner determination problem is solved. This is due to the duality gap of integer programming caused by the indivisibility of the items. In this paper, we reflect on the calculation of approximate or pseudo-dual item prices. In particular, we present a novel scheme based on the aggregation of winning bids. Our analysis is illustrated by means of numerical examples.