股指期货与股指期权市场之间的风险传递效应研究——来自香港恒生指数衍生品市场的证据

为探索股指期货市场与股指期权市场之间的风险传递效应,本文以香港恒指期货市场和恒指期权市场为例,对股指期货和股指期权市场之间的内在波动性动态关系进行了深入细致的实证研究。主要结论为:(1)恒指期货市场和恒指期权市场价格之间具有长期均衡关系;(2)协整残差项对恒指期货市场和恒指期权市场的条件均值和条件方差具有很好地解释力量,并能够更加准确地刻画恒指期货市场和恒指期权市场之间的波动性;(3)香港恒指期货市场和恒指期权市场的溢出效应是彼此不同的,期权市场对期货市场能够起到价格发现的功能。本文的结论为中国适时推出股指期权产品,进而完善我国风险管理体系提供了坚实的证据。     

基于ARMA-GARCH模型的恒指隐含波动率指数预测及其在期权交易中的应用

基于ARMA-GARCH模型,并结合均值回归效应,溢出效应和周内效应,本文研究了恒指隐含波动率指数(VHSI)能否被预测及预测是否有助于期权投资实践的问题.研究结果验证了香港股市具有均值回归的特性,标准普尔500指数对恒指隐含波动率指数有明显的溢出效应.此外,恒指隐含波动率指数呈现出周一上涨,周五下跌的特征,具有明显的周内效应.最后,本文运用ARMA-GARCH模型对恒指隐含波动率指数进行预测,并结合实际的市场数据做了期权交易模拟.结果显示,ARMA-GARCH模型比ARMA模型更适合对恒指隐含波动率进行建模;考虑了均值回归效应,溢出效应和周内效应之后,ARMAGARCH模型对恒指隐含波动率指数的预测能力显著提高,并且预测结果有助于期权交易获得较好的收益.     

基于MF-DCCA方法的香港股市与大陆股市交叉相关及多重分形研究

通过研究香港恒生指数和深成指数价格的交叉相关关系来确定两者的协同效应.首先,采用交叉相关统计量Q_(cc)(m)和DCCA交叉相关系数法,发现恒生指数和深成指数收盘价存在显著的交叉相关关系.然后,采用去趋势多重分形交叉相关分析法(MF-DCCA),发现恒生指数和深成指数收盘价之间具有长程交叉相关性,两个序列均呈现出反持续性和多重分形特征,恒生指数的价格变化对于深成指数变化的趋同作用非常明显.     

基于Copula函数的股指尾部相关性研究——以道琼斯工业指数与恒生指数为例

鉴于两步参数估计法在应用中存在误差大、计算复杂等缺陷,采用基于经验分布的半参数估计与非参数估计法确定相应边缘分布与Copula参数,对突发事件下的道琼斯工业指数与恒生指数之间的尾部相关性进行量化.研究发现ClaytonCopula,Gumbel Copula能够较好地刻画股指收益率序列间的尾部相关关系;道指与恒生指数存在着正的尾部相关且这种相关是非对称性的;在各个置信水平上,下尾损失均较上尾收益高,且下尾相关系数的增长幅度远大于上尾相关系数的增长幅度;极端事件造成的道指收益的剧烈下跌引发了恒生指数收益更强烈的相关反应,其造成的影响远超过两个市场同时上涨时的作用.     

对中国期货机构投资者锚定启发式偏差的实证研究

本运用行为金融学的理论，通过对期货投资情绪变化和历史投资收益率进行回归分析，检验了中国期货经纪公司这类机构投资是否存在锚定启发式偏差。经过分析，得出了中国期货机构投资具有锚定启发式偏差的结论。     

期货均势市场的终止博弈分析

本文引入终止博弈分析，研究多空大户在期货均势市场下的投资策略，从理论上说明期货均势市场下大户不会无限制加仓的原因。并对终止博弈均衡进行分析。完善了对期货市场竞争博弈分析。     

期货套保三策

利用期货套保交易锁定价格、规避风险，可以说是大势所趋。那么企业究竟应该如何参与期货套期保值业务呢？     

期货经纪公司保证金的一种确定方法

本文基于马尔可夫链在存储论中的应用，结合Ergodic定理，得到确定期货经纪公司保证金的Ergodic模型，即一个双目标规划问题，然后应用乘积最大化准则，将该模型转化为单目标规划问题来求解。该方法考虑期货经纪公司承担的风险和对投资者的吸引程度，为保证金的确定提供新的思路。     

风险跨市场传染的综合测度、网络分析与趋势演化——基于商品期货的实证分析

在关联金融市场价格波动的相互溢出影响下，由风险传染而形成的多市场波动趋同现象正呈现多爆发、强影响、广扩散与久持续等系列特征，为了结合上述特征合理测度并有效应对这类风险跨市场传染现象，文章以我国商品期货为具体实证对象，分别从综合测度、网络分析与趋势演化三个角度对风险跨市场传染现象进行了系统研究。具体研究中，先立足Diebold-Yilmaz公式构建了风险跨市场传染测度指数，并结合网络分析、派系类分及趋势演化等方法，提出了风险跨市场传染现象的综合测度模型。在此基础上，以我国具有代表性的九个商品期货为对象，进行了新模型、新方法和新过程下的系列实证，并得出结论：商品期货风险跨市场传染现象具备网络性与时变性，并呈现市场差异性和影响不对称性；商品期货风险跨市场传染现象派系类分具备总体一致性与个体交叉性；商品期货风险跨市场传染主要通过点传染及派系传染进行。     

两因素HJM模型下奇异债券期货期权的定价

在HJM模型下考虑远期利率由两个独立的布朗运动驱动,利用鞅方法得到了三种奇异的债券期货期权—上限型期货期权,抵付型期货期权与后定选择期货期权的定价公式。     

On models of exponentiation. Identities in the HSI‐algebra of posets

We prove that Wilkie's identity holds in those natural HSI‐algebras where each element has finite decomposition into components. Further, we construct a bunch of HSI‐algebras that satisfy all the identities of the set of positive integers ?. Then, based on the constructed algebras, we prove that the identities of ? hold in the HSI‐algebra of finite posets when the value of each variable is a poset having an isolated point. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Uniform approximation by some Hermite interpolating splines

In this paper some upper bound for the error ∥ s-f ∥_∞ is given, where f ε C¹[a,b], but s is a so-called Hermite spline interpolant (HSI) of degree 2q ?1 such that f(x_i) = s(x_i), f′(rmx_i) = s′(x_i), s^(j) (x_i) = 0 (i = 0, 1, …, n; j = 2, 3, …, q ?1; n > 0, q > 0) and the knots x_i are such that a = x₀ < x₁ < … < x_n = b. Necessary and sufficient conditions for the existence of convex HSI are given and upper error bound for approximation of the function fε C¹[a, b] by convex HSI is also given.     

Regression-fuzzy approach to land valuation

In this paper, we demonstrate that the fuzzy pricing model can improve regression analysis in applications where non-smoothness appears. Combining the fuzzy and regression approaches it is capable of modelling complex non-linearities. The application of this approach describes an effort to design a regression-fuzzy system to estimate real estate market values, especially for vacant urban plots. The results are compared with those obtained using a traditional multiple regression model only. The changes of parameters in the domain of independent variables of the regression function are determined by the analysis of membership functions defining the terms of the fuzzy model. The paper also describes possible future research. The suggested method is interesting for real estate appraisers, real estate companies, and bureaus because it provides a better overview of location prices. The suggested approach could be also used in various other economic and business analyses.     

基于支持向量回归机的交通状态短时预测和北京某区域实例分析

根据基于支持向量回归机的交通状态短时预测方法建立了数学模型,考虑以交通检测器收集到所要预测时刻前几个时段及被测路段上下游前几时段的交通流量、车道占有率、平均线速度等交通参数为输入,以对应时段的平均线速度为输出.选取核函数,对支持向量回归机进行训练.应用训练完成的支持向量回归机,利用输入参数预测下时段的交通线速度.最后,以北京市北四环某路段的实时监测数据来对模型进行检测,预测结果表明了模型的有效性.     

具有共同效应的信度回归模型

在经典的Hachemeister(1975)信度回归模型中,各个风险被假定为相互独立的.本文假设风险之间存在由共同效应导致的风险相依,建立了共同效应的信度回归模型,得到未来索赔的信度预测与风险参数的信度估计.结论表明,在共同效应模型,信度估计仍然是个体索赔数据与聚合保费的加权和.     

Least trimmed squares regression,least median squares regression,and mathematical programming

In this paper, we study LTS and LMS regression, two high breakdown regression estimators, from an optimization point of view. We show that LTS regression is a nonlinear optimization problem that can be treated as a concave minimization problem over a polytope. We derive several important properties of the corresponding objective function that can be used to obtain algorithms for the exact solution of LTS regression problems, i.e., to find a global optimum to the problem. Because of today's limited problem-solving capabilities in exact concave minimization, we give an easy-to-implement pivoting algorithm to determine regression parameters corresponding to local optima of the LTS regression problem. For the LMS regression problem, we briefly survey the existing solution methods which are all based on enumeration. We formulate the LMS regression problem as a mixed zero-one linear programming problem which we analyze in depth to obtain theoretical insights required for future algorithmic and computational work.     

郑州期货糖08年9月合约价格的分析与预测

本文对郑州期货糖0809主力合约的价格首先进行多元线性回归,探求其与纽约期货糖价和郑州现货糖价的关系,进而在发现回归残差具有周期效应的基础上进行时间序列的频域分析,并同时考虑各种突发事件的影响,在模型中加入示性变量进行适当修正,经过ADF单位根检验确定此时的残差已为平稳序列之后建立ARMA模型,并接受最终残差为白噪声。将上述分解过程进行整合,估计模型系数并剔除其中的不显著变量便得到最终的拟合方程,在此基础上对后续三天的郑州期货糖价进行动态预测,结果显示真实价格均落在所给95%置信区间内。     

Semiparametric random coefficient regression models

Linear regression models with random coefficients express the idea that each individual sampled may have a different linear response function. Technically speaking, random coefficient regression encompasses a rich variety of submodels. These include deconvolution or affine-mixture models as well as certain classical linear regression models that have heteroscedastic errors, or errors-in-variables, or random effects. This paper studies minimum distance estimates for the coefficient distributions in a general, semiparametric, random coefficient regression model. The analysis yields goodness-of-fit tests for the semiparametric model, prediction regions for future responses, and confidence regions for the distribution of the random coefficients.This research was supported in part by NSF Grant DMS 9001710.     

An approximated principal component prediction model for continuous-time stochastic processes

In this paper, a linear model for forecasting a continuous-time stochastic process in a future interval in terms of its evolution in a past interval is developed. This model is based on linear regression of the principal components in the future against the principal components in the past. In order to approximate the principal factors from discrete observations of a set of regular sample paths, cubic spline interpolation is used. An application for forecasting tourism evolution in Granada is also included. © 1997 by John Wiley & Sons, Ltd.     

A solution to identities problem in 2‐element HSI‐algebras

All arithmetical identities involving 1, addition, multiplication and exponentiation are valid in every 2‐element HSI‐algebra. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)