属性层次模型AHM在选股决策中的应用

应用属性层次模型 AHM进行选股决策 .属性层次模型 AHM方法简便易行 .实证表明 ,属性层次模型 AHM方法是一种有效的股票选择方法 .     

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     

复杂网络视角下的我国股票之间信息溢出研究

理解股票市场内部股票间的信息溢出规律,对于股票定价、投资组合以及风险防范具有重要的意义。将传统计量经济方法与复杂网络的建模分析方法相结合,从复杂网络的视角出发,实证研究了我国股票市场内股票间的信息溢出关系及其影响因素、个股信息溢出能力分布及其影响因素。研究发现,股票间较长期收益的相互影响要强于较短期收益;股票收益率相关性较强的股票间存在更显著的信息溢出;市场因素显著增强了股票间的信息溢出效应;股票间的信息溢出效应会随着市场行情的上涨(下跌)而增强(减弱);股票的信息溢出能力呈现尖峰、厚右尾的分布;股票成交金额对个股的信息溢出能力具有显著的正向影响。最后,最小生成树能快速而准确有效地揭示股票间信息溢出规律。     

股权分置改革试点G股的超常收益实证研究

本文采用事件研究法就股权分置试点改革过程中G股股票是否存在超常收益进行了实证分析。实证分析表明股改试点公司股票在试点公司完成股改后复牌当天确实存在着显著的正的超常收益,其中第一批试点公司G股股票的平均超常收益率高于第二批试点公司G股股票的平均超常收益率,深交所试点公司G股股票的平均超常收益率略高于上交所试点公司G股股票的平均超常收益率,中小企业板试点公司G股股票的平均超常收益率高于主板试点公司G股股票的平均超常收益率,高对价试点公司G股股票的平均超常收益率高于低对价试点公司G股股票的平均超常收益率。     

基于复杂网络的沪深300股票重要节点的评估和分析

利用复杂网络方法将股票之间的复杂关系抽象为网络,能够更好地掌握股票市场的整体和局部特性以及股票之间内在的联动关系,以沪深300数据为研究样本,通过相关系数构建网络,利用最佳阈值法对网络进行去噪,保留主要股票之间的相互影响.借鉴PageRank算法对社团网络进行重要节点的挖掘,从宏观和微观视角分析各行业股票在市场中的地位.研究发现整个沪深300市场中,采矿业、制造业和金融业是市场"大户",其股票与市场中的其他股票之间存在紧密联系;网络中的同类型股票存在聚集现象,且股票之间影响关系显著.     

层次分析法在选股决策中的应用

应用层次分析法建立了股票选择的数学模型,并选择了4只热门股票作为备选股票,从理论和实际两方面对模型的合理性进行了检验.     

我国股票与债券、黄金间的资产组合功能研究——基于DCC-MVGARCH模型的动态相关性分析

股票与债券、黄金间的动态关系研究对于投资组合的构建、金融市场监管和风险控制具有重要价值。本文在引入了相关性的资产组合功能定义后,利用DCC-MVGARCH模型,检验了2003-2010年期间我国股票与债券、黄金间的动态相关性。结果显示,股票和债券间的相关性具有动态时变特征,我国债券不但是股票的长期对冲保值资产也是2008年股市危机后期的避险资产;股票与黄金间的动态相关性较弱,更接近于显著的常正相关,这揭示出我国黄金仅为股票的长期多元化资产。总体而言,股票与债券、黄金间的相关系数相对较低,反映出市场分割特征依然明显。     

证券分析师会降低博彩型股票推荐评级吗？——来自我国A股市场的经验证据

博彩型股票具有“高风险”和“高投机性”的特点。本文以博彩型股票为研究对象,检验证券分析师是否会显著下调博彩型股票的推荐评级。在此基础上,探讨了投资者对博彩型股票推荐评级做出的反应及评级后的超额收益率情况。结果表明:分析师更可能下调博彩型股票的评级,但在投资者情绪高涨时,下调的可能性有所减小;投资者对分析师的博彩型股票评级存在反应过度的情况。本文结论对于认识证券分析师在资本市场中的作用具有重要的参考价值。     

股票收盘价波动数学模型及其应用分析

本文以股票收盘价波动因素分析成熟的定性理论及证券操作经验为基础,建立股票收盘价的数学模型,并应用该模型对某种股票作了实证分析,阐述了该方法在实践中的意义。     

基于熵值法和神经网络模型的股价评估分析

股票价格的变化主要依赖于两个方面,一个是股票内在价值,另一个就是系统风险对股票价值的影响.通过使用神经网络的方法来分析股票的系统风险,用熵值法来分析股票的内在价值,从而全面的分析股票的投资价值,结果表明这种评估方法是可靠并且具有较大的获利空间.     

Impacts of inquiry pedagogy on undergraduate students conceptions of the function of proof

Mathematicians and mathematics educators agree that proof is an important tool in mathematics, yet too often undergraduate students see proof as a superficial part of the discipline. While proof is often used by mathematicians to justify that a theorem is true, many times proof is used for another purpose entirely such as to explain why a particular statement is true or to show mathematics students a particular proof technique. This paper reports on a study that used a form of inquiry-based learning (IBL) in an introduction to proof course and measured the beliefs of students in this course about the different functions of proof in mathematics as compared to students in a non-IBL course. It was found that undergraduate students in an introduction to proof course had a more robust understanding of the functions of proof than previous studies would suggest. Additionally, students in the course taught using inquiry pedagogy were more likely to appreciate the communication, intellectual challenge, and providing autonomy functions of proof. It is hypothesized that these results are a response to the pedagogy of the course and the types of student activity that were emphasized.     

Examples of non-convergence of conjugate descent algorithms with exact line-searches

Examples are given in which quasi-Newton and other conjugate descent algorithms fail to converge to a minimum of the object function. In the first there is convergence to a point where the gradient is infinite; in the second, a region characterized by a fine terraced structure causes the iterates to spiral indefinitely. A modification of the second construction gives convergence to a point where the gradient is non-zero, but the gradient is not continuous at this point. The implication of these examples is discussed.     

格中两类分配等式的关系研究

针对离散数学经典教材中提出的"交运算对并运算的分配等式和并运算对交运算的分配等式是等价的"这一结论,分析了一种常见的错误证明,通过一个反例说明该结论在一般的格中不一定成立,进一步证明这两个分配等式在且仅在模格中是等价的,并提出利用定义判断一个模格是否是分配格的简便算法.作为一个应用,重新证明了该教材中的一条定理.     

Generalising a characterisation of Hermitian curves

This article proves a characterisation of the classical unital that is a generalisation of a characterisation proved in 1982 by Lefèvre-Percsy. It is shown that if is a Buekenhout-Metz unital with respect to a line in such that a line of not through meets in a Baer subline, then is classical. An immediate corollary is that if is a unital in PG such that is Buekenhout-Metz with respect to two distinct lines, then is classical. Received 5 August 1999; revised 15 February 2000.     

Monotone preimages of dendrites

A counterexample to a theorem of J.J. Charatonik and K. Omiljanowski giving sufficient conditions for a dendrite to be contained in all of its monotone preimages is given, and a corrected version of the theorem is presented. An alternative proof is provided for a characterization of dendrites monotonely equivalent to a universal dendrite that was originally proved using the erroneous result. Finally, in response to a question by J.J. Charatonik, it is shown that a dendrite contained in all of its monotone preimages must have a discrete set of ramification points.     

Testing Monotonicity of Regression

Abstract

This article provides a test of monotonicity of a regression function. The test is based on the size of a “critical” bandwidth, the amount of smoothing necessary to force a nonparametric regression estimate to be monotone. It is analogous to Silverman's test of multimodality in density estimation. Bootstrapping is used to provide a null distribution for the test statistic. The methodology is particularly simple in regression models in which the variance is a specified function of the mean, but we also discuss in detail the homoscedastic case with unknown variance. Simulation evidence indicates the usefulness of the method. Two examples are given.     

On the use of Hadamard expansions in hyperasymptotic evaluation of Laplace-type integrals—III: Clusters of saddle points

It is shown how the recently developed Hadamard expansion procedure can be applied to the hyperasymptotic evaluation of Laplace-type integrals containing a large variable when the phase function has a cluster of close-lying saddle points. The modification to this procedure that is required when the saddles in the cluster coalesce to form a single higher-order saddle is discussed. An example is also considered in which there is both a coalescence of saddles and a Stokes phenomenon as the phase of the large variable is allowed to vary. Numerical examples are given to illustrate the accuracy that can be obtained with this new procedure.     

关于两种混沌映射的有限乘积性质

首先在一般度量空间上给出有限积映射是Li-Yorke混沌的一个判据,并且用反倒展示:当有限积映射是Li-Yorke混沌时,未必一定存在因子映射是Li-Yorke混沌的.然后,利用上述判据,在[0,1]N上证明有限积映射有不可数scrsmbled集的一个充要条件.进而,推出关于有限积映射为Li-Yorke 混沌的一组等价...     

NP-completeness of 4-incidence colorability of semi-cubic graphs

The incidence coloring conjecture, proposed by Brualdi and Massey in 1993, states that the incidence coloring number of every graph is at most Δ+2, where Δ is the maximum degree of a graph. The conjecture was shown to be false in general by Guiduli in 1997, following the work of Algor and Alon. However, in 2005 Maydanskiy proved that the conjecture holds for any graph with Δ?3. It is easily deduced that the incidence coloring number of a semi-cubic graph is 4 or 5. In this paper, we show that it is already NP-complete to determine if a semi-cubic graph is 4-incidence colorable, and therefore it is NP-complete to determine if a general graph is k-incidence colorable.     

The emergence of time

Classically, one could imagine a completely static space, thus without time. As is known, this picture is unconceivable in quantum physics due to vacuum fluctuations. The fundamental difference between the two frameworks is that classical physics is commutative (simultaneous observables) while quantum physics is intrinsically noncommutative (Heisenberg uncertainty relations). In this sense, we may say that time is generated by noncommutativity; if this statement is correct, we should be able to derive time out of a noncommutative space. We know that a von Neumann algebra is a noncommutative space. About 50 years ago the Tomita–Takesaki modular theory revealed an intrinsic evolution associated with any given (faithful, normal) state of a von Neumann algebra, so a noncommutative space is intrinsically dynamical. This evolution is characterised by the Kubo–Martin–Schwinger thermal equilibrium condition in quantum statistical mechanics (Haag, Hugenholtz, Winnink), thus modular time is related to temperature. Indeed, positivity of temperature fixes a quantum-thermodynamical arrow of time. We shall sketch some aspects of our recent work extending the modular evolution to a quantum operation (completely positive map) level and how this gives a mathematically rigorous understanding of entropy bounds in physics and information theory. A key point is the relation with Jones’ index of subfactors. In the last part, we outline further recent entropy computations in relativistic quantum field theory models by operator algebraic methods, that can be read also within classical information theory. The information contained in a classical wave packet is defined by the modular theory of standard subspaces and related to the quantum null energy inequality.