连续交易制度与价格发现功能——基于我国黄金期货市场的实证研究

连续交易制度是提升我国黄金期货市场国际竞争力的重要举措。采用2011年1月至2014年9月中美黄金期货市场日收盘价数据,利用VEC模型、信息份额模型、VEC-BEKK-MGARCH模型、DCC-MGARCH模型,研究了该制度对上海黄金期货市场价格发现功能的影响。结果表明:制度推出后,上海黄金期货市场的价格发现功能得到提升,不过仍弱于美国市场,美国市场对上海市场的收益率传递效应减弱,两市场之间的波动溢出效应有所增强,时变动态相关系数振动幅度明显降低。     

Commodity predictability analysis with a permutation information theory approach

It is widely known that commodity markets are not totally efficient. Long-range dependence is present, and thus the celebrated Brownian motion of prices can be considered only as a first approximation. In this work we analyzed the predictability in commodity markets by using a novel approach derived from Information Theory. The complexity-entropy causality plane has been recently shown to be a useful statistical tool to distinguish the stage of stock market development because differences between emergent and developed stock markets can be easily discriminated and visualized with this representation space [L. Zunino, M. Zanin, B.M. Tabak, D.G. Pérez, O.A. Rosso, Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency, Physica A 389 (2010) 1891-1901]. By estimating the permutation entropy and permutation statistical complexity of twenty basic commodity future markets over a period of around 20 years (1991.01.02-2009.09.01), we can define an associated ranking of efficiency. This ranking is quantifying the presence of patterns and hidden structures in these prime markets. Moreover, the temporal evolution of the commodities in the complexity-entropy causality plane allows us to identify periods of time where the underlying dynamics is more or less predictable.     

Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market

This study provides empirical evidence of the relationship between spot and futures markets in Korea. In particular, the study focuses on the volatility spillover relationship between spot and futures markets by using three high-frequency (10 min, 30 min, and 1 h time-scales) intraday data sets of KOSPI 200 spot and futures contracts. The results indicate a strong bi-directional causal relationship between futures and spot markets, suggesting that return volatility in the spot market can influence that in the futures market and vice versa. Thus, the results indicate that new information is reflected in futures and spot markets simultaneously. This bi-directional causal relationship provides market participants with important guidance on understanding the intraday information transmission between the two markets. Thus, on a given trading day, there may be sudden and sharp increases or decreases in return volatility in the Korean stock market as a result of positive feedback and synchronization of spot and futures markets.     

On the efficiency of sovereign bond markets

The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors’, but also from the issuers’ point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors.     

Implications of Local Friendliness Violation for Quantum Causality

We provide a new formulation of the Local Friendliness no-go theorem of Bong et al. [Nat. Phys. 16, 1199 (2020)] from fundamental causal principles, providing another perspective on how it puts strictly stronger bounds on quantum reality than Bell’s theorem. In particular, quantum causal models have been proposed as a way to maintain a peaceful coexistence between quantum mechanics and relativistic causality while respecting Leibniz’s methodological principle. This works for Bell’s theorem but does not work for the Local Friendliness no-go theorem, which considers an extended Wigner’s Friend scenario. More radical conceptual renewal is required; we suggest that cleaving to Leibniz’s principle requires extending relativity to events themselves.     

Local Causality and Completeness: Bell <Emphasis Type="Italic">vs.</Emphasis> Jarrett

J.S. Bell believed that his famous theorem entailed a deep and troubling conflict between the empirically verified predictions of quantum theory and the notion of local causality that is motivated by relativity theory. Yet many physicists continue to accept, usually on the reports of textbook writers and other commentators, that Bell’s own view was wrong, and that, in fact, the theorem only brings out a conflict with determinism or the hidden-variables program or realism or some other such principle that (unlike local causality), allegedly, nobody should have believed anyway. Moreover, typically such beliefs arise without the person in question even being aware that the view they are accepting differs so radically from Bell’s own. Here we try to shed some light on the situation by focusing on the concept of local causality that is the heart of Bell’s theorem, and, in particular, by contrasting Bell’s own understanding with the analysis of Jon Jarrett which has been the most influential source, in recent decades, for the kinds of claims mentioned previously. We point out a crucial difference between Jarrett’s and Bell’s own understanding of Bell’s formulation of local causality, which turns out to be the basis for the erroneous claim, made by Jarrett and many others, that Bell misunderstood the implications of his own theorem.     

Causality in Discrete Time Physics Derived from Maupertuis Reduced Action Principle

Causality describes the process and consequences from an action: a cause has an effect. Causality is preserved in classical physics as well as in special and general theories of relativity. Surprisingly, causality as a relationship between the cause and its effect is in neither of these theories considered a law or a principle. Its existence in physics has even been challenged by prominent opponents in part due to the time symmetric nature of the physical laws. With the use of the reduced action and the least action principle of Maupertuis along with a discrete dynamical time physics yielding an arrow of time, causality is defined as the partial spatial derivative of the reduced action and as such is position- and momentum-dependent and requests the presence of space. With this definition the system evolves from one step to the next without the need of time, while (discrete) time can be reconstructed.     

浙江省高校科研投入与区域经济增长关系的实证研究

利用浙江省1987~2008年的相关数据,在考虑通货膨胀的条件下,对浙江省高校科研投入与区域经济增长之间的关系进行Granger因果检验.结果表明：浙江省高校科研投入与区域经济增长之间存在着长期的均衡关系,但现阶段两者之间仅存在单向的影响关系,经济持续增长对高校科研投入增加的基础作用已经表露,但高校科研对经济增长的促进作用尚未呈现;进而提出了两者双向驱动的若干建议.     

Time and Causality: A Thermocontextual Perspective

The thermocontextual interpretation (TCI) is an alternative to the existing interpretations of physical states and time. The prevailing interpretations are based on assumptions rooted in classical mechanics, the logical implications of which include determinism, time symmetry, and a paradox: determinism implies that effects follow causes and an arrow of causality, and this conflicts with time symmetry. The prevailing interpretations also fail to explain the empirical irreversibility of wavefunction collapse without invoking untestable and untenable metaphysical implications. They fail to reconcile nonlocality and relativistic causality without invoking superdeterminism or unexplained superluminal correlations. The TCI defines a system’s state with respect to its actual surroundings at a positive ambient temperature. It recognizes the existing physical interpretations as special cases which either define a state with respect to an absolute zero reference (classical and relativistic states) or with respect to an equilibrium reference (quantum states). Between these special case extremes is where thermodynamic irreversibility and randomness exist. The TCI distinguishes between a system’s internal time and the reference time of relativity and causality as measured by an external observer’s clock. It defines system time as a complex property of state spanning both reversible mechanical time and irreversible thermodynamic time. Additionally, it provides a physical explanation for nonlocality that is consistent with relativistic causality without hidden variables, superdeterminism, or “spooky action”.