上海股票市场和国际主要股票市场之间波动溢出效应的实证研究

使用BEKK—二元GARCH(1,1)模型,对于我国股票市场和国际主要股票市场之间的波动溢出效应进行了实证研究.分析结果表明,上证综指和标准普尔500指数、日经225指数之间存在单向波动溢出效应,而上证综指和香港恒生指数之间存在双向波动溢出效应,上证综指和新加坡海峡时报指数之间不存在波动溢出效应.     

Study on the model of an insurer’s solvency ratio in Markov-modulated Brownian markets

In this paper the insurer’s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer’s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov’s theorem and the option pricing formula, the expected present value of shareholders’ terminal payoff is provided.     

债券定价及利率风险的市场价格的重构方法

假设利率变化的模型是由随机微分方程给出,则可以用推导Black-Scholes方程的方法来推出债券价格满足的偏微分方程,得到一个抛物型的偏微分方程.但是,在债券定价的方程中隐含有一个参数λ称为利率风险的市场价格.所谓债券定价的反问题,就是由不同到期时间的债券的现在价格来得到利率风险的市场价格.对随机利率模型下债券定价的正问题先给予介绍和差分数值求解方法,并介绍了反问题,且对反问题给出了数值方法.     

开关式Hurst指数分形Black-Scholes市场中的欧式期权定价

考虑标的资产价值服从几何分形布朗运动,但其Hurst指数以Poisson过程的方式在状态(H1a)之间随机的转换的开关式Hurst指数分形Black-scholes市场模型中的欧式期权定价问题.得到在此模型下欧式看涨期权定价公式;并对定价公式进行简单地定性分析.     

基于门限混合Copula的股市和债市波动变相关结构

股市和债市的波动相关结构是研究金融市场信息流动、风险传递的重要内容.利用拓展的Copula模型——门限混合Copula模型,并结合EM算法等实证检验了我国股市和债市的关联特征.结果表明:两市波动关联性的不同分歧很大程度是注重对样本区间内整体关联性的检验,忽视了不同阶段与市场波动的特定关系;同时新的Copula模型捕捉到...     

基于二层规划的流域水资源交易决策模型

对于一个流域而言,解决水资源短缺及污染最为有效的经济手段是建立以流域统一管理为基础,兼顾水权交易和排污权交易的市场体系.在水交易市场运作过程中存在着流域管理机构和具体用户之间的利益矛盾,为此本文构建了以流域管理机构作为流域水资源系统整体计划、控制和协调中心的上层决策者,各用户作为具有相对自主权的下层决策者的决策管理机制,并利用二层规划方法对流域水资源的交易进行建模研究,期望实现流域水资源的最优分配.最后,应用算例验证了模型及求解方法的可行性和有效性.     

Property prices in urban areas affected by road traffic noise

This paper reports a revealed preference study into the different effects of road traffic noise on property values in residential areas with similarly high road traffic sound levels but with what appear to be important differences in the market for different types of residential property in each area. The results show significant differences in the revealed effects of noise on property prices between the three areas with in one case an increasing (and possibly misleading) relationship between higher monetary values and higher sound levels. A number of possible explanations for the findings are discussed in the paper.     

An array of scarlet and grey booklets: 65 years of the Symposium on Molecular Spectroscopy

A history of the OSU International Symposium on Molecular Spectroscopy is presented with a broad brush, inspired by looking at the evolution of the program booklets of the meeting, and drawing upon a selection of abstracts, all of which are now accessible on-line, and on reminiscences. The important and enduring aspects of the meeting from the perspective of the author are identified, and a few of the changes traced. The essential contributions of the founders and successive official hosts of the meeting, Harald H. Nielsen, David Dennison, K. Narahari Rao, and Terry A. Miller are acknowledged.     

Nonlinear bivariate dependency of price-volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

Nonlinear dependency between characteristic financial and commodity market quantities (variables) is crucially important, especially between trading volume and market price. Studies on nonlinear dependency between price and volume can provide practical insights into market trading characteristics, as well as the theoretical understanding of market dynamics. Actually, nonlinear dependency and its underlying dynamical mechanisms between price and volume can help researchers and technical analysts in understanding the market dynamics by integrating the market variables, instead of investigating them in the current literature. Therefore, for investigating nonlinear dependency of price-volume relationships in agricultural commodity futures markets in China and the US, we perform a new statistical test to detect cross-correlations and apply a new methodology called Multifractal Detrended Cross-Correlation Analysis (MF-DCCA), which is an efficient algorithm to analyze two spatially or temporally correlated time series. We discuss theoretically the relationship between the bivariate cross-correlation exponent and the generalized Hurst exponents for time series of respective variables. We also perform an empirical study and find that there exists a power-law cross-correlation between them, and that multifractal features are significant in all the analyzed agricultural commodity futures markets.     

Comparing the structure of an emerging market with a mature one under global perturbation

In this paper we investigate the Tehran stock exchange (TSE) and Dow Jones Industrial Average (DJIA) in terms of perturbed correlation matrices. To perturb a stock market, there are two methods, namely local and global perturbation. In the local method, we replace a correlation coefficient of the cross-correlation matrix with one calculated from two Gaussian-distributed time series, whereas in the global method, we reconstruct the correlation matrix after replacing the original return series with Gaussian-distributed time series. The local perturbation is just a technical study. We analyze these markets through two statistical approaches, random matrix theory (RMT) and the correlation coefficient distribution. By using RMT, we find that the largest eigenvalue is an influence that is common to all stocks and this eigenvalue has a peak during financial shocks. We find there are a few correlated stocks that make the essential robustness of the stock market but we see that by replacing these return time series with Gaussian-distributed time series, the mean values of correlation coefficients, the largest eigenvalues of the stock markets and the fraction of eigenvalues that deviate from the RMT prediction fall sharply in both markets. By comparing these two markets, we can see that the DJIA is more sensitive to global perturbations. These findings are crucial for risk management and portfolio selection.