Information Network Modeling for U.S. Banking Systemic Risk

In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London Interbank Offered Rate-Overnight Index Swap) spread, STLFSI (St. Louis Fed Financial Stress Index) and USD/CHF (USA Dollar/Swiss Franc) exchange rate. The information theory measures are extracted from a Gaussian Graphical Model constructed from daily stock time series of the top 74 listed US banks. The graphical model is calculated with a recently developed algorithm (LoGo) which provides very fast inference model that allows us to update the graphical model each market day. We therefore can generate daily time series of mutual information and transfer entropy for each bank of the network. The Granger causality between the bank related measures and the financial stress indexes is investigated with both standard Granger-causality and Partial Granger-causality conditioned on control measures representative of the general economy conditions.     

结构阻尼模型及系统时域动响应

振动界对经典的非频变结构阻尼模型一直有种种争议,本文检查了它的前提并指出将该模型推广到系统时域动响应分析时导致的悖论.为了提供结构阻尼系统的时域动响应实用分析方法,文中分别提出了基于响应优势谱成份的粘性阻尼近似模型和基于粘弹性理论的三参数频变结构阻尼模型;它们既可逼近结构阻尼缓频变的特性,又可保证系统的时域动响应具有因果性.     

The relation between and violation of Hardy＇s non-locality Bell inequality

We give an analytic quantitative relation between Hardy＇s non-locality and Bell operator. We find that Hardy＇s non-locality is a sufficient condition for the violation of Bell inequality, the upper bound of Hardy＇s non-locality allowed by information causality just corresponds to Tsirelson bound of Bell inequality and the upper bound of Hardy＇s non- locality allowed by the principle of no-signaling just corresponds to the algebraic maximum of Bell operator. Then we study the CabeUo＇s argument of Hardy＇s non-locality （a generalization of Hardy＇s argument） and find a similar relation between it and violation of Bell inequality. Finally, we give a simple derivation of the bound of Hardy＇s non-locality under the constraint of information causality with the aid of the above derived relation between Hardy＇s non-locality and Bell operator.     

基于计量经济模型的煤炭消费与经济增长关系实证研究——以世界主要煤炭消费国为例

经济的发展和能源(包括煤炭)的利用有着密不可分的关系.运用国际上研究能源消费与经济增长之间关系的重要工具-协整分析、格兰杰因果关系检验对世界主要煤炭消费国家(中国、美国、印度、俄罗斯、日本和南非)1981-2005的煤炭消费与GDP之间因果关系及其内在规律进行了分析和研究.实证研究结果表明,这些国家能源消费结构、经济政策不同,煤炭消费同经济增长之间的因果关系也不完全一致,中国、日本和南非存在经济增长对煤炭消费的因果关系,俄罗斯存在煤炭消费对经济增长的因果关系,而印度煤炭消费和经济增长之间则不存在因果关系.据此各国根据自身能源国情及国际比较形势,制定科学的能源战略与政策.     

莆田市旅游业的发展与区域经济增长关系的实证研究

基于1996-2013年莆田市旅游业收入与地区GDP的相关数据,研究莆田市旅游业的发展与区域经济增长的关系.考虑到这些数据是时间序列数据,首先对这些序列进行平稳性分析,然后应用协整理论和Granger因果检验进行实证研究,并且建立了误差修正模型.结果表明,莆田市旅游业的发展与区域经济增长存在着长期稳定的关系和单向的Granger因果原因,即区域经济带动旅游业的发展影响较小,而旅游业的发展促进区域经济发展的影响较明显.     

Causal Intuition and Delayed-Choice Experiments

The conventional explanation of delayed-choice experiments appears to violate our causal intuition at the quantum level. I reanalyze these experiments using time-reversed and time-symmetric formulations of quantum mechanics. The time-reversed formulation does not give the same experimental predictions. The time-symmetric formulation gives the same experimental predictions but actually violates our causal intuition at the quantum level. I explore the reasons why our causal intuition may be wrong at the quantum level, suggest how conventional causation might be recovered in the classical limit, propose a quantum analog to the classical block universe viewpoint, and speculate on implications of the time-symmetric formulation for cosmological boundary conditions.     

Timelessness Strictly inside the Quantum Realm

Time is one of the undisputed foundations of our life in the real world. Here it is argued that inside small isolated quantum systems, time does not pass as we are used to, and it is primarily in this sense that quantum objects enjoy only limited reality. Quantum systems, which we know, are embedded in the everyday classical world. Their preparation as well as their measurement-phases leave durable records and traces in the entropy of the environment. The Landauer Principle then gives a quantitative threshold for irreversibility. With double slit experiments and tunneling as paradigmatic examples, it is proposed that a label of timelessness offers clues for rendering a Copenhagen-type interpretation of quantum physics more “realistic” and acceptable by providing a coarse but viable link from the fundamental quantum realm to the classical world which humans directly experience.     

外商直接投资与我国经济增长关系的协整分析

本文通过协整检验和误差修正模型，利用1984-2003年的数据，对外商直接投资与我国经济增长关系进行了实证分析。结果表明：我国经济增长与外商直接投资之间存在长、短期稳定的正向关系。通过Granger因果关系检验，外商直接投资是中国经济增长的Granger原因，而反之却不成立。     

An empirical study on information spillover effects between the Chinese copper futures market and spot market

This study employs a parametric approach based on TGARCH and GARCH models to estimate the VaR of the copper futures market and spot market in China. Considering the short selling mechanism in the futures market, the paper introduces two new notions: upside VaR and extreme upside risk spillover. And downside VaR and upside VaR are examined by using the above approach. Also, we use Kupiec’s [P.H. Kupiec, Techniques for verifying the accuracy of risk measurement models, Journal of Derivatives 3 (1995) 73-84] backtest to test the power of our approaches. In addition, we investigate information spillover effects between the futures market and the spot market by employing a linear Granger causality test, and Granger causality tests in mean, volatility and risk respectively. Moreover, we also investigate the relationship between the futures market and the spot market by using a test based on a kernel function. Empirical results indicate that there exist significant two-way spillovers between the futures market and the spot market, and the spillovers from the futures market to the spot market are much more striking.