广西经济增长、金融发展与城乡收入差距的实证研究

探讨了经济增长及金融发展与城乡收入差距之间互动影响,刻画了三者间的逻辑关系,并基于广西1990-2017年的统计数据,运用状态空间模型及卡尔曼滤波算法对三者间动态关系进行了实证分析.结果显示:经济增长对城乡收入差距呈现倒U型曲线形态,而金融发展则显示出具有不断缩小城乡收入差距的趋势.     

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.     

Change points in heavy‐tailed multivariate time series: Methods using precision matrices

We propose two robust data‐driven techniques for detecting network structure change points between heavy‐tailed multivariate time series for situations where both the placement and number of change points are unknown. The first technique utilizes the graphical lasso method to estimate the change points, whereas the second technique utilizes the tlasso method. The techniques not only locate the change points but also estimate an undirected graph (or precision matrix) representing the relationship between the time series within each interval created by pairs of adjacent change points. An inference procedure on the edges is used in the graphs to effectively remove false‐positive edges, which are caused by the data deviating from normality. The techniques are compared using simulated multivariate t‐distributed (heavy‐tailed) time series data and the best method is applied to two financial returns data sets of stocks and indices. The results illustrate the method's ability to determine how the dependence structure of the returns changes over time. This information could potentially be used as a tool for portfolio optimization.     

Complex dynamics in equilibrium asset pricing models with boundedly rational,heterogeneous agents

We study a simple model based upon the Lucas framework where heterogeneous agents behave rationally in a fully intertemporal setting but do not know other investors' personal preferences, wealth or investment portfolios. As a consequence, agents initially do not know the equilibrium asset pricing function and must make guesses, which they update via adaptive learning with constant gain. We demonstrate that even in this simple environment the economy can, depending on parameters, exhibit either stable convergence to equilibrium, or chaotic dynamical behavior of asset prices and trading volume without converging to the rational expectations equilibrium of the Lucas model. This contradicts the assertion that the Lucas model is stable in the face of modest deviations from the strong assumptions required to compute the equilibrium. © 2013 Wiley Periodicals, Inc. Complexity 19: 38–55, 2014     

澳门博采收入增长影响因素分析

通过对2005年1月至2013年7月份的澳门博采毛收入数据进行季节分析,显示澳门博采毛收入有显著的中国节假日特征.其次分析入境澳门旅客数、酒店住客数、劳动力参与率、消费指数以及突发事件是否是澳门博采毛收入迅速增长的原因,通过计量经济学分析,得到酒店住客数、劳动力参与率、中国的节假日三个因素对澳门博采毛收入有显著的正向影响关系,而2008年世界金融危机对博采毛收入有显著的负的影响.最后结合实际给出了提高博采收入的政策建议.     

The valuation of life contingencies: A symmetrical triangular fuzzy approximation

This paper extends the framework for the valuation of life insurance policies and annuities by Andrés-Sánchez and González-Vila (2012, 2014) in two ways. First we allow various uncertain magnitudes to be estimated by means of fuzzy numbers. This applies not only to interest rates but also to the amounts to be paid out by the insurance company. Second, the use of symmetrical triangular fuzzy numbers allows us to obtain expressions for the pricing of life contingencies and their variability that are closely linked to standard financial and actuarial mathematics. Moreover, they are relatively straightforward to compute and understand from a standard actuarial point of view.     

稳健残差控制图的构建及在金融时序中的应用

对于呈现自相关和波动族聚性并存的受控过程,通常采用残差控制图对其进行监控。但异常点的存在会对自相关或波动族聚性模型的拟合产生重要影响,使得基于该模型的残差并非独立同分布导致常规残差控制图监控失效。为解决这类问题,本文提出稳健残差控制图。即建立稳健的ARMA模型解决自相关问题从而得到无自相关的残差序列,用稳健的GARCH模型来构建控制图的上下限。模拟和实证研究表明,本文提出的稳健残差控制图具有很好的抗异常点能力并能更好的对金融时间序列的异常现象进行监控。     

A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time‐dependent parameters

In a fairly recent paper (2008 American Control Conference, June 11‐13, 1035‐1039), the problem of dealing with trading in optimal pairs was treated from the viewpoint of stochastic control. The analysis of the subsequent nonlinear evolution partial differential equation was based upon a succession of Ansätze, which can lead to a solution of the terminal‐value problem. Through an application of the Lie Theory of Continuous Groups to this equation, we show that the Ansätze are based upon the underlying symmetries of the equation (their (14)). We solve the problem in a more general context by allowing the parameters to be explicitly time dependent. The extension means thatmore realistic problems are amenable to the samemode of solution. Copyright © 2014 JohnWiley & Sons, Ltd.     

Properties of Chaotic and Regular Boundary Crisis in Dissipative Driven Nonlinear Oscillators

The phenomenon of the chaotic boundary crisis and the related concept of the chaotic destroyer saddle has become recently a new problem in the studies of the destruction of chaotic attractors in nonlinear oscillators. As it is known, in the case of regular boundary crisis, the homoclinic bifurcation of the destroyer saddle defines the parameters of the annihilation of the chaotic attractor. In contrast, at the chaotic boundary crisis, the outset of the destroyer saddle which branches away from the chaotic attractor is tangled prior to the crisis. In our paper, the main point of interest is the problem of a relation, if any, between the homoclinic tangling of the destroyer saddle and the other properties of the system which may accompany the chaotic as well as the regular boundary crisis. In particular, the question if the phenomena of fractal basin boundary, indeterminate outcome, and a period of the destroyer saddle, are directly implied by the structure of the destroyer saddle invariant manifolds, is examined for some examples of the boundary crisis that occur in the mathematical models of the twin-well and the single-well potential nonlinear oscillators.     

复合Logistic映射中的逆分岔与分形

利用分岔图，揭示出复合Logistic映射可按倍周期分岔走向混沌，且混沌区中存在混沌危机及逆分岔现象．同时，分析了复合Logistic映射临界点的轨道，给出了复合Logistic映射Mandelbrot-Julia集(简称M-J集)的定义，推广了Welstead和Cromer所提出的周期点查找技术，并利用该技术，构造出一系列复合Logistic映射的M-J集．在此基础上，研究了M-J集的对称性；探索了M集周期区域分布的拓扑不变性；通过定性地建立M集上J集的整体刻画，发现M集包含了J集构造的大量信息．