Back to the future: A retrospective assessment of model‐based scenarios for the management of the shrimp fishery in French Guiana facing global change

While the number of models dedicated to predicting the consequences of alternative resource management strategies has increased, instances in which authors look back at past predictions to learn from discrepancies between these and observed developments are scarce. In the past decades, the French Guiana shrimp fishery has experienced shrimp market globalization and decreasing levels of shrimp recruitment due to environmental changes. In 2006, a bio‐economic model of this fishery was developed to simulate its possible responses to economic and environmental scenarios up to 2016. Here, we compare here these predictions to the observed trajectories. While the number of active vessels corresponds to that which was predicted, the estimated shrimp stock does not. Important driving factors had not been anticipated, including a general strike, natural disasters, and the end of the global financial crisis. These results show the importance of participative approaches involving stakeholders in the co‐construction and shared representation of scenarios. Recommendations for resource managers

• Effective fisheries resources management and a fortiori, the capacity of the fisheries to adapt to global change, requires understanding of both ecological and economics dynamics.
• The temporal trajectory of the trawling shrimp fisheries has been well monitored, and the decline of both stock and fleet is understood regarding ecological and economic changes: Changes in the environmental conditions of shrimp recruitment, and oil price increase and selling price decrease.
• However, our bio‐economic modeling work showed that, even with a good understanding of the dynamics explaining past trajectories, unpredictable events (strike, natural disasters…) have acted as other key driving factors altering the capacity of the model to represent possible futures.
• These results led us to recommend a better integration of the expertise of social and political scientists in developing models of bio‐economic systems to increase the quality of scenario predictions, and to argue for more participative approaches involving the stakeholders.

     

Optimal intervention under stress scenarios: A case of the Korean financial system

We consider optimal intervention methods under budget constraints when financial systems face economic shocks. We propose two policies formulated by mixed-integer linear programs where regulators inject cash into institutions. One is to minimize systemic losses, and the other is to minimize the number of defaulting institutions. Using publicly available data on the Korean financial system, we construct its entire network and apply stress scenarios to the system to compare the performances of intervention strategies and derive insights on their workings.     

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.     

On the construction of non-affine jump-diffusion models

We describe a method for construction of jump analogues of certain one-dimensional diffusion processes satisfying solvable stochastic differential equations. The method is based on the reduction of the original stochastic differential equations to the ones with linear diffusion coefficients, which are reducible to the associated ordinary differential equations, by using the appropriate integrating factor processes. The analogues are constructed by means of adding the jump components linearly into the reduced stochastic differential equations. We illustrate the method by constructing jump analogues of several diffusion processes and expand the notion of market price of risk to the resulting non-affine jump-diffusion models.     

股票市场的长记忆及其动态结构

本文提出了结合平均小波系数法和自回归原始自助法的稳健长记忆检验,蒙特卡罗模拟显示该方法对于短期记忆过程具有稳定性。基于该方法对2005年4月8日至2015年6月30日的中国、美国、香港和德国股市进行了实证分析。全局检验结果表明仅中国的股票市场存在显著的长记忆,并且风险因素无法对长记忆解释,而美国、德国和香港的股市不存在长记忆。基于递增窗口的动态Hurst指数分析显示,金融危机时期4个股市都存在显著的长记忆。2010年后,除中国股市外,其余三个股市几乎不存在长记忆现象。     

Optimal portfolio execution under time-varying liquidity constraints

In this article, we take an algorithmic approach to solve the problem of optimal execution under time-varying constraints on the depth of a limit order book (LOB). Our algorithms are within the resilience model proposed by Obizhaeva and Wang (2013) with a more realistic assumption on the order book depth; the amount of liquidity provided by an LOB market is finite at all times. For the simplest case where the order book depth stays at a fixed level for the entire trading horizon, we reduce the optimal execution problem into a one-dimensional root-finding problem which can be readily solved by standard numerical algorithms. When the depth of the order book is monotone in time, we apply the Karush-Kuhn-Tucker conditions to narrow down the set of candidate strategies. Then, we use a dichotomy-based search algorithm to pin down the optimal one. For the general case, we start from the optimal strategy subject to no liquidity constraints and iterate over execution strategy by sequentially adding more constraints to the problem in a specific fashion until primal feasibility is achieved. Numerical experiments indicate that our algorithms give comparable results to those of current existing convex optimization toolbox CVXOPT with significantly lower time complexity.     

一种金融双界面卡可测试性设计研究

由于安全性好,存储容量大等方面的优点,金融IC卡代替传统的磁条卡已经成为一种必然趋势。由于电路的复杂性,在金融卡的设计过程中必需注意可测试性设计。论文对一种金融双界面卡进行可测试性设计,主要关注嵌入式存储器、振荡器电路和非接触模拟前端电路的可测试性设计,在进行理论分析的基础上提出测试结构,并对电路进行设计。最终基于V777系统对流片以后的金融双界面卡进行测试,测试结果表明本设计具有很好的功能。     

Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.     

Firm size distribution and mobility of the top 500 firms in China,the United States and the world

This paper considers the macroscopic and microscopic statistical features of the top 500 firms in China, the United States and the world, denoted as China 500 (CH500), Fortune 500 (US500) and Fortune Global 500 (FG500). From a macroscopic perspective, the firm size distribution of each category, when measured by revenue, is steadily distributed over the observed period, even during periods of financial crises. As is evidenced by the Gini coefficient, divergences between firm scales are most significant for the CH500. From a microscopic perspective, the underlying micro-dynamics are volatile and often turbulent due to the exit and entry of firms as well as shifts in their revenues and ranks. Such fluctuations, or mobility, are visualized in rank/revenue/share clocks. We also propose a revenue/rank/share mobility index that is a quantitative measurement of mobility. Among these, we find that the share mobility acts as an effective indicator of economic status; where there is a share mobility spike, there is an ailing economy. The share mobility indexes indicate that the 2008 Financial Crisis had little impact on the Chinese economy, while it triggered violent changes in the top 500 firms in the United States and the world.