股票流动性与资本结构—基于中国证券市场的分析

以Amihud(2002)的不流动性测度(ILLIQ)作为流动性的衡量指标,以账面杠杆比(DBA)和市值杠杆比(DMA)作为公司资本结构的衡量指标,探讨了流动性对资本结构的影响.实证结果表明:流动性与公司财务杠杆显著负相关,无论被解释变量是DBA还是DMA,ILLIQ都具有信息增量提供能力,但流动性对DMA的影响较DBA更大.这表明,由于股票流动性能降低股权融资成本,流动性高的公司会更偏好股权融资.     

货币政策、市场状态对中国股市微观流动性影响的实证分析

本文研究了我国股市微观流动性的影响因素。在假定所有经济变量之间相互影响、内生决定的情况下,建立VAR系统,通过脉冲响应函数、方差分解的方法分别讨论了市场收益、波动及货币政策对股市微观流动性的影响。实证结果表明,货币政策对股市流动性并无显著影响,货币政策的松紧、"宏观流动性"的增强或减弱并不必然导致股市微观流动性的增强或减弱;市场的波动对股市流动性也无显著的影响效应,但市场的收益状态却决定着股市微观流动性的强弱。     

基于综合流动性度量指标的中国期货市场流动性溢价研究

本文从流动性成本、流动性波动和到期日三个角度出发构建了衡量期货市场的综合流动性度量指标,并利用该指标对中国期货市场的流动性溢价问题进行研究。实证结果表明,流动性水平的差异对不同到期日期货合约的收益差异的影响存在差异性,当期流动性水平差异及其滞后期对收益差额的波动影响显著,其中,期货铜和铝市场中流动性对收益差额的影响存在过度反应→适度矫正的过程。     

市场流动性与资产价格的非线性关系——基于MS-AR和TVP-SV-SVAR模型的时变分析

本文运用MS-AR模型揭示了中国市场流动性状态转换的非线性特征,在此基础上,以股价、房价、利率、汇率和债券价格为代表,通过TVP-SV-SVAR模型构建时变脉冲响应来分析市场流动性与资产价格之间的动态效应。结果表明:市场流动性的强弱状态划分清晰,且转换时点与金融事件一致;市场非流动性对资产价格的影响主要反映在股价、利率和债券价格上,且当期正向影响股票和债券价格,负向影响利率;资产价格对市场非流动性的影响在持续时间、作用方向和强度上具有明显的时变特征。股价上涨和下跌对市场非流动性的影响具有非对称性,房价在房地产繁荣时期对市场非流动性的影响更迅速,利率在经济低迷时期对市场非流动性的影响效果较弱,汇率在人民币升值幅度加快的背景下对市场非流动性的影响持续时间更长,债券价格对市场非流动性的长期影响在债市牛市或熊市阶段为负而在债市调整阶段为正。     

金融租赁公司流动性风险研究

为研究金融租赁公司流动性风险,本文首次建立租赁公司现金流过程的多期动态模型,利用该模型定量分析了初始备付金、到期借款续借率和回收租金三个变量对公司流动性风险的影响。随后用违约概率来度量流动性风险,将问题转化成求解状态空间不断增大的非齐次马尔可夫链首中时的概率分布,并设计出违约算法(DA)和蒙特卡洛方法(MC)两种求解首中时分布的算法。算例表明提高初始备付金额度、到期借款续借率以及租金额度能有效地降低流动性风险。最后将银行的存贷利率和不同的租金定价方法融入基本模型,并通过三种不同的租金定价方式进一步分析了承租人信用风险对金融租赁公司流动性风险的影响。     

流动性风险与股票收益率

文运用两阶段回归方法,利用上海证券交易所和深圳证券交易所的A股交易数据,针对流动性风险与股票收益率之间的关系进行了实证检验。在把流动性风险分解成系统流动性风险和个体流动性风险以后,作者发现无论是系统流动性风险还是个体流动性风险都对股票收益率有显著的影响;并且与成熟市场不同的是,在中国市场上个体流动性风险对收益率的影响比系统流动性风险的影响要更显著。因此在今后研究中国股市的流动性定价时,研究人员需要考虑个体流动性风险才能够对股票收益率进行更好的解释。     

基于石油行业影响股票流动性的实证分析

采用买卖价差和市场深度代表股票流动性水平,根据Brockman&Chung模型分析了影响我国股市流动性的因素.研究发现,交易量与流动性正相关,股票价格及股票收益率的波动性与流动性呈负相关关系.但当流动性选取的指标不同时,股票价格对其影响也是存在差异的.     

流动性约束对我国城镇居民消费影响的实证分析

根据1978~2007年我国城镇居民消费和收入的相关数据,对我国城镇居民消费和流动性约束之间的关系进行了实证分析,并检验了流动性约束对消费的影响中是否包含了不确定性因素.分析结果表明:我国城镇居民消费受到较强的流动性约束制约;而流动性约束的测度受不确定性影响较小.     

我国期铜市场流动性与货币供给关系的实证研究

流动性是期货市场基本功能得以实现的重要保证,充足的流动性有利于提高期货市场的运行效率。货币是一种最重要的"流动性载体",货币供给数量的多少能够为整个社会经济提供更多的流动性或紧缩流动性。本文在提出衡量我国期货市场流动性指标的基础上,对我国期铜市场流动性和M2间的关系进行了实证研究,实证表明M2的持续增加在总体上提高了期铜市场的流动性,同时也加大了期铜市场流动性的波动。     

基于全球流动性背景下的新兴资本市场收益研究

随着在全球金融一体化程度不断加深,全球流动性状况对于新兴市场资产价格的影响备受关注.构建了反应主要发达国家与新兴市场国家对全球货币数量影响的广义流动性指标,并以波动率指数作为反映市场情绪的变量将市场分为平稳期和压力期.通过建立非线性面板门限回归模型考察了全球流动性状况对于金砖五国资本市场的非线性影响,结果表明在金融市场繁荣期,流动性过剩对于资产价格起到了明显的正向带动作用;而在市场衰退期间,流动性的释放并没有对资产价格的提升产生显著的影响.     

基于时间序列分析的北京地区PM2.5浓度研究

基于中国环境监测总站公布的实时空气质量监测数据, 利用时间序列模型对PM2.5指标的数据进行了平稳性、纯随机性检验, 同时进行了模型阶数、未知参数估计以及模型显著性检验与优化. 最终在此基础上建立了指标预测的数学模型, 并对未来三天的PM2.5浓度值进行预测. 进一步地, 基于向量自回归(VAR)模型, 对北京市万寿西宫站PM2.5数据进行相关性分析, 研究空气中污染物O_{2}、NO_{2}、CO、O_{3}、PM10与PM2.5的动态影响关系. 研究发现当天的PM2.5浓度会受到前几天PM2.5、PM10、O_{3}、SO_{2}等污染物浓度的影响,其中PM10对PM2.5的影响最为明显且持续时间最长, O_{3}、SO_{2}对PM2.5浓度的影响在二、三期最为明显.     

THE STRUCTURE OF ORTHOGONAL GROUPS OVER ARBITRARY COMMUTATIVE RINGS

Let R be an arbitrary commutative ring, and n an integer≥3. It is proved for any ideal J of R thatEO_(2n)(R, J)=[EO_(2n)(R), EO_(2n)(J)]=[EO_(2n)(R), EO_(2n)(R, J)]=[EO_(2n)(R), O_(2n)(R,J)]=[O_(2n)(R), EO_(2n)(R,J)].In particular, EO_(2n)(R, J) is a normal subgroupof O_(2n)(R). Furthermore, the problem of normal subgroups of O_(2n)(R) has an affirmative solution if and only if aR∩ Ann(2)=α~2 Ann(2) for each a in R. In particular, if 2 is not a zero divisor in R, then the problem of normal subgroups of O_(2n)(R) has an affirmative solution     

关于一个新型转捩模式的研究与应用

采用了新型的转捩预测模式,将间歇因子耦合到湍流脉动输运方程中去,计及流体转捩的内在因素,因而能够反映转捩的具体发展过程.以二维不可压平板边界层和二维NACA0012翼型为例,研究了该转捩模式在预测不可压转捩流动时的作用,得到与实验值符合良好的计算结果.同时也研究了该转捩模式在不同网格分辨率下的计算能力和对近壁面网格分辨率的要求.     

Oxidation studies

Results on the oxidation of primary alcohols (methanol, ethanol,n-propanol,n-butanol and isobutanol) by peroxydisulfate in aqueous solution in the temperature range 50°–80°, under uncatalysed, Ag⁺ catalysed and deaerated conditions are presented. Oxygen was found to have a retarding effect on the rate of peroxydisulfate disappearance,\( - R_{S_2 O_3 ^ - } \), and the inhibition period was a maximum in the case of ethanol and isobutanol. Both under uncatalysed and Ag⁺ catalysed conditions\( - R_{S_2 O_3 ^ - } \) varied with [S₂O_8/=]^3/2 for all the alcohols;\( - R_{S_2 O_3 ^ - } \) was independent of alcohol concentration for all the alcohols except for methanol and ethanol where a one-half order with respect to [alcohol] was observed. In the Ag⁺ catalysed oxidation\( - R_{S_2 O_3 ^ - } \) varied as [Ag⁺]^1/2 with all the alcohols. The effect of [H⁺], ionic strength, temperature, initially added product of the reaction on the rate are discussed and the stoichiometries of the reactions determined. In the light of the observed results, reaction mechanisms are postulated with SO ₄ ^·? as the reactive species formed by thermal decomposition of S₂O ₈ ⁼ under uncatalysed conditions and by the interaction of Ag⁺ and S₂O_8/? under Ag⁺ catalysed conditions. The existence of Ag⁺⁺ in catalysed reactions is postulated. The values of rate constants, frequency factors, energies of activation entropies of activation, etc., were evaluated.     

The effect of material flow and workload on the performance of machine location heuristics

Depending on the problem structure and routing strategies a machine location problem plays an important role in controlling the material flow of work-in-process in discrete product manufacturing environment. In this paper we investigate the effect of material flow and workload on the performance of heuristics for solving an important design problem for job routing and material flow in a manufacturing system. In this research we first develop a model for workload or traffic intensity between machines in a shop floor and then identify different structures of the problems, especially the data. This measure is then used to evaluate the effect of workload on efficiency of the heuristics to solve machine location problems. Some concluding remarks are made on to the effect of the workload or the traffic intensity of materials within the machine cell on the performance of some known heuristics. Conclusions are also made on the performance measures such as makespan, transporter utilization and machine utilization, depending on the problem and data structures.     

Falling film flow of a viscoelastic fluid along a wall

In this paper, we study the heat transfer in the fully developed flow of a viscoelastic fluid, a slag layer, down a vertical wall. A new constitutive relation for the stress tensor of this fluid is proposed, where the viscosity depends on the volume fraction, temperature, and shear rate. For the heat flux vector, we assume the Fourier's law of conduction with a constant thermal conductivity. The model is also capable of exhibiting normal stress effects. The governing equations are non‐dimensionalized and numerically solved to study the effects of various dimensionless parameters on the velocity, temperature, and volume fraction. The effect of the exponent in the Reynolds viscosity model is also discussed. The different cases of shear‐thinning and shear‐thickening, cooling and heating, are compared and discussed. The results indicate that the viscous dissipation and radiation (at the free surface) cause the temperature to be higher inside the flow domain. Copyright © 2013 John Wiley & Sons, Ltd.     

Heuristics for scheduling in a flow shop with multiple processors

This study investigates the performance of scheduling heuristics in a flow shop with multiple processors. We investigated five better performing flow shop heuristics for their performances of makespan and mean flow time criteria in a flow shop with multiple processors. The study examined the effects of problem characteristics (number of jobs, number of machine stages and number of parallel processors at each stage) and the performance of heuristics using regression analysis. We found that although structural characteristics explain most of the variation in performance, heuristics also had an effect. The experimental results showed that flow shop heuristics developed by Nawaz, Enscore, and Ham and that of Ho were comparable in performance in a flow shop with multiple processors. However, the former was slightly more consistent in results for both criteria.     

Scheduling Three-Operation Jobs in a Two-Machine Flow Shop to Minimize Makespan

This paper considers a variant of the classical problem of minimizing makespan in a two-machine flow shop. In this variant, each job has three operations, where the first operation must be performed on the first machine, the second operation can be performed on either machine but cannot be preempted, and the third operation must be performed on the second machine. The NP-hard nature of the problem motivates the design and analysis of approximation algorithms. It is shown that a schedule in which the operations are sequenced arbitrarily, but without inserted machine idle time, has a worst-case performance ratio of 2. Also, an algorithm that constructs four schedules and selects the best is shown to have a worst-case performance ratio of 3/2. A polynomial time approximation scheme (PTAS) is also presented.     

基于变工况运行超超临界锅炉NO_x排放的数值模拟研究

基于变工况运行,采用计算流体力学(CFD)模拟方法,对某电厂1000MW超超临界锅炉炉膛内CO、O_2、NO浓度场和温度场进行计算和分析.影响该锅炉NO_x排放浓度主要运行因素有燃用煤质、附加风量(AA风量)和过剩空气系数等.CFD数值模拟计算结果表明:锅炉通过合理组织炉内燃烧,实现了主燃烧区的较均匀的温度分布,主燃区的燃烧方式属于还原态燃烧方式;大量AA风的深度空气分级燃烧和锅炉低过量空气系数的有机结合及PM燃烧器的应用是该型锅炉NO_x排放浓度低的主要原因.     

ON THE CONTACT COHOMOLOGY OF ISOLATED HYPERSURFACE SINGULARITIES

The author defines, using jets, cohomology $H^p(\Lambda _{f,k-})$ for hypersurfaces, which are invariant under contact transformations. For isolated hypersurface singularities, it is proved that $H^0(\Lambda _{f,k-})=O_{U,0}/f^{k+1}O_{U,0},$ $H^p(\Lambda _{f,k-})=0,1\leq p \leq N-3 or p=N,$ $dimH^{N-2}(\Lambda _{f,k-})-dimH^{N-1}(\Lambda _{f,k-})=\[\left( {\begin{array}{*{20}{c}} k \ N \end{array}} \right)\dim {O_{U,0}}/(f,\frac{{\partial f}}{{\partial {x_1}}}, \cdots ,\frac{{\partial f}}{{\partial {x_N}}}){O_{U,0}}\] $ The algorithm of computation for H^{N-2} and H^{N-1} is given, and it is proved that $H^{N-1}=0$ when f is quasi-homogeneous.