新增股民数量增长模式分析

考虑到传染病的传播与股民数量的增长之间的类似性,建立了刻画新增股民数量变化规律的数学模型,并进行了相应的数学实验.建立的模型较好地反映了短期内新增股民数量的变化规律.     

持股市值,持股数量,持股种类的概率分布分析

股民持有股票的总体情况可以从持有股票的市场价值、数量和种类这三个方面来反映．本文研究了股民的持股市值、持股数量、持股种类的概率分布，得出的结论是：对数持股市值和对数持股数量都服从两正态混合分布，持股种类服从幂分布．本文的结论对分析我国股市的市场结构、改善和加强市场监管都有较大的理论价值和现实意义．     

介绍北京市大学生数学竞赛

介绍北京市大学生数学竞赛杨德保（北京理工大学）八十年代中期，社会上蔓延一股经商热，大学生中滋长一股民学风。数学学习呈现明显滑坡趋势。为激发大学生学习数学的积极性，配合教学改革提高教学质量，从一个侧面发现人才。北京高教学会数学研究会协同北京数学会自１９...     

课外练习

初一年级1.设a没有倒数,b是最大的负整数的相反数,c是最小的正整数,求a+b+c与abc的值. (安徽岳西县城关中学(246600) 李庆社)2.一股民上星期将甲、乙两种股票同时卖出, 其中甲种股票卖价1200元,盈利20%,乙种股票卖价也是1200元,亏损20%,问这位股民这两种股票合计是盈还是亏?     

基于股吧情感本体与传播的股市短线预测

为研究股吧文本中蕴含的股民情感对股市短线走势的影响,使用情感倾向点互信息算法构建面向股市的情感词典,分别考虑情感本体与情感来源传播建立面向股市的加权情感倾向得分模型,并进一步建立ARMA-GARCHX模型以分析股民情感与股市短线走势之间的关系.研究显示：面向股市的情感词典相比于传统情感词典具有更强的适应性,使用加权情感倾向得分模型建立的预测模型对股市走向的预测相比于传统方法具有更优良的预测效果.     

工科数学素质的结构特征

工科院校的基本任务是培养社会所需要的合格的工程技术人才，随着现代科技特别是计算机科学的迅速发展，社会对工科院校的学生提出更高的要求，要求他们不仅有广博、扎实的专业知识，而且具有较高的素质。所谓素质就是把从外在获得的知识，技能内化于人的身心，升华形成稳定的品质和素养。而工科数学素质，是在数学活动中获得的，它受学生所学专业和社会需求的制约。本根据工科院校各专业特点，分别从数学观念、数学方法、敷学思维、数学能力四个层面给予具体的分析和讨论，以揭示工科效学素质的结构特征。     

大学毕业生综合素质的模糊综合评价

为了建立一套对大学毕业生综合素质进行科学、合理检测的评价体系，本文首先建立了一套反映大学毕业生综合素质的定性与定量相结合的二级指标体系，然后采用专家打分和层次分析法确定了各级指标的权重，再通过对具体同学所对应的各级素质指标进行评价和采用模糊算法计算得到了该同学的综合素质分。该评价体系简单方便，有助于用人单位选拔到合适的人才。     

刍议数学素质的内涵 注重数学素质的培养

提高学生素质，培养跨世纪人才．这是当前中学教育的热门话题．为落实党中央“科教兴国”的战略任务，各学科教学都得注重学生该学科素质的培养．如何培养学生数学素质呢？在回答这个问题之前，先得搞清楚数学素质的内涵是什么．1数学素质的内涵结合数学教材，进行爱国主义教育，进行辩证唯物主义教育，进行理论联系实际的教育，等等．固然是培养学生素质的广个方面，甚至是不可忽视的一个方面．就数学学科而言，这不是数学素质的要点．根据中学数学教学大纲的规定，我个人认为数学素质的内涵表现在如下几个方面．（1）基本的数学知识和基本…     

略论提高高校学生素质和开展珠算教学的关系

江泽民主席在论述“三个代表”时指出：“我们的党要始终代表中国先进化的前进方向，就是党的理论、路线、纲领、方针和各项工作，必须努力体现发展面向现代化、面向世界、面向未来的、民族的科学大众的社会主义化的要求，促进全民族思想道德素质和科学化素质的不断提高，为我国经济发展和社会进步提供精神动力和智力支持。”这里一个核心问题是人才素质问题。     

数学教学教务工作职责及教务员素质要求初探

教务工作是高等院校教育管理工作系统中的重要组成部分。本阐述了数学教学教务工作职责，同时对数学院(系)教务员的政治思想素质、专业知识素质、工作能力素质等素质要求提出了看法。     

Valuing executive stock options: A quadratic approximation

This paper develops a continuous-time model for valuing executive stock options (ESOs) with features of early exercise, delayed vesting and forfeiture. Applying the quadratic approximation established for valuing American options into ESOs, we obtain an explicit formula for the fair ESO value at its grant date. We show that the approximation formula is consistent with the exact results for two special cases either with no dividend or infinite maturity, and also that the perpetual value for the latter case gives an upper bound of the ESO value. To see the performance of the formula, we numerically examine it with benchmark results generated by a binomial-tree model for some particular cases. Numerical experiments show that there is a complementary relation between the vesting and trading periods with respect to exit rate of ESO holders.     

A closed form solution for vulnerable options with Heston’s stochastic volatility

Over-the-counter stock markets in the world have been growing rapidly and vulnerability to default risks of option holders traded in the over-the-counter markets became an important issue, in particular, since the global finance crisis and Eurozone crisis. This paper studies the pricing of European-type vulnerable options when the underlying asset follows the Heston dynamics. In this paper, we obtain a closed form analytic formula of the option price as a stochastic volatility extension of the classical Heston formula and find how the stochastic volatility effect on the Black–Scholes price as well as on the decreasing speed of the option price with credit risk depends on moneyness.     

基于标度理论的股指时间序列相似性分析

股指时间序列的相似性分析是当前金融学研究的热点之一。为了提高股指时间序列相似性分析的准确度,从标度不变性、多重分形及波动聚集性三个层面定义了标度理论的度量指标,并基于此对股指序列进行表示。将分割后的每一序列子区间看作时间点,则分割、表示后的不同股指序列构成一个多指标的面板数据。基于面板数据特征及指标相对重要性,提出了一种新型的多指标面板数据相似性度量函数——复合距离函数,用以度量股指时间序列的相似性。聚类结果表明,相较于其他两种方法,基于标度理论和复合距离函数的相似性度量方法能够显著提高相似性度量的准确度,同时具有较强的稳健性。     

THE EFFECTS OF ITQ IMPLEMENTATION: A DYNAMIC APPROACH

ABSTRACT. This paper investigates the intertemporal effects of introducing Individual Transferable Quota, ITQ, fishery management programs on stock size, fleet size and composition, and returns to quota holders and to vessel operators. Theoretical analysis is conducted using a specific version of a general dynamic model of a regulated fishery. It is demonstrated that the effects will differ depending upon the prevailing regulation program, current stock size, and existing fleet size, composition and mobility and upon how the stock and fleet change over time after the switch to ITQs. The paper expands upon previous works by modeling the dynamics of change in fleet and stock size and by allowing for changes in the TAC as stock size changes, by comparing ITQs to different regulations, and by allowing the status quo before ITQ implementation to be something other than a bioeconomic equilibrium. Specific cases are analyzed using a simulation model. The analysis shows that the annual return per unit harvest to quota owners can increase or decrease over the transition period due to counteracting effects of changes in stock and fleet size. With ITQs denominated as a percentage of the TAC, the current annual value of a quota share depends upon the annual return per unit of harvest and the annual amount of harvest rights. Because the per unit value can increase or decrease over time, it is also possible that the total value can do the same. Distribution effects are also studied and it is shown that while the gains from quota share received are the present value of a potentially infinite stream of returns, potential losses are the present value of a finite stream, the length of which depends upon the remaining life of the vessel and the expected time it will continue to operate.     

我国工业研发存量对产出增长的影响及发展策略——基于后危机时代省际面板数据分析

在构建工业研发存量对产出增长影响的理论模型的基础上,通过面板数据模型实证分析后危机时代(2008年以来)我国工业研发存量对其产出增长的影响,研究发现:从全国来看,工业研发存量对产出增长的产出弹性为0.16%;从各地区的对比来看,中部地区的产出贡献度最大,产出弹性达到0.59%,西部地区次之,产出弹性为0.21%,东部地区产出贡献度最小,产出弹性仅为0.08%.在此基础上,提出进一步提高我国工业研发存量对产出增长贡献度的对策建议.     

有效证券市场上证券价格长期波动控制系统的反馈控制

探讨有效证券市场上证券价格长期波动控制系统的反馈控制问题,建立了有效市场条件下证券价格长期波动的控制系统模型.根据系统完全能达的条件,讨论了以股市政策为单控制输入配置极点的问题和以上市公司政策为单控制输入配置极点的问题;根据系统非完全能达的条件,探讨了上市公司不发展时的镇定问题和股市宏观上不调控时的镇定问题.设计了一个降维状态观测器,用以估计证券的内在价值.选择使上市公司均衡增长时对应的证券平均内在价值作为目标值,设计线性多变量调节器,使所得到的闭环系统渐近稳定,且系统的输出跟踪该目标值.通过反馈控制以改善控制系统的内部结构特征和性能,达到人们对证券市场进行调控的预期目的.     

Nonparametric long term prediction of stock returns with generated bond yields

Recent empirical approaches in forecasting equity returns or premiums found that dynamic interactions among the stock and bond are relevant for long term pension products. Automatic procedures to upgrade or downgrade risk exposure could potentially improve long term performance for such products. The risk and return of bonds is more easy to predict than the risk and return of stocks. This and the well known stock-bond correlation motivates the inclusion of the current bond yield in a model for the prediction of excess stock returns. Here, we take the actuarial long term view using yearly data, and focus on nonlinear relationships between a set of covariates. We employ fully nonparametric models and apply for estimation a local-linear kernel smoother. Since the current bond yield is not known, it is predicted in a prior step. The structure imposed this way in the final estimation process helps to circumvent the curse of dimensionality and reduces bias in the estimation of excess stock returns. Our validated stock prediction results show that predicted bond returns improve stock prediction significantly.     

股指期货套利中的最优现货组合构建策略研究

针对如何构建与股指期货联动性较好的现货组合问题,本文提出采用两阶段优化策略以提高组合的跟踪准确度。第一阶段,利用基于独立成分分析与模糊C均值算法相结合的时间序列聚类方法将沪深300股指期货对应的成分股进行聚类;第二阶段,对聚类之后的结果进行指数优化复制,以跟踪误差最小为目标,确定跟踪组合的成分股权重。实证研究表明,本文所提出的两阶段优化策略可以较好地改进指数跟踪效果。     

Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market

We propose a way of using DEA cross-efficiency evaluation in portfolio selection. While cross efficiency is an approach developed for peer evaluation, we improve its use in portfolio selection. In addition to (average) cross-efficiency scores, we suggest to examine the variations of cross-efficiencies, and to incorporate two statistics of cross-efficiencies into the mean-variance formulation of portfolio selection. Two benefits are attained by our proposed approach. One is selection of portfolios well-diversified in terms of their performance on multiple evaluation criteria, and the other is alleviation of the so-called “ganging together” phenomenon of DEA cross-efficiency evaluation in portfolio selection. We apply the proposed approach to stock portfolio selection in the Korean stock market, and demonstrate that the proposed approach can be a promising tool for stock portfolio selection by showing that the selected portfolio yields higher risk-adjusted returns than other benchmark portfolios for a 9-year sample period from 2002 to 2011.     

Hopfield神经网络的稳定性及其在投资组合中的应用

在取消了神经元之间的连接权系数对称限制的基础上 ,讨论了 Hopfield神经网络的稳定性 ,得到了一些有益结论 .并将其应用于 Hopfield神经网络算法的改进上 .进而依据改进的算法以有价证券的选择为例进行了随机模拟 ,取得了令人满意的结果 .