Financial Risk Modelling and Econometric Inference

In finance, the explicit modelling of uncertainty takes on a particularly important role. The values of financial derivatives increase in the return volatility of the underlying security. This notion requires a concept of volatility and hence uncertainty. In addition, the choice between modelling in discrete and continuous time is not arbitrary, since it corresponds to a distinction between incomplete and complete markets, respectively, and this distinction matters for asset pricing, financial risk modelling, and inference. Risk and volatility are closely connected, and implied volatility, volatility forecasting, volatility in term structure models, stochastic volatility, and portfolio analysis are considered and related to a more general interplay between cross-sectional and dynamic aspects in finance. Stocks, bonds, and options are considered and placed in the context of efficiency and separation in inference.     

Arms races as iterated prisoner's dilemma games

Many important aspects of arms races are captured by the iterated prisoner's dilemma (IPD) game. In this analysis, strategies are developed and analyzed for IPD games which most resemble arms races; those which are finite, uncertain and time varying in length. It is shown that, under certain conditions, it can be rational to unilaterally cooperate following a series of mutual defection. A number of conclusions concerning arms race behavior are drawn.     

中国证券市场价格及波动率长记忆性实证研究

证券市场股价运动是否存在长记性,近年来的实证研究结论不一.其中重要原因是数据选择的局限和检验方法的不统一.通过自相关函数、修正的R/S和GPH方法对中国证券市场的日和五分钟数据进行了递进检验,得出了一些与众不同的结论.     

基于因子分析的组织文化测量

在吸纳了国内外学者研究成果的基础上,设计了组织文化测量量表.通过因子分析,得到了组织文化创新力、凝聚力、领导力、员工定位、绩效定位、分配定位、团队定位七个维度的测量指标,累计七个维度方差得到组织文化强度,由该强度值的大小得知组织文化的强弱.给出了一种测量组织文化的定量方法,解决了实证研究中组织文化测量困难的问题.     

基于卡方检验分析的随书光盘管理绩效的研究

为研究图书馆随书光盘资源的管理绩效,本文分析了随书光盘的管理模式的特点和卡方检验用于随书光盘管理绩效分析的原理,采用问卷调查法获得读者随书光盘使用情况的数据,并采用单因素和多因素方法进行了随书光盘的管理绩效分析。结果显示,随书光盘的使用率较高,随书光盘管理模式对读者随书光盘的使用方式具有显著的影响,读者更多地选择网络阅读与下载方式,随书光盘的网络管理模式具有更大绩效。因此,卡方检验可以作为随书光盘管理绩效的量化评价方法,为随书光盘管理提供理论依据,高校图书馆需要加强随书光盘网络管理的建设,提高随书光盘的信息服务质量。     

Non‐homogeneous infinitely many sites discrete‐time model with exact coalescent

Kingman's coalescent is among the most fertile concepts in mathematical population genetics. However, it only approximates the exact coalescent process associated with the Wright–Fisher model, in which the ancestry of a sample does not have to be a binary tree. The distinction between the approximate and exact coalescent becomes important when population size is small and time has to be measured in discrete units (generations). In the present paper, we explore the exact coalescent, with mutations following the infinitely many sites model. The methods used involve random point processes and generating functionals. This allows obtaining joint distributions of segregating sites in arbitrary intervals or collections of intervals, and generally in arbitrary Borel subsets of two or more chromosomes. Using this framework it is possible to find the moments of the numbers of segregating sites on pairs of chromosomes, as well as the moments of the average of the number of pairwise differences, in the form that is more general than usually. In addition, we demonstrate limit properties of the first two moments under a range of demographic scenarios, including different patterns of population growth. This latter part complements results obtained earlier for Kingman's coalescent. Finally, we discuss various applications, including the analysis of fluctuation experiments, from which mutation rates of biological cells can be inferred. Copyright © 2009 John Wiley & Sons, Ltd.     

Real time gaming with real decision makers — experiences from crises management gaming for the Swedish economic defence

A gaming procedure has been used in order to improve the crises management ability of non-military defence authorities in Sweden. The game had three important characteristics: It was implemented in (almost) real time. It was played by real decisionmakers. Finally it was based on a fixed scenario, which was fully known by the participants at the outset of the game. The scenario gave no answer, however, of how the crisis ended. Some interesting methodological conclusions could be drawn: The fixed but unended scenario revealed the difficulty for the decisionmakers to base their decisions on judgement of the uncertain development of the crisis. The real time made it possible to engage real decisionmakers (with some exceptions for politicians), which in turn made it possible to reveal organizational deficiences concerning the responsibility for different tasks. The real time also made it obvious that the distinction between planning for crises and acting in a crisis is not as relevant as in often thought.     

On efficient estimators of two seemingly unrelated regressions

In this paper, following the results presented in Liu’s work [Liu, A.Y., 2002. Efficient estimation of two seemingly unrelated regression equations. Journal of Multivariate Analysis 82, 445-456], we first represent the Gauss-Markov estimator of the regression parameter as a matrix series, and hence we conclude that the observation vectors should appear in any efficient estimator in pairs. Second, we prove that the simpler form of the two-stage Aitken estimator is unique. Finally we generalize our results to the system of two seemingly unrelated regressions with unequal numbers of observations and briefly summarize our conclusions.     

A Study on Diffusion of Sewage Water in River(3)

<正>9.Further study Through observation,we can draw the following conclusions(1)Sewage flow will only diffuse to the upper stream in a limited distance;(2)The width of the sewage flow to river banks will approach a maximum value.Diffusion to the upper stream:     

价格时间序列及其应用

This paper tries to utilize the methods of stochastic analysis and matrix analysis to research the existential problem of price series.By using the means of time series analysis,the input-output,Markov processes and the modern matrix analysis,the limiting problem of price halance and vibration in stochastic economic environment has been researched,and surprising conclusions obtained are as followingthe probability that the economic collapse time is equal ∞ is 0.     

Advanced Mathematical Thinking

In this article we propose the following definition for advanced mathematical thinking: Thinking that requires deductive and rigorous reasoning about mathematical notions that are not entirely accessible to us through our five senses. We argue that this definition is not necessarily tied to a particular kind of educational experience; nor is it tied to a particular level of mathematics. We also give examples to illustrate the distinction we make between advanced mathematical thinking and elementary mathematical thinking. In particular, we discuss which kind of thinking may be required depending on the size of a mathematical problem, including problems involving infinity, and the types of models that are available.     

Logic as Calculus Versus Logic as Language, Language as Calculus Versus Language as Universal Medium, and Syntax Versus Semantics

This paper discusses the distinctions indicated in its title. It is argued that the distinction between syntax and semantics is much more important for the present situation in logic than other distinctions. In particular, doing formal syntax and formal semantics requires the use of an informal melanguage based on ordinary mathematics.     

Measurement of returns to scale using a non-radial DEA model: A range-adjusted measure approach

This research theoretically explores the measurement of returns to scale (RTS), using a non-radial DEA (data envelopment analysis) model. A range-adjusted measure (RAM) is used as a representative of such non-radial models. Historically, a type of RTS has been discussed within an analytical framework of radial models. The radial-based RTS measurement is replaced by the non-radial RAM/RTS measurement in this study. When discussing the non-radial RAM/RTS measurement, this study finds a problem of multiple projections that cannot be found in the radial measurement. In this research, a new linear programming approach is proposed to identify all efficient DMUs (decision making units) on a reference set. The important feature of the proposed approach is that it can deal with a simultaneous occurrence of (a) multiple reference sets, (b) multiple supporting hyperplanes and (c) multiple projections. All of the three difficulties are handled by the proposed RAM/RTS measurement. In particular, we discuss both when the three different types of multiple solutions occur on the RAM/RTS measurement and how to deal with such difficulties. Our research results make it possible to measure not only the type of RTS but also the magnitude of RTS in the RAM measurement.     

流动性能提高套利交易的盈利吗？——基于中国股市的证据

本文以新兴市场重要组成部分之一的中国股市为例,对市场总体流动性水平与套利交易盈利能力间的关系进行了深入分析。与成熟资本市场中的状况相反,本文研究发现,在控制了Fama-French三因子后,套利交易的预期盈利随着市场流动性水平的提高而增加,表明市场异象造成的错误定价并不会随着流动性的提高而被投资者的套利交易所纠正,这体现了不成熟市场的特征,且反映了套利的无效率。另外,本文在分析中还考虑了流动性风险和时变因素风险暴露等可能对研究结论造成影响的因素,并且在进一步研究后得到了与前文相一致的结论。     

商人渡河问题的有解性分析

"商人渡河问题"是一个传统的智力游戏问题,常常作为数学模型、数据结构与智能算法分析等学科中很重要的教学与实验案例被引用.其求解算法尚未得到很好的解决,尤其是问题解的存在性等还缺少一般性和明确的结论.对此,将主要从理论上探讨该类问题何时有解的一般性结论,并给出严格的数学证明.同时还将讨论渡船上安全策略的不同选择对问题求解的影响.     

1996~2017年《Operations Research》期刊发文统计分析

《Operations Research》(OR)是运筹与管理科学领域的顶级期刊,对其刊文进行统计分析,剖析国际运筹学科领域的主流研究机构及合作影响,探究当前研究热点问题及学科发展趋势,对于促进我国运筹学科领域的发展具有十分重要的指引作用.基于对WOS核心数据库中该期刊1996至2017年间全部刊文的统计分析,得出以下结论:近年来我国学者发文量稳步提升,表明我国运筹学科领域研究水平的显著提高,但其影响力仍有待进一步提升;机构合作、国际合作都有助于文章引文量的提升;引证分析显示柔性制造(流程柔性及效率)、巢式Logit模型的应用、网络收益管理等7个研究方向是当前、并继续成为运筹领域的研究热点.     

Bolzano and uniform continuity

It has often been thought that the distinction between pointwise and uniform continuity was a relatively late arrival to real analysis, due to the mathematicians associated with Weierstrass. In this note, it is argued that Bolzano, in his work on real function theory dating from the 1830s, had grasped the distinction and stated two key theorems concerning uniform continuity.     

Forecasting transport requirements for district primary health care in Ghana: A simulation study

In rural planning in developing countries, random factors such as vehicle breakdown, weather conditions and staff availability are particularly important. These can be dealt with specially well by simulation. Transportation is also particularly important in rural areas. This paper presents a simulation study of transport requirements for a rural primary health care scheme in Ghana where the random factors are unavailability of vehicles due to repairs and unavailability of health specialists and drivers for work due to holidays, etc. The analysis gives a quick method of calculating the expected number of jobs that can be done for given numbers of vehicles, levels of availability etc. The simulation gives the corresponding probability distribution. The analysis also indicates which random factor has most effect on limiting the number of jobs that can be done. Policy conclusions are drawn regarding the number of vehicles per district and the payment of incentives to staff for good attendance.     

加肋双曲冷却塔的非线性稳定分析*

本文采用有限元数值分析方法对土木工程中的大型钢筋混凝土双曲冷却塔壳的非线性稳定问题作了具体的数值计算.文中为了讨论双曲塔壳在屈曲后的特性,采用了将普通的载荷增量迭代法与改进的R.C.弧长法相结合的混合算法.为了与实际工程相符合,文中除了将钢筋混凝土当作非均匀体以外,还考虑了塔自重、底部的离散支承、及环向加肋等因素的影响.     

Some remarks on Reid on primary and secondary qualities

John Locke’s distinction between primary and secondary qualities of objects has meet resistance. In this paper I bypass the traditional critiques of the distinction and instead concentrate on two specific counterexamples to the distinction: Killer yellow and the puzzle of multiple dispositions. One can accommodate these puzzles, I argue, by adopting Thomas Reid’s version of the primary/secondary quality distinction, where the distinction is founded upon conceptual grounds. The primary/secondary quality distinction is epistemic rather than metaphysical. A consequence of Reid’s primary/ secondary quality distinction is that one must deny the original version of Molyneux’s question, while one must affirm an amended version of it. I show that these two answers to Molyneux’s question are not at odds with current empirical research.