外汇市场、股票市场与房地产市场的风险传染研究——基于三元VAR-BEKK-GARCH模型实证分析

本文将人民币汇率、房价和股价三者纳入一个统一的分析框架中,从水平变动和波动风险两个方面考虑时变异方差和变量间的风险传递效应,使用“二次汇改”后的2010年6月到2017年12月的月度数据,采用三元GARCH和BEKK时序模型研究人民币汇率、房价和股价之间的动态影响关系及其波动风险互动机制。研究发现,三个市场相互之间具有明显的影响,特别是价格波动的风险传染上,房地产市场与股票之间、股票市场与汇率市场之间或长期或短期都存在风险的传递效应。具体而言,市场在均值溢出方面,人民币升值会促进房价和股价的上涨;但房价与股价之间的价格影响关系并不明显。在波动溢出方面,房价和股价之间的波动溢出效应明显,同时存在ARCH和GARCH型波动效应,而股价对汇率的波动影响也同时存在ARCH和GARCH型波动效应,但汇率对股价仅有GARCH型波动效应。     

基于小波神经网络与ARIMA组合模型在股票预测中的应用

为了实现对股票价格变化的短期预测,提出了一种基于小波神经网络(WNN)与自回归积分滑动平均模型(ARIMA)的组合预测模型.将股票的收盘价序列数据划分为线性以及非线性(误差项)两个部分,分别利用统计学中ARIMA模型和小波神经网络分别对两部分数据进行预测并得到结果,将两部分结果组合相加合成为整个股票价格的预测结果.实验结果表明该组合模型在预测精度方面有提高,是一种比较有效的预测模型.     

基于分数O U过程的几何亚式-再装股票期权定价模型

通过将几何亚式期权应用到再装期权中,解决了传统再装期权在再装日按B-S模型执行时所产生的经理激励问题,建立了几何亚式-再装股票期权的定价模型,并在股价服从分数O-U过程下得到了相应的定价公式.通过模拟分析发现,与传统再装期权相比,几何亚式-再装期权的价值要低一些,这说明几何亚式-再装股票期权能更好地降低代理成本.     

Hadamard matrices of small order and Yang conjecture

We show that 138 odd values of n<10000 for which a Hadamard matrix of order 4n exists have been overlooked in the recent handbook of combinatorial designs. There are four additional odd n=191, 5767, 7081, 8249 in that range for which Hadamard matrices of order 4n exist. There is a unique equivalence class of near‐normal sequences NN(36), and the same is true for NN(38) and NN(40). This means that the Yang conjecture on the existence of near‐normal sequences NN(n) has been verified for all even n⩽40, but it still remains open. © 2010 Wiley Periodicals, Inc. J Combin Designs 18: 254–259, 2010     

The Stock Market Model with Delayed Information Impact from a Socioeconomic View

Finding the critical factor and possible “Newton’s laws” in financial markets has been an important issue. However, with the development of information and communication technologies, financial models are becoming more realistic but complex, contradicting the objective law “Greatest truths are the simplest.” Therefore, this paper presents an evolutionary model independent of micro features and attempts to discover the most critical factor. In the model, information is the only critical factor, and stock price is the emergence of collective behavior. The statistical properties of the model are significantly similar to the real market. It also explains the correlations of stocks within an industry, which provides a new idea for studying critical factors and core structures in the financial markets.     

我国高端工程机械产业基地评选研究

分析了高端工程机械产业基地应具有的特点;给出了高端工程机械产业基地评选的基本原则;建立了合理的候选高端工程机械产业基地评价指标体系及评价方法,并将该方法应用于我国高端工程机械产业基地的评价与选择.研究结果表明:在国内高端工程机械行业已形成10个主要产业集群的情况下,若在全国范围内设立三个高端工程机械战略性新兴产业基地,则这些基地应分别在徐州、柳州和长沙组建.     

基于具有LR型模 糊输出回归模型的上证指数预测

以对称二次型模糊回归模型为基础,引入一般二次模糊回归模型,利用模糊最小二乘法估计未知参数．构建评价标准考察两模型的拟合效果,在样本期内和样本期外分别评价模型的实际拟合与预测能力．     

Modeling and analysis of an agent-based model for Chinese stock market

We constructed an agent-based stock market model which concisely describe investors? heterogeneity and adaptability by introducing price sensitivity and feedback time. Under different parameters, the peak and fat-tail property of return distribution is produced and the obtained statistic values coincide with empirical results: the center peak exponents range from ?0.787 to ?0.661, and the tail exponents range from ?4.29 to ?2.37. Besides, long-term correlation in volatility is examined by DFA1 method, and the obtained exponent α is 0.803, which also coincides with the exponent of 0.78 found in real market.     

Sequentially Cohen-Macaulay Modules Under Base Change

ABSTRACT

Assume that ?:(R, ± 𝔪) → (S, ± 𝔫) is a local flat homomorphism between commutative Noetherian local rings R and S. Let M be a finitely generated R-module. We investigate the ascent and descent of sequentially Cohen-Macaulay properties between the R-module M and the S-module M ? _R  S.     

Unclicking of thioureas: Base catalyzed elimination of anilines and isothiocyanates from thioureas

Bisaromatic thioureas are widely used in e.g. asymmetric organocatalysis and considered to be robust compounds. Herein we show, in strong contrast to common notion, that thioureas dissociate to amines and isothiocyanates in a base catalyzed reaction under mild conditions. This ‘unclicking’ process can occur in the presence of weak organic bases even at moderate temperatures. The influence of the substituents at the aromatic rings of the thiourea on the regioselectivity of this unclicking process is also shown.