A simple comparison between Skorokhod & Russo-Vallois integration for insider trading

We consider a simplified version of the problem of insider trading in a financial market. We approach it by means of anticipating stochastic calculus and compare the use of the Skorokhod and the Russo-Vallois forward integrals within this context. We conclude that, while the forward integral yields results with a clear financial meaning, the Skorokhod integral does not provide a suitable formulation for this problem.     

基于碳交易的闭环供应链碳减排与定价策略研究

在消费者对低碳产品存在偏好的碳交易市场中,研究两级闭环供应链中的减排与定价决策问题.对于制造商负责回收模式下的回收再制造过程,采用指数分布来刻画废旧产品质量水平的不确定性.假设新产品和再制造品存在竞争关系,建立制造商和零售商间的Stackelberg博弈模型,给出制造商确定减排投资和回收参考价格以及零售商决定两种产品的差别定价策略,通过算例分析回收产品的残值和碳交易价格对最优策略和供应链成员利润的影响.研究表明,为了获得利润最大,当碳交易的市场价格升高时,制造商应加大减排投资,且零售商应采取提高产品零售价的策略.     

Optimal Decisions in a Time Priority Queue

We show how the position of a limit order (LO) in the queue influences the decision of whether to cancel the order or let it rest. Using ultra-high-frequency data from the Nasdaq exchange, we perform empirical analysis on various LO book events and propose novel ways for modelling some of these events, including cancellation of LOs in various positions and size of market orders. Based on our empirical findings, we develop a queuing model that captures stylized facts on the data. This model includes a distinct feature which allows for a potentially random effect due to the agent’s impulse control. We apply the queuing model in an algorithmic trading setting by considering an agent maximizing her expected utility through placing and cancelling of LOs. The agent’s optimal strategy is presented after calibrating the model to real data. A simulation study shows that for the same level of standard deviation of terminal wealth, the optimal strategy has a 2.5% higher mean compared to a strategy which ignores the effect of position, or an 8.8% lower standard deviation for the same level of mean. This extra gain stems from posting an LO during adverse conditions and obtaining a good queue position before conditions become favourable.     

Investment using evolutionary learning methods and technical rules

In this paper, I propose a genetic learning approach to generate technical trading systems for stock timing. The most informative technical indicators are selected from a set of almost 5000 signals by a multi-objective genetic algorithm with variable string length. Successively, these signals are combined into a unique trading signal by a learning method. I test the expert weighting solution obtained by the plurality voting committee, the Bayesian model averaging and Boosting procedures with data from the S&P 500 Composite Index, in three market phases, up-trend, down-trend and sideways-movements, covering the period 2000–2006. Computational results indicate that the near-optimal set of rules varies among market phases but presents stable results and is able to reduce or eliminate losses in down-trend periods.     

Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets

The development of new models that would enhance predictability for time series with dynamic time-varying, nonlinear features is a major challenge for speculators. Boundedly rational investors called “chartists” use advanced heuristics and rules-of-thumb to make profit by trading, or even hedge against potential market risks. This paper introduces a hybrid neurofuzzy system for decision-making and trading under uncertainty. The efficiency of a technical trading strategy based on the neurofuzzy model is investigated, in order to predict the direction of the market for 10 of the most prominent stock indices of U.S.A, Europe and Southeast Asia. It is demonstrated via an extensive empirical analysis that the neurofuzzy model allows technical analysts to earn significantly higher returns by providing valid information for a potential turning point on the next trading day. The total profit of the proposed neurofuzzy model, including transaction costs, is consistently superior to a recurrent neural network and a Buy & Hold strategy for all indices, particularly for the highly speculative, emerging Southeast Asian markets. Optimal prediction is based on the dynamic update and adaptive calibration of the heuristic fuzzy learning rules, which reflect the psychological and behavioral patterns of the traders.     

小波分析印花税调整对股市成交量的影响

在2008年中国股票市场的下跌趋势中,政府为提振股票市场,在2008年4月24日和2008年9月19日分别将印花税由3%下调至1%和单边开征印花税,引起当时市场的强烈反应。文章给出小波检验方法,考察印花税对大盘指数的走势的作用。从结果来看,短期内(小于4天)对股市成交量有很大促进作用,而长期(大于16天)作用有限。     

Effect of X-Rays and Power Laser Irradiation on the Complex Emission Centers in Dielectric Crystals

Irradiation effects on emission centers were studied with photo and X-ray luminescence investigations of alkali chromate crystals. The X-rays and powerful laser irradiations were used for this investigation. The irradiation effects were found to depend on a type and structure of emission centers. In the alkali Chromate crystals complex emission centers of a molecular type are formed by two weight centers: the Chromate oxyanion and the defect. The bond between weight centers can be broken under irradiation action. As established in our experiment, some types of the emission centers can decay or transform into other types under action of irradiation.     

Anomalous heat evolution of deuteron implanted al upon electron bombardment III - try to observe the nuclear d-d reaction

In previous papers, one of the authors (K. K.) has observed the anomalous melting of the surface layer of deuteron implanted Al, containing so-called "tunnel structures", on the electron bombardment in transmission electron microscope. In the present paper, we intended to observe the evidence of the d-d nuclear reaction, expecting neutron emission, associated with the melting phenomenon. However, the result was rather unexpected. The melting phenomenon was certainly observed under the same experimental conditions as before. But, in spite of the melting, neutron emission associated with the nuclear reaction was not observed. And, more unexpectedly, X-ray emission of energy less than roughly 400 v keV was observed when specimens with a bubble structure, which never showed melting, were bombarded with electron beams. Several conceivable mechanisms are discussed which, however, are all not convincing to explain the melting. The melting is attributed to some excess energy generation. The error estimation of the radiation measurements was undertaken.     

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

ABSTRACT

We compare optimal liquidation policies in continuous time in the presence of trading impact using numerical solutions of Hamilton–Jacobi–Bellman (HJB) partial differential equations (PDEs). In particular, we compare the time-consistent mean-quadratic-variation strategy with the time-inconsistent (pre-commitment) mean-variance strategy. We show that the two different risk measures lead to very different strategies and liquidation profiles. In terms of the optimal trading velocities, the mean-quadratic-variation strategy is much less sensitive to changes in asset price and varies more smoothly. In terms of the liquidation profiles, the mean-variance strategy is much more variable, although the mean liquidation profiles for the two strategies are surprisingly similar. On a numerical note, we show that using an interpolation scheme along a parametric curve in conjunction with the semi-Lagrangian method results in significantly better accuracy than standard axis-aligned linear interpolation. We also demonstrate how a scaled computational grid can improve solution accuracy.     

基于网络均衡的电力市场排污权交易政策研究

本文构建了电力供应链网络均衡模型,网络中包含三级决策主体,分别是:发电厂、电力服务商和用电市场.在分析各级决策者行为的基础上,得到了基于变分不等式的均衡条件,研究了针对发电厂的排污权交易政策设计问题.研究发现:排污交易政策实施后,总排污量不会超过给定的排污权总量;发电厂清洁生产能力的差异对排污权交易政策影响显著.