Nutrients and biomass spatial patterns in alpine tundra ecosystem on Changbai Mountains, Northeast China

Biomass and nutrients were investigated in 2003, 2004 and 2005 growing seasons by using a chronosequence of five vegetation types in alpine tundra on Changbai Mountains. The objective of this study was to test whether nutrients at biointerfaces were significant differences among five vegetation types. The biomass and elevation are highly related (biomass = −237.3 ln(elevation) + 494.36; R² = 0.8092; p < 0.05). There were no significant differences in phosphorus (P) and sulphur (S) concentrations of roots, stems and leaves among five vegetation types while there are significant differences in nitrogen (N) and P stocks of roots, stems and leaves and in S stock of stems and leaves among typical alpine tundra vegetation (TA), meadow alpine tundra vegetation (MA), and swamp alpine tundra vegetation (SA) (p < 0.05). Vegetation nutrients stock is averagely 72.46 kg hm⁻², and N, P, S stocks are 48.55, 10.33 and 13.61 kg hm⁻², respectively. Soil N and S concentrations in MA are significantly higher than those in other four soil types. P is higher in SA (p < 0.05). Soil nutrients stock (0–20 cm) is averagely 39.59 t hm⁻², and N, P, S stocks are 23.74, 5.86 and 9.99 t hm⁻², respectively.     

同质信念与Black-Scholes公式定价偏差——基于期权定价的保险精算方法

本文分析了包括BS的鞅方法在内的四种期权定价方法.Mogens Bldt和郑红给出的保险精算定价方法是非套利定价,缺少足够的理论基础.另外,存在同质信念的市场上BS定价并非完全无套利,如果对不同股票进行分散化投资,只要基础资产种类足够多,也可套取利益.不同投资者的漂移率取同一常数μ体现了他们的同质信念,与弱有效的现实市场情况相符.进一步分析得出结论,即使存在同质信念,如果μt是一个可料过程而非常数,会使得精算定价难以计算确定期望,从而无效.根据SAS软件的模拟结果,在同质信念下,精算套利定价显著高于BS鞅方法定价.通过恒生股指期权的实证检验,说明同质信念下的漂移率更适合取同一常数而不是可料过程,实证检验发现精算套利理论价格与实际价格差距很小,说明此方法比较有效.     

A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect

Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics. This paper uses multifractal analysis to evaluate if the temporal dynamics of market returns also exhibit calendar anomalies such as day-of-the-week effects. We apply multifractal detrended fluctuation analysis (MF-DFA) to the daily returns of market indices worldwide for each day of the week. Our results indicate that distinct multifractal properties characterize individual days of the week. Monday returns tend to exhibit more persistent behavior and richer multifractal structures than other day-resolved returns. Shuffling the series reveals that multifractality arises from a broad probability density function and long-term correlations. The time-dependent multifractal analysis shows that the Monday returns’ multifractal spectra are much wider than those of other days. This behavior is especially persistent during financial crises. The presence of day-of-the-week effects in multifractal dynamics of market returns motivates further research on calendar anomalies for distinct market regimes.     

随机执行日经理股票期权的定价及激励效用分析

针对标准支付型经理股票期权执行日确定的问题,提出具有随机执行日的支付型经理股票期权的定价公式;选择期权价值对股票价格的敏感性(delta)、期权价值对股票收益波动率的敏感性(vega)对经理股票期权进行激励效用分析;并通过改变部分参数的值,分析期权对经理激励作用的变化.     

离散鞅可料表示性的一个注

本文在鞅变换的框架在下改进了Jacod引理并证明了其逆命题,考察了离散鞅的可料表示性的本质,从而引出最小可料表示性的概念,并给出其在金融数学完备市场理论中的一个应用.     

Multifractal Company Market: An Application to the Stock Market Indices

Using the multiscale normalized partition function, we exploit the multifractal analysis based on directly measurable shares of companies in the market. We present evidence that markets of competing firms are multifractal/multiscale. We verified this by (i) using our model that described the critical properties of the company market and (ii) analyzing a real company market defined by the S&P500 index. As the valuable reference case, we considered a four-group market model that skillfully reconstructs this index’s empirical data. We point out that a four-group company market organization is universal because it can perfectly describe the essential features of the spectrum of dimensions, regardless of the analyzed series of shares. The apparent differences from the empirical data appear only at the level of subtle effects.     

具有舍入误差微观结构噪音高频数据的杠杆效应分析

本杠杆效应反映了股票收益率与其波动率变动之间的负相关关系,它一直是金融研究的核心问题.在高频时间序列数据中,传统的简单相关系数估计是不相合的,为此一些学者给出了新的杠杆效应刻画-积分杠杆效应,并给出该杠杆效应的估计量.众所周知,高频数据易受市场微观结构噪音的干扰,其中舍入误差是非常重要、实际中普遍存在的一类.高频数据被...     

2008年—2018年我国大陆地区入境旅游的危机周期及市场归因

自2008年以来我国大陆地区入境旅游危机不断,影响路径众说纷纭且缺乏系统的解释框架。以2000年—2018年28个国家或地区入境我国大陆地区客流量为依据,从国内、周边国家（洲内）和洲际三圈市场以及客源地、目的地和旅游通道三断面的博弈关系出发,分析各客源市场入境我国大陆地区客流量的变化情况,并建立了突发危机事件影响下入境旅游衰退的归因模型。结果发现：2009年爆发的全球金融危机和随后出现的欧洲债务危机,是影响三圈市场入境客流量减少的客源地断面经济因素;2008年的汶川地震和2012年—2015年大范围雾霾污染,是影响洲内、洲际市场入境客流量下降的目的地断面安全因素;2012年—2015年钓鱼岛问题和2017年萨德事件,分别导致洲内市场日本、韩国入境客流量减少,属于旅游通道断面政治因素。2008年—2018年,我国大陆地区入境旅游的“两降两升”危机周期,是受客源地、目的地和旅游通道三断面多起危机事件影响所致,并非单纯由景区门票上涨、旅游签证不便及服务质量不佳造成。本研究为突发危机事件的国际旅游研究提供了新的借鉴,对加强危机事件的预警和入境旅游市场拓展具有重要启示。     

稀土发光材料技术和市场现状及展望

全面分析了新型节能绿色照明及平板显示用稀土发光材料研究及产业发展状况,特别总结了三基色节能灯照明、半导体照明、液晶显示背光源以及等离子平板显示用稀土发光材料的种类、性能、制备技术及产业状况。指出我国在半导体照明、液晶显示背光源、等离子显示等高端稀土发光材料领域核心知识产权缺乏、市场占有率低,在灯用三基色荧光粉等领域存在制备技术落后、发光效率低、稳定性差等问题。最后,展望了我国稀土发光材料下一步的研发和产业重点和发展趋势。     

考虑投资人过度自信偏好的占线股票投资策略研究

当股票价格及收益的统计信息不足或无法构建精确概率分布时,股票占线投资问题获得广泛关注,即投资人能够运用在线算法和竞争分析设计出更好的占线投资策略以应对股价的不确定性。本文将投资人过度自信偏好这种认知偏差,引入到股票占线投资问题中,构建了离线对手与股票占线投资人的博弈模型,分别给出一般情形和存在动量效应情形下的最优混合策略和混合策略纳什均衡。结果发现,两种情形下的最优混合策略不仅克服了传统股票投资策略对股价或股票收益概率分布假设的过度依赖,并且更好地抽象了股票占线投资人过度自信、追涨杀跌等特征,对现有行为金融与金融占线交易问题的研究提供了有益补充。