新疆地区房地产价格影响因素的区域差异实证分析——基于北疆、南疆和东疆三个区域的截面数据

为揭示新疆不同区域房地产市场价格波动的区域差异,采用多元线性回归模型从房地产市场价格的供给与需求两个方面分析影响新疆北疆、南疆、东疆三个地区房地产市场价格区域波动的主要因素.研究表明:随着新疆经济社会发展,房地产的刚性需求增加,在一定程度上拉动了房地产价格的上涨,同时,由于稳定等方面的缘故及投资需求,又加剧了房地产价格的上涨.     

International portfolio choice and political instability risk: A multi-objective approach

The benefits derived from international portfolio diversification into foreign nations (including the less developed countries) are well documented, yet this practice is discouraged due to market imperfections such as political instability. In practice, nations may be differentiated further by many aspects, such as border controls or political and social trends, which constrain private transactions and financial decisions. This paper attempts to examine (1) whether the home asset bias in a portfolio holding is associated with higher political instability risk, and (2) to what extent international diversification among stocks, in the presence of such risk, outperforms domestic stock portfolios. Using alternative instability risk proxies in the context of a discrete-time version of mean–variance framework, we corroborate the impact of this type of risk on international portfolio investment decisions.     

Promoting productive mathematical classroom discourse with diverse students

Productive mathematical classroom discourse allows students to concentrate on sense making and reasoning; it allows teachers to reflect on students’ understanding and to stimulate mathematical thinking. The focus of the paper is to describe, through classroom vignettes of two teachers, the importance of including all students in classroom discourse and its influence on students’ mathematical thinking. Each classroom vignette illustrates one of four themes that emerged from the classroom discourse: (a) valuing students’ ideas, (b) exploring students’ answers, (c) incorporating students’ background knowledge, and (d) encouraging student-to-student communication. Recommendations for further research on classroom discourse in diverse settings are offered.     

不确定条件下的拟平稳经济增长

我们在不确定条件下建立随机生产可能集，并推出此集上的一些性质，从而在拟平稳模型里简化了类似结果的证明．     

具有一般效用函数与允许卖空的资本市场中均衡价格向量的存在性与唯一性

对有有限多个其效用函数为一般凹函数的投资者参与的资本市场，在假设风险资产收益的联合分布为椭圆分布之下，通过考虑期望效用最大化问题，我们导出了使市场出清的均衡价格向量存在唯一的条件及其计算公式，并简要讨论了所给条件的经济意义，所得结果推广了有关资产市场均衡分析的某些结果。     

A Tabu Search heuristic procedure in Markov chain bootstrapping

Markov chain theory is proving to be a powerful approach to bootstrap finite states processes, especially where time dependence is non linear. In this work we extend such approach to bootstrap discrete time continuous-valued processes. To this purpose we solve a minimization problem to partition the state space of a continuous-valued process into a finite number of intervals or unions of intervals (i.e. its states) and identify the time lags which provide “memory” to the process. A distance is used as objective function to stimulate the clustering of the states having similar transition probabilities. The problem of the exploding number of alternative partitions in the solution space (which grows with the number of states and the order of the Markov chain) is addressed through a Tabu Search algorithm. The method is applied to bootstrap the series of the German and Spanish electricity prices. The analysis of the results confirms the good consistency properties of the method we propose.     

Stochastic Expansion for the Pricing of Call Options with Discrete Dividends

Abstract

In the context of an asset paying affine-type discrete dividends, we present closed analytical approximations for the pricing of European vanilla options in the Black–Scholes model with time-dependent parameters. They are obtained using a stochastic Taylor expansion around a shifted lognormal proxy model. The final formulae are, respectively, first-, second- and third- order approximations w.r.t. the fixed part of the dividends. Using Cameron–Martin transformations, we provide explicit representations of the correction terms as Greeks in the Black–Scholes model. The use of Malliavin calculus enables us to provide tight error estimates for our approximations. Numerical experiments show that this approach yields very accurate results, in particular compared with known approximations of Bos, Gairat and Shepeleva (2003 Bos, R., Gairat, A. and Shepeleva, D. 2003. Dealing with discrete dividends. Risk Magazine, 16: 109–112.  [Google Scholar], Dealing with discrete dividends, Risk Magazine, 16, pp. 109–112) and Veiga and Wystup (2009 Veiga, C. and Wystup, U. 2009. Closed formula for options with discrete dividends and its derivatives. Applied Mathematical Finance, 16(6): 517–531. [Taylor & Francis Online] , [Google Scholar], Closed formula for option with discrete dividends and its derivatives, Applied Mathematical Finance, 16(6), pp. 517–531), and quicker than the iterated integration procedure of Haug, Haug and Lewis (2003 Haug, E. G., Haug, J. and Lewis, A. 2003. Back to basics: a new approach to the discrete dividend problem. Wilmott Magazine, : 37–47.  [Google Scholar], Back to basics: a new approach to the discrete dividend problem, Wilmott Magazine, pp. 37–47) or than the binomial tree method of Vellekoop and Nieuwenhuis (2006 Vellekoop, M. and Nieuwenhuis, J. 2006. Effcient pricing of derivatives on assets with discrete dividends. Applied Mathematical Finance, 13(3): 265–284. [Taylor & Francis Online] , [Google Scholar], Efficient pricing of derivatives on assets with discrete dividends, Applied Mathematical Finance, 13(3), pp. 265–284).     

Modelling spikes in electricity markets using excitable dynamics

We present a general methodology to model spikes in deregulated electricity markets using excitable dynamics in a multi-regime switching approach. In particular, we propose a two-regime switching model and a three-regime switching model in which the spikes phenomenon is described by a FitzHugh-Nagumo excitable dynamics. Both models seems to be interesting candidates for describing the main characteristics of electricity price dynamics as the occurrence of stable periods in which prices fluctuate around some long-run mean, and turbulent periods in which prices experience jumps and spikes of very large magnitude. In agreement with market data, both models can produce probability distributions of price returns with positive skewness and very high values of kurtosis.     

A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices

The measure of long-term memory is important for the study of economic and financial time series. This paper estimates the Hurst exponent from a Scaled Variance Ratio model for 17 commodity price series under the efficient market null H₀:H=0.5. The distribution about the estimates of H are obtained from 90%, 95% and 99% confidence intervals generated from 20,000 Monte Carlo replications of a geometric Brownian motion. The results show that the scaled variance ratio provides a very good and stable estimate of the Hurst exponent, but the estimates can be quite different from the measure obtained from rescaled range or R–S analysis. In general commodity prices are consistent with the underlying assumption of a geometric Brownian motion.     

All Stackelberg Location Equilibria in the Hotelling's Duopoly Model on a Tree with Parametric Prices

The sequential Hotelling's duopoly model on a tree was studied by Eiselt (1992), who developed conditions for the existence of location equilibria when location decisions are nodes and prices are parametric. In this paper, this competition model is also analyzed, but considering that locations for the two firms can be any pair of points on the tree, nodes or points in the edges. First, a condition is given under which both the leader and the follower get a positive profit. In this setting, the problem of finding optimal locations for each of them is studied with different and equal prices. In both cases, the set of optimal locations for the follower is generated for any location of the leader as well as the set of optimal locations for the leader. As a consequence the entire set of Stackelberg solutions to this competition model is obtained.