中国玉米期货市场价格发现功能的实证分析

利用相关系数、协整检验、格兰杰因果检验以及GS模型等方法对大连期货交易所玉米期货市场的发现价格功能进行了实证分析.结果表明:玉米期货价格与现货价格之间存在协整关系,期货价格具有良好的发现价格功能;存在期货价格和现货价格的双向格兰杰引导关系;玉米期货市场的发现价格功能中期货价格起着决定性的作用.     

Detection of Cause-Effect Relations Based on Information Granulation and Transfer Entropy

Causality inference is a process to infer Cause-Effect relations between variables in, typically, complex systems, and it is commonly used for root cause analysis in large-scale process industries. Transfer entropy (TE), as a non-parametric causality inference method, is an effective method to detect Cause-Effect relations in both linear and nonlinear processes. However, a major drawback of transfer entropy lies in the high computational complexity, which hinders its real application, especially in systems that have high requirements for real-time estimation. Motivated by such a problem, this study proposes an improved method for causality inference based on transfer entropy and information granulation. The calculation of transfer entropy is improved with a new framework that integrates the information granulation as a critical preceding step; moreover, a window-length determination method is proposed based on delay estimation, so as to conduct appropriate data compression using information granulation. The effectiveness of the proposed method is demonstrated by both a numerical example and an industrial case, with a two-tank simulation model. As shown by the results, the proposed method can reduce the computational complexity significantly while holding a strong capability for accurate casuality detection.     

On Level Sets of Lorentzian Distance Function

Level sets of Lorentzian distance functions with respect to a point and with respect to an achronal spacelike hypersurface, are analyzed. Some bounds for the Laplacian of such Lorentzian distance functions are obtained and, in relation to them, some spacetime singularity theorems are given.Supported by project BFM2001-3778-C03-01 (Spain).     

Cybernetic causality: A unitary theory of causal recursion in natural and social systems

The phenomena connected with non-linear difference and differential equations are approached from a unifying point of view, offered by the general concept of causal recursion (Sections 1 and 2). After a short discussion of nilpotent causal recursions (Section 3), the properties of full causal recursions near or steadily developing states are considered in detail (Section 4). In the general case of causal recursion, a theorem based on a differential-geometric argument is proved concerning the convergence of trajectories, and an exhaustive classification of systems having causal recursion is obtained (Section 5). It gives, among some other things, a mathematical foundation to the concept of a self-steering system (as distinguished from that of a self-regulating system), applied in recent sociocybernetic analyses.     

Causality and quantum mechanics

Statistical causality is recommended as the name of the generalized causality needed in quantum mechanics, instead of statistical correspondence used by Pauli.     

混合分层结构Gibbs算法与时变因果关系检验及应用

传统的Granger因果检验方法受阻于非平稳数据与时变因果关系的存在,本文以无限状态的Markov过程为基础,设计混合分层结构Gibbs算法,实现区制时变VAR模型,用于非平稳数据的时变因果关系检验。实证分析我国经济环境中,需求拉动效应的时变特征。结果表明:国内需求逐渐成为更加重要的经济增长动力;经济增长降低了对投资和出口的依赖;在增长方式的转变过程中,内需效应易受外需变动的影响而波动,需要适时的货币政策调节和投资效应的推动以保证稳定的经济增长,以利于进一步升级产业结构。     

中国东中西部城市房价波动的涟漪效应——以中国东中西部代表的九城市为例

针对中国东中西部城市房价波动的是否存在涟漪效应的问题,提出综合运用格兰杰因果检验、协整一体化及二阶段检验法,即弗里德曼非参数秩排序检验方法和商业周期定点分析方法来检验分析自2005年7月至2010年3月东中西九城市房屋销售价格的月度数据进行实证分析,结果表明:(1)认为中国九城市房价波动存在涟漪效应,可划分为三个层级:东部的上海、深圳、杭州为第一层级;中部的武汉、合肥、太原为第二层级;西部的成都、西安、兰州为第三层级。(2)房价波动的涟漪效应从东部城市开始,传向中部城市,最后向西部城市传递。结论为东部城市的房价波动为主要调控对象,关注中部城市房价,同时避免西部城市房价出现意外波动。建议为对各个层级城市的房价制定差别性的调控政策,能够更有效地对整个房价体系的波动进行控制。     

股票价格指数、消费指数与CHIBOR的关联性研究

本文研究表明,CHIBOR 7日拆放利率分别与股票价格指数、消费物价指数呈协整关系和显著正相关关系,且股票价格指数、消费物价指数为CHIBOR的Granger成因,从而反映了股市的财富效应增加了银行间资金的需求成本的上升。同时CHIBOR与消费物价指数呈互为因果关系,且消费物价指数对CHIBOR的脉冲响应时间较长,从而增加了货币市场管理难度.     

On the causality of real‐valued semigroups and diffusion

In this paper, we show that a process modeled by a strongly continuous real‐valued semigroup (that has a space convolution operator as infinitesimal generator) cannot satisfy causality. We present and analyze a causal model of diffusion that satisfies the semigroup property at a discrete set of time points and that is in contrast to the classical diffusion model not smooth. More precisely, if v denotes the concentration of a substance diffusing with constant speed, then v is continuous, but its time derivative is discontinuous at the discrete set M of time points. Furthermore, we show that diffusion with constant speed satisfies an inhomogeneous wave equation with a time dependent coefficient. Copyright © 2011 John Wiley & Sons, Ltd.     

能源消费与产业发展的协整性与因果关系分析

能源消费与经济增长关系密切,本文利用协整理论,检验了我国能源消费总量与国民生产总值以及三次产业之间的协整性和Granger因果关系,并且建立了向量误差修正模型。研究结果表明,我国能源消费与GDP以及第一产业、第三产业之间存在协整关系,但是能源消费与第二产业之间并不存在长期的均衡关系。并且,GDP和三次产业只是能源消费的单向Granger因果关系,它们之间并不存在双向的Granger因果关系。