指令驱动市场中的组合下单策略研究

已有研究一般直接假设指令驱动市场中的知情交易者总是选择市价单进行交易，本文则基于现实交易状况．建立了一个理论模型．分析拥有私有信息的知情交易者组合使用限价委托单和市价委托单的决策问题．具体给出了不同私有信息状态下知情交易者的组合下单选择。     

PPS抽样──一种有效的水路运输量抽样方法

本文针对水运运输特点，通过对实际资料的分析和计算，对水运运输量的抽样方法作分析比较，提出利用ＰＰＳ抽样进行我国水路运输量的抽样抽查。     

Corrected versions of cross-validation criteria for selecting multivariate regression and growth curve models

This paper is concerned with cross-validation (CV) criteria for choice of models, which can be regarded as approximately unbiased estimators for two types of risk functions. One is AIC type of risk or equivalently the expected Kullback-Leibler distance between the distributions of observations under a candidate model and the true model. The other is based on the expected mean squared error of prediction. In this paper we study asymptotic properties of CV criteria for selecting multivariate regression models and growth curve models under the assumption that a candidate model includes the true model. Based on the results, we propose their corrected versions which are more nearly unbiased for their risks. Through numerical experiments, some tendency of the CV criteria will be also pointed.     

Multiperiod Mean-Variance Optimization with Intertemporal Restrictions

We investigate mean-variance optimization problems that arise in portfolio selection. Restrictions on intermediate expected values or variances of the portfolio are considered. Some explicit procedures for obtaining the solution are presented. The main advantage of this technique is that it is possible to control the intermediate behavior of a portfolio’s return or variance. Some examples illustrating these situations are presented. The first author received financial support from CNPq (Brazilian National Research Council) Grants 472920/03-0 and 304866/03-2, FAPESP (Research Council of the State of S?o Paulo) Grant 03/06736-7, PRONEX Grant 015/98, and IM-AGIMB.     

基于蒙特卡洛-马尔科夫链(MCMC)的ARMA模型选择

AIC与SIC等准则函数方法是ARMA模型选择过程中经常使用的方法。但是,当模型的阶数很高时,无法计算并比较每一个备选模型的准则函数值。本文提出了一个基于蒙特卡洛-马尔科夫链方法的随机模型生成方法,以产生准则函数值最小的备选模型。实际应用表明本文的方法在处理拥有大量备选模型的ARMA模型选择问题时有很好的效果。     

超凸空间上一类非扩张集值映象的性质

研究超凸空间上具有非空闭球交值的非扩张集值映象的不动点及近似不动点的存在性，以及其单值非扩张选择的唯一性问题.     

Determination of sample sizes for setting β-content tolerance limits controlling both tails of the normal distribution

The problem of determining sample size for two-sided-β-content tolerance intervals which control both tails of the normal distribution is investigated. The tolerance limits are defined to assure that the tail proportions do not exceed specified values p₁ and p₂. We determine the minimum sample size so that, at a given confidence level, the tail proportions will not be too small, i.e., so that the tolerance interval will not be overly conservative. Tables of the sample size n and the corresponding factors are provided.     

Impulsive Boundary Value Problems for First-order Ordinary Differential Inclusions

In this paper, we investigate the existence of solutions for impulsive first order ordinary differential inclusions which admitting nonconvex valued right hand side. We present two classes of results. In the first one, we rely on a fixed point theorem for contraction multivalued maps due to Covitz and Nadler, and for the second one, we use Schacfer＇s fixed point theorem combined with lower semi-continuous multivalued operators with decomposable values under weaker conditions.     

Bayesian analysis of mixture of autoregressive components with an application to financial market volatility

In this paper, we present a fully Bayesian analysis of a finite mixture of autoregressive components. Neither the number of mixture components nor the autoregressive order of each component have to be fixed, since we treat them as stochastic variables. Parameter estimation and model selection are performed using Markov chain Monte Carlo methods. This analysis allows us to take into account the stationarity conditions on the model parameters, which are often ignored by Bayesian approaches. Finally, the application to return volatility of financial markets will be illustrated. Our model seems to be consistent with some empirical facts concerning volatility such as persistence, clustering effects, nonsymmetrical dependencies. Copyright © 2006 John Wiley & Sons, Ltd.     

Some Limit Theorems for Kernel-Smooth Quantile Estimators

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