An Exploratory Study on the Complexity and Machine Learning Predictability of Stock Market Data

This paper shows if and how the predictability and complexity of stock market data changed over the last half-century and what influence the M1 money supply has. We use three different machine learning algorithms, i.e., a stochastic gradient descent linear regression, a lasso regression, and an XGBoost tree regression, to test the predictability of two stock market indices, the Dow Jones Industrial Average and the NASDAQ (National Association of Securities Dealers Automated Quotations) Composite. In addition, all data under study are discussed in the context of a variety of measures of signal complexity. The results of this complexity analysis are then linked with the machine learning results to discover trends and correlations between predictability and complexity. Our results show a decrease in predictability and an increase in complexity for more recent years. We find a correlation between approximate entropy, sample entropy, and the predictability of the employed machine learning algorithms on the data under study. This link between the predictability of machine learning algorithms and the mentioned entropy measures has not been shown before. It should be considered when analyzing and predicting complex time series data, e.g., stock market data, to e.g., identify regions of increased predictability.     

双寡头动态R&D竞合模型的构建与分析

放松了经典Cournot模型中市场容量不变的假设,构建了双寡头企业R&D动态竞争的Cournot模型,研究了双寡头在R&D投入和产量决策两个阶段完全竞争与完全合作情形下的均衡结果.结果表明增加新增市场容量可以提高企业的最佳R&D投入水平和均衡利润,并且可以维持更长久的博弈周期.结果还表明动态R&D竞争模型是对传统模型的进一步拓展,能适用于更广泛、更实际的竞争情形.     

分析对比不同波动率模型下的期权定价

对理想市场模型下Black-Scholes期权定价公式的修正有很多文章,特别是Harrison and Kreps提出鞅方法定价后,出现了多种随机波动率下的定价模型。基于不完备的随机波动率模型,本文给出了不同著名鞅测度下定价的大小顺序。主要证明了期权价格随着风险市价的变化而减小,风险参数决定定价测度的选取,把此定理应用于最小鞅测度和q优测度下的定价。这在复杂的定价过程是很有意义的。     

电力市场环境下系统运行安全性的优化问题

保障合理的系统运行安全性有利于总体电价的降低。对于不同的市场体制,提出了基于社会效益最大化和在不影响电网公司用户经济利益前提下的电网公司效益最大化两种安全性优化方法的数学模型,并给出了一种简化实用算法。在新的辅助服务优化模型中,网络结构、运行方式、辅助服务价格、停电损失、切负荷赔偿价格及所考虑的安全性校验措施等因素均将对辅助服务的购买产生影响,从而影响系统运行的安全性。经仿真验证,该方法是可行的。     

系统优化在电信业务运营商运行维护中的意义

以中国联通网络中DWDM系统和SDH系统为例，阐述网络优化和传输设备的系统优化过程以及优化在网络维护中的意义。     

国外竞争法律制度对中国电信业监管的启示

竞争法（Competition Law）是调整经济运行中市场竞争关系和市场竞争管理关系的法律规范的总称。通过对电信自然垄断属性和美欧竞争法律制度的形成和发展的分析，探讨竞争法律制度在电信监管中的具体适用．力图为我国电信竞争中的监管问题提供一些有益的借鉴。     

21世纪电子元件的发展趋势

２１世纪电子元件的发展趋势主要是元件片式化、包装编带化、生产专业化和规模化、工艺精细化、生产环境“绿色化”,电子元件企业要创新管理,并在生产过程中符合社会保障的要求。鉴于市场日益国际化,电子元件的发展更应顺从知识经济规律。     

Noncooperative exchange using money and broker-dealers

This paper presents a model of exchange where a single commodity serves as a means of payment and trade must pass through designated brokers. Broker buy and sell prices, trader allocations, and broker profits depend on the buy and sell decisions of all the market participants, and the exchange problem is described as a noncooperative game. The existence of an equilibrium is established and bounds are placed on the price spread on each commodity. Finally, the properties of the noncooperative equilibria under replication are examined.     

PBX技术.市态.营销.选购

本文介绍了ＰＢＸ交换机的技术及市场需求态势。并提出ＰＢＸ产品的营销要素及其用户在选购时应遵循的原则。