基于银行中间业务平台的社会保险个人缴费系统

为了加强和规范社会保险工作,不断完善劳动保障综合管理、地税征收、财政监管的三方运行机制,做到社会保险基金对帐、分帐及时准确、全面,基于银行网点多、资金结算快捷,个人缴费方便的特点,社保局可委托银行代收社保费.银行现有的中间业务平台可以方便的实现个人社会保险费的代收业务.社保代收前置机采用TCP/IP协议通讯,以客户/服务器方式与中间业务平台进行交互,前置机操作系统采用SCO UnixWare7.1.1,数据库采用Sybase 11.9.2 for UnixWare.前置机系统与中间业务平台采用报文进行数据信息交换,做到社会保险核定、征缴、支付数据传递及时、准确、安全.     

流域生态补偿机制制定方法研究

阐述了流域生态补偿的定义、原则,介绍了流域生态补偿机制制定的一般步骤,并对流域生态补偿中的补偿主体与对象、补偿标准、资金分摊、资金使用等问题进行了分析,提出了补偿标准确定和补偿资金分摊的思路．     

证券投资基金业绩的随机占优检验

将随机占优引入基金业绩评估,发现:如果投资者只关心收益率,则基金与市场指数业绩不存在明显优劣关系,如果投资者同时兼顾收益与风险,则基金优于市场指数.总之,没有充分证据表明基金明显劣于市场指数表现,现有的主流评估方法可能低估了基金经理的投资能力.     

我国财政资金管理存在问题及监管对策

在社会主义市场经济条件下,加强我国公共财政资金管理是一项长期性和基础性的工作.因此,必须按照权力运行与财政监督同步的要求,对公共财政资金管理行为的全过程进行有效的监督.本文在分析当前我国财政资金管理中存在问题的基础上,提出了进一步完善我国财政资金监管方式的几点对策,以有效防范权钱交易问题的出现.     

对我国社会保障制度的思考

研究了社会保障在社会主义市场经济中的地位与作用,分析了目前我国社会保障制度存在的主要问题,提出了建立和完善我国社会保障体系的建议和措施。     

国外高校筹资的主要方式与启示

资金问题是影响高等教育事业发展的关键因素。本文介绍了国外高校筹资的七种主要方式。实行收费政策；采取输出教育模式。发行教育债券；加强与政府和社区的联系；出让技术和专利；建立高校公司；制度化和规范化募捐工作等。文章简要分析了国外高校筹资方式对我国高校的启示，为我国高校筹资工作提供经验借鉴，指导我国高枝筹资工作实践。     

模糊综合评价在图书馆购书经费分配中的应用

针对高校图书馆购书经费分配问题,以读者对各类图书的满意率为评价基础,选取了图书实际使用价值的一系列评价指标体系;通过熵值法确定指标的权重,最后利用综合模糊评判方法来评定高校各类书籍的实际使用价值,从而较好地解决了每年图书馆购书经费的分配使用问题.     

投资者情绪对基金羊群效应的影响研究

大量研究表明我国证券投资基金存在羊群效应,然而却很少对影响基金羊群效应的因素展开进一步的实证研究。基于此,本文利用主成分分析法测量投资者情绪,利用前十大流通股东中证券投资基金的家数来测量基金羊群效应的程度,研究投资者情绪指标是否对基金羊群效应产生影响。研究结果表明,投资者情绪是证券投资基金形成羊群效应的重要因素之一,基金经理在观察到上一期投资者悲观情绪(乐观情绪)时会做出负反馈策略。     

Statistical inference and modelling of momentum in stock prices

The following results are obtained, (i) It is possible to obtain a time series of market data {y(t)} in which the fluctuations in fundamental value have been compensated for. An objective test of the efficient market hypothesis (EMH), which would predict random correlations about a constant value, is thereby possible, (ii) A time series procedure can be used to determine the extent to which the differences in the data and the moving averages are significant. This provides a model of the form y(t)-y(t-l)=0.5{y(t- l)-y(t-2)}+ε(t)+0.8ε(r-1) where ε(t) is the error at time t, and the coefficients 0.5 and 0.8 are determined from the data. One concludes that today's price is not a random perturbation from yesterday's; rather, yesterday's rate of change is a significant predictor of today's rate of change. This confirms the concept of momentum that is crucial to market participants. (iii) The model provides out-of-sample predictions that can be tested statistically. (iv) The model and coefficients obtained in this way can be used to make predictions on laboratory experiments to establish an objective and quantitative link between the experiments and the market data. These methods circumvent the central difficulty in testing market data, namely, that changes in fundamentals obscure intrinsic trends and autocorrelations. This procedure is implemented by considering the ratio of two similar funds (Germany and Future Germany) with the same manager and performing a set of statistical tests that have excluded fluctuations in fundamental factors. For the entire data of the first 1149 days beginning with the introduction of the latter fund, a standard runs test indicates that the data is 29 standard deviations away from that which would be expected under a hypothesis of random fluctuations about the fundamental value. This and other tests provide strong evidence against the efficient market hypothesis and in favour of autocorrelations in the data. An ARIMA time series finds strong evidence (9.6 and 21.6 standard deviations in the two coefficients) that the data is described by a model that involves the first difference, indicating that momentum is the significant factor. The first quarter's data is used to make out-of-sample predictions for the second quarter with results that are significant to 3 standard deviations. Finally, the ARIMA model and coefficients are used to make predictions on laboratory experiments of Porter and Smith in which the intrinsic value is clear. The model's forecasts are decidedly more accurate than that of the null hypothesis of random fluctuations about the fundamental value.     

Implied Volatility of Leveraged ETF Options

Abstract

This paper studies the problem of understanding implied volatilities from options written on leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between LETF options with different leverage ratios. We first examine from empirical data the implied volatility skews for LETF options based on the S&P 500. In order to enhance their comparison with non-leveraged ETFs, we introduce the concept of moneyness scaling and provide a new formula that links option implied volatilities between leveraged and unleveraged ETFs. Under a multiscale stochastic volatility framework, we apply asymptotic techniques to derive an approximation for both the LETF option price and implied volatility. The approximation formula reflects the role of the leverage ratio, and thus allows us to link implied volatilities of options on an ETF and its leveraged counterparts. We apply our result to quantify matches and mismatches in the level and slope of the implied volatility skews for various LETF options using data from the underlying ETF option prices. This reveals some apparent biases in the leverage implied by the market prices of different products, long and short with leverage ratios two times and three times.