Mathematical analysis of investment systems

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, defined as the maximum of the log return function, is proposed as a measure to compare investment systems for their intrinsic merit. This efficiency index can be viewed as a generalization of Shannon's information rate for a communication channel. Applications are illustrated.     

Congestion and cascades in payment systems

We develop a parsimonious model of the interbank payment system. The model incorporates an endogenous instruction arrival process, a scale-free topology of payments between banks, a fixed total liquidity which limits banks’ capacity to process arriving instructions, and a global market that distributes liquidity. We find that at low liquidity the system becomes congested and payment settlement loses correlation with payment instruction arrival, becoming coupled across the network. The onset of congestion is evidently related to the relative values of three characteristic times: the time for banks’ net position to return to 0, the time for a bank to exhaust its liquidity endowment, and the liquidity market relaxation time. In the congested regime settlement takes place in cascades having a characteristic length scale. A global liquidity market substantially attenuates congestion, requiring only a small fraction of the payment-induced liquidity flow to achieve strong beneficial effects.     

John Reynolds of the Mint: A mathematician in the service of king and commonwealth

In his youth, John Reynolds showed a talent for arithmetic and was destined for a career as a mathematician at the Tower Mint in London. He became skilled in the algorithms needed to determine the correct relationship between the weight and purity of coins and their values. This was a matter of national importance, and his work came to the attention of King James I, who reigned from 1603 to 1625, and his chief ministers, including Robert Cecil and Francis Bacon. It seemed that John might attain high office himself, but the murky administration of the early Stuart period cast its shadow over his career. Nevertheless, for the next forty years he continued to play a major part in the nation's affairs. He produced books of tables for the valuation of coins in the commercial world, and for the highly technical work of the assayers. Also, he was actively involved in the production of standard measures and instruments used by the excise officers. His life and works illustrate how mathematical ideas were employed by the English government in the period of the early Stuart kings and the Commonwealth.     

Statistical ensembles for money and debt

We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann–Gibbs distribution where the role of the Hamiltonian is taken by the total money supply (i.e. including money created from debt) of a set of interacting economic agents. As a result, we can read the main thermodynamic quantities in terms of monetary ones. In particular, we define for the credit market model a work term which is related to the impact of monetary policy on credit creation. Furthermore, with our formalism we recover and extend some results concerning the temperature of an economic system, previously presented in the literature by considering only the monetary base as a conserved quantity. Finally, we study the statistical ensemble for the Pareto distribution.     

投资者情绪影响下资本资产定价的区制性研究——基于股票论坛发帖的情感分析

本文首先建立一个考虑投资者情绪的资本资产定价模型,研究发现,投资者情绪是资产定价的系统性因子且对其影响具有区制性(存在三个区制)。在此基础上通过仿真揭示投资者情绪对资产定价影响存在区制性的原因在于当投资者情绪增加时,最优组合超额收益受组合效应与情绪效应的综合影响。最后基于股票论坛发帖的情感分析构建投资者情绪指标,实证检验了本文的理论模型,并发现基于普通的线性回归模型得到的投资者情绪对股指超额收益影响,一方面会在投资者情绪处于第二区制内时将其对股指超额收益影响方向弄反,另一方面会在投资者情绪处于第三区制内时低估其增加导致的股指超额收益平均增加程度。     

我国货币供应量的ARIMA模型与预测

本文介绍了符合金融系统预测规律的ARIMA时间序列模型，并根据我国货币供应量实际数据对2008年5月-2009年4月货币供应量走势进行了预测检验。实证预测结果显示与实际№相对照，模型预测精度较高，平均相对误差绝对值仅为1．56％，说明ARIMA模型能比较准确地预测我国货币供应量走势，可为我国货币供应量的预测和走势提供可靠的参考依据，并由此预计在2009年9月货币供应量将突破60万亿元。     

货币发行与随机内生增长

考虑一个只含有货币和资本的分散经济 ,通过代表性代理人期望折现效用最大化 ,运用随机动态最优化方法得出经济均衡增长时的各项经济指标 ,分析了政府政策对经济的影响 ,并进行了福利分析 .     

中国引进外资与本币供应量之间数量关系

引进外资是影响中国货币供应量的重要因素之一，两者之间存在一定的数量关系。根据近年来的数据进行实证分析其结果表明：引进外资对中国通货膨胀有一定的影响，今后中国引进外资工作仍要慎行     

Network structure of inter-industry flows

We study the structure of inter-industry relationships using networks of money flows between industries in 45 national economies. We find these networks vary around a typical structure characterized by a Weibull link weight distribution, exponential industry size distribution, and a common community structure. The community structure is hierarchical, with the top level of the hierarchy comprising five industry communities: food industries, chemical industries, manufacturing industries, service industries, and extraction industries.