基于贝叶斯参数估计的期货市场交易成本、流动性与资产定价研究

 近年来交易成本和流动性对于股票资产的预期收益或定价影响受到学术界和业界的关注，期货市场的各种交易产生大量数据，这些数据中隐藏着重要的信息，但采用逐笔高频交易数据对期货市场交易成本、流动性和资产定价问题进行系统研究的比较少，对期货市场交易成本和流动性的内涵、特征、度量方法，以及交易成本和流动性在期货资产定价中的作用等问题有待深入探讨。        从序贯交易模型的视角，基于贝叶斯参数估计方法及逐笔高频交易数据和每日收盘价格数据测量期货市场的交易成本，对不同交易成本和流动性测量方法进行比较研究，探讨各种交易成本与流动性的相互关系，选出合适的流动性测量方法。同时，从逐笔高频交易数据存在报价离散化、价格聚集和非对称信息等方面对交易成本模型修正和扩展。将交易成本与真实收益率结合并考虑市场规模和周内效应的作用，构建期货市场资产定价模型，从中国期货市场选取不同品种的主力合约数据进行实证研究。        研究结果表明，基于贝叶斯参数估计和逐笔高频交易数据的交易成本的测量方法具有明显的优点，可以克服传统基于矩估计交易成本测量交易成本的不足，更适合用来作为流动性的代理变量。①订单对价格存在比较显著的冲击现象，这些冲击表明私人信息被包含在这些合约的交易里。②基于完整模型的交易成本更适合用来作为流动性的代理变量，与定义法的流行性成本估计值的相关系数更高，基于逐笔高频交易数据和完整模型的交易成本是最优的流动性的代理变量。③交易成本确实被包含在超额收益中，总体来说，交易成本对资产收益率的影响具有比较明显的周内效应。因此，流动性对投资期货的收益率有很大贡献，为了达到更高的收益，通常需要为获得好的流动性而付出更高的代价。        从序贯交易模型的视角，基于贝叶斯参数估计方法和逐笔高频交易数据测量期货市场的交易成本，有助于市场参与主体更好地认识和分析期货市场的交易成本、流动性和资产收益之间的关系，对市场监管机构有效评估市场质量、设计合理的期货市场交易制度、有效降低市场交易者的交易成本、增强期货市场流动性、提高市场运行效率具有一定的参考价值。     

异常波动停牌与价格发现效率

  异常波动停牌是证券市场常见的价格稳定机制之一。已有研究对异常波动停牌的实施效果没有得到一致结论，支持者认为投资者能利用停牌对信息进行重新认识和修订，促使形成新的均衡价格；反对者认为停牌阻碍了投资者把潜在需求转化为交易，进而导致复牌后更高的交易量和价格波动。在中国的异常波动停牌制度是否应该被取消的背景下，探究异常波动停牌制度对价格发现过程的影响，对进一步完善交易机制具有重要的理论意义。         采用理性预期框架，引入噪音交易风险和资产价值的不确定性区分异常波动的原因，探讨不同条件下实施停牌的市场出清过程。一方面，异常波动停牌有利于增加市场交易者数量，从而降低定价误差；另一方面，异常波动停牌会增加资产价值的不确定性，使定价误差增大。基于这一逻辑，构建一个包含出清时间间隔、知情交易者学习过程和信息摩擦的市场出清模型，分析异常波动停牌对价格发现效率和流动性风险的影响。         研究结果表明，①由于噪音交易风险较高、资产价值不确定性较小导致的异常波动停牌，虽然有利于降低流动性风险，但会降低价格发现效率；②由于资产价值不确定性的增加以及较低的噪音交易风险导致的异常波动停牌，虽然有利于提高价格发现效率，但增加了流动性风险；③同时满足噪音交易风险较高和资产价值不确定性增加导致的异常波动停牌，既有利于提高价格发现效率，又降低了流动性风险。总体来说，停牌实施效果的关键在于噪音交易风险和资产价值不确定性的大小，对于信息不对称程度较高的股票，停牌有利于提高价格发现效率；而对于噪音交易风险较高的股票，停牌有利于降低流动性风险。         研究结论对进一步完善交易制度和提升中国金融市场质量具有重要意义，在现实金融市场中，连续竞价市场不一定存在市场均衡，极端情况下会出现市场崩溃，因此异常波动停牌制度有一定的必要性。     

证券市场的期现基差与流动性

 2015年股市危机期间中国证券市场的流动性尽失，甚至一度出现“千股跌停”这一罕见情形，监管层随后对股指期货和股市现券卖空进行最为严厉的限制，这一系列举措给实证研究带来一个很好的拟自然实验场景，用来研究中国证券市场的流动性和期现基差问题。        选取中国沪深300股票指数和沪深300股指期货的5分钟高频数据和日度低频数据为样本，以经典的金融学套利交易理论为基础，对2015年股灾监管前后划分样本区间，使用VAR模型和OLS回归对市场的流动性和期现基差进行分析。        研究结果表明，期现基差是导致套利交易的原因，进而造成订单不平衡，从而减弱了流动性。期现的正向基差比负向基差对流动性的影响大，且这种非对称效应在极端行情下差别更大；当期现基差为正时，套利者可以很容易的卖空股指期货并做多现货，这种订单的不平衡引起现货市场的流动性增加，但是一旦出现负向期现基差，很难卖空股票现货同时做多股指期货，导致流动性下降；高频和低频数据的结论都证明正向期现基差会引发套利，从而使流动性增加。在股指期货和融券交易被限制后，套利交易难以有效进行，期现基差为负，无法通过套利交易增加流动性，这可能是造成2015年股市危机期间流动性尽失的一个原因。        研究结论不仅对2015年中国股市危机期间流动性缺失提供了一种解释，同时也对监管机构如何应对股票市场危机具有启发意义。     

A股市场统计套利风险实证分析

基于转移模型,收集中国A股市场开展融资融券业务的900只股票和15只ETF的数据,采用log t检验和俱乐部收敛检验研究A股市场属于同一行业的融资融券标的股票价格以及融资融券标的ETF价格之间的收敛关系及其动态变化,分析A股市场统计套利的风险,研究发现基于股票所属行业构建套利组合具有较大风险,融资融券的双向交易机制尚未充分发挥,市场有效程度不足,但统计套利在中国市场仍具有可行性。实证结果表明,从整个行业看,融资融券标的股票之间不存在持续、稳定的收敛关系,但同一行业内某些个股之间存在不稳定的俱乐部收敛关系;融资融券标的分阶段扩容增加统计套利的风险,也增加统计套利的机会,扩容之后绝大部分行业个股整体收敛关系消失,但俱乐部数量增加,俱乐部收敛检验可以为选择套利资产组合提供依据;考虑新增标的在内,ETF整体在样本期间内具有稳定的收敛关系,更适合作为套利资产组合。样本外检验证实了前述结果。研究结论为对冲基金进行统计套利风险分析提供经验证据,并为选择套利资产组合提供方法。     

融资融券交易行为及其收益可预测性研究

2010 年融资融券业务的开通，不仅为中国市场投资者引入卖空机制，同时也为投机性交易者提供杠杆放大机制． 不同于以往主要从制度变迁视角研究卖空机制， 本文从微观行为视角，系统研究信用账户投资者融资融券交易行为及其市场可预测性． 基于 2011 年 12 月 ～ 2015年 8 月的样本数据，研究发现，信用账户投资者在股票价格上涨后增加融资买入， 而在股票价格下跌后提高融券卖出，即采取“追涨杀跌”的投资策略． 进一步研究表明， 融资交易能预测正的未来收益，而融券交易能预测负的未来收益． 此外，融资交易提高了未来股价崩盘风险，融券交易则可以降低未来股价崩盘发生的可能性． 本文的研究揭示了中国市场投资者融资融券微观交易行为及其市场影响，并为进一步规范发展融资融券业务提供理论依据．     

融资融券约束与股市波动

本文从融资约束和融券约束的视角出发，研究我国股票市场融资机制和融券机制对标的股票波动率的影响。相比于融资融券交易量，约束可以更好地识别融资融券机制的作用，因为它可以从交易渠道、信息渠道、公司治理渠道对股价产生影响。我们利用融资融券机制推进过程中标的证券名单的变化识别融资融券约束放松后的总体效果，然后合理构造子样本识别融资约束的作用，最后利用转融通的实施识别融券约束的作用。研究结果显示融资约束和融券约束的放松显著降低了标的股票的波动率，表明融资融券机制可以发挥稳定股票市场的作用。     

空气质量、投资者情绪与股票收益率

  环境因素对股票市场的影响一直是行为金融学探讨的热点话题，行为金融学理论认为股票价格除了受其基本面影响外，投资者情绪也是一个很重要的影响因素。而大量的心理学研究证实，环境的确会影响人们的情绪。当人们暴露在受到污染的环境中，会产生明显的沮丧、焦虑等负面情绪。近年来，已有研究探讨空气污染对股市收益率的影响，但空气污染如何影响股票回报的具体机制却鲜有涉及。         采用2014年至2015年环保部发布的全国252个城市的空气质量指数和股票日收益率数据，构建分城市的股票组合。利用空气质量作为外生的环境变量，通过分城市检验、面板回归和蒙特卡洛模拟等方法，从投资者情绪的视角研究空气质量与股票回报的关系，并进一步从增加悲观情绪和降低交易意愿两个角度对空气质量影响股票回报的机制进行探讨。         研究结果表明，平均来看，空气质量越差的城市，股票收益率越低，该结果在控制季节因素、公司特征和城市固定效应后依然成立。进一步研究发现，空气质量越差，股票组合的换手率越低，流动性也越低，说明空气质量通过降低本地投资者交易意愿而不是增加其悲观情绪影响股票价格。空气质量影响投资情绪的渠道确实存在，当投资者暴露在污染的环境中时，会因为产生负面情绪而使交易意愿降低，从而损害股票的流动性。         研究充分控制城市固定效应，更好地解决内生性问题。研究结果为投资者的非理性投资行为提供支持，环境的因素往往也对投资者的交易产生影响，因此环境也可以作为资产价格的一个因子发挥作用，这对投资者构建交易策略具有启发意义。     

融资融券与机构投资者交易占比

我国股市中机构投资者的交易占比远低于世界其他主要证券市场．本文通过分析2009年～2015年期间沪、深两市个股的高频交易数据，考察了融资融券交易机制对机构投资者交易参与度的影响．结果显示，标的股票在加入融资融券交易后，其机构投资者的交易占比显著上升．进一步的分析发现，融资融券交易能有效缓解企业的信息不对称并加强外部治理；而由于机构投资者比散户更为关注这两个方面，因而融资融券的实施有助于提高标的股的机构交易占比．随后区分了融资交易和融券交易并发现，融券卖空交易是更为主要的影响因素．最后，本文还发现机构交易占比的上升对降低股价协同性和崩盘风险有积极作用．     

信息视角下基于异质信念的股票波动性价值研究

 经典金融学理论通常将波动性视为构成股票流动性价值的因素之一，认为股票价格波动会为市场参与者带来风险，却鲜少将其作为独立的影响因素引入资产定价模型，关于波动在股票价格及收益行为中的作用可能具有风险和价值双重属性的研究尚不充分。        基于市场参与者异质性假设，区别价值型参与者和市场型参与者；基于信息视角，区别知情交易者和噪音交易者；运用无套利原理和期权博弈思想，建立信息视角下基于异质信念的股票波动性价值模型。采用最小二乘蒙特卡罗模拟和海萨尼转换对模型进行求解，分析信息不完全或不对称条件下，股票波动性价值的分布特征，讨论现金红利率水平、波动率水平、信息不对称程度和时间参数等对股票波动性价值的影响。        研究结果表明，决定股票波动性价值的首要因素是信息不对称程度，信息水平的差异能显著放大现金红利率、波动率、时间参数等对股票波动性价值的作用，提升股票波动性价值在股票价格构成中的贡献，甚至改变市场参与者的偏好和信念，实现其在市场型与价值型之间的转化。但不完全但对称的信息条件却只能对股票波动性价值起到抵减和干扰作用。此外，信息优势能使市场参与者对波动率水平的变化更加敏感，单位波动率水平变化导致的股票波动性价值变化更大；无论信息条件如何，股票波动性价值都随着现金红利率水平的提高而下降；无论波动表现为价值还是风险，股票波动性价值的绝对值都随时间参数的增大而增大。        研究结果从理论角度解释信息水平及其状态对股票价格行为的影响，分析了股票波动性价值的作用机制及表现形式，进一步完善了现代资产定价理论；实践中，不仅能为监管部门进一步完善制度建设、强化信息监管、规范上市公司信息披露行为等政策措施提供理论依据，还能帮助市场参与者深入认识股票价格的形成过程，了解市场的微观结构特征，进而提高投资决策效率，规避风险。     

基于强化学习算法的自适应配对交易模型

 配对交易是统计套利中最主要的交易策略，但随着市场有效性的逐渐提高，该策略的获利机会正变得越来越有限，传统的固定参数交易模型已难以保证配对交易一直获得最大利润，交易模型的参数不仅需要优化，而且还需要动态地、自动地调整优化值，因此有必要研究开发具有人工智能属性的参数动态优化交易模型，这对于提升交易模型的盈利能力和执行效率具有重要意义。        自适应配对交易模型是对传统的协整配对交易策略进行改进，推出一种基于强化学习模式的新型统计套利交易模型；将Sarsa强化学习算法和ε-greedy策略与新模型相结合，把模型参数的确定方法由传统的主观经验法和固定参数法改进为自适应模式的动态参数优化法；编制的计算机程序仿真实现了基于新模型的套利交易全过程，涵盖模型参数的动态优化、套利交易的模拟操作以及交易绩效的测量评估；以中国债市交易量最大的5种债券为样本，构建4组配对组合，采用Johansen协整检验法、T检验和Robust稳健性检验等方法对交易模型和测试结果进行实证分析。        研究结果表明，新模型的运行效果全面优于传统模型。新模型显著提升了交易系统的获利能力，收益率和索提诺比率大幅提高；同时降低了投资风险，最大回撤出现明显下降；还提高了套利交易的执行效率，交易次数明显减少，套利成本下降；具有持续学习的能力，能促进累计收益率不断上升并最后收敛于最大值。研究结果还表明，协整配对交易在中国债券市场同样具有有效性，能够获得显著正收益。        将强化学习思想与协整配对交易策略相结合，设计开发出一种新型配对交易模型，实现了模型参数的自适应动态调整。这种改进型交易模型有助于应对传统配对交易策略获利能力的下降，进一步提高配对交易策略的效率和绩效。在中国融资融券和股指期货等做空机制开闸的市场环境下，新模型可为投资者提供一种有效的套利手段和风控工具。     

Educational Landscapes and Urban Development. Contextual and Spatial Interfaces and Linkages

In the broad sociopolitical discussion on education quality within the last decade, it has become apparent that education is gaining importance for urban development, as well as space and the urban context are important dimensions of education. This becomes particularly evident in concepts for local educational landscapes (Ger. Bildungslandschaften). The young field of research on educational landscapes is currently lacking empirical research from spatial and planning sciences. In the paper, the current state of scientific research on educational landscapes in Germany and Europe and first insights to contextual and spatial interfaces and linkages between education and urban development in general are presented.     

Inventory Models with Continuous and Poisson Demands and Discounted and Average Costs

We develop a new, unified approach to treating continuous‐time stochastic inventory problems with both the average and discounted cost criteria. The approach involves the development of an adjusted discounted cycle cost formula, which has an appealing intuitive interpretation. We show for the first time that an (s, S) policy is optimal in the case of demand having a compound Poisson component as well as a constant rate component. Our demand structure simultaneously generalizes the classical EOQ model and the inventory models with Poisson demand, and we indicate the reasons why this task has been a difficult one. We do not require the surplus cost function to be convex or quasi‐convex as has been assumed in the literature. Finally, we show that the optimal s is unique, but we do not know if optimal S is unique.     

E-governance and Corruption-developments and Issues in Ethiopia

This paper reports the results of a survey of 400 respondents in Ethiopia about factors generating corruption and the potential of e-Governance to mitigate corruption. It is suggested that e-Governance can help not only in weeding out corruption but also in the establishment of sounder government citizen relationships in Ethiopia. While e-Governance cannot cure all the structural factors that breed corruption in the society, strategic implementation of e-Governance can help improve the critical variable in combating corruption-government citizen relationships. It is argued that while e-Governance initiatives can make important contributions to improving public services they can best do so by helping improve overall relationships between governments and citizens.

CEO and Chairperson characteristics and firm performance

This paper focuses on the relationship between Chief Executive Officer (CEO) and Chairperson characteristics and firm performance. Specifically, the study examines the association between the characteristics of the CEO and the Chairperson of the board and firm performance. Using a sample of S&P 500 firms, the evidence found suggests that demographic and experience-related characteristics may be associated with the market valuation and financial performance of the firm. In particular, the reported results indicate a positive relationship between the presence of female CEOs or Chairs and firm performance, thus suggesting that gender-based differences may affect the CEO’s/Chairperson’s success. Moreover, the findings concerning the age of the CEO or Chair are mixed, while their experience and quality appear positively related to firm performance. Interestingly, a CEO or Chairperson holding multiple board seats is negatively associated with firm performance, whereas CEO duality has a positive relationship with Tobin’s Q and the return on assets (ROA) of the firm.     

David and Goliath: causes and effects of coopetition between start-ups and corporates

Coopetition (collaboration between competitors) among young firms (i.e. start-ups) and larger, more established firms (i.e. corporates) may be beneficial for both partners as each party typically has something to offer that is missing in the other. Start-ups often develop innovative ideas, are flexible and agile, willing to take risks, and aspire to achieve high growth, but they tend to lack the required resources, capabilities, and knowledge due to their newness and smallness. Corporates have resources, routines, and experience that enable them to work efficiently but lack a certain innovation capability. Research has suggested that coopetition represents an opportunity for start-ups facing restrictions in resources, while corporates benefit from start-ups’ innovative ideas. However, it is yet unknown whether start-ups and corporates engage in coopetition with each other and, if so, how and why they do this. This study seeks to fill this void by exploring the motives of coopeting start-ups and corporates, how they manage their coopetitive relationship, and what implications occur including potential benefits and risks. We present a multiple case study based on qualitative data collected through 70 interviews with Austrian-based start-ups and corporates representing 35 coopetitive partnerships. Discussing the findings based on our data, we propose relationships concerning coopetition and its role to enlarge resource- and technology-bases as well as its role in the development of dynamic capabilities.     

Career orientations and career success among research,and development and engineering professionals

Managing the careers of research, development and engineering (RD&E) professionals is important to the strategic use of RD&E in the economy. Appropriate mechanisms for motivating RD&E professionals will probably emerge as a critical success factor for organizations that want to compete in world markets. This study examines dimensions and levels of career orientation and their correlations with individual and work-related outcome variables among 78 RD&E professionals. The findings reveal a rich diversity of career orientation in RD&E professionals. The data strongly suggest that RD&E professionals are service, lifestyle and security oriented. However, they scored low on technical orientation and entrepreneurship. This paper suggests that the dual career ladder is not an effective device for managing RD&E professionals. Organizations must be careful to provide career paths that retain and motivate workers and, more importantly, find matches between organizational needs and individuals' needs, and restructure jobs accordingly. The authors offer suggestions for future research and identify implications for management.     

Work and shopping overflow — Consequences and differentiation among selected psychological and demographic characteristics

Contemporary individuals are forced to deal with excessive stimulation, which causes an overload in the cognitive and emotional areas. The purpose of this paper is to investigate the possible factors differentiating the perceived level of work and shopping overflow experienced by individuals and consequences of these states. Two psychological variables: cognitive control and sensation seeking, are chosen as potential factors differentiating the perceived levels of overflow. We assume that individuals with high cognitive control and sensation seeking will report lower levels of both types of examined overflows. Experiencing low overflow levels may manifest in the search for additional stimuli, rather than in the desire to limit them. Two indexes of behavior connected to seeking extra stimulation are selected: one belonging to the area of consumer behavior (readiness to participate in the experience economy) and one belonging to vocational behavior (choosing a boundaryless career). The quantitative study is conducted on a sample of 297 management students who are currently employed. The research results support the relation between cognitive control and perceived level of work and shopping overflow. Individuals who can cognitively control the situation and the incoming stimuli report lower levels of overflow. No significant relationship between sensation seeking and the level of overflow is found. The demographic variables that influence the perceived overflow are age and salary for work overflow and age for shopping overflow. As far as consequences of overflow are concerned, a low level of shopping overflow is related to readiness to participate in the experience economy. However, there is no link between work overflow and preferred career pattern. The managerial implications for human resource management and marketing strategy design are discussed.     

Review and reappraisal of modelling and predicting mental workload in single- and multi-task environments

The concept of mental workload has long been recognized as an important factor in individual performance within complex systems. It is documented that either overload or underload may degrade performance, and further affect the efficiency of the whole system. Therefore, systems designers need some explicit models to predict the mental workload imposed on individuals by the system at an early design phase so that alternative system designs can be evaluated. In examining mental-workload literature, it is found that few predictive mental-workload models have considered factors specific to individuals. This research aims to develop a practical framework for predicting mental workload in both single- and multi-task environments considering such individual factors. In order to describe mental workload more precisely and more completely, a framework for mentalworkload definitions, which contains instantaneous workload, average workload, accumulated workload, peak workload and overall workload, is proposed. In order to model individual factors, two new variables, i.e. effective workload and ineffective workload, are introduced to model the taskgenerated workload and individual-generated workload. The extension of the model to multi-task environments is also discussed. The proposed conceptual models are domain-independent and could be used to guide the development of operational models for different specific tasks.