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。     

穆旦与奥登：历史追问与现实反思——兼与江弱水先生商榷

江弱水在《外国文学评论》上发表的《伪奥登风与非中国性：重估穆旦》指出穆旦诗歌是对奥登诗歌的移译，而非中国性这一特征造成了穆旦诗歌的失败。而文本从选择奥登的原因、伪奥登风的消解、穆旦诗歌中的“非中国性”追问、传统与现代的反思等四个方面探讨和重新考察穆旦诗歌与奥登的关联，进而认为穆旦诗歌的特质与奥登并非密切相关。     

Efficient heterogeneous sampling for stochastic simulation with an illustration in health care applications

In modeling disease transmission, contacts are assumed to have different infection rates. A proper simulation must model the heterogeneity in the transmission rates. In this article, we present a computationally efficient algorithm that can be applied to a population with heterogeneous transmission rates. We conducted a simulation study to show that the algorithm is more efficient than other algorithms for sampling the disease transmission in a subset of the heterogeneous population. We use a valid stochastic model of pandemic influenza to illustrate the algorithm and to estimate the overall infection attack rates of influenza A (H1N1) in a Canadian city.     

Intergenerational relationships in Chinese transnational families: A typology study

ABSTRACT

Using latent class analysis, this study examined the overall patterns of multifaceted intergenerational relationships of 604 parent-child dyads in 292 transnational families in Beijing, China. Three family relation types emerged: local obligatory (27%, with reciprocal support and ambivalent feelings), distant discordant (27%, with weak associations and high conflict), and distant intimate (46%, with highest filial ratings and emotional quality). Parents’ health and children’s marital status, socioeconomic status, childcare responsibilities, and sibling numbers were associated with different relation types. The findings are helpful for social workers to identify subgroups of older adults in transnational families who are at risk of having inadequate support.     

The influence of acculturation level and family relationships on quality of life among U.S. Chinese older adults

ABSTRACT

The present study examined the influence of acculturation level and family relationships (i.e., positive family support and negative family strain) on quality of life (QOL), using the data from the Population Study of ChINese Elderly (PINE) in Chicago (N = 3159). Controlling for sociodemographic variables and health status, it was found that individuals’ acculturation level and positive family support were positively related to QOL, whereas negative family strain was negatively associated with QOL. More importantly, higher acculturation levels were associated with increased protective effects of positive family support and reduced risk effects of negative family strain on QOL among U.S. Chinese older adults.     

信息碎片化时代新媒体在高校主流价值维护中的运用——以民族高校官方微信为例

信息碎片化的时代，新媒体成为形塑学生世界观的重要工具。民族高校经以学校官方微信为龙头的新媒体宣传矩阵，从新媒体工作意识、运行机制、品牌竞争角度形成了成熟的工作机制，通过面向主体诉求的选题、高效的传播形式设计、交互传播方式选择，获得了新的话语优势。民族高校将新媒体建设导向思政工作，使新媒体的传播力变成一种教育力。新媒体通过提供一个合适的议题，让学生在参与议题的过程中去认识问题，由议程设置引导主流价值观形成。民族高校的新媒体依靠塑造共同体意识，对群体成员的价值观和行为形成约束力，使得主流价值得以巩固，学生的媒介素养得以提升，学生在面向复杂环境时，具备了更强的鉴别能力，在维护主流价值观时更加坚定。     

Blocking Rumor by Cut

In this paper, a rumor blocking problem is studied with an objective function which is neither submodular or supermodular. We will prove that this problem is NP-hard and give a data-dependent approximation with sandwich method. In addition, we show that every set function has a pair of monotone nondecreasing modular functions as upper bound and lower bound, respectively.     

Reconfigured Everyday Lives of Children from Divorced-Parent Families in Singapore

With the termination of a marriage, children involved inevitably experience dramatic changes in different facets of their lives. This article makes use of narrative accounts of divorced single parents to investigate how their marital dissolution has impacted and changed their children's lives. Empirical data was collected through semi-structured, in-depth interviews with 25 Singaporean divorced parents. Within the policy and social context of Singapore society, I highlight transformations in three specific aspects of the children's lives: one, the reconfigurations of familial relationships and formation of a new family unit; two, the creation of and adaptation to new family practices and routine; three, the adoption of new social identity following parental divorce. This article hopes to present a more nuanced understanding of the divorce experience by emphasizing both the precarious and productive aspects in the children's lives, contra to the existing divorce literature that typically focuses on the former.     

新时代大学生职业使命感培育路径初探

作为社会主义现代化建设的主力军,大学生肩负着实现中华民族伟大复兴的重要使命。在这样的现实语境中,加强职业使命感培育尤为重要。基于新时代大学生职业使命感培育影响因素的复杂性,必须建构社会-学校-家庭三方协同培育大格局,以培育大学生职业使命感。     

“健康中国”背景下全民健身与全民健康融合研究

结合我国实际，从全民健身和全民健康的科学理念、科学研究、人才培养、体医融合、设施建设、产业发展、“互联网+”运用等措施，实现全民健身和全民健康的深度融合，保障政府工作落地生根，促进全民健康。