Insider Trading With a Random Deadline

We consider a model of strategic trading with asymmetric information of an asset whose value follows a Brownian motion. An insider continuously observes a signal that tracks the evolution of the asset's fundamental value. The value of the asset is publicly revealed at a random time. The equilibrium has two regimes separated by an endogenously determined time T. In [0, T), the insider gradually transfers her information to the market. By time T, all her information has been transferred and the price agrees with the market value of the asset. In the interval [T, ∞), the insider trades large volumes and reveals her information immediately, so market prices track the market value perfectly. Despite this market efficiency, the insider is able to collect strictly positive rents after T.     

惠山泥人和淮阳泥泥狗的艺术形象比较研究

无锡惠山泥人造型鲜活生动，其中戏文人物的表现尤为传神经典，是我国众多泥塑文化中的典型代表。淮阳泥泥狗起源于混沌初开的旷古时代，造型古拙概括，内容以各种传说中的动物形象为基础，形式上也体现出生活的真实、清新、质朴的风格，每个造型上都有一个小孔，能够吹响，极富灵气。二者同为民间工艺美术的典型，但在起源、造型、色彩方面各有不同，代表不同的审美情趣。     

宝鸡凤翔泥塑色彩审美特征研究?

凤翔彩绘泥塑作为北方民间艺术的一个典型代表，其用色受中国传统文化的深远影响。凤翔彩绘泥塑深受中国传统文化中的阴阳、五行、周易、八卦等关于色彩观念的影响，并结合当地民众的审美习惯，表现出了独特的审美特征，也是当地民众情感、观念和愿望的有效体现。     

Tick-size的减小是否改进中国封闭式基金市场的质量？

2003年3月3日沪深证券交易所对封闭式交易基金的最小报价单位进行改革,由过去的“1分钱”改为“0.1分钱”,旨在改善“夹板套利”、“流动性差”等市场弊端.通过对比改制前后衡量证券市场质量的三个指标:买卖价差、市场深度和成交量总体所表现出的状况,验证了“分改厘”政策在某种程度上确实改进封闭式基金市场的交易状况和流动性.     

Efficiency of Large Double Auctions

We consider large double auctions with private values. Values need be neither symmetric nor independent. Multiple units may be owned or desired. Participation may be stochastic. We introduce a very mild notion of “a little independence.” We prove that all nontrivial equilibria of auctions that satisfy this notion are asymptotically efficient. For any α>0, inefficiency disappears at rate 1/n^2‐α.     

Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices

This article develops a general multivariate additive noise model for synchronized asset prices and provides a multivariate extension of the generalized flat-top realized kernel estimators, analyzed earlier by Varneskov (2014), to estimate its quadratic covariation. The additive noise model allows for α-mixing dependent exogenous noise, random sampling, and an endogenous noise component that encompasses synchronization errors, lead-lag relations, and diurnal heteroscedasticity. The various components may exhibit polynomially decaying autocovariances. In this setting, the class of estimators considered is consistent, asymptotically unbiased, and mixed Gaussian at the optimal rate of convergence, n^1/4. A simple finite sample correction based on projections of symmetric matrices ensures positive definiteness without altering the asymptotic properties of the estimators. It, thereby, guarantees the existence of nonlinear transformations of the estimated covariance matrix such as correlations and realized betas, which inherit the asymptotic properties from the flat-top realized kernel estimators. An empirically motivated simulation study assesses the choice of sampling scheme and projection rule, and it shows that flat-top realized kernels have a desirable combination of robustness and efficiency relative to competing estimators. Last, an empirical analysis of signal detection and out-of-sample predictions for a portfolio of six stocks of varying size and liquidity illustrates the use and properties of the new estimators.     

A new robust Kalman filter for filtering the microstructure noise

We propose a robust Kalman filter (RKF) to estimate the true but hidden return when microstructure noise is present. Following Zhou's definition, we assume the observed return Y_t is the result of adding microstructure noise to the true but hidden return X_t. Microstructure noise is assumed to be independent and identically distributed (i.i.d.); it is also independent of X_t. When X_t is sampled from a geometric Brownian motion process to yield Y_t, the Kalman filter can produce optimal estimates of X_t from Y_t. However, the covariance matrix of microstructure noise and that of X_t must be known for this claim to hold. In practice, neither covariance matrix is known so they must be estimated. Our RKF, in contrast, does not need the covariance matrices as input. Simulation results show that the RKF gives essentially identical estimates to the Kalman filter, which has access to the covariance matrices. As applications, estimated X_t can be used to estimate the volatility of X_t.     

市场微观结构理论研究的新进展

本文首先分析了市场微观结构的基本命题和主要研究内容;其次综述了市场微观结构理论发展的三个阶段:存货模型、信息模型和看法差异模型;在综述分析的基础上,提出微观结构理论研究的发展方向可能是:一方面深入对看法差异模型的研究,另一方面加强对指令驱动市场和多资产市场的研究。最后分析了微观结构理论研究中的模型设定和研究方法。     

聚胺与氯化钾抑制性的对比实验研究

近年来开发出的聚胺水基钻井液,被认为是最接近逆乳化钻井液性能的高性能水基钻井液。新型聚胺强页岩抑制剂也因其分子结构独特、抑制性能突出越来越受到人们重视。通过抑制膨润土造浆实验、屈曲硬度实验、页岩滚动分散实验、耐崩散实验、页岩膨胀实验以及X 射线衍射粘土层间距分析等实验手段,对比评价了聚胺强页岩抑制剂与传统常用抑制剂氯化钾的抑制性。结果表明,与氯化钾相比,聚胺抑制性能优异,能有效抑制粘土水化分散,在加量较少时即能发挥长期抑制作用,且具有较好的抗温性能。配伍性实验表明,聚胺与膨润土及常用处理剂具有较好的配伍性。以SDA 为主要水化抑制剂构建了聚胺水基钻井液,实验评价表明,该体系具有优良的抗盐、抗钙和抗劣土污染性能。此外,对聚胺的抑制机理进行了探讨分析。