Bayesian change points analysis on the seismic activity in northeastern Taiwan

Bayesian change points analysis on the seismic activity in northeastern Taiwan is studied via the reversible jump Markov chain Monte Carlo simulation. An epidemic model is considered with Gamma prior distributions for the parameters. The prior distributions are essentially determined based on an earlier period of the seismic data in the same region. It is investigated that there exist two change points during the time period considered. This result is also confirmed by the BIC criteria.     

Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models

Abstract

This study forecasts the volatility of two energy futures markets (oil and gas), using high-frequency data. We, first, disentangle volatility into continuous volatility and jumps. Second, we apply wavelet analysis to study the relationship between volume and the volatility measures for different horizons. Third, we augment the heterogeneous autoregressive (HAR) model by nonlinearly including both jumps and volume. We then propose different empirical extensions of the HAR model. Our study shows that oil and gas volatilities nonlinearly depend on public information (jumps), private information (continuous volatility), and trading volume. Moreover, our threshold augmented HAR model with heterogeneous jumps and continuous volatility outperforms HAR model in forecasting volatility.     

沪深300指数跳的逐点检验及动态分析

作为金融衍生产品标的,沪深300指数是否存在跳以及跳服从怎样的动态规律对资产定价和风险管理都十分重要。本文提出新的时点方差估计方法,构造渐进性质更好的跳检验统计量,以此对沪深300指数5分钟数据进行时点跳检验,在此基础上对跳的动态变化进行分析。实证结果表明,沪深300指数存在跳,跳发生次数服从Poisson过程,但跳发生概率随时间变化,具有时变性;跳幅分布具有厚尾性并向右偏斜,分布随时间发生变化,不服从同分布假设。本文的研究结果为相关研究提供了基础性实证结论。     

中国证券市场跳跃行为非参数方法

资产价格跳跃行为是连续时间金融学研究的重要问题之一。在Ait-Sahalia成功将跳跃研究视野由狭义事件驱动有限活跃跳跃扩展到广义订单驱动无限活跃跳跃层次的基础上,对阈值多幂次变差模型(TMPV)广义跳跃系列问题研究中存在的阈值时变性问题进行了改进,对其尚未讨论的广义跳跃行为属性存在的采样频率依赖性问题进行了实证研究,在此基础上对不同超高频率下的广义跳跃行为的属性特征进行了刻画,进一步分析不同类型股票的跳跃行为属性特征,结合实证结果对其原因进行了初步分析。     

基于价格跳跃的农业股信息风险研究

农业上市公司在引导我国农村产业升级等方面起着重要作用,因此,研究农业类股票的信息风险特征对提升农业上市公司的资本运营能力有着非常重要的现实意义。用知情交易概率非参数估计模型对该类股票的信息风险特征进行描述,结果发现:在我国证券市场上,信息风险作为定价因子有解释力,但其产生的是负效应,特别是农业类股票。这不符合信息不对称要求风险补偿的传统理论,其原因在于我国证券市场的交易行为具有高投机性。     

对跳远运动员助跑速度理论的探讨

对目前国内提出的跳远助跑速度是可控与非可控的依据进行分析。指出这两种观点均只是从某一侧面认识了跳远助跑速度的特点 ,有其局限性 ;提出把这两个观点辩证地统一为跳远的助跑应在能保证助跑节奏和起跳的适当助跑距离内的积极加速     

试析影响跳远助跑准确性的因素

通过文献资料法、系统分析法，阐明了跳远助跑准确性的重要性，全面分析了影响跳远助跑准确性的因素。     

从三跳比例浅析男子三级跳远技术训练趋势

采用文献资料、对比分析等方法,研究不同类型的中外男子三级跳远优秀运动员三跳比例对运动成绩的影响,结果显示:中国男子三级跳远运动员更适合向“平跳速度型”发展,理想的三跳比例为33.5%、30%、36.5%。提高助跑速度和跳跃速度,并使速度保持到第三步是训练的重点,应更加重视合理的三跳比例、上下摆动技术和平衡能力的训练,逐步探索“跑跳型”新技术。     

女生三级跳远教学探索

三级跳远被列为体育专业女生必修课已多年，但有关的研究资料不多．在教学中多沿用男生的训练方法，效果不如人意．笔者在多年的实践中根据女生的心理、生理特点，采用平跳型技术教学，收到良好的教学效果．     

Bayesian finite mixtures with an unknown number of components: The allocation sampler

A new Markov chain Monte Carlo method for the Bayesian analysis of finite mixture distributions with an unknown number of components is presented. The sampler is characterized by a state space consisting only of the number of components and the latent allocation variables. Its main advantage is that it can be used, with minimal changes, for mixtures of components from any parametric family, under the assumption that the component parameters can be integrated out of the model analytically. Artificial and real data sets are used to illustrate the method and mixtures of univariate and of multivariate normals are explicitly considered. The problem of label switching, when parameter inference is of interest, is addressed in a post-processing stage.