夜盘交易对中国农产品期货市场定价权的影响

基于信息溢出视角,利用DCE与CBOT豆油期货连续合约收盘价数据,实证分析了夜盘交易启动对中国农产品期货市场定价权的影响。研究结果表明：夜盘交易的启动,未能有效提升DCE豆油期货对CBOT豆油期货的收益溢出效应,CBOT豆油期货对DCE豆油期货的收益溢出始终处于强势地位。夜盘交易前,CBOT对DCE豆油期货的波动溢出效应显著强于后者对前者的波动溢出效应,而夜盘交易的启动有效改善了这一现状;夜盘交易启动后,DCE与CBOT豆油期货呈现双向显著的波动溢出效应。综合来看,夜盘交易影响DCE向CBOT信息溢出的主要渠道为波动溢出而非收益溢出,夜盘交易未能有效提升以DCE豆油期货为代表的中国农产品期货市场定价权。     

考虑柔性和间隙的螺旋引纬机构仿真分析

为了提高引纬机构的稳定性和精度,将柔性构件和间隙的影响考虑在内,联合ANSYS和ADAMS建立螺旋引纬机构的刚柔耦合模型,通过ADAMS进行动力学仿真,在刚性系统和刚柔耦合系统中分别分析了旋转铰间隙对剑杆输出特性曲线的影响。在对仿真数据的观察中发现了相当比例的噪声信号,为了消除噪声信号的影响,利用统计学中上下四分位数和中位数来识别替换异常值;在综合考虑间隙和柔性构件的影响时,利用减噪后的加速度曲线与理想刚体系统下的数据的偏差值得到一个新的曲线,该曲线在固定区间内做高频波动,呈现出类似周期性声波信号的特点。结果表明旋转铰间隙是影响剑杆稳定性和精度的主要因素,柔性构件和间隙的综合作用产生了趋向于周期性的碰撞影响。依据研 究结果可以进一步对原刚体模型下设计的引纬机构进行优化设计。     

农户社会资本与电商交易平台的选择

从村庄和家庭社会资本的多维视角,探讨了农户社会资本对电商交易平台选择的影响,结果发现：村庄社会资本对农户选择网商交易平台和微商交易平台有直接的促进作用;家庭社会资本维度的社会资源网络、社会信任、社会参与、社会声望和社会资本培育使农户倾向于选择微商交易平台;控制变量中的受教育程度、身体健康状况、种植经验、亩数、家庭收入及到快递点的距离对电商交易平台的选择均呈现不同的显著影响。     

融资融券交易与市场稳定性:基于动态视角的证据

通过构建“外生信息冲击的门限自回归条件密度(TARCD-X)”模型,进而从动态的视角考察了融资融券实施前后,市场涨跌和交易量增减4种重要的信息冲击对下一期市场稳定性的影响具有怎样的差异,以及融资融券实施后,融资融券余额变动作为新的信息冲击如何影响下一期市场的稳定性.以波动性、暴涨暴跌的不对称性和暴涨暴跌的频繁性3个指标衡量市场的稳定性,研究发现:(1)12种影响关系中,除交易量减小对市场波动性的冲击作用在融资融券实施后有所放大之外,其他11种影响关系均未出现不利变化;(2)融资融券余额的变动没有显著增加市场的波动性和暴涨暴跌的频繁性,但其与暴涨暴跌的不对称性存在显著的相关关系.后者为构建股市暴涨暴跌的预警指标提供了实证依据.     

Modelling process robustness: a case study of centrifugal casting

A robust process minimises the effect of the noise factors on the performance of a product or process. The variation of the performance of a robust process can be measured through modelling and analysis of process robustness. In this paper, a comprehensive methodology for modelling and analysis of process robustness is developed considering a number of relevant tools and techniques such as multivariate regression, control charting and simulation within the broad framework of Taguchi method. The methodology as developed considers, in specific terms, process modelling using historical data pertaining to responses, inputs variables and parameters as well as simulated noise variables data, identification of the model responses at each experimental setting of the controllable variables, estimation of multivariate process capability indices and control of their variability using control charting for determining optimal settings of the process variables using design of experiment-based Taguchi Method. The methodology is applied to a centrifugal casting process that produces worm-wheels for steam power plants in view of its critical importance of maintaining consistent performance in various under controllable situations (input conditions). The results show that the process settings as determined ensure minimum in-control variability with maximum performance of the centrifugal casting process, indicating improved level of robustness.     

Asymptotic Minimax Risk for the White Noise Model on the Sphere

Estimation of an unknown function on the unit sphere of the Euclidean space is considered. The function is observed in Gaussian continuous time white noise. Uniform norm is chosen as a loss function and exact asymptotic minimax risk is derived extending the result of Korostelev (1993). The exact asymptotic minimax risk is also given for the L ₂-loss, applying the result of Pinsker (1980).     

A critical look at Lo's modified R/S statistic

We report on an empirical investigation of the modified rescaled adjusted range or R/S statistic that was proposed by Lo, 1991. Econometrica 59, 1279–1313, as a test for long-range dependence with good robustness properties under ‘extra’ short-range dependence. In contrast to the classical R/S statistic that uses the standard deviation S to normalize the rescaled range R, Lo's modified R/S-statistic V_q is normalized by a modified standard deviation S_q which takes into account the covariances of the first q lags, so as to discount the influence of the short-range dependence structure that might be present in the data. Depending on the value of the resulting test-statistic V_q, the null hypothesis of no long-range dependence is either rejected or accepted. By performing Monte-Carlo simulations with ‘truly’ long-range- and short-range dependent time series, we study the behavior of V_q, as a function of q, and uncover a number of serious drawbacks to using Lo's method in practice. For example, we show that as the truncation lag q increases, the test statistic V_q has a strong bias toward accepting the null hypothesis (i.e., no long-range dependence), even in ideal situations of ‘purely’ long-range dependent data.     

论发展低碳经济的减排政策工具

为解决温室气体排放的外部性问题,各种减排政策工具应运而生。根据作用效果的不同,可分为抑制排放的政策工具和鼓励促进低排放的政策工具。在抑制排放的政策工具中,碳税和碳排放交易采用了不同的政策机理,碳税更适用于市场机制不完善的发展中国家,而碳排放交易则更适用于市场机制比较完善、经济发展成熟的发达国家。在鼓励促进低排放的政策工具中,通过综合运用财政补贴、税收优惠和差别定价等措施,对可再生能源的发展可发挥重要作用。     

浙江排污权交易及其制度构建对策研究

浙江排污权交易试点已进入全面推进阶段,但在试点过程中还存在一些困难和问题。本文通过对排污权交易的理论基础、性质及内涵的分析,在借鉴国内外排污权交易实践经验基础上,针对浙江排污权交易实践中存在的问题,提出了完善浙江省排污权交易制度的对策建议。