基于Hawkes因子模型的股价共同跳跃研究

本文首先比较了三种目前主流的共跳检验方法：基于LM检验的共跳检验、BLT共跳检验和FHLL共跳检验，结果表明，三种方法在识别共跳数量上差距明显，但三者结果的重合部分基本属于市场暴涨暴跌行情，说明共跳识别对市场剧烈波动的聚集性较为敏感。基于跳跃、共跳存在的聚集性问题，本文将Hawkes过程引入跳跃和共跳的研究，构建了基于Hawkes过程的因子模型，结果显示，基于Hawkes因子模型的MJ统计量、CJ统计量和实证数据的拟合程度较好，表明因子模型能够更好地描述跳跃和共跳的聚集性。     

New options for national population surveys: The implications of internet and smartphone coverage

Challenges to survey data collection have increased the costs of social research via face-to-face surveys so much that it may become extremely difficult for social scientists to continue using these methods. A key drawback to less expensive Internet-based alternatives is the threat of biased results from coverage errors in survey data. The rise of Internet-enabled smartphones presents an opportunity to re-examine the issue of Internet coverage for surveys and its implications for coverage bias. Two questions (on Internet access and smartphone ownership) were added to the National Survey of Family Growth (NSFG), a U.S. national probability survey of women and men age 15–44, using a continuous sample design. We examine 16 quarters (4 years) of data, from September 2012 to August 2016.Overall, we estimate that 82.9% of the target NSFG population has Internet access, and 81.6% has a smartphone. Combined, this means that about 90.7% of U.S. residents age 15–44 have Internet access, via either traditional devices or a smartphone. We find some evidence of compensatory coverage when looking at key race/ethnicity and age subgroups. For instance, while Black teens (15–18) have the lowest estimated rate of Internet access (81.9%) and the lowest rate of smartphone usage (72.6%), an estimated 88.0% of this subgroup has some form of Internet access.We also examine the socio-demographic correlates of Internet and smartphone coverage, separately and combined, as indicators of technology access in this population. In addition, we look at the effect of differential coverage on key estimates produced by the NSFG, related to fertility, family formation, and sexual activity. While this does not address nonresponse or measurement biases that may differ for alternative modes, our paper has implications for possible coverage biases that may arise when switching to a Web-based mode of data collection, either for follow-up surveys or to replace the main face-to-face data collection.     

China’s Choice of Analytical Models for Its Anti-Monopoly Law

Modern analytical models for anti-monopoly laws are a core element of the application of those laws. Since the Anti-Monopoly Law of the People’s Republic of China was promulgated in 2008, law enforcement and judicial authorities have applied different analytical models, leading to divergent legal and regulatory outcomes as similar cases receive different verdicts. To select a suitable analytical model for China’s Anti-Monopoly Law, we need to consider the possible contribution of both economic analysis and legal formalism and to learn from the mature systems and experience of foreign countries. It is also necessary to take into account such binding constraints as the current composition of China’s anti-monopoly legal system, the ability of implementing agencies and the supply of economic analysis, in order to ensure complementarity between the analytical model chosen and the complexity of economic analysis and between the professionalism of implementing agencies and the cost of compliance for participants in economic activities. In terms of institutional design, the models should provide a considered explanation of the legislative aims of the law’s provisions. It is necessary, therefore, to establish a processing model of behavioral classification that is based on China’s national conditions, applies analytical models using normative comprehensive analysis, makes use of the distribution rule of burden of proof, improves supporting systems related to analytical models and enhances the ability of public authorities to implement the law.     

Perceived group cohesion versus actual social structure: A study using social network analysis of egocentric Facebook networks

Research on group cohesion often relies on individual perceptions, which may not reflect the actual social structure of groups. This study draws on social network theory to examine the relationship between observable structural group characteristics and individual perceptions of group cohesion. Leveraging Facebook data, we extracted and partitioned the social networks of 109 participants into groups using a modularity algorithm. We then surveyed perceptions of cohesion, and computed group density and size using social network analysis. Out of six linear mixed effects models specified, a random intercept and fixed slope model with group size as a predictor of perceived group cohesion emerged as best fitting. Whereas group density was not linked to perceived cohesion, size had a small negative effect on perceived cohesion, suggesting that people perceive smaller groups as more cohesive. We discuss the potential of social network analysis, visualization tools, and Facebook data for advancing research on groups.     

基于大数据合作资产的适应性创新--数字经济的创新逻辑(二)

万物互联时代,数据被认为是与土地、劳动、资本、知识、技术和管理并重的第七大生产要素。当前,多样化的商业实践创新对数据价值的深度挖掘正在突破经济学在传统意义上对数据及其价值的限定,然而,理论上对此还缺乏相应的概念凝练和探讨。本文从企业与消费者价值共创角度提出大数据合作资产的概念,并探讨基于大数据合作资产和适应性创新的数字经济创新逻辑。研究表明:大数据合作资产是一种互动性资源,是企业与消费者在数字化服务交互中成为能够被另一方所拥有和利用并能创造当前或未来经济收益的数字化资产;单纯拥有异质资源不一定会形成合作资产,只有当异质化资源被有效整合、且被使用于企业与消费者服务交换中,才能体现为行动者创造收益的价值潜力;协同演化促进了企业与消费者对彼此的适应性调整,基于大数据合作资产激发以即时调整、即时反馈和难以预测为特征的适应性创新,进而促进了数字经济创新。     

戈公振《世界报业考察记》校读记

商务印书馆2017年整理版戈公振遗著《世界报业考察记》，嘉惠学林甚大，然其中有少量文字讹误，对此略做校正与辨析。     

大数据驱动下的政府治理机制研究——基于2020年后精准扶贫领域的返贫阻断分析

大数据时代已经到来，大数据驱动下的政府治理发生何种改变，目前相关研究较少。当前政府治理的考验集中在2020年实现全面脱贫后精准扶贫领域的返贫阻断。文章以该领域为切入点，探索大数据驱动下政府治理的内在机制。研究发现：大数据背景下，政府治理能力催生出新的核心能力，即数据治理能力。数据治理能力驱动下，政府治理主体多元化有利于实现政府治理资源的宽范围、精准化动员；政府治理方式实现经验式决策向数据化决策转变，有利于实现政府资源的高效率和公平配置；政府治理客体的精准识别，有利于政府资源的精准化和最优化运用。但是客观上必须具备数据治理能力，主观上必须按照大数据驱动的要求重构政府治理体系（包括治理主体、治理方式和治理客体），才能真正实现以数据治理驱动政府治理，进而提高政府治理能力的目的。而数据治理能力客观上也加速了政府治理体系的重构，进而加快了政府治理能力的提升，并最终提高政府治理绩效。在对标大数据应用不同阶段分析常规式返贫阻断和大数据返贫阻断的不足和差距的基础上，笔者提出重构政府治理体系和提升数据治理能力等针对性建议。     

基于关键词分析我国图书馆焦虑研究态势

国内关于图书馆焦虑的研究已经开展多年，并取得一定的研究成果。以我国图书馆焦虑的研究文献的关键词为统计对象，基于共词分析，利用聚类方法和战略坐标图分析我国在该领域的研究现状。结果表明，目前该领域的研究集中于读者自身、图书馆环境和图书馆员三大因素的研究，从理论上研究图书馆焦虑起因的关注度在降低，图书馆焦虑缓解措施的可行性和有效性研究比较缺乏。最后给出了该领域在下一步研究中的可能方向，供研究人员参考。     

Recognizing Structural Nonidentifiability: When Experiments Do Not Provide Information About Important Parameters and Misleading Models Can Still Have Great Fit

In the quest to model various phenomena, the foundational importance of parameter identifiability to sound statistical modeling may be less well appreciated than goodness of fit. Identifiability concerns the quality of objective information in data to facilitate estimation of a parameter, while nonidentifiability means there are parameters in a model about which the data provide little or no information. In purely empirical models where parsimonious good fit is the chief concern, nonidentifiability (or parameter redundancy) implies overparameterization of the model. In contrast, nonidentifiability implies underinformativeness of available data in mechanistically derived models where parameters are interpreted as having strong practical meaning. This study explores illustrative examples of structural nonidentifiability and its implications using mechanistically derived models (for repeated presence/absence analyses and dose–response of Escherichia coli O157:H7 and norovirus) drawn from quantitative microbial risk assessment. Following algebraic proof of nonidentifiability in these examples, profile likelihood analysis and Bayesian Markov Chain Monte Carlo with uniform priors are illustrated as tools to help detect model parameters that are not strongly identifiable. It is shown that identifiability should be considered during experimental design and ethics approval to ensure generated data can yield strong objective information about all mechanistic parameters of interest. When Bayesian methods are applied to a nonidentifiable model, the subjective prior effectively fabricates information about any parameters about which the data carry no objective information. Finally, structural nonidentifiability can lead to spurious models that fit data well but can yield severely flawed inferences and predictions when they are interpreted or used inappropriately.     

零售4.0时代先行发货问题的大数据分析

在零售4.0时代，渠道的多样化不仅丰富了数据源，还能迅速生成大量数据，需要通过分析大数据，为决策提取有意义的信息，通过分析先行发货的重要性，提出了一种基于遗传算法（GA）的优化模型，预测顾客何时购买，然后在顾客线下单前将产品运送到距顾客最近的配送中心，解决先行发货中存在的问题。研究认为，需要先部署云计算来存储所有渠道生成的大数据，再应用基于集群的关联规则挖掘研究顾客的购买行为，根据“如果-那么”预测规则预测未来的采购情况，最后利用修正的遗传算法生成最优的先行发货计划；这种遗传算法考虑了其在运输成本和运输距离之外，还有预测规则的置信度，利用大量的数值实验权衡了先行发货中的不同因素，验证了模型的最优可靠性