Long memory in intertrade durations,counts and realized volatility of NYSE stocks

We study the persistence of intertrade durations, counts (number of transactions in equally spaced intervals of clock time), squared returns and realized volatility in 10 stocks trading on the New York Stock Exchange. A semiparametric analysis reveals the presence of long memory in all of these series, with potentially the same memory parameter. We introduce a parametric latent-variable long-memory stochastic duration (LMSD) model which is shown to better fit the data than the autoregressive conditional duration model (ACD) in a variety of ways. The empirical evidence we present here is in agreement with theoretical results on the propagation of memory from durations to counts and realized volatility presented in Deo et al. (2009).     

复句研究天地宽--《汉语复句研究》读后

邢福义先生的专著<汉语复句研究>,集中了作者20余年复句研究的丰硕成果.这些成果丰富了汉语语法研究,显示了复句研究的重要性、必要性和可行性,展示了一系列行之有效的复句研究思路和方法,更启示我们复句研究天地宽,复句研究大有可为.     

英汉比较与定语从句的翻译

该文运用英汉比较的方法探讨了英语定语从句的翻译手法。如果定语从句结构简单 ,就直接翻译成汉语的定语结构 ;如果定语从句结构较复杂 ,就应该灵活采用其他的手法来处理 ,如重复先行词译出 ,译成状语从句等。总之 ,不管英语定语从句结构是否复杂 ,都要翻译成正确的汉语习惯表达法。     

复合Poisson风险模型下的生存概率

通过研究得出了在复合 Pisson模型下,当赔付服从指数分布时有限时间内的生存概率的拉普拉斯变换公式.     

刑法因果关系浅析

弄清了刑法的因果关系,即弄清了犯罪行为因果关系的本质,在确认犯罪问题上就能更好的判断一个人对其行为结果负什么样的刑事责任。同时刑法的因果关系也是一个争论最多的问题,对于因果关系的必然性与偶然性,条件说与原因说,都是现在中外刑法研究的重点问题之一。正确的区别及认识它们对于研究刑法因果关系有重要意义。     

基于状态转移信息对FF三因子模型的改进

以1995年6月-2005年12月期间在我国沪深A股市场上市的全部股票为样本,本文实证发现,在新的样本期间,FF三因子模型不能对组合收益作出完全的解释。为了基于现代金融理论的基本观点对组合收益作出完全解释,本文利用状态转移信息对无条件的FF三因子模型进行改进,实证发现,改进后的状态转移的条件定价模型对我国股市的组合收益作出了完全解释。由此得出结论认为,在解释组合收益时,状态转移的条件定价模型是一个优于无条件FF三因子模型的模型。     

多维时间序列的条件独立性检验及其在股市相依关系中的应用

提出多维时间序列中各分量之间直接联系存在性的信息论检验方法,构造了条件互信息统计量检验分量间的条件独立性,统计量的显著性用置换检验决定.将提出的方法应用到国际股票市场,研究收益率序列相依关系,结果表明,此方法能有效检验各分量之间的直接联系和间接联系.     

The geometry of Gaussian double Markovian distributions

Gaussian double Markovian models consist of covariance matrices constrained by a pair of graphs specifying zeros simultaneously in the matrix and its inverse. We study the semi-algebraic geometry of these models, in particular their dimension, smoothness, and connectedness as well as algebraic and combinatorial properties.     

关于实质条件句的两个问题

实质条件句和蕴涵的关系如何？实质条件句与日常语言中的条件句的关系如何？这是关于实质条件句的两个基本问题。澄清了实质条件句和蕴涵的关系，指出不能将蕴涵混同于相应的实质条件句的真理性，并在此基础上分析了所谓的蕴涵悖论。应该将实质条件句在技术上的价值与它在日常语言中的对应物这两个问题分开处理，并论证了以实质条件句概念解释日常语言中的直陈单独条件句的适当性，指出两者之间的关系是卡尔纳普所谓之辩明关系。     

Longitudinal network models and permutation-uniform Markov chains

Consider longitudinal networks whose edges turn on and off according to a discrete-time Markov chain with exponential-family transition probabilities. We characterize when their joint distributions are also exponential families with the same parameter, improving data reduction. Further we show that the permutation-uniform subclass of these chains permit interpretation as an independent, identically distributed sequence on the same state space. We then apply these ideas to temporal exponential random graph models, for which permutation uniformity is well suited, and discuss mean-parameter convergence, dyadic independence, and exchangeability. Our framework facilitates our introducing a new network model; simplifies analysis of some network and autoregressive models from the literature, including by permitting closed-form expressions for maximum likelihood estimates for some models; and facilitates applying standard tools to longitudinal-network Markov chains from either asymptotics or single-observation exponential random graph models.