隐含波动率与实际波动率的关系：中美比较

  上证50ETF期权上市至今，中国期权市场表现出很多与美国市场显著不同的特征，由此引申出关于美国的经验是否适用于中国、中国期权市场定价是否有效的争论。         基于2015年4月16日至2017年12月29日的中国上证50ETF期权数据和美国S&P500期权数据，以股指收益率与波动率的相关系数以及股指收益率的历史分布为工具，从整体特征和横截面特征两个维度，研究隐含波动率与实际波动率的理论关系；以使用期权市场数据计算得到的隐含波动率数据、波动率微笑和实际波动率数据、0Delta组合的超额收益为工具，研究隐含波动率与实际波动率的实际关系；针对上述理论关系和实际关系进行中美比较。由于理论关系研究中未使用期权数据，因此通过比较上述两个维度下的理论关系与实际关系的差异，可以对中国期权市场的绝对定价效率和相对定价效率进行探究。         研究结果表明，在整体特征上，美国期权市场中隐含波动率与实际波动率的理论关系与实际关系相符，美国期权市场在绝对定价效率维度上有效；中国市场，尤其是牛市样本中，隐含波动率与实际波动率的理论关系与实际关系不相符，中国期权市场在绝对定价效率维度上被高估。在横截面特征上，美国期权市场中隐含波动率与实际波动率的理论关系与实际关系相符，美国期权市场在相对定价效率维度上有效；中国市场，尤其是牛市样本中，隐含波动率与实际波动率的理论关系与实际关系不相符，中国期权市场在相对定价效率维度上无效，低行权价的期权被低估、高行权价的期权被高估。在上述两个特征的研究中，相应构造的0Delta组合(策略)同样支持上述结论。         通过中美两国隐含波动率与实际波动率的理论关系与实际关系的研究，发现中美两国的市场状况存在差异，在中国期权市场上的研究和交易不能简单照搬美国经验，要仔细研究和利用中国市场的当前特征。监管层也应完善中国股票和期权市场制度，降低期权交易成本，实行股票现货交易(t+0)制度，完善股票现货做空机制，以使套利机制可以正常发挥作用，改善当前上证50ETF期权市场被高估的现象，使期权的保险功能正常发挥作用。     

All Smiles are Not Created Equal: Morphology and Timing of Smiles Perceived as Amused, Polite, and Embarrassed/Nervous

We investigated the correspondence between perceived meanings of smiles and their morphological and dynamic characteristics. Morphological characteristics included co-activation of Orbicularis oculi (AU 6), smile controls, mouth opening, amplitude, and asymmetry of amplitude. Dynamic characteristics included duration, onset and offset velocity, asymmetry of velocity, and head movements. Smile characteristics were measured using the Facial Action Coding System (Ekman et al. 2002) and Automated Facial Image Analysis (Cohn and Kanade 2007). Observers judged 122 smiles as amused, embarrassed, nervous, polite, or other. Fifty-three smiles met criteria for classification as perceived amused, embarrassed/nervous, or polite. In comparison with perceived polite, perceived amused more often included AU 6, open mouth, smile controls, larger amplitude, larger maximum onset and offset velocity, and longer duration. In comparison with perceived embarrassed/nervous, perceived amused more often included AU 6, lower maximum offset velocity, and smaller forward head pitch. In comparison with perceived polite, perceived embarrassed/nervous more often included mouth opening and smile controls, larger amplitude, and greater forward head pitch. Occurrence of the AU 6 in perceived embarrassed/nervous and polite smiles questions the assumption that AU 6 with a smile is sufficient to communicate felt enjoyment. By comparing three perceptually distinct types of smiles, we found that perceived smile meanings were related to specific variation in smile morphological and dynamic characteristics.

基于全球视角的区域产业链整合对策

跨国企业的核心化趋势,导致了全球产业链价值分布的非均衡性。后发展国家,由于其特定的低素质状态,只能处于产业链的低端。为了改变这种状况,实施价值创新、通道革命、脑力集聚和高质量资本引进,是必由之路。     

Effects of Dynamic Attributes of Smiles in Human and Synthetic Faces: A Simulated Job Interview Setting

We examined the effects of the temporal quality of smile displays on impressions and decisions made in a simulated job interview. We also investigated whether similar judgments were made in response to synthetic (Study 1) and human facial stimuli (Study 2). Participants viewed short video excerpts of female interviewees exhibiting dynamic authentic smiles, dynamic fake smiles, or neutral expressions, and rated them with respect to a number of attributes. In both studies, perceivers’ judgments and employment decisions were significantly shaped by the temporal quality of smiles, with dynamic authentic smiles generally leading to more favorable job, person, and expression ratings than dynamic fake smiles or neutral expressions. Furthermore, authentically smiling interviewees were judged to be more suitable and were more likely to be short-listed and selected for the job. The findings show a high degree of correspondence in the effects created by synthetic and human facial stimuli, suggesting that temporal features of smiles similarly influence perceivers’ judgments and decisions across the two types of stimulus.

西方微笑传播中的身体表情与心灵符号

微笑传播是人类身体表情的象征性表达。在西方历史的、民族的和个人习惯的社会条件下,微笑传播作为西方文化对于生命与智慧的思索、神圣与人性的媒介、幽默与诙谐的狂欢、身体与权力的规训、社会与交流的共享,承载着人类心灵的符号意蕴。     

浅析安德列耶夫的《红笑》

列昂尼德·安德列耶夫是一位白银时代现实主义文学的重要作家。《红笑》写于1904年，是对当时正在进行中的日俄战争的直接反映，它表现了作者激烈的反战立场。作家从不同侧面、不同角度对战争及其语境下的人物作了一番全景式的深度解构。     

菲尔丁《汤姆·琼斯》典故网中的文化“肴馔”

研究亨利·菲尔丁《汤姆·琼斯》典故网中的文化主题,分析菲尔丁如何网状般地构造其笑、打、美、醉、怒典故网及其在文化主题中所起到的多种作用。典故网的叙述方式间接地表达了小说家的思想与观点,表现了其叙述的艺术特征,唤起了读者的想象力,为读者带来了愉悦的文化"肴馔"享受。     

白银时代的一朵奇葩——安德列耶夫

列昂尼德.安德列耶夫是一位白银时代现实主义文学的重要作家,留下的文学遗产是丰富而又珍贵的。他不仅是当时一位重要的小说家,更是一位重要的戏剧家。本文主要介绍列昂尼德.安德列耶夫及其几篇主要小说。