长江三角洲南部下蜀黄土与硬粘土层关系初探

从气候变化和地形影响两个角度 ,对长江三角洲南部晚更新世地层中西部丘陵区的下蜀黄土与东部平原区的硬粘土层进行了初步探讨 ,认为二者的物质来源都是末次冰期盛冰期由风力搬运堆积而形成的。     

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to study the properties of the price process on two different time scales, namely, transaction time where prices are sampled with every transaction and tick time where prices are sampled with every price change. Both sampling schemes have been used in the literature on realized variance, but a formal investigation into their properties has been lacking. Our empirical and theoretical results indicate that the return dynamics in transaction time are very different from those in tick time and the choice of sampling scheme can therefore have an important impact on the properties of realized variance. For RV we find that tick time sampling is superior to transaction time sampling in terms of mean-squared-error, especially when the level of noise, number of ticks, or the arrival frequency of efficient price moves is low. Importantly, we show that while the microstructure noise may appear close to IID in transaction time, in tick time it is highly dependent. As a result, bias correction procedures that rely on the noise being independent, can fail in tick time and are better implemented in transaction time.     

Rate efficient estimation of realized Laplace transform of volatility with microstructure noise

In this paper, we consider the problem of estimating the Laplace transform of volatility within a fixed time interval [0,T] using high‐frequency sampling, where we assume that the discretized observations of the latent process are contaminated by microstructure noise. We use the pre‐averaging approach to deal with the effect of microstructure noise. Under the high‐frequency scenario, we obtain a consistent estimator whose convergence rate is , which is known as the optimal convergence rate of the estimation of integrated volatility functionals under the presence of microstructure noise. The related central limit theorem is established. The simulation studies justify the finite‐sample performance of the proposed estimator.     

Spectral Estimation of Covolatility from Noisy Observations Using Local Weights

We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes, which are observed discretely with additive observation noise. The appropriate estimation for time‐varying volatilities is based on an asymptotic equivalence of the underlying statistical model to a white‐noise model with correlation and volatility processes being constant over small time intervals. The asymptotic equivalence of the continuous‐time and discrete‐time experiments is proved by a construction with linear interpolation in one direction and local means for the other. The new estimator outperforms earlier non‐parametric methods in the literature for the considered model. We investigate its finite sample size characteristics in simulations and draw a comparison between various proposed methods.     

专利动态特征与专利诉讼:基于智能手机产业的研究

"基于中国金融市场某股票和权证订单成交数据构建交易网络，分析交易网络微观结构蕴含的市场信息和交易行为多样性对即时价格冲击的影响.股票和权证交易网络中包含了近100万的交易者，在给定的显著性水平下，进行交易网络降噪，剔除了大部分噪声交易者，构建“核心”交易网络，发现噪声交易者具有更大的即时价格冲击.本文主要贡献是基于复杂网络模体对交易网络中噪声交易者和交易行为多样性进行了向量化表征，定义交易行为多样性指标，发现交易行为多样性越大的交易者具有更敏感的即时价格冲击影响.基于复杂网络微观结构分析方法解构蕴藏于交易网络中的市场交易行为，为研究交易者行为和价格行为提供了新视角."     

市场微观结构对量价关系的影响研究

从实证的角度分析了我国证券市场交易量与回报之间的动态关系。以上交所200只股票在2003年1月4日到2006年5月31日期间的高频分笔交易数据为样本，分别考察了交易价差、公司规模和信息发布事件对我国股市量价关系的影响，实证结果表明市值大、价差小的股票，在大交易量的日子回报呈现持续性，而市值低、价差大的股票，在大交易量的日子回报呈现翻转性，这一结论与美国市场结论相反。     

细支绵羊毛,山羊绒纤维微观结构研究现状

本文阐述了国内外对细支绵羊毛、山羊绒三级微观结构的研究现状，分析了两种纤维由于结构差异而引起的性能差异，并指出今后进一步研究的方向。     

Tests for Cointegration Breakdown Over a Short Time Period

We derive a speculative trading model with endogenous informed trading that yields a conditionally heteroscedastic time series for trading volume and the squared price changes. We use half-hourly price-change and volume data for IBM during 1988 to test the model and estimate the structural parameters using the simulated method-of-moments estimation procedure. Although the model seems to do a reasonable job fitting the unconditional moments of the volume and the squared price change processes, it fares less well in fitting the relation between current trading volume and lags of trading volume and squared volume's (and its lag's) relation to squared price changes.     

YW1硬质合金热电性能的研究

本文对ＹＷ１硬质合金的热电性能进行了全面的实验研究，对影响ＹＷ１硬质合金的热电性能微观组织进行了细致的实验测试，从而找出了影响ＹＷ１硬质合金热电性能的关键因素。     

中国股市买卖价差成分分析——基于指令驱动市场的实证研究

本文以金融市场微观结构理论为基础,运用高频数据对我国上海股票市场中买卖报价价差成分进行了实证研究,结果发现上海股市买卖报价价差可以分解为三种成分:信息不对称成分、指令处理成分和指令持续成分,其中指令处理成分所占比例最大,信息不对称成分和指令持续成分次之,并在此基础上研究了各买卖报价价差成分与流动性和交易活跃程度的关系,从而揭示了我国股票市场微观结构特征,为完善股票市场运行机制提供了参考。