人民币汇率的双成分混合波动率模型

汇率波动性预测在金融和计算领域一直受到广泛关注,然而由于缺乏可以捕捉汇率波动动态变化的预测模型,高频汇率的波动率预测至今没有得到彻底的研究.文章提出了基于神经网络的双成分混合汇率波动率模型,该模型利用低通Hodrick-Prescott滤波器将已实现波动率分解为长期分量和短期分量,使用自回归神经网络模拟长期分量,一阶自回归过程模拟短期分量,通过实证分析确定自回归神经网络参数(10个隐神经元和四阶滞后输入神经元),以6种主要高频率汇率(英镑/人民币,美元/人民币,澳元/人民币,欧元/人民币,日元/人民币,和瑞士法郎/人民币),在5 h(d)、20 h(d)、100 h(d)、200 h(d)、360 h(d)和500 h(d)的预测区间构建1 h和1 d已实现波动率,并与双成分GARCH模型、EGARCH模型、四阶滞后自回归神经网络模型3个基准模型进行对比,分析模型的预测性能,实验评估表明,提出的混合预测模型在所有预测的范围内均显著地优于传统人民币汇率波动模型.     

冀南红色革命旧址建筑现状调研

红色革命旧址建筑完整的将那段红色峥嵘岁月呈现于世人眼前,同时也是我们回顾红色革命精神与历史的重要载体。本文以冀南地区红色革命旧址建筑为研究对象,通过实地考察与资料收集两种手段,对其历史背景与现状有了初步认识。将冀南地区红色革命旧址建筑根据当时行政功能划分为四类：党政机构、军事机构、后勤保障机构、宣传教育机构。并对其现有建筑特点进行了初步讨论,为下步探讨其保护与活化打下良好基础。     

Being a desirable migrant: perception and racialisation of Icelandic migrants in Norway

In the aftermath of the financial crisis that hit Iceland in October 2008, increased numbers of Icelanders migrated to Norway to seek employment due to difficult economic circumstances in Iceland. Using critical perspectives from postcolonial studies and critical whiteness studies, the paper explores how these Icelandic migrants in Norway make sense of their new position as economic migrants within a global economy characterised by a growing sense of precariousness, while past inequalities and racism continue to matter. We also examine how these migrants are perceived in Norwegian media, and how social discourses of Icelandic migrants reflect larger Norwegian debates on racism, desirability and cultural belonging. Media discourses in Norway and interviews with Icelandic migrants reveal a hierarchy of acceptability of migrants. Icelanders are positioned as highly desirable compared to other migrant groups due to the intersection of perceived racial belonging, nationality and class. Our discussion contributes, furthermore, towards a critical analysis of the category migrant, by exploring how the term immigrant (innvandrer/innflytjandi) is used in narratives of Icelandic migrants in Norway and in Norwegian media discussions, showing the negative and racialised connotations of the term immigrant and how its understanding is linked with vulnerable positions and discrimination.     

An optimal online algorithm for the parallel-batch scheduling with job processing time compatibilities

We consider the online (over time) scheduling on a single unbounded parallel-batch machine with job processing time compatibilities to minimize makespan. In the problem, a constant \(\alpha >0\) is given in advance. Each job \(J_{j}\) has a normal processing time \(p_j\). Two jobs \(J_i\) and \(J_j\) are compatible if \(\max \{p_i, p_j\} \le (1+\alpha )\cdot \min \{p_i, p_j\}\). In the problem, mutually compatible jobs can form a batch being processed on the machine. The processing time of a batch is equal to the maximum normal processing time of the jobs in this batch. For this problem, we provide an optimal online algorithm with a competitive ratio of \(1+\beta _\alpha \), where \(\beta _\alpha \) is the positive root of the equation \((1+\alpha )x^{2}+\alpha x=1+\alpha \).     

A lower bound for the adaptive two-echelon capacitated vehicle routing problem

Adaptive two-echelon capacitated vehicle routing problem (A2E-CVRP) proposed in this paper is a variant of the classical 2E-CVRP. Comparing to 2E-CVRP, A2E-CVRP has multiple depots and allows the vehicles to serve customers directly from the depots. Hence, it has more efficient solution and adapt to real-world environment. This paper gives a mathematical formulation for A2E-CVRP and derives a lower bound for it. The lower bound is used for deriving an upper bound subsequently, which is also an approximate solution of A2E-CVRP. Computational results on benchmark instances show that the A2E-CVRP outperforms the classical 2E-CVRP in the costs of routes.     

融资融券制度与市场定价效率——基于卖空摩擦的视角

我国融资融券制度不同于国外成熟市场的一个重要特征是存在较大的卖空摩擦,但这一卖空摩擦对市场定价效率的影响及其作用机制尚未被研究揭示.本文运用双重差分固定效应模型、处理效应模型和倾向性匹配双重差分模型,研究了融资融券制度中的卖空摩擦对市场定价效率的影响及其内在机制.实证结果表明,融资融券制度中的卖空摩擦抑制了市场参与者对公司特质信息的充分挖掘,促使其过度利用市场或行业信息进行交易,从而延缓了公司特质信息融入股价,加速了市场或行业信息融入股价,最终加剧了股价同涨同跌现象,不利于市场定价效率的提高.本文研究结论为监管部门合理扩大融资融券标的范围、降低交易成本和交易门槛,营造高效的市场环境提供了依据和思路.     

概率论中随机变量函数若干问题探讨

文章给出了连续型随机变量差以及积的分布密度公式.针对两个独立同服从标准正态分布的随机变量详细推导了其积的分布密度公式和特征函数,并给出了涉及标准正态分布随机变量乘积函数分布的几个结论.     

基于全球商品流量表的中国大陆贸易影响力测算

文章利用国际货币基金组织(IMF)公布的各国(地区)进出口数据,编制了2015年全球商品流量表(G-CFM),描绘了国家(地区)间商品贸易网络关系,采用网络分析的方法对全球商品贸易格局进行了分析,发现了在全球商品贸易中以美、中、德为中心,世界各国紧密交织的网络特征,最后用投入产出方法分析了中国大陆的贸易影响力,测算了中国大陆进出口贸易对不同国家(地区)以及对全球的影响.     

基于Theil不等系数的C-IGOWLA算子的区间组合预测模型

传统的组合预测方法通常是针对非区间数据在最优准则下来建立最优预测模型的,但实际,中在不确定环境下样本数据和预测值序列均以区间数形式给出,因此有必要研究区间组合预测模型.文章引进连续区间诱导广义有序加权对数平均算子(C-IGOWLA)的概念,以Theil不等系数作为最优准则,提出了一种新的基于Theil不等系数的C-IGOWLA算子的区间组合预测模型,并结合实例验证了模型的有效性.     

台湾产业结构变动与经济增长关系实证分析

第一、二产业比重的不断下降和第三产业比重的大幅上升构成了1981年以来台湾地区产业结构演变的主要趋势.运用协整理论和误差修正模型对台湾地区1981-2007年经济增长与产业结构间的关系进行实证研究,结果表明,两者之间呈现长期稳定的协同互动关系,第三产业对经济增长的拉动作用尤其明显.