Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices

This article develops a general multivariate additive noise model for synchronized asset prices and provides a multivariate extension of the generalized flat-top realized kernel estimators, analyzed earlier by Varneskov (2014), to estimate its quadratic covariation. The additive noise model allows for α-mixing dependent exogenous noise, random sampling, and an endogenous noise component that encompasses synchronization errors, lead-lag relations, and diurnal heteroscedasticity. The various components may exhibit polynomially decaying autocovariances. In this setting, the class of estimators considered is consistent, asymptotically unbiased, and mixed Gaussian at the optimal rate of convergence, n^1/4. A simple finite sample correction based on projections of symmetric matrices ensures positive definiteness without altering the asymptotic properties of the estimators. It, thereby, guarantees the existence of nonlinear transformations of the estimated covariance matrix such as correlations and realized betas, which inherit the asymptotic properties from the flat-top realized kernel estimators. An empirically motivated simulation study assesses the choice of sampling scheme and projection rule, and it shows that flat-top realized kernels have a desirable combination of robustness and efficiency relative to competing estimators. Last, an empirical analysis of signal detection and out-of-sample predictions for a portfolio of six stocks of varying size and liquidity illustrates the use and properties of the new estimators.     

A new robust Kalman filter for filtering the microstructure noise

We propose a robust Kalman filter (RKF) to estimate the true but hidden return when microstructure noise is present. Following Zhou's definition, we assume the observed return Y_t is the result of adding microstructure noise to the true but hidden return X_t. Microstructure noise is assumed to be independent and identically distributed (i.i.d.); it is also independent of X_t. When X_t is sampled from a geometric Brownian motion process to yield Y_t, the Kalman filter can produce optimal estimates of X_t from Y_t. However, the covariance matrix of microstructure noise and that of X_t must be known for this claim to hold. In practice, neither covariance matrix is known so they must be estimated. Our RKF, in contrast, does not need the covariance matrices as input. Simulation results show that the RKF gives essentially identical estimates to the Kalman filter, which has access to the covariance matrices. As applications, estimated X_t can be used to estimate the volatility of X_t.     

机场运营效率的组合评价方法研究

为了客观准确地评价机场运营效率,在综合BP神经网络的单一综合评价方法和灰色关联度分析的灰色综合评价方法优点基础上,提出了基于评价值方差最小化的机场运营效率组合评价方法。首先界定机场运营效率的内涵,建立了机场运营效率评价指标体系,运用组合赋权法确定各层次指标权重。分析结果表明,评价指标体系科学合理,组合评价方法适用于机场运营效率的评价问题,评价结果能够客观地反映机场运营效率的总体水平。     

基于不对称SV模型的隔夜信息对股市影响研究

文章通过建立扩展的SV模型,分析了隔夜信息对上证综合指数、深圳成分指数和香港恒生指数的影响,发现隔夜信息对三大股指均有预测能力。通过对比分析看出,由于内地股市和香港股市发展水平不一致,隔夜信息对不同类别市场的影响也存在很大差异。隔夜信息对内地股市的预测能力较小,主要是由于内地股市噪声交易比较多造成的,因此,需要进一步完善内地股市的信息效率。     

临空经济对区域经济发展的影响研究

结合上海具备航运中心、航空枢纽双重建设目标,及其作为全国唯一＂一市两场＂的城市发展临空经济的构想,提出上海临空经济发展应做到促进临空经济与上海区域经济的耦合发展;推动产业升级;推进临空经济区的产业规划。     

井场电磁干扰场测量

本文首先介绍井场干扰场特性及其测量要求;然后介绍在井场干扰场测量中常用到的 ELF 场的测量与校准;最后,结合工程需要,介绍利用 HP3580频谱分析仪测量 ELF 干扰场,并提供了部分实地测量结果。     

轮轨噪声的产生机理及其治理措施

根据国外对轮轨噪声机理研究和实验成果及技术应用实例，分别从轮轨粗糙度激励、车轮振动、钢轨振动、轨枕振动和声辐射等五个主要方面对轮轨噪声的产生机理进行分析和讨论，注重研究轨道交通的噪声源——轮轨噪声，找到轮轨噪声的产生根源，为轮轨噪声的治理提供可靠的理论依据，然后以此机理为着眼点，再结合国外对机理的研究和试验成果及其技术和产品的应用实践，分别从以上提到的轮轨噪声产生机理的五个主要方面，并结合我国轨道交通轮轨噪声的实际情况，提出控制轮轨噪声的治理措施，为我国城市轨道交通轮轨噪声治理提出参考性建议。     

Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions

Abstract.  We consider an asymptotically efficient estimator of the drift parameter for a multi-dimensional diffusion process with small dispersion parameter ɛ . In the situation where the sample path is observed at equidistant times k / n , k  = 0, 1, …,  n , we study asymptotic properties of an M -estimator derived from an approximate martingale estimating function as ɛ tends to 0 and n tends to ∞ simultaneously.     

外啮合齿轮泵振动和噪声研究

介绍了对外啮合齿轮泵振动和噪声的国内外研究情况,对噪声和振动产生机理和影响因素进行了分析,提出了控制措施。     

提高住宅声环境品质探讨

居住环境的改善需要提高其声环境品质。提高声环境品质在技术上要从墙体隔音,窗户隔音,楼板隔音几方面入手,并需要注重整体小区声环境品质的提高。