噪声交易、H指数与中国外汇市场效率研究

噪声使金融市场变得可能,但也可能使市场变得不完美。从交易的频繁能更好地观察金融产品价格变化的角度看,适度的噪声能增加市场的流动性。但如果噪声交易的增加造成了过度投机和内幕交易,将会导致整个金融市场的效率降低,因此,噪声是否适度是衡量市场是否有效的重要标志。文章的实证研究表明,我国外汇市场噪声过于缺乏,尚处于无效率市场发育阶段。     

具有低运算噪声的DM数字滤波器硬件设备

本文提出了基于DDA器件原理的增量调制递归数字滤波器的实现方案,并做出了实验设备.实验结果表明DDA-DM递归数字滤波器具有低运算噪声的优点,其性能与理论分析十分一致.     

论机场在航班延误中的私法责任

机场是航空运输中的重要参与者,航班时刻的正常实现离不开机场的有效支持,机场不予配合可能造成航班延误。然而,在航班延误私法责任视野中,对于机场的私法责任未予以充分重视,损害了法律公正。为了保持航空业主体利益与风险的均衡,保障航空旅客利益,优化航班正点率,有必要将机场作为航班延误的私法主体纳入航班延误责任体系之中,赋予相应主体对于机场的赔偿请求权,使机场对其控制范围内的事由造成的航班延误损失承担责任,同时建立第三人责任、航班延误险等辅助制度保障机场承担责任的可行性。     

The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets

We propose a methodology to employ high frequency financial data to obtain estimates of volatility of log-prices which are not affected by microstructure noise and Lévy jumps. We introduce the “number of jumps” as a variable to explain and predict volatility and show that the number of jumps in SPY prices is an important variable to explain the daily volatility of the SPY log-returns, has more explanatory power than other variables (e.g., high and low, open and close), and has a similar explanatory power to that of the VIX. Finally, the number of jumps is very useful to forecast volatility and contains information that is not impounded in the VIX.     

Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing

We find the asymptotic distribution of the multi‐dimensional multi‐scale and kernel estimators for high‐frequency financial data with microstructure. Sampling times are allowed to be asynchronous and endogenous. In the process, we show that the classes of multi‐scale and kernel estimators for smoothing noise perturbation are asymptotically equivalent in the sense of having the same asymptotic distribution for corresponding kernel and weight functions. The theory leads to multi‐dimensional stable central limit theorems and feasible versions. Hence, they allow to draw statistical inference for a broad class of multivariate models, which paves the way to tests and confidence intervals in risk measurement for arbitrary portfolios composed of high‐frequently observed assets. As an application, we enhance the approach to construct a test for investigating hypotheses that correlated assets are independent conditional on a common factor.     

Regime-switching pure jump processes and applications in the valuation of mortality-linked products

In this paper, we study the pricing of longevity bonds and an insurance contract on multiple lives in a regime-switching market driven by an underlying continuous-time Markov chain. For modeling dependent mortality, we make use of a Markov chain and some shot noise processes with regime switching. By using a martingale method, we give semi-analytical expressions for the price of longevity bonds and the premium of an insurance contract on the kth person to die.     

改进的基于听觉掩蔽特性的语音增强

该文利用人耳感知的掩蔽特性,研究了一种改进的基于人耳听觉掩蔽特性的语音增强方法。该方法改进了对含噪语音中噪声的估计,即在估计噪声时,先在帧上判断语音的有无,然后在频率点上判断语音的有无,最后再从感知的角度,利用估计出的语音信号计算掩蔽阈值,以此在时域和频域上合理地调整增强系数。仿真结果表明,该方法不仅使信噪比有较大的提高,而且减少了语音失真,同时也很好地抑制了背景噪声和残余音乐噪声。     

Statistical aspects of earthquake source parameter estimation in the presence of signal generated noise

Seismologists have developed models which relate observed ground motion to the physical parameters of the earthquake which caused it These models are based on an idealized model which approximates the behavior of the real earth. In this paper we will examine some of the uncertainties which cause observations to deviate from such models. These uncertainties include presence of contaminating noise and the wave scattering caused by the inhomogeneous nature of the earth. By modeling such uncertainties statistically, we are able to formulate a maximum -likelihood type procedure for model fitting and address the such issues as of the computation of standard errors and graphical diagnostics for goodness-of-fit.

The paper illustrates the procedure on observations from a small Califomian earthquake.     

Regions of alternatives with high and low power for goodness-of-fit tests

In the present paper we find finite dimensional spaces W of alternatives with high power for a given class of tests and non-parametric alternatives. On the orthogonal complement of W the power function is flat. These methods can be used to reduce the dimension of interesting alternatives. We sketch a device how to calculate (approximately) an alternative with maximum power of a fixed test on a given ball of certain non-parametric alternatives.

The calculations are done within different asymptotic models specified by signal detection tests. Specific tests are Kolmogorov–Smirnov type tests, integral tests (like the Anderson and Darling test) and Rényi tests for hazard based models. The statistical meaning and interpretation of the spaces of alternatives with high power is discussed. These alternatives belong to least favorable directions of a class of statistical functionals which are linear combinations of quantile functions. For various cases their meaning is explained for parametric submodels, in particular for location alternatives.     

国际机场航空物流发展经验与启示

航空物流的发展对机场及其所在区域经济的发展具有重要的促进作用。通过对孟菲斯国际机场、法兰克福美茵机场和关西国际机场等典型国际机场航空物流基础设施建设、物流运作经验及发展目标定位的分析,结合其经验与教训,从运输竞争力建设、货运枢纽建设、与企业及所在城市关系等四个方面提出了国内机场发展航空物流的努力方向。