Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models

ABSTRACT.  This paper develops a new contrast process for parametric inference of general hidden Markov models, when the hidden chain has a non-compact state space. This contrast is based on the conditional likelihood approach, often used for ARCH-type models. We prove the strong consistency of the conditional likelihood estimators under appropriate conditions. The method is applied to the Kalman filter (for which this contrast and the exact likelihood lead to asymptotically equivalent estimators) and to the discretely observed stochastic volatility models.     

Inside two commercially available statistical expert systems

A decade of research into the applications of artificial intelligence in statistics has finally resulted in the appearance of commercially available statistical expert systems. This paper takes a closer look at two of these systems, which are now commercially available on microcomputers, and shows what knowledge they actually contain and how they operate. It is concluded that although the technology and concepts that drive these systems could still benefit from further improvement, the real challenge lies in defining and constructing the statistical knowledge and strategy that should be incorporated and in presenting the results to the user's full advantage.     

Understanding manager resistance to blockchain systems

Blockchain technology has received much attention in the media and there is an increasing interest amongst organizations within financial services due to the potential benefits. As blockchain-based systems are a nascent technology, the requirements of the technology need to be understood, to allow blockchain systems to be successfully integrated within financial service organizations. There are gaps in academic research in understanding how managers evaluate the value of a blockchain-based system. This study develops a model to explain manager resistance to implementing blockchain-based systems in financial services organizations. This research advances the theoretical understanding of managers’ perspectives on blockchain-based systems and models their resistance to blockchain technology.     

具有卖空总量限制的多阶段M—SAD投资组合优化

文章提出具有卖空总量限制、阈值约束和V型交易成本的多阶段均值—半绝对偏差（M-SAD）投资组合优化模型。该模型分别运用均值和半绝对偏衡量资产的收益率和风险。由于交易成本的存在,该模型不满足无后效性的动态优化问题。文章将该模型近似为一般动态规划问题,提出一种新的离散迭代方法,并证明该算法是线性收敛的。最后,文章通过实证研究比较分析卖空总量限制和风险偏好系数取不同值时对投资组合最优策略的影响,验证模型和算法的有效性。     

Sampling from spatial databases

This paper deals with techniques for obtaining random point samples from spatial databases. We seek random points from a continuous domain (usually ²) which satisfy a spatial predicate that is represented in the database as a collection of polygons. Several applications of spatial sampling (e.g. environmental monitoring, agronomy, forestry, etc) are described. Sampling problems are characterized in terms of two key parameters: coverage (selectivity), and expected stabbing number (overlap). We discuss two fundamental approaches to sampling with spatial predicates, depending on whether we sample first or evaluate the predicate first. The approaches are described in the context of both quadtrees and R-trees, detailing the sample first, acceptance/rejection tree, and partial area tree algorithms. A sequential algorithm, the one-pass spatial reservoir algorithm is also described. The relative performance of the various sampling algorithms is compared and choice of preferred algorithms is suggested. We conclude with a short discussion of possible extensions.     

Cybernetic Risk Analysis

The Pearl Harbor case study reveals that risk analysis failure may be caused by any of a number of factors. However, the most important variables are system load, gain, lead time, and lag time. The dynamics of such cybernetic systems analysis constitute an important aspect in this regard. Four different risk management strategies, or organization designs, have been proposed in this paper. Each has a unique combination of the imputed variables and each has a unique cause of surprise, risk analysis failure, and crisis.     

On the effectiveness of cognitive feedback from an interface agent

The objective of this study was to determine the impact of task information (TI) provided by an interface agent during the idea evaluation and integration step of the problem formulation stage of the problem solving process. The effectiveness assessment was based on solving diagnostic decision problems in the domain of complex industrial machinery. Ten domain experts participated in this study. Decision support was provided by a case-based reasoning system. Findings suggest that TI provided by the interface agent had no effect on the decision maker's performance, nor on the associated cognitive effort. However, a verbal protocol analysis revealed that the ten subjects used the interface agent to verify their decision processes. The results and their implications are discussed with respect to current findings in the area of decision support systems.     

Adaptive Build-up and Breakdown of Trust: An Agent Based Computational Approach

This article employs Agent-Based Computational Economics (ACE) to investigate whether, and under what conditions, trust is viable in markets. The emergence and breakdown of trust is modeled in a context of multiple buyers and suppliers. Agents develop trust in a partner as a function of observed loyalty. They select partners on the basis of their trust in the partner and potential profit, with adaptive weights. On the basis of realized profits, they adapt the weight they attach to trust relative to profitability, and their own trustworthiness, modeled as a threshold of defection. Trust and loyalty turn out to be viable under fairly general conditions.     

自组织建模方法和GDP增长模型研究

经济系统的复杂性决定了经济变动及影响因素解释的困难性。本文阐述了一种经济系统复杂性研究的有效方法-自组织建模方法,同时应用此方法建立一个解释我国GDP增长的自组织模型,分析影响我国经济增长的主要因素,并在此基础上提出相应的对策思路。     

生存理性如何影响农户的差别化生产

在食品安全威胁下,农户重新定义了“为自家生产”和“为市场生产”的差别化生产行为。基于经济理性行为假设认为农户存在以确保自家食品安全为动机的生存理性。根据在5省区收集的827份农村入户调研数据,对农户差别化生产行为进行具体分析,描述了差别化生产行为总体特征,并测量农户食品安全自我保护意识、威胁感知程度和信息渠道等因素。运用Probit模型验证了命题：以食品安全自我保护意识为特征的生存理性,支配了农户为确保自家消费安全而进行的差别化生产。