Risk inflation of sequential tests controlled by alpha investing

Streaming feature selection is a greedy approach to variable selection that evaluates potential explanatory variables sequentially. It selects significant features as soon as they are discovered rather than testing them all and picking the best one. Because it is so greedy, streaming selection can rapidly explore large collections of features. If significance is defined by an alpha investing protocol, then the rate of false discoveries will be controlled. The focus of attention in variable selection, however, should be on fit rather than hypothesis testing. Little is known, however, about the risk of estimators produced by streaming selection and how the configuration of these estimators influences the risk. To meet these needs, we provide a computational framework based on stochastic dynamic programming that allows fast calculation of the minimax risk of a sequential estimator relative to an alternative. The alternative can be data driven or derived from an oracle. This framework allows us to compute and contrast the risk inflation of sequential estimators derived from various alpha investing rules. We find that a universal investing rule performs well over a variety of models and that estimators allowed to have larger than conventional rates of false discoveries produce generally smaller risk.     

Testing Hypotheses About the Number of Factors in Large Factor Models

In this paper we study high‐dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k₀ factors against the alternative that the number of factors is larger than k₀ but no larger than k₁>k₀. Our test statistic equals max_{k0<k k1}(γ_k−γ_k+1)(γ_k+1−γ_k+2), where γ_i is the ith largest eigenvalue of the smoothed periodogram estimate of the spectral density matrix of data at a prespecified frequency. We describe the asymptotic distribution of the statistic, as the dimensionality and the number of observations rise, as a function of the Tracy–Widom distribution and tabulate the critical values of the test. As an application, we test different hypotheses about the number of dynamic factors in macroeconomic time series and about the number of dynamic factors driving excess stock returns.     

The Effect of Expected Income on Individual Migration Decisions

This paper develops a tractable econometric model of optimal migration, focusing on expected income as the main economic influence on migration. The model improves on previous work in two respects: it covers optimal sequences of location decisions (rather than a single once‐for‐all choice) and it allows for many alternative location choices. The model is estimated using panel data from the National Longitudinal Survey of Youth on white males with a high‐school education. Our main conclusion is that interstate migration decisions are influenced to a substantial extent by income prospects. The results suggest that the link between income and migration decisions is driven both by geographic differences in mean wages and by a tendency to move in search of a better locational match when the income realization in the current location is unfavorable.     

基于大规模定制的企业界面管理创新模式

界面管理是一种全新的组织管理模式。在研究大规模定制和界面管理内涵的基础上提出了大规模定制企业界面管理的定义,归纳出其特征并进行了深入分析;引入供应链、知识联盟等思想,对大规模定制企业的界面管理模式进行了创新性探析。     

论动词词性与审美距离的关系

审美距离与化静为动是文艺美学上两个重要的问题。这两个问题和动词的词性之间有何关系?研究发现,动词词性决定了动词拥有的审美距离感比名词要近。通过巧妙利用动词,调取最佳的审美距离,会产生更好的审美效果。这也是"化静为动"这一美学手法能产生神奇的审美效果的重要原因。     

社保基金投资组合的动态风险测度研究

考虑到现阶段社保基金主要投资于股票和债券,以沪深300指数和国债指数构建投资组合代表社保基金投资组合,测度社保基金投资组合的动态风险。首先,基于FIGARCH模型对边缘分布建模;然后,基于时变Copula研究资产间的动态相关性,发现沪深300指数和国债指数间的相关性具有较强的持续性;最后采用Monte Carlo预测投资组合的VaR进行Kupiec检验。比较研究发现,基于时变模型的VaR预测效果要优于非时变模型的预测效果,时变FIGARCH-Copula-T和DCC(Dynamic Conditional Correlation)-MFIGARC-T模型都能准确地测度动态风险,但前者预测的失败率要低于后者。     

《诗经》中重章叠句的两种结构形式

重章叠句是《诗经》的一种重要表现手法,它对后世诗词创作影响较大,研究成果也颇为丰富,但多侧重对其外在形式。通过对《诗经》中所有诗歌篇目分析、梳理和归类,将原本表述笼统的重章叠句手法析分为静态回环与动态层进两类结构形式,并结合实例比较了二者的异同点,进而深化了对重章叠句手法的认识。     

中国教育经济学机构合作网络的特征及演变(1980-2010)

应用复杂网络的相关知识,对中国教育经济学1980-2010年的文献数据进行数据挖掘,以机构为研究对象,通过构建机构科研合作网络,对网络的静态参数、动态演化进行挖掘分析,找出机构间科研合作网的静态特征,并以年为单位切分时间片,分析网络的动态演化特征。研究发现,中国教育经济学机构科研合作网络有明显的局部化特征,它的主网络是一个小世界网络,具有无标度特性。机构的影响力和活跃度不仅体现在发文量上,同时也体现在与其他机构的合作程度上。     

桥梁高墩地震反应中高阶振型贡献程度的分析

针对山区典型不同高度桥墩, 通过增量动力分析（Incremental Dynamic Analysis IDA）研究高墩在地震作用下从弹性状态到极限状态的整个反应过程,得到不同塑性程度下墩身的位移分布,并通过对各级地震动输入下墩底曲率达到最大时刻的结构刚度进行瞬时模态分析,探讨了整个非线性过程中瞬时振型、瞬时振型参与系数、瞬时质量参与系数以及各阶瞬时周期对应的延性位移谱值随着墩底曲率增加的变化,揭示了整个非线性过程中高阶振型参与程度的变化,进而对在各级地震动作用下墩底达到曲率最大值时刻的墩身位移分布中的高阶振型贡献程度进行评估。     

战略财务弹性与企业价值：建模与实证

本文引入战略财务弹性的概念,利用动态能力的战略管理分析框架和实际数据,从理论和实证两个方面剖析和测度企业财务的动态能力,得到战略财务弹性的三个能力因子,即与财务相关的企业位势、财务管理路径和财务管理过程。实证结果表明,战略财务弹性能够更好地刻画企业财务的应变能力,并且对企业价值有着显著的正向作用。