行为金融、噪声交易与中国证券市场主体行为特征研究

噪声交易的存在构成了金融产品交易的一部分 ,实证研究表明 ,中国证券市场主体的噪声交易过度问题相当严重 ,表现在机构投资者对股价的操纵、中小投资者的盲目跟庄等方面。中国证券市场主体过度噪声交易的原因是存在体制性缺陷。为此 ,应加强对证券市场的监管 ,减少人为因素造成的噪声交易。     

基于多结构元广义形态滤波的改进算法

为对采用相同结构元的形态闭-开和形态开-闭这两种滤波器进行改进,采用了不同结构元的广义形态闭-开和形态开-闭滤波器。在此基础上,将一种新的结构元运用到广义形态滤波中,提出了一种滤波新算法。理论分析和图像处理仿真实验表明,该类滤波新算法既能有效地滤除噪声,又可充分保留原图像的细节信息。     

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.     

面向客户个性化需求的交互式遗传算法

针对交互式遗传算法(IGA)中的评价噪声问题,提出犹豫度的概念,建立犹豫度调整机制,并使用删除策略和修改策略来处理形成初始种群以及交叉、变异过程中产生的约束不满足个体.通过对汽车操控台的概念设计问题进行建模,建立人性化交互界面用以验证本论文提出的方法体系的先进性和合理性.实验表明,此求解算法能够有效的降低评价噪声,加速收敛,降低疲劳度,提高结果的满意度.     

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.