Bias-corrected realized variance

We propose a novel “bias-corrected realized variance” (BCRV) estimator based upon the appropriate re-weighting of two realized variances calculated at different sampling frequencies. Our bias-correction methodology is found to be extremely accurate, with the finite sample variance being significantly minimized. In our Monte Carlo experiments and a finite sample MSE comparison of alternative estimators, the performance of our straightforward BCRV estimator is shown to be comparable to other widely-used integrated variance estimators. Given its simplicity, our BCRV estimator is likely to appeal to researchers and practitioners alike for the estimation of integrated variance.     

中国市场微观结构噪音特征及其定价能力研究

利用上海市场的分笔交易数据考察中国市场上微观结构噪音的特征。结果发现,个股噪音的数量级为10-6,噪音大小与市场走势基本相反,且公司规模越小,噪音水平越高。进一步对噪音的定价能力进行研究,发现噪音对股票收益有很强的解释能力,噪音越大,收益对噪音的风险补偿越多,按照噪音大小构建资产组合可以获得超额收益。     

An orthogonal arrays approach to robust parameter designs methodology

Robust parameter design methodology was originally introduced by Taguchi [14 Taguchi, G. 1986. Introduction to Quality Engineering: Designing Quality Into Products and Process, Tokyo: Asian Productivity Organization.  [Google Scholar]] as an engineering methodology for quality improvement of products and processes. A robust design of a system is one in which two different types of factors are varied; control factors and noise factors. Control factors are variables with levels that are adjustable, whereas noise factors are variables with levels that are hard or impossible to control during normal conditions, such as environmental conditions and raw-material properties. Robust parameter design aims at the reduction of process variation by properly selecting the levels of control factors so that the process becomes insensitive to changes in noise factors. Taguchi [14 Taguchi, G. 1986. Introduction to Quality Engineering: Designing Quality Into Products and Process, Tokyo: Asian Productivity Organization.  [Google Scholar] 15 Taguchi, G. 1987. System of Experimental Design, Vol. I and II, New York: UNIPUB.  [Google Scholar]] proposed the use of crossed arrays (inner–outer arrays) for robust parameter design. A crossed array is the cross-product of an orthogonal array (OA) involving control factors (inner array) and an OA involving noise factors (outer array). Objecting to the run size and the flexibility of crossed arrays, several authors combined control and noise factors in a single design matrix, which is called a combined array, instead of crossed arrays. In this framework, we present the use of OAs in Taguchi's methodology as a useful tool for designing robust parameter designs with economical run size.     

基于TrTS取样的股票收益率RV测度的改进

由于噪声的存在使得高频数据的分析过程存在着诸多困难,本文探讨了高频数据情况下的金融资产收益率已实现波动率的估计问题。在离散化的跳跃模型基础上,通过混合泊松分布而非传统的连续扩散模型来描述价格过程,并进一步提出了不同于以往文献研究的噪声假设,即在独立同分布的噪声假设基础上放松约束条件,保持噪声的独立性,但是允许噪声强度随时间变化,以此改善了传统的固定时间间隔取样模式。为了进一步改善估计效果,我们结合了TrTS(Transaction Time Sampling)以及一阶偏误修正的RV(realized variance)估计方式RVAC(1) (first-order AutoCorrelation to RV)。对来自两个交易所不同板块股票的价格数据进行的实证研究结果表明,本文的估计方式虽然对于个别股票价格数据会产生与实际背离潜在真实价格参数,但整体上对于已实现波动率的估计效果是比较稳健的。     

ESTIMATION OF REALIZED SIGNAL TO NOISE RATIO FOR A PAIR OF MULTIVARIATE SIGNALS

Consider the case of classifying an incoming message as one of two known p-dimension signals or as a pure noise. Let the noise co-variance matrix (assumed to be same in all the three cases) be unknown. We consider the problem of estimation of “realized signal to noise ratio matrix”, which is an index of discriminatory power, under various loss functions. Optimum estimators are obtained under these loss functions. Finally, an attempt is made to provide a lower confidence bound for the realized signal to noise ratio matrix. In the process, the probability distribution of the smaller eigenvalue of a 2 × 2 confluent hypergeometric random matrix is obtained.     

从新疆剿匪斗争看中国共产党的民族政策

本文着重对 2 0世纪 5 0年代初期新疆剿匪斗争中我党的民族政策问题进行分析和研究。当时新疆的匪患主要是一些封建牧主、部落头人 ,他们胁迫许多不明真相的少数民族群众 ,利用宗教作为掩护 ,具有很强的蒙蔽性。人民解放军在剿匪斗争中 ,根据新疆匪患的特点 ,正确运用党的民族政策 ,使剿匪斗争取得了最后的胜利 ,并为党在新疆实行一系列社会改革打下了良好的基础     

Dependent SiZer: Goodness-of-Fit Tests for Time Series Models

In this paper, we extend SiZer (SIgnificant ZERo crossing of the derivatives) to dependent data for the purpose of goodness-of-fit tests for time series models. Dependent SiZer compares the observed data with a specific null model being tested by adjusting the statistical inference using an assumed autocovariance function. This new approach uses a SiZer type visualization to flag statistically significant differences between the data and a given null model. The power of this approach is demonstrated through some examples of time series of Internet traffic data. It is seen that such time series can have even more burstiness than is predicted by the popular, long- range dependent, Fractional Gaussian Noise model.     

周期永磁聚焦行波管离子噪声的粒子模拟

采用混合模型研究了周期永磁聚焦行波管中的离子噪声,编写了一维粒子模拟程序,并对行波管的离子噪声特性进行了分析;计算表明相同气压下,周期永磁聚焦离子噪声的频率比均匀聚焦要低,且频谱有所展宽;提出改善电子束匹配条件是降低离子噪声的有效方法。     

Stepanov-like almost automorphic solutions for stochastic differential equations with Lévy noise

In this paper, we introduce a new concept of Poisson Stepanov-like almost automorphy (or Poisson S²-almost automorphy). Under some suitable conditions on the coefficients, we establish the existence and uniqueness of Stepanov-like almost automorphic mild solution to a class of semilinear stochastic differential equations with infinite dimensional Lévy noise. We further discuss the global asymptotic stability of these solution. Finally, we give an example to illustrate the theoretical results obtained in this paper.     

Stochastic heat equation and martingale differences

We prove an approximation in law of the real-valued mild solution for a class of semilinear stochastic heat equation driven by an additive fractional noise using martingale differences under suitable assumptions.