Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to study the properties of the price process on two different time scales, namely, transaction time where prices are sampled with every transaction and tick time where prices are sampled with every price change. Both sampling schemes have been used in the literature on realized variance, but a formal investigation into their properties has been lacking. Our empirical and theoretical results indicate that the return dynamics in transaction time are very different from those in tick time and the choice of sampling scheme can therefore have an important impact on the properties of realized variance. For RV we find that tick time sampling is superior to transaction time sampling in terms of mean-squared-error, especially when the level of noise, number of ticks, or the arrival frequency of efficient price moves is low. Importantly, we show that while the microstructure noise may appear close to IID in transaction time, in tick time it is highly dependent. As a result, bias correction procedures that rely on the noise being independent, can fail in tick time and are better implemented in transaction time.     

Optimal sampling for repeated binary measurements

The authors consider the optimal design of sampling schedules for binary sequence data. They propose an approach which allows a variety of goals to be reflected in the utility function by including deterministic sampling cost, a term related to prediction, and if relevant, a term related to learning about a treatment effect To this end, they use a nonparametric probability model relying on a minimal number of assumptions. They show how their assumption of partial exchangeability for the binary sequence of data allows the sampling distribution to be written as a mixture of homogeneous Markov chains of order k. The implementation follows the approach of Quintana & Müller (2004), which uses a Dirichlet process prior for the mixture.     

经济法教学实践性模式探讨

现行高校经济法教学模式一般只注重向学生传授基本的经济法学原理和相关法律知识,却忽视对学生实践能力、操作能力和思考能力的培养,造成教学和现实的脱节,同时也面临着学科自身发展瓶颈与学生就业前景暗淡的尴尬.针对经济法课程新、专、广的特点,本着培养学生经济法法律意识和法律实践能力的目的,从教学环节入手,以实践性理念为指导来设定教学目标、安排教学内容、运用多样化的教学方法和手段,构建经济法教学的实践性模式,不失为一条出路.     

ELICITING A DIRECTED ACYCLIC GRAPH FOR A MULTIVARIATE TIME SERIES OF VEHICLE COUNTS IN A TRAFFIC NETWORK

The problem of modelling multivariate time series of vehicle counts in traffic networks is considered. It is proposed to use a model called the linear multiregression dynamic model (LMDM). The LMDM is a multivariate Bayesian dynamic model which uses any conditional independence and causal structure across the time series to break down the complex multivariate model into simpler univariate dynamic linear models. The conditional independence and causal structure in the time series can be represented by a directed acyclic graph (DAG). The DAG not only gives a useful pictorial representation of the multivariate structure, but it is also used to build the LMDM. Therefore, eliciting a DAG which gives a realistic representation of the series is a crucial part of the modelling process. A DAG is elicited for the multivariate time series of hourly vehicle counts at the junction of three major roads in the UK. A flow diagram is introduced to give a pictorial representation of the possible vehicle routes through the network. It is shown how this flow diagram, together with a map of the network, can suggest a DAG for the time series suitable for use with an LMDM.     

古老而鲜活的地域文化记忆——论绍兴的非物质文化遗产

非物质文化遗产是地城文化的重要组成部分.从形态学视阈来审视文化名城绍兴的非物质文化资源,以当代的意识发现和承传这份地域文化遗产,对于挖掘越文化古老的生命记忆、保存活态的文化基因,使地域文化呈现出鲜明的载体均有独特的意义.     

经济发展、资源功能与中国的配置绩效

经济发展理论高度重视各种资源等劳动对象的开发利用。西方经济学的信仰者由于自身存在的认识论缺陷，难以科学认识劳动对象与经济发展的内在关系，进而也难以科学论述资源在发展理论及其模型中的作用和地位。因此，必须遵循马克思的方法论，从理论为实际的反映入手，建立科学的分析模型，以此指导中国经济发展方式的转变，建立生态与经济相协调的可持续发展的资源及能源支撑体系，调整、优化资源及能源的供给与需求结构。     

利用WALL构建双主教学模式深化大学英语教学改革

作为大学英语改革的主要内容，WALL（网络辅助语言学习）为大学英语改革带来了勃勃生机。本文分析了借助WALL构建大学英语双主模式，即教师主导，学生为认知主体的教学模式的实践意义。并根据相关理论分析了新型模式下教师和学生各自的作用和角色，对如何构建双主模式深化大学英语教学改革提出了一些设想。     

Bonus—Malus模型在银行贷款机制中的应用

将Bonus—MalLis模型应用到银行贷款业务，通过调整银行的Bonus-MalLis贷款利率来减少贷款欺诈行为。主要是建立借款人的银行个人信用体系，通过借款人上阶段的还款利率和表现决定其下阶段还款利率，这样就提供了一种与完全审计机制不同的奖惩机制。在一些简单假设下可证明Bonus—Malus利率将会消除所有欺诈行为，而非仅仅减少欺诈行为。     

体验式教学模式在大学英语教学中的应用

根据建构主义、学生中心论、自主学习论和N unan的体验模式教学在教学过程中主要采用任务教学法,探索一种体验式的教学模式,来突出学生的主体地位,培养英语综合运用能力和自主学习能力。     

Nonresponse weighting adjustment using estimated response probability

To reduce nonresponse bias in sample surveys, a method of nonresponse weighting adjustment is often used which consists of multiplying the sampling weight of the respondent by the inverse of the estimated response probability. The authors examine the asymptotic properties of this estimator. They prove that it is generally more efficient than an estimator which uses the true response probability, provided that the parameters which govern this probability are estimated by maximum likelihood. The authors discuss variance estimation methods that account for the effect of using the estimated response probability; they compare their performances in a small simulation study. They also discuss extensions to the regression estimator.