A comparative study of series arima/mlp hybrid models for stock price forecasting

ABSTRACT

Series hybrid models are one of the most widely-used hybrid models that in which a time series is assumed to be composed of two linear and nonlinear components. In this paper, the performance of two types of these hybrid models is evaluated for predicting stock prices in order to introduce the more reliable series hybrid model. For this purpose, ARIMA and MLPs are elected for constructing series hybrid models. Empirical results for forecasting three benchmark data sets indicate that despite of more popularity of the conventional ARIMA-ANN model, the ANN-ARIMA hybrid model can overall achieved more accurate results.     

Nonstationary Data Analysis by Time Deformation

ABSTRACT

In this article we discuss methodology for analyzing nonstationary time series whose periodic nature changes approximately linearly with time. We make use of the M-stationary process to describe such data sets, and in particular we use the discrete Euler(p) model to obtain forecasts and estimate the spectral characteristics. We discuss the use of the M-spectrum for displaying linear time-varying periodic content in a time series realization in much the same way that the spectrum shows periodic content within a realization of a stationary series. We also introduce the instantaneous frequency and spectrum of an M-stationary process for purposes of describing how frequency changes with time. To illustrate our techniques we use one simulated data set and two bat echolocation signals that show time varying frequency behavior. Our results indicate that for data whose periodic content is changing approximately linearly in time, the Euler model serves as a very good model for spectral analysis, filtering, and forecasting. Additionally, the instantaneous spectrum is shown to provide better representation of the time-varying frequency content in the data than window-based techniques such as the Gabor and wavelet transforms. Finally, it is noted that the results of this article can be extended to processes whose frequencies change like at^α, a > 0, ?∞ < α < ? ∞.     

中国青年审美活动状况研究

现有的对中国当代青年审美活动状况的研究有两种类型，一是将问题放置在消费主义的背景下，指出青年人审美活动的偏差，二是借助问卷调查描述青年审美活动状况并呈现其中的问题。这些研究或者在逻辑上有待商榷，或者在调查方法上值得推敲。因此，应当在审美泛化背景下采用科学的方法，客观有效地考察当代中国青年的审美活动状况，为推进美育提供参考。     

Nonstationary regression models with a lagged dependent variable

This paper studies regression models with a lagged dependent variable when both the dependent and independent variables are nonstationary, and the regression model is misspecified in some dimension. In particular, we discuss the limiting properties of leastsquares estimates of the parameters in such regression models, and the limiting distributions of their test statistics. We show that the estimate of the lagged dependent variable tends to unity asymptotically independent of its true value, while the estimates of the independent variables tend to zero. The limiting distributions of their test statistics are shown to diverge with sample size.     

科学理性的边界

史蒂芬·霍金被认为是继爱因斯坦之后最伟大的物理学家。他的“奇点证明”和“虚时间假说”是新的世纪之交物理学和宇宙学最重要的成就。奇点预言了时间的起点和终结,那是科学规律失去规定性的地方,而虚时间假说却又否定时空奇点,试图在量子不确定的前提下重新恢复科学预见性,这使得霍金的科学思想极富思辨特质。借助思辨哲学家海德格尔有关“世界”、“时间”、“存在”的思想对霍金思想的思辨特质敞开一种可能的理解或说理解的可能。     

Board of directors structure and firm financial performance: A qualitative comparative analysis

Previous research about the effects of board structure and process on the firm financial performance is based on conflicting theoretical perspectives, and empirical results, mostly based on regression analysis, are inconclusive. Building from Complexity Theory and configurational analysis, this study offers clarity to inconclusive previous empirical results about the link among several board features and firm financial performance. From a sample of 295 non-financial firms from Southern Europe for the period 2001–2010, and by using fuzzy set qualitative comparative analysis, findings of this study show that firm financial performance depends on a complex configuration of several board features (board size, board independence, leadership structure and board activity) and several corporate characteristics (firm size, firm leverage and firm age). This paper has implications for academics. Despite different theoretical arguments and inconclusive results of the wide empirical literature addressing the effect of board characteristics on the firm performance, building from Complexity Theory this paper adds to our knowledge because it empirically explores under which circumstances different board features should contribute positively or negatively to firm performance. The results of this study have also implications for policy makers and practitioners by providing some useful hints to the controversial relationship between corporate governance and financial performance. In this sense, general corporate governance recommendations must be rethought.     

基于提前期的通用件库存模型研究

通用件正作为企业在市场上提供更高的产品多样化,而在企业内部保持零部件低多样化的优化技术而被广泛研究和应用。本文在考虑提前期影响的前提下,建立无通用件和有通用件的库存模型,并以风神汽车有限公司有关数据进行案例研究分析,通过数据分析揭示通用件应用的一些管理启示,并修正了一些理论界的原有观点。     

面板数据模型中随机效应存在性检验的理论研究及其实证分析

 由于能体现异质性等一系列优良性质,面板数据模型正被广泛应用到经济学各个领域中。然而,在反映异质性的个体效应和时间效应的设定上,经常存在人为的主观性和随意性,因此容易导致错误指定事件的发生。本文提出了一个稳健的方法分别检验面板数据模型中随机个体效应和随机时间效应的存在性。具体而言,通过对残差进行正交化变换消去可能存在的时间效应,并建立人工自回归模型,然后基于该模型自回归系数的最小二乘估计构造检验统计量检验个体效应。构造的检验是单边的,零假设下渐近服从标准正态分布。在检验时间效应时,可类似得到统计量及其渐近性质。功效研究表明这些检验敏感性较强,能检测到以参数速度（最快的速度）收敛到零假设的备择假设。通过模拟试验研究了检验统计量的小样本性质,并进行了实际数据分析。     

GDP数据修正对经济周期测定的影响

 本文在收集和建立季度GDP实时数据的基础上,利用区制转移模型对我国经济周期测定展开了实时数据分析,并深入讨论了GDP数据修正对经济周期阶段性的影响。研究结果表明GDP数据修正引致我国经济周期阶段性发生了深刻的变化,使我国经济周期在2005Q2至2006Q4间从低速增长改变为高速增长。而且,我们发现GDP数据修正对经济周期平均增长率的影响方向,与其是否影响经济周期阶段性具有相反关系,即当GDP数据修正不影响 (影响) 经济周期阶段性时,它对高、低平均增长率都具有同向 (反向) 影响。     

Simultaneous confidence regions for the parameters of a Poisson INAR(1) model

The INAR(1) model (integer-valued autoregressive) is commonly used to model serially dependent processes of Poisson counts. We propose several asymptotic simultaneous confidence regions for the two parameters of a Poisson INAR(1) model, and investigate their performance and robustness for finite-length time series in a simulation study. Practical recommendations are derived, and the application of the confidence regions is illustrated by a real-data example.