越轨与规训：网络人肉搜索的道德失范及镜鉴研究

网络技术革新与社会变迁息息相关。然而,伴随网络技术的飞速发展,众多由网络引发的社会弊病日渐凸显, 其中网络人肉搜索俨然是网络入侵现实生活的代表性产物。网络人肉搜索现象是伴随现代网络技术发展到一定时期 而出现的代表性网络社会现象。作为一种网络搜索工具,网络人肉搜索有着显见的优缺点：在强化社会舆论监督的同 时,衍生出肆意侵犯他人隐私、道德观念“去传统化”、道德发展“内卷化”等道德失范问题。为了避免恶意网络人肉搜 索带来的诸多社会越轨行为,需要从完善法律法规、贯彻道德自律准则、优化技术工具等维度来对网络世界进行正确 的规训,从而涤净网络公共空间,使互联网成为推动我国经济结构转型的关键驱动力。     

基于分层网络的机动时间研究

现有网络计划技术的研究主要针对单层网络,难以有效地指导大型项目的生产。原因在于大型工程项目生产过程复杂,工序成千上万,给对应的网络图描述带来了极大的困难。然而,通过网络分层技术则能把一个复杂的网络分解成多个简单的子网络,即将大型网络过渡到几个简单的单层网络,继而利用单层网络技术对其进行分析。本文依据大型网络的构建过程提出简化组合模型,将多层次复杂网络转化为多个单层次简单网络,在此基础上给出分层网络机动时间的计算公式。最后通过一个实例验证了此方法的正确性和可行性。     

网络舆论危机事件的蔓延扩散效应研究

随着Web2.0时代的到来,网络媒体已成为公共危机及其风险传播的主要途径,舆论危机的形成和演化也成为日益突出的社会风险问题。其中,网络舆论的蔓延过程及其机理的研究是舆论危机研究的重点,并逐渐受到学者的关注和社会的重视。本文以舆论危机的蔓延机理为研究对象,通过收集和梳理近年来发生的20起网络舆论危机事件,对舆论蔓延的基本内涵、表现形式和驱动因素等进行系统总结。随后,以蔓延驱动因素的研究为指导,考虑蔓延的"内部影响因子"和"外部影响因子"等,构建舆论蔓延扩散的一般性模型,并对模型的极值点和拐点等进行剖析。最后,本文以"7·23甬温动车事故"为例,对其网络舆论的蔓延扩散模型进行拟合、回归和分析。     

中国金融机构的系统重要性及系统性风险传染机制分析——基于复杂网络的视角

采用最小生成树(MST)和平面极大过滤图(PMFG)方法构建和分析金融市场网络可以动态识别金融网络中节点的系统重要性,而利用最小生成树的唯一性可以全面而直观地显示系统性风险的传导机制。我们通过对银行间同业拆借市场进行的实证分析证明了该方法的有效性和稳健性,特别是最小生成树方法对系统性风险传导潜在路径的识别以及系统性风险的宏观审慎监管提供了直观而有效的手段。     

Implicit Estimation for the Stochastic Volatility Model

Efficient, accurate, and fast Markov Chain Monte Carlo estimation methods based on the Implicit approach are proposed. In this article, we introduced the notion of Implicit method for the estimation of parameters in Stochastic Volatility models.

Implicit estimation offers a substantial computational advantage for learning from observations without prior knowledge and thus provides a good alternative to classical inference in Bayesian method when priors are missing.

Both Implicit and Bayesian approach are illustrated using simulated data and are applied to analyze daily stock returns data on CAC40 index.     

Supplier Evaluation and Selection Based on Stochastic Dominance: A Quality-Based Approach

Quality has become a major business strategy such that organizations with successful improvement of their products quality can gain productivity, enhance market penetration, achieve great profitability, and strongly sustain their competitive advantages. The quality of materials received from suppliers determines not only the quality of assembled products but also satisfaction and loyalty of downstream customers. In this article, we employ decision-making processes of the stochastic dominance on the basis of loss-based capability indices to compare certain potential suppliers. In view of compared results of the first-order and second-order stochastic dominances, each supplier is categorized as a superior supplier, weakly superior supplier, strongly non dominated supplier, or non dominated supplier. We develop a general computational procedure to select the preferable suppliers in an analytical way. To assist decision-makers in selecting preferable suppliers, quantile-quantile plots of loss-based capability indices presenting the results of the first-order stochastic dominance of the indices’ estimators are developed so that they can simultaneously visualize pair-wise comparisons of the suppliers and make appropriate decisions. Finally, a practical example invoking the stochastic dominance using the loss-based capability indices to carry out the quality-based supplier evaluation and selection is presented to demonstrate the applicability of our proposed methodology.     

Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion

This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate.     

Maximizing Complex Likelihoods via Directed Stochastic Searching Algorithm

In this article, a directed stochastic searching algorithm is defined. It is a root or optimal parameter searching algorithm with stochastic searching directions. This algorithm is especially relevant when the objective function is complex or is observed with errors. We prove that the resulting roots or estimators have well-controlled biases under certain conditions. We examine the proposed method by finding the maximum likelihood estimates for which the corresponding likelihood function has or does not have a closed-form representation in both the simulations and the real cases. Finally, the limitations and the consequences when multiple solutions exist are addressed.     

Local Influence Analysis for The Ridge Regression Under Stochastic Linear Restrictions

In this article, we assess the local influence for the ridge regression of linear models with stochastic linear restrictions in the spirit of Cook by using the log-likelihood of the stochastic restricted ridge regression estimator. The diagnostics under the perturbations of constant variance, responses and individual explanatory variables are derived. We also assess the local influence of the stochastic restricted ridge regression estimator under the approach suggested by Billor and Loynes. At the end, a numerical example on the Longley data is given to illustrate the theoretic results.     

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

In Bielecki et al. (2014a Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014a ). Dynamic hedging of portfolio credit risk in a markov copula model . J. Optimiz. Theor. Applic . doi: DOI 10.1007/s10957-013-0318-4 (forthcoming) .[Crossref] , [Google Scholar]), the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in Bielecki et al. (2014b Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014b ). A bottom-up dynamic model of portfolio credit risk - Part I: Markov copula perspective . In: Recent Adv. Fin. Eng. 2012 , World Scientific (preprint version available at http://dx.doi.org/10.2139/ssrn.1844574) . [Google Scholar],c) where numerical illustrations assumed deterministic intensities and constant recoveries. In the present paper, we show how to incorporate stochastic default intensities and random recoveries in the bottom-up modeling framework of Bielecki et al. (2014a Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014a ). Dynamic hedging of portfolio credit risk in a markov copula model . J. Optimiz. Theor. Applic . doi: DOI 10.1007/s10957-013-0318-4 (forthcoming) .[Crossref] , [Google Scholar]) while preserving numerical tractability. These two features are of primary importance for applications like CVA computations on credit derivatives (Assefa et al., 2011 Assefa , S. , Bielecki , T. R. , Crépey , S. , Jeanblanc , M. ( 2011 ). CVA computation for counterparty risk assessment in credit portfolios . In: Bielecki , T.R. , Brigo , D. , Patras , F. , Eds., Credit Risk Frontiers . Hoboken : Wiley/Bloomberg-Press . [Google Scholar]; Bielecki et al., 2012 Bielecki , T. R. , Crépey , S. , Jeanblanc , M. , Zargari , B. ( 2012 ). Valuation and Hedging of CDS counterparty exposure in a markov copula model . Int. J. Theoret. Appl. Fin. 15 ( 1 ): 1250004 .[Crossref] , [Google Scholar]), as CVA is sensitive to the stochastic nature of credit spreads and random recoveries allow to achieve satisfactory calibration even for “badly behaved” data sets. This article is thus a complement to Bielecki et al. (2014a Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014a ). Dynamic hedging of portfolio credit risk in a markov copula model . J. Optimiz. Theor. Applic . doi: DOI 10.1007/s10957-013-0318-4 (forthcoming) .[Crossref] , [Google Scholar]), Bielecki et al. (2014b Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014b ). A bottom-up dynamic model of portfolio credit risk - Part I: Markov copula perspective . In: Recent Adv. Fin. Eng. 2012 , World Scientific (preprint version available at http://dx.doi.org/10.2139/ssrn.1844574) . [Google Scholar]) and Bielecki et al. (2014c Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014c ). A bottom-up dynamic model of portfolio credit risk - Part II: Common-shock interpretation, calibration and hedging issues . Recent Adv. Fin. Eng. 2012 , World Scientific (preprint version available at http://dx.doi.org/10.2139/ssrn.2245130) . [Google Scholar]).