市场风险与流动性风险整合风险度量研究

整合市场风险与流动性风险有利于投资者全面管理风险,度量交易时所面临的风险。针对市场风险与流动性风险的时变性、异方差性和尾部特点,利用GARCH-EVT 方法进行建模。在此基础上利用三类二元阿基米德Copula 函数对两类风险的相关结构进行考察。结果表明:中国股票市场中个股的市场风险与流动性风险在上尾与下尾相关性加强,并具有对称性。基于上述相关结构特点对两类风险进行整合并利用VaR 模型进行度量,结果显示:该度量模型优于传统VaR 模型和不考虑两类风险相关结构的VaR 模型。     

网络空间视域下的网络沉溺现象分析

随着网络媒介在社会各个领域的渗透,网络沉溺的危害性也日益受到人们的关注。网络沉溺作为一种复杂的社会现象,更多的人认为网络沉溺来自于网络内容的诱惑,而本文则从媒介形式的角度,探讨网络空间与网络沉溺的相关性,以期拓展人们认识网络沉溺的视角。具体分析了网络空间所呈现的三重视域———客体技术层面、主体性意识层面、主体行为层面,并基于此探讨网络媒介形式、使用媒介的心理特征和网络空间行为特性等方面与网络沉溺的关系,并认为网络媒介的双向去中心的互动、意向性的行为方式以及虚拟实践中的多重自我身份等由媒介形式所形成的特质,构成了网络沉溺重要的作用机制。从长远来看,网络空间的形式特质将比网络内容的影响更为隐蔽而有效。     

股票市场发展的路径依赖对技术进步的影响

分析了股市在长期发展过程所形成“蓝筹股市场”的路径依赖对新技术革命的影响 ,得出了股票市场投资者蓝筹股投资心理行为路径依赖 ,导致了股票市场对创新技术具有逆向选择效应 ,股票市场利于蓝筹股价值发现的交易制度路径依赖导致“团队创新”激励不足的结论 ;而且由于股票市场总市值占GDP比例越来越高 ,因而在现有股票市场内部建立相对独立的风险资本市场将是不明智的     

一个概念的反思性教学

反思是数学思维的核心和动力。在数学概念的教学中,通过反思能深化学生对概念的理解,揭示概念的本质属性。并进一步优化思维过程,探索和发现规律,以达到沟通新旧知识,建构知识体系的目的。     

社会变迁下农村宗族的"路径依赖"

中国的政治制度和经济制度的变革是导致中国农村宗族制度变化的最重要的因素.在100多年的社会变迁过程中,农村宗族展现出兴盛与衰落、冲突与和谐的发展轨迹,同时也突现出农村宗族对社会变迁的政治、制度、经济、文化的"路径依赖".     

Modelling Dependence within Joint Tail Regions

Standard approaches for modelling dependence within joint tail regions are based on extreme value methods which assume max-stability, a particular form of joint tail dependence. We develop joint tail models based on a broader class of dependence structure which provides a natural link between max-stable models and weaker forms of dependence including independence and negative association. This approach overcomes many of the problems that are encountered with standard methods and is the basis for a Poisson process representation that generalizes existing bivariate results. We apply the new techniques to simulated and environmental data, and demonstrate the marked advantage that the new approach offers for joint tail extrapolation.     

Children and Demand: Direct and Non-Direct Effects

This paper examines the effects of children on demands. We employ a French family expenditure survey that has a number of unusual features to explore the source of the correlation between children and demands. The first sample we use is of older households which has information on completed fertility. The second sample is of younger households for whom we have family background variables. We find that children are not exogenous for some goods. These findings cast doubt on the usual practice of identifying direct children effects with the coefficients on the children variables in demand equations.     

Wavelet Threshold Estimators for Data with Correlated Noise

Wavelet threshold estimators for data with stationary correlated noise are constructed by applying a level-dependent soft threshold to the coefficients in the wavelet transform. A variety of threshold choices is proposed, including one based on an unbiased estimate of mean-squared error. The practical performance of the method is demonstrated on examples, including data from a neurophysiological context. The theoretical properties of the estimators are investigated by comparing them with an ideal but unattainable `bench-mark', that can be considered in the wavelet context as the risk obtained by ideal spatial adaptivity, and more generally is obtained by the use of an `oracle' that provides information that is not actually available in the data. It is shown that the level-dependent threshold estimator performs well relative to the bench-mark risk, and that its minimax behaviour cannot be improved on in order of magnitude by any other estimator. The wavelet domain structure of both short- and long-range dependent noise is considered, and in both cases it is shown that the estimators have near optimal behaviour simultaneously in a wide range of function classes, adapting automatically to the regularity properties of the underlying model. The proofs of the main results are obtained by considering a more general multivariate normal decision theoretic problem.     

组织学习的成本问题初探

组织学习的成本是知识管理研究和实践中不可忽视的重要问题。知识母体、知识的表现形式和知识交易费用等是影响学习成本的主要因素。核心知识高昂的学习成本是其独特性和价值性的经济学基础。以学习成本作为研究的切入点,学习的路径依赖性、知识转化的原因、核心能力的来源、企业战略选择和知识的资本属性,甚或管理学进步的经济学动因等问题都可望得到逻辑一致的解释。     

Analysis of changes of insect-plant ratio-improvement of key-factor analysis for evaluating bottom-up effects in insect population dynamics

A revised key-factor analysis was presented for analyzing the temporal changes in the ratio of insect absolute number to plant resource. Ten data sets for 5 insect species were then analyzed. In this key-factor analysis, the key factor is defined as the factor contributing highly to between-year variation inR _r , the log rate of the inter-year change of the insect-plant ratio. The yearly change of plant resource was handled as a separate factor, expressed byr _pl , log ratio of plant resource in yearn to plant resource in yearn+1. The following was revealed: 1) In 7 of the 10 data sets examined,r _pl influenced variations ofR _r ; in particular in 3 casesr _pl was the main key factor. 2) Generation-to-generation fluctuations of absolute insect densities showed density dependence in 4 cases, while those of insect-plant ratios, in 8 cases. 3) The Royama model or a linear model, explained well the relationship between log insect-plant ratio (X _r ) andR _r and the relationship betweenX _r and log yearly change rate of absolute insect density (R _abs ). However, in the 7 cases in whichr _pl was a critical factor for variations ofR _r , with, increase ofX _r ,R _r showed a steeper, decrease around the equilibrium point (the point for whichR _r is 0) thanR _abs . This occurred becauser _pl tended to be negatively correlated withX _r . Consequently, in two casesX _r fluctuated cyclicly or chaotically although without the changes in plant resource, fluctuations ofX _r would be damped oscillations approaching equilibrium.