限制交易的不完全市场下的金融创新演进过程

金融创新的扩散引起金融创新市场交易结构的改变。根据物种演进理论,在限制交易的不完全市场框架下,本文通过数理推导的方法建立了金融创新的演进模型,该模型揭示了在交互作用的多工具的金融市场中,金融创新的演进依赖于市场经纪人的行为特性、套期保值机会的出现、足够的市场交易规模以及金融市场的完善程度。     

Quantitative refinements for comparisons of institutional performance

In the context of the data and issues discussed by Goldstein and Spiegelhalter, we suggest refinements which can be used by decision makers when confronted with ranking problems associated with 'league tables'. Two ranking criteria are defined and their performance illustrated for one of the studies reported by Goldstein and Spiegelhalter.     

Estimating the Population Survival Function Using Additional Information Recorded Over Time: a Filter Based Approach

Survival studies often collect information about covariates. If these covariates are believed to contain information about the life-times, they may be considered when estimating the underlying life-time distribution. We propose a non-parametric estimator which uses the recorded information about the covariates. Various forms of incomplete data, e.g. right-censored data, are allowed. The estimator is the conditional mean of the true empirical survival function given the observed history, and it is derived using a general filtering formula. Feng & Kurtz (1994) showed that the estimator is the Kaplan–Meier estimator in the case of right-censoring when using the observed life-times and censoring-times as the observed history. We take the same approach as Feng & Kurtz (1994) but in addition we incorporate the recorded information about the covariates in the observed history. Two models are considered and in both cases the Kaplan–Meier estimator is a special case of the estimator. In a simulation study the estimator is compared with the Kaplan–Meier estimator in small samples.     

重组情形下因“客观情况发生重大变化”解除劳动合同的构成要件分析——基于160份判决书的实证分析

北京、上海两地的法院在审理用人单位以业务重组构成“客观情况发生重大变化”为由要求解除劳动合同的案件时,对“客观情况发生重大变化”这一概念的涵摄范围和解约前交涉阶段双方应负担何种义务存在争议。鉴于劳动合同的不完全合同属性,“客观情况发生重大变化”相较于民法中的情势变更概念应更具包容性。由诚实信用原则衍生出的再交涉义务制度可为交涉双方设定框架性的诚信义务,并随个案情形细化为具体义务,对防范解除权滥用、矫正劳资双方在协商阶段的悬殊地位颇有助益。在我国劳动法领域确立再交涉义务制度的首要工作是明确诚实信用原则在劳动合同订立、履行、解除等各阶段的可适用性。     

基于晶格场理论和动态规划的国债期货定价研究

通过用一个二维量子场取代传统金融上的布朗运动,构建了可有效纳入国债远期利率在到期时间和日历时间两个维度上的不完全相关性的量子场理论模型,并离散化二维量子场,得到国债远期利率的晶格场理论模型,同时结合动态规划方法,将国债期货的所有交易交割规则纳入一个模型进行建模,实现在统一的模型框架下对国债期货及其内嵌的择时期权和质量期权进行定价。研究结果亦表明,所构建的国债期货定价模型的定价效果均显著优于传统的主流两因子HJM模型,且与真实市场结算价的贴合性均很强,特别地,在临近交割月份,其定价误差均降至0.05%以内。而各国债期货合约的质量期权价值都在其对应的国债期货面值的2%至6%之间,其择时期权价值大部分时间都在0附近徘徊,但随交割月份临近,择时期权价值开始迅速上升,最大时约为期货合约面值的0.6%。     

Exact and resampling probability values for the Piccarreta nominal–ordinal index of association

Exact, resampling, and Pearson type III permutation methods are provided to compute probability values for Piccarreta's nominal–ordinal index of association. The resampling permutation method provides good approximate probability values based on the proportion of resampled test statistic values equal to or greater than the observed test statistic value.     

The estimation of R 2 and adjusted R 2 in incomplete data sets using multiple imputation

The coefficient of determination, known also as the R ², is a common measure in regression analysis. Many scientists use the R ² and the adjusted R ² on a regular basis. In most cases, the researchers treat the coefficient of determination as an index of ‘usefulness’ or ‘goodness of fit,’ and in some cases, they even treat it as a model selection tool. In cases in which the data is incomplete, most researchers and common statistical software will use complete case analysis in order to estimate the R ², a procedure that might lead to biased results. In this paper, I introduce the use of multiple imputation for the estimation of R ² and adjusted R ² in incomplete data sets. I illustrate my methodology using a biomedical example.     

Generalized Instrumental Variable Models

This paper develops characterizations of identified sets of structures and structural features for complete and incomplete models involving continuous or discrete variables. Multiple values of unobserved variables can be associated with particular combinations of observed variables. This can arise when there are multiple sources of heterogeneity, censored or discrete endogenous variables, or inequality restrictions on functions of observed and unobserved variables. The models generalize the class of incomplete instrumental variable (IV) models in which unobserved variables are single‐valued functions of observed variables. Thus the models are referred to as generalized IV (GIV) models, but there are important cases in which instrumental variable restrictions play no significant role. Building on a definition of observational equivalence for incomplete models the development uses results from random set theory that guarantee that the characterizations deliver sharp bounds, thereby dispensing with the need for case‐by‐case proofs of sharpness. The use of random sets defined on the space of unobserved variables allows identification analysis under mean and quantile independence restrictions on the distributions of unobserved variables conditional on exogenous variables as well as under a full independence restriction. The results are used to develop sharp bounds on the distribution of valuations in an incomplete model of English auctions, improving on the pointwise bounds available until now. Application of many of the results of the paper requires no familiarity with random set theory.     

不完全合同的执行机制——以有限理性与信息不对称为视角

不完全合同在现实中大量存在,合同双方的权利义务处于不确定状态。引起合同不完全的原因有以下四个:语言的局限、当事的人疏忽、有限理性与信息不对称。对不完全合同的执行,是双方当事人和法庭所关注的问题。     

传递图表信息：《经济学》双语教学的重要环节

引进外文原版教材、使用英语等外语对公共课和专业课进行双语教学是我国高等教育与国际接轨的重要途径。文章归纳总结了《经济学》所采用的分析工具——图表的种类及其特征,分析了图表之间相互转换所应注意的问题及其对于英语写作的启发意义,进而论证了双语教学的语言提升功能。