股票流动性与股价崩盘风险:公司治理和短期行为视角

流动性究竟能够稳定市场还是给市场带来危机？文章从股价崩盘风险的视角,探讨了股票流动性与股价崩盘风险的关系,研究发现:股票流动性促进了股价崩盘风险,因而并没有起到稳定市场的作用.随后,从“治理理论”和“短期行为理论”两个角度对影响机制进行探讨,研究发现:在二职合一、独立董事比例较低、短期机构投资者持股比例较高时,股票流动性对股价崩盘风险的正向影响更加显著.研究结论既丰富了股票流动性及股价崩盘风险的相关文献,也给管理层及上市公司从微观视角认识股价崩盘风险提供新思路及借鉴.     

EXcess Idle Time

We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no‐arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the (ubiquitous, in frictionless continuous‐time asset pricing) semimartingale assumption. EXIT is interpretable as an illiquidity proxy and is easily implementable, for each trading day, using transaction prices only. By using EXIT, we show how to estimate structurally market microstructure models with asymmetric information.     

论完善公共权力的监督体系

公共权力异化是导致商业贿赂产生的起因,加强行政监督及健全公共权力的制约机制来完善公共权力的监督体系,进而从源头上预防国家公职人员以公共权力异化谋求利益,产生商业贿赂。     

双重的约束：女性科技人才成长的制约因素分析

近年来，我国的科技事业发展迅速。然而，科技人才队伍中的女性科技人才却发展较为缓慢，原因在于女性科技人才的发展受到了公私领域的双重约束即私人领域的家庭劳动、家庭决策、家庭教育投资以及公共领域的科技人才准入、培育和评价机制制约了女性科技人才的发展。在这种双重约束下，女性科技人才只能在具有性别排斥的科技领域中充当幕后支撑力量，相反，男性则在科技人才发展中占主导优势，成为主要的受惠群体。     

证券市场流动性与交易者群体变动的混沌研究

从证券市场微观结构角度,利用交易者群体可变的动态模型,分别在确定与不确定性金 融环境下,研究离散交易状态下市场的形成过程,并分析了交易者群体变动的混沌条件. 结果 表明,市场流动性的最低标准是买卖双方的交易者群体要有一个恰当的比例,市场达到稳定流 动性的时间与描述离开股市交易者的参数有关,通过交易制度对交易者群体参数的影响,可实 现对市场过程的控制,最后给出仿真计算.     

Upper Bounds for the SPOT 5 Daily Photograph Scheduling Problem

This paper introduces tight upper bounds for the daily photograph scheduling problem of earth observation satellites. These bounds, which were unavailable until now, allow us to assess the quality of the heuristic solutions obtained previously. These bounds are obtained with a partition-based approach following the divide and pas conquer principle. Dynamic programming and tabu search are conjointly used in this approach. We present also simplex-based linear programming relaxation and a relaxed knapsack approach for the problem.     

考虑通行约束和运力限制的灾后应急物资联合调度优化研究

考虑到灾后路网受损难以运输应急物资，本文研究了应急响应中车辆-直升机联合调度的路径优化问题。针对受灾地区的实时路况，通往灾区的救援工具受到数量以及装载量的约束，本文将受灾点等待救援的平均时间最短以及应急网络总费用最低设为目标，构建运力受限条件下带通行约束的救援物资联合运输多目标优化模型，然后根据随机邻域搜索变异和分级交叉的思想构建出一种带精英策略的非支配排序混合进化算法（NSHEA-II）得到模型的解，并利用算例分析对该算法进行可行性检验。结果发现，本文构建的NSHEA-II算法相对NSGA-II算法能够得到较好的结果且波动性较小，这为决策者制定救援物资的配送方案提供有效的技术支撑。     

Robust empirical likelihood for linear models under median constraints

In this paper, we consider the application of the empirical likelihood for

linear models under median constraints in view of robustness. For two simple median constraints, it is shown that conditions to ensure the consistency of the empirical likelihood confidence regions can be surprisingly relaxed compared with the normal approach under L norm. However, the coverage accuracy of the empirical likelihood confidence regions based on simple median constrains cannot be improved because of the discontinuity of the constraints. Therefore, a smoothed version of median constraint is proposed and a general theory is established to ensure its validity.     

三大冲突的交融:中国资本流动性过剩内在机理分析

当前中国宏观经济面临诸多问题,其重要原因就在于中国资本流动性过剩.而资本流动性过剩产生的实质则是三大冲突的交融:即实体经济与虚拟经济的冲突,转轨期新体制与旧体制的冲突和开放经济下内外均衡的冲突.为此解决中国宏观经济运行矛盾的突破口在于解决资本流动性过剩,其战略思路应该以金融全球化背景为出发点,适应国际货币体系调整,以国家安全作为重点,实现三大均衡:一是实体经济和虚拟经济的均衡;二是新旧体制交叉期的制度均衡;三是开放条件下内外均衡.     

美国次贷危机的形成机理及其启示

从探究美国次贷危机的源头入手分析其形成原因,理清次贷危机被过度放大的环节所在,进而认为近期金融市场的动荡和流动性不足主要是市场的恐慌情绪和投资者避险行为的结果,最后指出次贷危机对我国房贷市场的启示。