高频数据瞬时波动率核估计的窗宽选择及算法研究

在瞬时波动率的各种估计量中,非参数估计量因其能准确地度量瞬时波动率,一直是学者们的研究热点。然而,这类估计量在实际应用中都面临着最优窗宽的确定问题。由于最优窗宽中往往携带一些难以估计的未知参数,使得在实际应用过程中确定最优窗宽的具体数值存在困难。本文以瞬时波动率的核估计量为例,借鉴非参数回归分析中窗宽选择的思想,构建了一种能从数据中准确计算出最优窗宽具体值的算法。理论的分析和数值上的验证表明：文中所构建的算法具有良好的稳定性、适应性和收敛速度。算法的提出为瞬时波动率的后续应用研究铺平道路。     

基于股价预测的泛证券投资组合策略

本文基于期望效用最大化和L₁-中位数估计研究了在线投资组合选择问题。与EG（Exponential Gradient）策略仅利用单期价格信息估计价格趋势不同,本文将利用多期价格信息估计价格趋势,以提高在线策略的性能。首先,基于多期价格数据,利用L₁-中位数估计得到预期价格趋势。然后,通过期望效用最大化,提出一个新的具有线型时间复杂度的在线策略,EGLM（Exponential Gradient via L₁-Median）。并通过相对熵函数定义资产权重向量的距离,进而证明了EGLM策略具有泛证券投资组合性质。最后,利用国内外6个证券市场的历史数据进行实证分析,结果表明相较于UP（Universal Portfolio）策略和EG策略,EGLM策略有更好的竞争性能。     

湖湘文化与刘少奇关于新四军发展的韬略思想

抗日战争进入到相持阶段后,刘少奇赴华中任华中局书记、华中部队总指挥部政治委员、新四军政治委员,对建立巩固的华中根据地和发展壮大华中军事力量卓有建树。他建立巩固的华中根据地和发展壮大新四军的韬略思想与湖湘文化的集大成者王船山的战争战略指导艺术有明显的学脉相承之处。     

论大慧宗杲批评默照禅的真相

宋代临济禅师大慧宗杲曾经猛烈批评当时的“默照禅”,研究者多认为是针对曹洞宗的真歇清了、宏智正觉及其默照禅,笔者考察这是误解。从禅法的角度,宗杲所批的默照禅与真歇、宏智的默照禅根本不同;从宗杲与真歇、宏智彼此关系的角度,宗杲对二人的评价很高,并称赞了他们的悟境和禅法。在宗杲看来,其所批评的是类于“二乘”的“禅病”。对该“病”不仅宗杲给与了批评,真歇清了、宏智正觉也作过批评。     

从《文心雕龙》不提《世说新语》看刘勰的文学观

体大虑周的《文心雕龙》广泛论及了魏晋以来的作家、作品,而唯独对六朝文学中地位甚高、影响至远的《世说新语》只字未提,究其原因,我想主要还是刘勰的文学观造成的:原道、征圣、宗经而崇尚雅正,不满谐隐、杂说;崇儒为主,兼修佛道,反对玄谈;萧统文学集团的参照;重古略今,不论近世。     

史官与官史--韩、柳的史官辩

韩愈和柳宗元关于史官问题的辩论,发生于九世纪初唐宪宗元和年间。韩、柳辩论的问题,表面看来是史官可不可作?可不可有作为?如可为,应怎么作?其实涉及史官的职责、史官的命运、史馆的建置以及史学与政治的关系等等,可谓中世纪前期近千年以编纂当代史为重心的文化体制的一次总结和回顾。正因如此,就成了中国史学的历史进程中的一道难以回避的论题。     

《史地学报》及其群体与《学衡》之关系的探讨

从吴宓到鲁迅,再到后来的研究者,都将<史地学报>和<学衡>紧密地联系在一起.将前者的核心人物、诸位同人和刊物本身三个层面与后者进行比较分析,不仅可以揭示1920年代在南京乃至全国学界甚有影响的两份刊物之间的密切关系与异同所在,同时也可展现当时相关学术群体的学术风貌.     

Life and labor on the internal colonial edge: Political economy of kolberi in Rojhelat

Through the investigation of kolberi (cross-border labor), this paper sheds light on the state’s policy of de-development (or internal colonialization) of the Kurdish region (known as Rojhelat) in Iran. While the most dangerous form of labor, kolberi has become a dominant employment opportunity for Rojhelat Kurds in the last decade. There are no Iranian state laws criminalizing kolberi, and yet those laborers die on a regular basis—being shot or thrown off mountain cliffs by the state forces, stepping into minefields, and so forth. Nevertheless, there is not a single scholarly paper on this subject. Using the mixed methods research approach, our study analyzes the existing data along with in-depth interviews with 20 people who are currently engaged in kolberi to contextualize this understudied phenomenon. Our finding demonstrates that kolberi is a direct outcome of a uni-ethno-religious policies of development and part and parcel of the state's Perso-Shi‘ification strategy in Kurdistan. Therefore, kolberi is more of a political phenomenon than an economic one.     

A comparison study on modeling of clustered and overdispersed count data for multiple comparisons

Data collected in various scientific fields are count data. One way to analyze such data is to compare the individual levels of the factor treatment using multiple comparisons. However, the measured individuals are often clustered – e.g. according to litter or rearing. This must be considered when estimating the parameters by a repeated measurement model. In addition, ignoring the overdispersion to which count data is prone leads to an increase of the type one error rate. We carry out simulation studies using several different data settings and compare different multiple contrast tests with parameter estimates from generalized estimation equations and generalized linear mixed models in order to observe coverage and rejection probabilities. We generate overdispersed, clustered count data in small samples as can be observed in many biological settings. We have found that the generalized estimation equations outperform generalized linear mixed models if the variance-sandwich estimator is correctly specified. Furthermore, generalized linear mixed models show problems with the convergence rate under certain data settings, but there are model implementations with lower implications exists. Finally, we use an example of genetic data to demonstrate the application of the multiple contrast test and the problems of ignoring strong overdispersion.