Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option

The paper derives closed-form formulas for the futures price in the presence of a multi-asset quality option. This is done for two cases: In the first one the underlying assets are zero coupon bonds with different maturities in the single-factor Vasicek model. In the second one these are commodities in a multi-factor setting, again with Vasicek interest rate uncertainty.     

超比较优势与贸易大国向贸易强国的转变

超比较优势产品是国际贸易领域中一种客观现象。超比较优势产品不仅有其客观性,而且有其相对性。超比较优势产品的产生的原因既有先天的自然禀赋,也有后天的科技创新和发明,还有由于垄断或使用传统工艺所形成的超比较优势。世界上贸易强国均有其超比较优势产品,而中国从贸易大国向贸易强国的转变也必须发挥超比较优势产品的作用。     

发展中国家的货币错配与汇率制度选择困境

货币错配是诱发发展中国家货币金融危机的一个重要因素,也加大了危机的解决成本。货币错配问题的形成是内外因素双重作用的结果,长期实行的“软”钉住汇率制度是其中的一个重要原因。发展中国家普遍遇到了货币错配与汇率制度选择的两难困境,僵硬的汇率制度为货币错配风险的累积提供了正向激励,加深了货币错配,货币错配程度的加深强化了汇率制度的“浮动恐惧”,必须采取有效措施走出这个困境。     

机构投资者交易行为特征研究

本文通过研究股票收益变化和机构持股变化之间的关系,发现对于高机构持股股票,过去表现较好的股票会吸引机构增加持仓,且机构增持的股票相对减持的股票的后续表现又更好,而低机构持股股票则不然。这表明机构投资者整体上是采用正反馈即惯性交易策略的,而个体投资者的行为则较为随机。对于缺乏投资经验的个体投资者而言,论文结果意味着他们应当委托机构进行理财如投资于基金。     

Transaction costs, trading volume, and the liquidity premium

In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals the spread, times share turnover, times a universal constant. The results are robust to consumption and finite horizons. We exploit the equivalence of the transaction cost market to another frictionless market, with a shadow risky asset, in which investment opportunities are stochastic. The shadow price is also found explicitly.     

Solutions to the Asset Allocation Problem by Informed Respondents: The Significance of the Size-of-Bet and the 1/N Heuristic

Asset allocation is a classic topic in the theory of finance and a crucial issue for investment policy. Noted for its significance in driving pension fund performance, it is also an issue that individual investors consider when designing their investment portfolios. In theory, Markowitz and those following in his wake have an optimal solution. In practice, however, we show that when asked to allocate their own money to a set of asset classes (from relatively low risk to high risk) in an experimental situation, most of our informed respondents would vary their investment strategies according to the size-of-bet (the money value of assets to be invested). We also show that most participants in the study adopted one of three solutions to the posed problem only one of which could be thought consistent with Benartzi and Thaler's 1/ n  heuristic. Since respondent solutions do not seem to be explained by formal education, professional qualifications, or training, it is suggested that solutions to the asset allocation problem are a product of strategies that mix intuitive responses to the initial tranche of money with theoretical cum practical shared conventions. Solutions to the asset allocation puzzle suggest that the size-of-bet could be a significant consideration for many informed investors. In conclusion, suggestions are made about taking forward closer scrutiny of these experimental results.     

Syndicated loan spreads and the composition of the syndicate

During the past decade, non-bank institutional investors are increasingly taking larger roles in the corporate lending than they historically have played. These non-bank institutional lenders typically have higher required rates of return than banks, but invest in the same loan facilities. In a sample of 20,031 leveraged loan facilities originated between 1997 and 2007, facilities including a non-bank institution in their syndicates have higher spreads than otherwise identical bank-only facilities. Contrary to risk-based explanations of this finding, non-bank facilities are priced with premiums relative to bank-only facilities in the same loan package. These non-bank premiums are substantially larger when a hedge or private equity fund is one of the syndicate members. Consistent with the notion that firms are willing to pay a premium when loan facilities are particularly important to them, the non-bank premiums are larger when borrowing firms face financial constraints and when capital is less available from banks.     

从社会审计视角:论审计风险模型的科学性

审计风险在审计实务中是至关重要的问题之一。注册会计师只有深入地理解审计风险理论,才能准确地发表审计意见,确保审计质量。然而,随着审计实践的发展,审计领域出现了许多新的问题,这些问题在原有的理论框架下变得不易理解,因而审计风险理论框架需要进一步发展和细化,使之更加科学。     

Call Completeness Implies Completeness in the n-period Model of a Financial Market

In this paper an arbitrage-free n-period model of a financial market with a predictable, strictly positive numéraire and g risky assets is considered. Complete financial markets are of great practical relevance and of considerable theoretical interest, because in these markets one can find hedging strategies and unique arbitrage-free prices. In this paper complete financial markets are characterized by the simple condition of “call-completeness”.     

Through-the-Cycle Ratings Versus Point-in-Time Ratings and Implications of the Mapping Between Both Rating Types

The two philosophies of ratings, one that includes cyclical effects and the other that doesn't, are mirrored by the two different rating types commonly known as point-in-time (pit) and through-the-cycle (ttc). Point-in-time ratings try to evaluate the current situation of a customer by taking into account both cyclical and permanent effects. In contrast, through the-cycle ratings focus mainly on the permanent component of default risk and are nearly independent from cyclical changes in the creditworthiness of a customer. In this paper we give a review of the characteristics of both rating types and examine whether these properties can actually be observed in practice. In this context we present the results of an analysis of Standard& Poor's rating data, which show that the ratings, though being through-the-cycle, still vary in accordance with the business cycle. Another concern of this paper is the wide spread practice to map 'external' through-the-cycle ratings to 'internal' point-in-time ratings, with the purpose to enrich or validate a financial institution's internal rating database. We show that in doing so financial institutions severely misspecify customers' risk profiles and under- or overestimate costs in connection with credit pricing or capitalization. We confirm our theoretical considerations by calculating pricing quantities when using one or the other rating information.     

Persistence and cycles in the us federal funds rate

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and its cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2017. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other one on two fractional differencing structures, one at the zero and the other at a cyclical frequency. Thus, the two approaches differ in the way the cyclical component of the process is modelled. In both cases we obtain evidence of long memory and fractional integration with cycles repeating approximately every 8 years. The in-sample goodness-of-fit analysis supports the second specification in the majority of cases. An out-of-sample forecasting experiment also suggests that the long-memory model with two fractional differencing parameters is the most adequate one, especially over long horizons.     

On the role of the estimation error in prediction of expected shortfall

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the estimation error comes into play for the Expected Shortfall. We identify two important aspects where it may be of importance. On the one hand there is in the evaluation of predictors of the measure. On the other there is in the interpretation and communication of it. We illustrate magnitudes numerically and emphasize the practical importance of the latter aspect in an empirical application with stock market index data.     

行为模型新解及其实证检验

在以信息逐步扩散和投资者有限理性为主要假设的行为模型中,特定信息交易者和市场信息交易者的比例对股价行为有着重要影响：当特定信息交易者占多数时,个股收益更容易呈现正自相关;当市场信息交易者占多数时,个股收益更容易呈现负自相关。该模型可以解释成熟股市中存在基于总收益的动量效应,而中国股市中不存在基于总收益的动量效应,仅存在基于公司特定收益的动量效应;并解释了市场平均收益呈现负自相关等。另外,实证分析支持了传统的CAPM和APT定价模型中的带越小,动量效应越显著的结论。     

Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds

Abstract:  In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run fluctuations are harder to reconcile with an arbitrage-free equilibrium. In time series terms, there is evidence of long memory in discounts consistent with a bounded random walk. This conclusion is supported by explicit nonlinearity tests, and by results which suggest the behaviour of the discount is perhaps best represented by one of the class of Smooth-Transition Autoregressive (STAR) models.     

The information content of the exchange rate and the stability of real output under alternative exchange-rate regimes

When the exchange rate is flexible, and thus responds to market forces, it provides agents with useful information, while when it is fixed (by a feedback rule) it does not. The implications of this asymmetry for the stability of real output under the two regimes is discussed. It is shown that whenever shocks are predominantly of one variety, or when domestic monetary shocks accompanied by one real shock, a flexible exchange rate does a better job of stabilizing real output than does a fixed exchange rate. These results undermine arguments favoring fixed exchange rates because they ‘discipline’ monetary policy. In addition, it is demonstrated that managed floating rules and exchange rate feedback rules are irrelevant for the distribution of real output.     

试析电子合同订立程序中的法律问题

电子合同的订立目前已经成为合同订立的一种方式。本文主要探讨了电子合同订立的含义和在电子合同订立过程,即要约和承诺中的法律问题,特别是区别网络发布的广告和商业信息是要约还是要约邀请问题,电子合同订立中的要约、承诺的含义,要约和承诺的撤回与撤销问题。     

Intra- and inter-regional spillovers between emerging capital markets around the world

In this paper, returns and volatility spillovers between emerging capital markets of Central and Eastern Europe, Latin America, and South-East Asia are investigated. We distinguish between spillovers from countries located in one region (intra-regional) and in different regions (inter-regional) after controlling for shocks originating at home and on the global market. Both intra- and inter-regional spillovers are significant, with the former being more pronounced than the latter. Our findings indicate that linkages between emerging markets are not solely due to their common dependence on the global capital market and highlight the importance of common factors in intra-regional interdependencies.     

Turbocharging Monte Carlo pricing for the rough Bergomi model

The rough Bergomi model, introduced by Bayer et al. [Quant. Finance, 2016, 16(6), 887–904], is one of the recent rough volatility models that are consistent with the stylised fact of implied volatility surfaces being essentially time-invariant, and are able to capture the term structure of skew observed in equity markets. In the absence of analytical European option pricing methods for the model, we focus on reducing the runtime-adjusted variance of Monte Carlo implied volatilities, thereby contributing to the model’s calibration by simulation. We employ a novel composition of variance reduction methods, immediately applicable to any conditionally log-normal stochastic volatility model. Assuming one targets implied volatility estimates with a given degree of confidence, thus calibration RMSE, the results we demonstrate equate to significant runtime reductions—roughly 20 times on average, across different correlation regimes.     

Particle Swarm Optimization in Agent-Based Economic Simulations of the Cournot Market Model

The numerous variations of the particle swarm optimization (PSO) algorithm originally proposed by Kennedy and Eberhart ( 1995 . Particle swarm optimization. In Proceedings of the IEEE International Conference on Neural Networks IV. IEEE: Piscataway, NJ; 1942–1948) have proven to be powerful optimization methods that rely on exploiting simple analogues of social interaction. In this study, PSO is adopted in lieu of the social or individual evolutionary learning algorithms as a model of individual adaptation in an agent-based computational model. In this examination of the simple Cournot market framework, each agent's individual strategy evolves according to the PSO algorithm. The model is one in which agents’ strategies must adapt interdependently. That is, a change in one particle may not only affect its performance but also other particles within the same swarm simultaneously. The dynamics and convergence properties associated with this model are compared with those where evolutionary learning algorithms are employed. Similar to evolutionary learning, convergence to equilibrium is dependent on the scope of learning, social or individual. While convergence is dependent on some of the algorithm parameters, prices resulting from the individual PSO are nearest the Cournot equilibrium and those from social PSO are nearest the Walrasian equilibrium in all cases. For particular parameterizations, certain advantages over evolutionary algorithms exist: in the main, decreasing volatility in market prices does not require an election operator or the addition of free parameters through two-level learning. Copyright © 2015 John Wiley & Sons, Ltd.