基于多尺度阈值方法的金融时间序列去噪研究

本文通过实证分析,说明金融时间序列建模前降噪预处理的必要性,更进一步地,运用多尺度阈值方法对金融时间序列去噪,再用传统时间序列预测方法ARIMA(p,d,q)模型对降噪后的数据进行预测。通过与小波阈值去噪预测模型的比较,得出多尺度阈值去噪预测效果更加理想。     

基于灰色-马尔可夫改进的预测模型——以沪深300指数为例

建立灰色GM(1,1)与马尔可夫链的组合预测模型,用灰色预测模型预测随机时间序列数据的总体发展趋势,而用马尔可夫链模型修正数据随机波动所带来的预测误差。以沪深300指数的真实数据进行验证,结果表明:灰色马尔可夫预测模型既能预测随机数据序列的总体趋势,又适应股票价格随机波动性较大的特点,灰色马尔可夫预测模型预测精度高于GM(1,1)模型的预测精度。     

基于灰色-马尔可夫改进的预测模型——以沪深300指数为例

建立灰色GM(1,1)与马尔可夫链的组合预测模型,用灰色预测模型预测随机时间序列数据的总体发展趋势,而用马尔可夫链模型修正数据随机波动所带来的预测误差。以沪深300指数的真实数据进行验证,结果表明:灰色马尔可夫预测模型既能预测随机数据序列的总体趋势,又适应股票价格随机波动性较大的特点,灰色马尔可夫预测模型预测精度高于GM(1,1)模型的预测精度。     

基于ARIMA模型的我国人民币汇率的时间序列分析

大多数经济时间序列呈现非平稳性,因而不能直接用ARIMA模型进行分析。但是通过对原始序列进行差分,将其转换为平稳时间序列,再用ARIMA模型进行建模。本文通过对2000-2010年我国人民币汇率时间序列的分析,预测2010年6-12月数据,并证实了ARIMA模型是一种很好的短期预测模型。     

企业价值评估中的定量预测模型实证分析

在采用收益途径对企业价值评估中，对企业未来发展有关情况进行分析和运用数量模型对其相关参数进行预测不仅是其重要的工作之一，也是该评估方法的技术关键。在该评估方法中，收益额是重要的预测参数之一，对其预测时，需要在定性分析的基础上，采用合适的数量模型分别对其中的收入、成本、费用等内容进行具体测算。常见的计量模型主要有：时间序列模型、单方程回归模型，灰色预测模型，神经网络模型以及组合预测模型等，本文选择其中的时间序列模型（固定时间序列和随机时间序列）、灰色预测模型和神经网络模型分别对某航运公司1994-2008年的收入进行具体预测和检验，并将其各自的预测结果进行分析和比较。     

组合预测模型在货运量预测中的应用

本文对灰色预测模型和ARIMA预测模型进行组合,建立了组合模型,并应用于货运量的预测,实证预测表明,组合模型的预测精度优于单一的预测模型,预测结果与实际货运量拟合较好。     

上海锌期货价格的组合预测分析

本文利用锌期货价格的历史信息和上海锌的现货价、伦敦锌期货价格等分析预测上海锌期货价格。针对单一模型存在预测误差大的问题,本文结合时间序列ARIMA模型、回归模型及组合模型来分析预测锌收盘价,结果发现组合预测模型的精度高于单一模型的分析,即用组合预测模型来预测锌期货价格是一种相对可取的方法,可以为投资者和期货经纪公司提供一定的参考价值。     

基于计量模型的2009年我国货币供应量预测

金融系统中货币供应量的大小是影响经济金融体系能否正常运行的重要因素，正确预测货币供应量走势对我国经济金融政策的决策和经济发展战略的实施都有着十分重要的意义。本文介绍了符合金融系统预测规律的ARIMA（p，d，q）时间序列模型，并根据我国货币供应量实际数据对2008--2009年货币供应量走势进行了预测检验，实证预测结果显示与2008年实际M2相对照，模型预测精度较高，误差被控制在2％以内，说明ARIMA模型能较准确地预测我国货币供应量走势，可为我国货币供应量的预测和走势提供可靠的参考依据。     

基于计量模型的2009年我国货币供应量预测

货币供应量是影响经济金融体系能否正常运行的重要因素,正确预测货币供应量走势对我国经济金融政策的决策和经济发展战略的实施都有着十分重要的意义.本文介绍了符合金融系统预测规律的ARIMA(p,d.q)时间序列模型,并根据我国货币供应量实际数据对2008-2009年货币供应量走势进行了预测检验,实证预测结果显示与2008年实际M2相对照,模型预测精度较高,误差被控制在2%以内,说明ARIMA模型能较准确地预测我国货币供应量走势,可为我国货币供应量的预测和走势提供可靠的参考依据.     

基于自回归滑动平均模型的我国房地产业态势研究

选择国房景气指数作为房地产行业的发展态势评价指标,利用时间序列分析法对1995年到2010年间的我国房地产开发业月度景气指数序列进行分析来建立短期预测模型,以期为房地产行业态势预测研究提供参考。经过单位根检验,一次差分和自回归,建立ARIMA(1,1,5)模型,并进行了短期预测和检验,验证了模型的有效性。     

Short-sale refinancing and price adjustment speed to bad news: Evidence from a quasi-natural experiment in China

Short selling may accelerate stock price adjustment to negative news. However, the literature provides mixed evidence for this prediction. Using short-sale refinancing and a staggered difference-in-differences (DID) model, this paper explores the effect of short selling on stock price adjustment. Our results show that (1) short-sale refinancing improves the speed of stock price adjustment to negative news. This result holds after we control for endogeneity. (2) The positive relationship between short-sale refinancing and stock price adjustment speed is significant in subsamples of stocks with higher earnings management or lower accuracy of analyst forecasts, indicating that firms with more opaque information are more likely to be targeted by short sellers. In subsamples of stocks with a higher ownership concentration or lower ownership by institutional investors, short selling is more likely to increase the speed of stock price adjustment, indicating that ownership structure may influence negative news mining. (3) As short-sale refinancing exacerbates the absorption of bad news by stock prices, it increases crash risk. This study enriches the research on the economic consequences of short selling and provides empirical evidence supporting regulations on short selling in China.     

Guidelines for Manuscripts Submitted to The China Journal of Accounting Research

正The China Journal of Accounting Research"CJAR"(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditing and corporate governance issues that relate to the greater China region.We welcome the submission of both theoretical and empirical research papers pertinent to researchers,regulators and practitioners.Authors should note:     

The China puzzle: Opportunities for accounting research

How can China achieve phenomenal economic growth despite what is considered as 'weak' institutions in market-based economies? Xu(2011) provides a framework to u...     

Aims and Scope

<正>The focus of the China Journal of Accounting Research is to publish theoretical and empirical research papers that use contemporary research methodologies to...     

Income smoothing and the cost of debt

The literature on income smoothing focuses on the effect of earnings smoothing on the equity market.This paper investigates the effect of income smoothing on th...     

The case for management history

This article defines the case for treating management history as a discrete subject area, although one closely related to business, accounting, labour, and industrial history. It seeks to concentrate on the nature, process, and practice of management as an activity within the organization, and to argue that it is important that modern British managers understand the intellectual and cultural roots of their profession, since without these they will tend to be swayed by short-term management 'fads'. Within the broad topic there are several identifiable sub-areas for potential exploration, including the comparative historical development of management between different countries, management institutions, managerial careers and labour markets, management structures, management skills, and management thought and theory.     

The life and career of John Spence Ogilvy (1805-71), the first chartered accountant to emigrate to Australia

So far as the available evidence allows, this paper examines the life and career of John Spence Ogilvy, foundation member of the Society of Accountants in Edinburgh in 1854, who emigrated to Melbourne in 1856, but did not play a part in the development of an organized accounting profession in Australia. The paper also attempts to explain the gap of thirty-two years between the formation of the first accounting bodies in Edinburgh and Melbourne.     

Moments of Compound Mixed Poisson Distributions

Recursive formulae are derived for the evaluation of the moments and the descending factorial moments about a point n of mixed Poisson and compound mixed Poisson distributions, in the case where the derivative of the logarithm of the mixing density can be written as a ratio of polynomials. As byproduct, we also obtain recursive formulae for the evaluation of the moments about the origin, central moments, descending and ascending factorial moments of these distributions. Examples are also presented for a number of mixing densities.     

The development of the group accounts disclosure system in Japan

The Japanese disclosure system of consolidated statements was introduced in 1977 and extensively revised in 1997. The role of the bureaucracy has been significant in these developments and seems to be part of Japan's closed culture. However, other explanations could also be applied. In particular, although Japanese firms opposed such disclosures on the basis of preparation costs, the Japanese government had to modernize the disclosure system, including consolidation, in order to develop the securities market regardless of an individual company's interests.     

Cost accounting standard and cost accounting systems in Japan. Lessons from the past - recovering lost traditions

This paper aims to show two things. The first is how Japanese culture has contributed to the development of Japanese cost accounting history. The second is to reveal the research possibilities of cost accounting history. This paper also reviews the salient features of several important examples of these aspects of cost accounting practice in Japan. It therefore explores, through some practical illustrations, how and why Japanese cost accounting differs from that found in the West.