Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition

The exploration of option pricing is of great significance to risk management and investments. One important challenge to existing research is how to describe the underlying asset price process and fluctuation features accurately. Considering the benefits of ensemble empirical mode decomposition (EEMD) in depicting the fluctuation features of financial time series, we construct an option pricing model based on the new hybrid generalized autoregressive conditional heteroskedastic (hybrid GARCH)-type functions with improved EEMD by decomposing the original return series into the high frequency, low frequency and trend terms. Using the locally risk-neutral valuation relationship (LRNVR), we obtain an equivalent martingale measure and option prices with different maturities based on Monte Carlo simulations. The empirical results indicate that this novel model can substantially capture volatility features and it performs much better than the M-GARCH and Black–Scholes models. In particular, the decomposition is consistently helpful in reducing option pricing errors, thereby proving the innovativeness and effectiveness of the hybrid GARCH option pricing model.     

How to respond to competitors' green success for improving performance: The moderating role of organizational ambidexterity

With increasing environmental competitions between companies, there is a pressing need to explore how the environmental pressures from rivals influence focal firms' actions and the subsequent performance consequences. On the basis of social contagion theory and upper echelons theory, we examine whether firms respond to competitors' green success through green supplier integration, which further improves firm performance, and the moderating effect of organizational ambidexterity. The research explores hypothesized relationships adopting hierarchical regression analysis and bootstrapping method by collecting survey data from 206 Chinese manufacturers. Our findings suggest that competitors' green success positively influences green supplier integration. Green supplier integration mediates the impacts of competitors' green success on financial and environmental performance. In addition, the combined dimension of organizational ambidexterity plays a positive moderating role in the impacts of green supplier integration on financial and environmental performance. This study expands previous literature and managers' practices on green supply chain management.     

Taxation,fiscal capacity,and credible commitment in eighteenth-century China: the effects of the formalization and centralization of informal surtaxes†

This article explores a tax reform in eighteenth-century China that formalized county-level informal surtaxes and centralized control over them in the hands of provincial governors, in an effort to strengthen provincial fiscal capacity. The findings show that this reform increased the frequency of famine relief in cases of exceptional disaster relative to other weather conditions. The study shows that the effects were driven by the new fiscal revenues—public funds—at the governors’ discretion, not by the central government's relief actions, bureaucratic control over lower officials, or other concurrent fiscal reforms. Moreover, the reform facilitated intertemporal smoothing and inter-regional risk sharing. However, the effects declined as soon as the central government broke its promise and began to appropriate provincial fiscal revenues. These findings not only provide evidence that fiscal centralization could enhance the provision of public goods in a premodern context, but also highlight that it was the lack of a credible commitment by the central government to the provincial governments that accounted for the short-lived effects of the reform.     

价值链视角下中心城市创新首位度评价与比较研究——以南京为例

基于创新价值链理论，构建创新首位度的理论内涵与评价体系，对南京和其它中心城市的创新首位度进行评价与比较。研究结果显示：①在总体首位度方面，南京位列省域中心城市排名下游，落后于西安、成都、武汉、郑州、广州等国家中心城市，自2008年以来一直落后于深圳、杭州、合肥、苏州等对标竞争城市且差距较大；②在分项首位度方面，南京的研发创新、产业创新首位度位列省域中心城市排名底端，导致南京在两个首位度矩阵中均处于C象限，创新价值链呈现严重的不均衡性；③省域中心城市普遍存在创新价值链的“漏斗效应”，即知识创新首位度＞研发创新首位度＞产业创新首位度，南京尤甚，说明技术创新过程存在大量沟壑；④拓展性研究表明，省域中心城市的创新首位度＞经济首位度＞人口首位度，但是近十年3个首位度的增速排序与上述情况相反，说明创新资源有着更强的集聚效应，应避免行政手段对创新资源的错配。最后，提出对策建议与研究展望。     

基于多软件平台的机电液一体化虚拟试验方法

提出一种针对复杂机电液系统的虚拟仿真试验方法,分别在ADAMS、AMESim、MATLAB/Simulink软件中建立机械子系统、液压子系统和控制子系统模型,并基于软件间接口技术,建立动态数据共享通道,实现系统的全面仿真分析,为系统设计与优化、控制策略选择等提供依据.该方法对于复杂机电液系统仿真分析具有普遍适用性,对缩短产品开发周期、降低产品研发成本、减轻仿真工作复杂性具有重要意义.     

农民住房财产权抵押能否激发农村金融市场*——基于银行贷款数据的实证分析

扩展抵押品范围是缓解农村金融困境的重要途径。在这一思路下，农民住房财产权抵押被寄予厚望，成为近年来农村政策改革的重要方向。本文使用2010—2016年1 024家农信社和农商行的数据，利用2015年12月国务院在天津市蓟州区等59个试点县（市、区）开展为期两年的农民住房财产权抵押贷款试点这一“准自然实验”，对农民住房财产权抵押对涉农贷款供给的影响进行了检验。本文认为，现阶段农民住房面临着价值评估难、抵押物处置难的问题，抵押效果不佳。实证结果显示，农民住房财产权抵押没有显著增加涉农贷款供给，对农村金融的供给作用有限。本文在考虑了农民住房财产权抵押对其他担保方式的替代作用、农地经营权抵押和“三块地”改革的影响之后，上述结果依然稳健。本文的政策启示是，政府应着力做好农房抵押贷款改革的配套措施，推动宅基地制度改革，探索扩大农民住房财产权的受让范围，充分挖掘住房财产权的价值潜力，缓解抵押物处置难问题。     

NONRESIDENT POSTSECONDARY ENROLLMENT GROWTH AND THE OUTCOMES OF IN‐STATE STUDENTS

We study the effects of exposure to nonresident students on the outcomes of undergraduate in‐state students during a period of high nonresident enrollment growth at the University of Missouri‐Columbia. Our models leverage within‐major, cross‐time variation in nonresident exposure for identification. We find no evidence that increased exposure to domestic nonresidents affects in‐state student outcomes and our null results are precisely estimated. We find evidence of modest negative impacts on in‐state students when their exposure to foreign students increases using our preferred specification. However, the identifying variation in exposure to foreign students in our data is limited and this result is not robust in all of our models. (JEL I23, I28, R23)     

土豆红豆鱼香肠的研制

鱼香肠是以鱼肉为主要原料灌制的香肠。它营养丰富、味道鲜美、风味独特,深受广大消费者喜爱,尤其是老人和儿童。鱼香肠的优点是有外包衣(畜肠衣或塑肠衣)使鱼肉与外界隔绝,流通方便,卫生条件较好,加工后可长期保存。本文通过正交实验,探讨土豆和红豆添加量对鱼肉香肠感官质量的影响,逐步确定土豆和红豆的最优添加量,最终确定了新型鱼香肠最优配比为:以鱼肉质量计,土豆添加量:37%,红豆添加量:38%,畜肉添加量:15%,板油添加量:7.5%,淀粉添加量:5.6%,精盐添加量:2.25%,咖喱粉添加量:0.43%,胡椒粉添加量:0.06%,味精添加量:0.2%。     

Perioperative inhaled corticosteroids treatment is associated with decreased length-of-stay and direct medical costs in high-respiratory-risk surgeries

Abstract

Aims: To examine the impact of perioperative inhaled corticosteroids (ICS) on length-of-stay (LOS) and costs among patients receiving high-respiratory-risk surgeries.

Methods: Adult patients who underwent high-respiratory-risk surgeries in 2015 were identified in the Tianjin Urban Employee Basic Medical Insurance database. Patients were grouped into ICS or non-ICS cohorts according to whether they received ICS during the perioperative period of the index hospitalization. Propensity Score Matching was performed to create matched pairs between two cohorts. The impact of perioperative ICS on LOS and direct medical costs was estimated by negative binomial model and generalized liner model.

Results: Eight hundred and twenty-one hospital stays with high-respiratory-risk were selected in the ICS cohort and another 821 stays in the non-ICS cohort were matched. The mean LOS was 13.0 (±0.3) days in the ICS cohort, which was significantly lower than the matched non-ICS cohort. Patients with thorax and ear-nose-throat surgeries had a significant decrease in LOS in the ICS cohort compared to the non-ICS cohort, with a mean decrease of 5.5 and 1.1?days, respectively. In adjusted analyses, perioperative ICS treatment was associated with shorter LOS, lower total, and respiratory-related costs (reductions of 10.1%, 7%, and 5.3%, respectively) after controlling for demographic, clinical, and hospital characteristics.

Limitations: Some respiratory risk factors such as living behavior and environment were unable to be captured and respiratory-related costs might be underestimated, limited by claim data. Lastly, caution should be taken when generalizing the results to other populations, as only patients with moderate-to-severe surgeries on the thorax and above were selected in this study.

Conclusions: Perioperative ICS treatment was associated with decreased LOS and lower costs for patients undergoing high-respiratory-risk surgeries in China.     

资本主义将如何终结?

当今资本主义正处在二战结束以来最严峻的形势之中。经济增长率持续下降,国家整体负债程度持续上升,收入与财富分配的不平等持续加剧。本文认为,目前没有力量能够扭转经济增长、金融稳定和社会平等的恶化趋势并终结三者之间的相互强化。现在到了重新思考资本主义作为一种有始有终的历史现象的时候。资本主义终结将是资本主义由于其自身的原因而慢性衰败的过程。资本主义由于消灭了它的对立面而濒于灭亡。为了阐述这一观点,本文说明了当今发达资本主义所面临着五种系统性混乱:停滞、寡头再分配、掠夺公共资源、腐败和全球无政府状态。