Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations

In this paper we re-formulate the automatic differentiation (and in particular, the backward automatic differentiation, also known as adjoint automatic differentiation, AAD) for random variables. While this is just a formal re-interpretation it allows one to investigate the algorithms in the presence of stochastic operators like expectation, conditional expectation or indicator functions.

We then specify the algorithms to efficiently incorporate non-pathwise operators (like conditional expectation operators). Under a comparably mild assumption it is possible to retain the simplicity of the backward automatic differentiation algorithm in the presence of conditional expectation operators. This simplifies important applications like - in mathematical finance - the application of backward automatic differentiation to the valuation of Bermudan options or calculation of xVA's.

We give the proof for a generalized version of the result. We then discuss in detail how the framework allows dramatic reduction of the memory requirements and improves the performance of a tapeless implementation of automatic differentiation (while the implementation brings advantages similar to ‘vector AAD’ (sometimes called tape compression) for free, it allows improvements beyond this. We present the implementation aspects and show how concepts from object-functional programing, like immutable objects and lazy evaluation enable additional reductions of the memory requirements.     

HETEROSCEDASTICITY OR PRODUCTION RISK? A SYNTHETIC VIEW

Two veins of literature, namely, production risk literature and stochastic frontier analysis, are examined. Both fields are concerned of output variation; the former due to exogenous shocks, the latter due inefficiency. By covering the literature from both the fields, this review suggests that the concept of heteroscedasticity can be utilized to build a synthesis between these mainly separate branches of literature. However, the synthetic approach brings a challenge how to differentiate between different sources of output variation. This challenge is identified as the main obstacle to meaningfully combine the two approaches.     

大科学工程中政府角色及其作用机理研究——基于5个大科学工程案例

大科学工程的成功离不开政府的积极参与。通过对中国"原子弹制造工程"、"载人航天工程"及美国"曼哈顿工程"、"阿波罗工程"、"人类基因组工程"5个典型案例的系统研究发现,政府主要通过决策者—决策机制—国家重大战略需求、启动者—资源聚集机制和机构筹建机制—承接机构、协调者—协调机制—凝聚力和竞争力、评估者—评估机制—资料信息,即4R-5M-5P模型,既分重点又兼全局地作用于大科学工程的实施过程。这些机制可为中国政府参与大科学工程提供有益启示。     

构建与创新适应应用型人才培养的模式——以《乙烯生产及其产品应用》为例

某校石油化工生产技术专业方向的毕业生遍布全国各地的石油化工行业,就业具有很强的针对性,因此,本专业《乙烯生产及其产品应用》课程改革需要创新课程模式,构建适应应用型人才培养的课程教学模式,需注重重点内容的凝练,突出石化特色;改革教学方法和创新考核方式,适当引入双语教学,以达到培养学生的创新能力、工程实践能力,以适应社会对应用型人才的需要。     

智能生产与服务网络条件下产业创新平台战略地图研究

智能生产与服务网络条件下产业创新平台研究随着"工业4.0"和"互联网+"的发展而兴起,确定平台未来发展战略是亟待解决的问题。基于平台存在形式,研究其特征、运行机制;基于利益相关者、平台内部运行流程、学习和成长、财务目标4个维度,绘制完整的平台战略地图;从运营风险、资产损伤风险、竞争风险、商誉风险4个层面,研究平台潜在战略风险,并找出与之对应的风险来源和失误环节。为尽可能规避平台战略风险,设计了评价指标体系,作为平台战略执行的标准。     

Long-run productivity risk: A new hope for production-based asset pricing?

The examination of the intertemporal distribution of US productivity risk suggests that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices. After establishing this empirical link, I rationalize it in a production economy featuring long-run productivity risk, Epstein and Zin (1989) preferences, and investment frictions. Both convex capital adjustment costs and convex reallocation costs across consumption and investment produce an annual equity premium as sizeable as in the data.     

Broiler production in South Africa: Is there space for smallholders in the commercial chicken coup?

It is agreed that agriculture provides avenues for impoverished households to produce and trade their way out of poverty. However, this requires market access and value chain integration of small-scale farmers. This paper explores the possibilities for integration of small-scale farmers into the mainstream commercial broiler value chain in South Africa. Production costs of small-scale producers are evaluated within the context of their commercial counterparts, with a case study approach. It revealed that small-scale producers pay more for inputs but also receive a substantial premium for sales of live birds in the informal market. This results in attractive gross margins for small-scale producers. There is, however, a production ceiling, due to demand and production considerations, associated with small-scale broiler production. This ultimately results in a dualistic industry with an informal (live sale) value chain at the one end of the spectrum and a sophisticated large-scale commercial value chain at the other. Given the salient production features and investment requirements associated with large-scale broiler production, organic growth from the small-scale value chain into the commercial value chain seems improbable. The dual nature of this industry should therefore be considered when developing policy geared towards development, poverty alleviation and value chain integration.     

The First World/Third Party Criterion: A Feminist Critique of Production Boundaries in Economics

This paper examines definitions of production boundaries in economics, explores the limitations of these definitions with respect to the inclusion of unpaid domestic labor, and considers the significance of such an exploration for feminist economic analysis. Margaret Reid's ''third party criterion,'' a definition of economic activity advocated by many feminists and one used to set the production boundary for most household production models, sets an implicit market standard for defining nonmarket economic activity and therefore contributes to the marginalization of such production. Similarly, production boundaries considered appropriate in third world contexts, such as those defined in the recently revised System of National Accounts, also use implicit market standards for defining nonmarket economic activity. A ''first world'' criterion implicit in such production boundaries defines nonmarket activity as work only if it would have been dealt with on the market in the first world; this results in the inclusion of some of the unpaid domestic activity of rural women on grounds which reinforce the exclusion of work such as child care and the preparation of meals in theory and policy. Feminist economists should beware the danger of recreating implicit assumptions and definitions which result in the exclusion of unpaid domestic labor.     

姜梨园矿区在生产活动影响下水文地质条件变化的评价

姜梨园矿区属于丰-沛隆起位于单县-丰县-沛县一带,总体为东西走向的隆起构造。矿区内由南向北地层渐新,矿体南侧,依次为寒武系、奥陶系三山子组和贾汪组、闪长斑岩岩体;矿体部分为奥陶系肖县组。矿体北侧为石炭系和二叠系。主要为奥陶系灰岩富水,本文主要就矿床开采后水文地质条件变化做简要阐述。     

The decision to invest in a low-wage country: Evidence from Italian textiles and clothing multinationals

In this paper we investigate the firm-specific factors that account for the decision to invest in low-wage countries on the part of Italian firms in the textiles and clothing sector. This analysis is motivated by the fact that our survey data show, between 1990 and 1997, a decline of average employment in parent companies, while that in subsidiaries grew substantially. However, correlation and regression analysis show that employment in parent companies that invested in low-wage countries only seems to be negatively related with employment abroad. Our hypothesis is that investments in cheap labour countries are mainly cost-driven and are undertaken by firms that focus on a low-quality, low-cost strategy. We test this hypothesis through a probit analysis. The evidence suggests that investments to cheap labour countries are more likely to be of a vertical type, being relatively more labour-intensive compared with the parent company. Our hypothesis seems to be confirmed empirically. Investments in low-wage countries are more likely to generate abundant intra-firm trade and to be undertaken by firms with low shares of skilled employment.