Optimal measure preserving derivatives revisited

This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The relationship depends on whether the payoff distribution of the market portfolio satisfies a technical condition called adequacy, meaning that it is atomless or is comprised of finitely many equally probable atoms. Under adequacy, pricing kernel nonmonotonicity is equivalent to the existence of a strong form of stochastic arbitrage involving distributional replication of the market portfolio at a lower price. If the adequacy condition is dropped then this equivalence no longer holds, but pricing kernel nonmonotonicity remains equivalent to the existence of a weaker form of stochastic arbitrage involving second-order stochastic dominance of the market portfolio at a lower price. A generalization of the optimal measure preserving derivative is obtained, which achieves distributional replication at the minimum cost of all second-order stochastically dominant securities under adequacy.     

西北地区城乡收入差距的时空分异及影响因素

目的 为准确把握市域尺度下西北地区城乡收入差距的时空演变特征，促进该区域城乡融合发展。方法 文章基于2010—2018年51个市域单元城乡居民收入比数据，综合运用核密度估计、探索性空间数据分析和空间回归模型等方法研究了西北地区城乡收入差距的时空分异及影响因素。结果 （1）西北地区城乡居民收入比由3.189下降至2.736，下降幅度为14.21%；（2）空间分布格局上形成了东西方向的“U型”特征和南北方向由北及南平滑上升的特征；（3）全局莫兰指数在波动中由0.322上升至0.358，上升幅度为11.18%；（4）空间滞后模型表明城镇化对城乡收入差距有正向影响，产业结构高级化、农业现代化和金融效率对城乡收入差距有负向影响，而经济发展虽然能够缩小城乡收入差距，但两者在计量结果上显示“U型”关系。结论 西北地区城乡收入差距在小幅波动中表现出缩小的趋势，且市域之间的差异呈现出收敛的态势；西北地区城乡收入差距在空间分布上表现出较为显著的正自相关性，且在局部地区有板块集聚特征；空间因素是西北地区缩小城乡收入差距不可忽视的重要因素。     

Time-varying variance and skewness in realized volatility measures

We propose new empirical models to capture the dynamics of the variance and skewness in realized volatility measures. We find that time-variation in variance and skewness of realized measures is a key empirical feature, even after accounting for well-known, stylized facts such as long-memory-type persistence and large incidental observations. Using a broad range of 89 US stocks across different sectors over 2001–2019, we show that these are not incidental phenomena of a few stocks but are widely shared. Accounting for dynamics in the variance and skewness of realized measures results in significantly better in-sample fit and out-of-sample unconditional density and quantile forecasts.     

长江经济带绿色生产方式的测度及综合评价

推动生产方式绿色化是实现经济高质量发展和建设社会主义现代化国家的关键途径。基于绿色生产方式的内涵和外延，构建了涵盖绿色产业布局、绿色生产过程和绿色制造体系三个维度26个指标的长江经济带绿色生产方式指标体系，运用定基极差熵权法测度2015—2020年长江经济带生产方式绿色化水平作为其绿色生产方式的量化指标，并采用核密度估计、空间可视化分析及耦合协调度分析，对其时空演化特征和协同效应进行全面分析。研究发现：2015—2020年，长江经济带11省（市）的生产方式绿色化水平实现了较快提升，整体上呈现逐年上升态势，但沿线省（市）间生产方式绿色化水平的差异逐渐扩大；长江经济带生产方式绿色化水平呈现空间正相关性，但这种空间相关性在2017—2020年逐渐减弱。长江经济带生产方式绿色化水平存在明显的区域差异，呈现出“下游地区>中游地区>上游地区”的分布格局。长江经济带绿色生产方式中绿色产业布局、绿色生产过程和绿色制造体系三个维度的协同效应逐渐增强，但是整体协同水平依旧较低、地区差异明显，协同能力仍需提升。     

Covariance dependent kernels,a Q-affine GARCH for multi-asset option pricing

This paper introduces a class of multivariate GARCH models that extends the existing literature by explicitly modeling correlation dependent pricing kernels. A large subclass admits closed-form recursive solutions for the moment generating function under the risk-neutral measure, which permits efficient pricing of multi-asset options. We perform a full calibration to three bivariate series of index returns and their corresponding volatility indexes in a joint maximum likelihood estimation. The results empirically confirm the presence of correlation dependance in addition to the well known variance dependance in the pricing kernel. The model improves both the overall likelihood and the VIX-implied likelihoods, with a better fitting of marginal distributions, e.g., 15% less error on one-asset option prices. The new degree of freedom is also shown to significantly impact the shape of marginal and joint pricing kernels, and leads to up to 53% differences for out-of-the-money two-asset correlation option prices.     

栅格网络空间下基于加权核密度估计法的公交场站供需分布模型

早期公交场站规划仅考虑了功能需求，与周边交通组织规划脱节，造成城市现有公交场站基本存在时空布局不均衡、建设滞后等问题，制约了公共交通发展，故有必要考虑定量分析场站供需分布特征，为公交场站布局优化提供决策依据。基于栅格数据模型，利用改进的加权核密度估计法分别建立场站需求及供应的概率密度估计模型，然后基于多层栅格数据叠合分析方法将场站需求及供应的栅格层进行叠加分析，构建解析场站供需分布特征的栅格估计模型。最后，选取深圳市为应用案例，利用构建的供需分布模型对深圳市的公交场站供需分布特征进行定量、可视化分析，展现了深圳市公交场站覆盖区域及分配情况，验证了模型的有效性及适用性。     

机用锯条端头双孔冲模设计

介绍了机用锯条的加工工艺、锯条端头以及双孔模具的结构及设计要点,该模具结构简单合理,能在1台压力机上同时完成端头以及双孔加工,效率较高。该模具左右2个冲模之间的距离可调,可以加工双孔中心距为300~600mm的多规格锯条。     

聚氨酯多孔弹性混合料水稳定性影响因素研究

聚氨酯多孔弹性混合料(PPEM)由聚氨酯黏结剂、橡胶颗粒和石料组成，相较于普通沥青混合料具有空隙率大、橡胶颗粒掺量高等特点。由于PPEM是大孔隙结构，使得雨天雨水易流入路面内部，进而引发水损害。为此,基于浸水马歇尔试验、冻融劈裂试验和浸水飞散试验，分别测试不同聚氨酯黏结剂、橡胶颗粒替换量、级配3种工况下PPEM的水稳定性。结果表明：对比分析不同聚氨酯黏结剂多孔弹性混合料，其中PU-III多孔弹性混合料水稳定性最好，PU-IV多孔弹性混合料水稳定性最差；当橡胶颗粒替换量不断提高时，PPEM的马歇尔残留稳定度和抗拉强度比呈线性增长，说明橡胶颗粒对PPEM水稳定性的提高有促进作用；PPEM所用级配的空隙率与其水稳定性呈负增长，水稳定性随空隙率增大而减小。