不同行业股票流动性的差异性与一致性研究

流动性是证券交易的重要特征,本文讨论了上海证券市场上不同行业股票之间流动性的差异性与一致性。论文通过对不同行业股票买卖价差、深度与换手率等流动性指标上的分析,发现在同一时间上不同行业的股票存在流动性上的差异,从而对不同类型投资者选择投资目标提供了有用的参考;而在时间序列上,回归分析说明各行业股票在流动性上又具有很强的一致性,这一结果说明,通过投资组合无法降低交易成本。     

m序列的倒序列的数学分析

本文试图应用二元域上的数学方法,对m序列的倒序列进行较详细的分析,提出通过采样方法来获得倒序列的基本思想,推导并证明两个结论。最后给出m序列与其倒序列之间的关系和一个实例。     

Learning, price formation and the early season bias in the NBA

We test the NBA betting market for efficiency and find that totals lines are significantly biased early each season, yet sides lines do not show a similar bias. While market participants generally force line movements in the correct direction from open to close, they do not fully remove the identified bias in totals lines. This inefficiency enables a profitable technical trading strategy, as the resulting win rate of our proposed simple betting strategy against the closing totals line is 56.72%.     

一种免伪码同步恢复的数字化零中频解扩方案

零中频方案是实现数字化解扩的主要手段之一。本文在对等chip速率和2倍chip速率A/D采样解扩进行性能分析的基础上，给出了一种不需要伪码同步恢复的基于2倍chip速率采样的快速零中频数字解扩方案。     

基于HFA3860扩频基带处理器的MBOK扩频调制技术研究

目前普遍采用的ＤＳＳＳ扩频调制方式在提高数据速率的同时必定大幅度增加带宽,如何对高速数据进行扩频处理而且不增加频带的开销是一个热点问题,美国Ｈａｒｒｉｓ公司在这一领域走在了前列,率先研制出了适用于ＩＥＥＥ８０２．１１ＷＬＡＮ协议标准的能够处理速率为５．５Ｍｂｐｓ和１１Ｍｂｐｓ数据的诉频基带处理器ＨＦＡ３８６０,较好地解决了高信息速率与高频带利用率的矛盾。本文详细地论述了它所采用的ＭＢＯＫ扩频调制方     

The impact of reduced pre-trade transparency regimes on market quality

This paper studies the effects of pre-trade quote transparency on spread, price discovery and liquidity in an artificial limit order market with heterogeneous trading rules. Our agent-based numerical experiments suggest that full quote transparency incurs substantial transaction costs to traders and dampens trading activity in an order-driven market. Our finding reveals that exogenous restriction of displayed depth, up to several best quotes, does not benefit market performance. On the contrary, endogenous restriction of displayed quote depth, by means of iceberg orders, improves market quality in multiple dimensions: it reduces average transaction costs, maintains higher liquidity and moderate volatility, balances the limit order book, and enhances price discovery.     

Valuing spread options with counterparty risk and jump risk

In this paper, we investigate spread options with counterparty risk in a jump-diffusion model. Due to the fact that there is no closed-form formula of spread options with counterparty risk, we obtain analytical expressions of lower and upper bounds by employing the measure-change technique. Finally, we numerically check the accuracy of the bounds and analyze the impacts of counterparty risk and jump risk on spread option prices.     

Performance and determinants of the Merton structural model: Evidence from hedging coefficients

We empirically test the effectiveness of the Merton (1974) model in measuring the sensitivity of corporate bond returns to changes in equity value. We study the main variables that affect the performance of the model and relax the assumption of normally distributed rates of return. Results show that less than 6% of the bonds have a hedge ratio within 10% from the model predicted value. Volatility, time to maturity, size, distress, liquidity and information quality are found to be significant determinants of the efficacy of the model.     

Public Finance in Spain in the early twentieth century

Abstract

Spanish political economy experienced a profound decadence during the second half of the nineteenth century. Such period of isolation came to an end during the early twentieth century. The most outstanding economists of that period such as Flores de Lemus, Bernis or Torres were persuaded that Spanish economic development was strongly linked to a tax system reform. At the same time, numerous writings on public finance were published by secondary authors and a wide range of foreign handbooks were translated into Spanish. Consequently, public finance became an outstanding channel for the introduction of marginal theory and German Historicism into Spain.     

混合DS／SFH扩频通信技术在多目标测量中的应用

本文阐述了混合ＤＳ／ＳＦＨ扩频通信技术在多目标测量中的应用，分析了发送，包络平方接收，给出了距离及其分辨率的表达式。