基于隐性营销的品牌塑造与推广策略研究

隐性品牌塑造与推广作为一种新的理念,以其在品牌塑造与推广领域独特的优势日益引起人们的重视.本文初步探讨了隐性品牌塑造与推广策略以及在实施该策略时应注意的问题.     

Relation between bid–ask spread,impact and volatility in order-driven markets

We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that any market taking or liquidity providing strategies is at best marginally profitable, we obtain a linear relation between the bid–ask spread and the instantaneous impact of market orders, in good agreement with our empirical observations on electronic markets. We then use this relation to justify a strong, and hitherto unnoticed, empirical correlation between the spread and the volatility per trade, with R ²s exceeding 0.9. This correlation suggests both that the main determinant of the bid–ask spread is adverse selection, and that most of the volatility comes from trade impact. We argue that the role of the time-horizon appearing in the definition of costs is crucial and that long-range correlations in the order flow, overlooked in previous studies, must be carefully factored in. We find that the spread is significantly larger on the NYSE, a liquid market with specialists, where monopoly rents appear to be present.     

基于极值理论的我国期货市场保证金设置研究——经流动性风险调整后的优化设置

传统的期货VaR风险度量模型缺乏对流动性风险的考虑。本文以变现成本为依据构建期货流动性指标，将流动性风险纳入VaR模型的研究，并结合中国期货市场实际特点。以上海金属铜、郑州硬麦和大连大豆为样本运用极值理论进行了实证研究，结果表明，农产品期货硬麦、大豆的流动性风险大于工业品金属铜期货的流动性风险；并且在衡量我国期货保证金设定时发现，对于我国期货市场，流动性风险是一个不可忽略的风险组成部分。为此。通过建立流动性风险调整后的保证金优化设置模型，使所设置的保证金水平能够涵盖整个期货市场的价格风险与流动性风险。     

买卖价差与限价指令簿信息：基于时变MRR模型的实证研究

本文的主要目的是研究限价指令簿信息与买卖价差之间的关系。本文引入限价指令簿信息指标作为模型参数的状态变量．提出了时变MRR模型,并基于此模型对中国A股市场买卖价差进行了实证研究。本文实证表明,限价指令簿中所体现出的净卖出（买入）压力对原MRR模型中的流动性成本参数具有显著影响,且这种影响在买单与卖单中是非对称的;限价指令簿中的订单总量,则可以反映出交易流数据中无法反映的信息不对称程度,对原MRR模型中的信息不对称成本参数具有显著影响。另外,通过时变MRR模型估计出的隐含价差的日内走势与真实绝对价差及真实相对价差走势吻合,这说明模型可以较好地反映我国A股市场买卖价差的性质。     

基于最小生成树理论的空间结构分解模型

现有空间结构分解模型存在测算结果不唯一及不满足传递性两大问题。本文提出了一种基于最小生成树理论的空间结构分解模型,在保证多个地区间比较传递性的同时,减小了结构分解模型测算结果不唯一性对模型应用的影响。基于我国地区投入产出表,本文以ICT产业区位商比较的五变量结构分解为例,示范了如何定义帕式—拉式偏离指数(PLS),建立了基于PLS指数的最小生成树,并将结论应用于空间结构分解,对该模型的有效性进行了验证。     

存贷款利差结构变化对利率市场化改革的启示

本文从商业银行存贷款实际利差结构变化的角度出发,分析影响实际利差变动的主要因素,并据此评估利率市场化对商业银行经营带来的冲击。分析认为,商业银行可能采取非理性价格竞争手段扩大市场份额,并通过增加信贷规模方式来应对利率市场化导致的利差收窄。对此,中央银行应尽快建立存款保险制度,并加强通过间接手段来影响市场利率的能力。     

我国商业银行利差容忍度测度

文章假定我国商业银行贷款实际利率等于市场利率,模拟存款利率上限放开情境,选择2005年到2010年作为研究区间,对我国10家商业银行的利差容忍度进行测度。结果显示,2005年到2010年,随着我国商业银行,尤其是国有大型商业银行,经营效率的不断提高,对利差缩小的容忍能力显著增强,并且中型规模商业银行对利率市场化改革过程中利差缩小的容忍能力普遍强于国有大型商业银行,国有大型商业银行强于小型股份制银行。     

看法差异、信息不对称、卖空限制与价格形成

本文构建了一个有卖空限制的指令驱动的市场交易模型，在模型中考虑了交易者之间的信息不对称和看法差异，应用博弈均衡的分析方法，求解模型的均衡结果。通过对均衡结果的分析表明：市场均衡是知情与未知情者之间的一个混同均衡，均衡报价是未知情买卖者之间分配交易剩余的结果，其分配依据是买卖双方各自不能实现交易的相对风险。市场均衡时，一定存在正的买卖价差，价差由限价指令的执行风险补偿项和逆向选择风险补偿项构成。执行风险补偿项是资产分散度指标的减函数，是知情者比例的增函数，并且随交易者看法分散程度的提高而增大。逆向选择风险补偿项是资产分散度指标和知情者比例的增函数，并且随着未知情者对信息掌握程度的提高而减小。     

TDRSS中的码同步技术

本文对ＴＤＲＳＳ中的码同步技术进行了理论研究。首重讨论了定长检测和序贯检测这两种捕获方法。基本理论分析和ＴＤＲＳＳ正返向链路同步性能的计算结果，序贯检测的捕获性能优于定长检测的性能。     

Liquidity costs: Screen-based trading versus open outcry

The results reported in this paper challenge the popular belief that screen-based trading offered lower liquidity costs than the open-outcry approach during its first year of side-by-side operation in the U.S. financial derivatives market. Using time and sales data from the Chicago Board of Trade (CBOT) market profile data series, effective bid-ask spreads are estimated on the basis of daily and intraday measures of the Thompson-Waller and Smith-Whaley estimators. We find liquidity costs on the screen-based system vary with time and the level of floor trading activity. In particular, a one-tick market is observed just before the opening of the Chicago trading floor (6:30 to 7:30 am). However, subsequent intraday spreads exhibit the familiar “reverse J-shaped pattern”—highest following the opening of floor trading, declining until afternoon, and then increasing until close. Meanwhile, daily spread estimates average almost a quarter-tick higher on the screen-based market relative to the one-tick spread commonly associated with open outcry. This relationship remained robust across sample time-series and conservative price-change specifications. Since the study was conducted, electronic trading has become the predominant exchange medium for financial derivatives at the CBOT, following the example set in Europe's traditional futures exchanges, e.g. France's Matif, Germany's Deutsche Bourse and the U.K.'s Liffe.