基于量子三叉树的量子Black-Scholes期权定价

将量子概率引入到期权定价是最近几年一个新的研究趋势,也称为量子金融.为了期权定价更方便,文章建立了量子三叉树模型,同时利用量子概率建立了连续量子Black-Scholes(B-S)模型。实例应用和Matlab期权敏感性分析都验证了量子B-S优于经典B-S,从而为连续期权定价提供量子决策的途径。     

The evolution of world trade from 1995 to 2014: A network approach

This paper employs network analysis to study world trade from 1995 to 2014. We focus on the main connective features of the world trade network (WTN) and their dynamics. Results suggest that countries’ efforts to attain the benefits of trade have resulted in an intertwined network that is increasingly dense, reciprocal, and clustered. However, these features do not correspond to a linear aggregation of the characteristics of its constituents (trade sectors). Trade linkages are distributed homogeneously among countries, but their intensity (i.e. their value) is highly concentrated in a small set of countries. The main connective features of the WTN were not affected by the 2007–2008 international financial crisis. However, we find that the crisis marks a turning point in the evolution of the WTN from a two-group (led by the US and Germany) to a three-group (led by the US, Germany, and China) hierarchical structure.     

不完备信息系统辐射源威胁等级判定

针对不完备信息系统条件下的辐射源威胁等级判定问题，提出了一种基于改进容差关系粗糙集（ITR-RS）的不完备信息系统辐射源威胁等级判定方法。该方法将粗糙集中的不完备信息系统理论引入辐射源威胁等级判定中，并构建一套完备的决策规则提取模型。此外，利用辨识矩阵实现对属性的约简，在降低系统所需处理数据量的同时，提高了算法的实时性；在容差关系粗糙集的基础上，提出一种改进的容差关系，在属性主、客权重相结合的基础上引入阈值来划分加权阈值容差类，得到更为合理、准确的决策规则。仿真试验及分析表明，与经典RS算法相比，所提算法的威胁等级判定正确率提高了23%，可用于信息系统不完备条件下的辐射源威胁等级判定。     

智慧BIM乔木模型：从设计图纸到施工 现场

现有的BIM应用软件提供的乔木模型多为RPC或高 精度3D模型等3D CAD类型。这些模型着重于表达美感或进 行展示，无法反映根系情况。虽然可能包含一定附加属性，但 表达乔木生长和空间需求的功能有限。因而，冲突检查、工序 调度等BIM的优势功能无从应用。风景园林实践领域已就此问 题开始构建自己的模型库，但能够准确反映现状树木真实尺寸 体量，以及现状树木和规划树木未来空间需求的模型仍未广泛 出现。提出一种基于树冠、树干和根系构型与生长功能的实体/ 网面封装建模方法构建BIM乔木模型。模型形态通过一组参数 调整，并根据树龄和反映环境限制因子的值来反映其变化。所 包含的数据和参数数量随后期设计阶段所需的LoD(详细层级) 及专业实践的具体要求而增加。该模型可以与提供本地区内外 苗木商品信息的植物数据库连接使用。     

二叉树期权定价模式评估林业碳汇项目的价值

基于黑龙江省林业局和中国林业统计年鉴的数据,运用修正的Faustmann模型和二叉树期权定价方法分析黑龙江省黑河造林林区的碳汇价值及该项目的经济可行性。研究结果表明:经营成本负向影响项目的最终价值;碳汇价格和木材价格正向影响项目的最终价值;初始价值正向影响项目的最终价值;黑龙江省黑河造林林区项目具有较高的经济效益和生态效益。因此,相关部门应建立完善的碳汇交易市场,实施激励措施和制定林地产权制度。     

气候障碍因子对城市绿化适生树种选择的 影响——以上海世博公园为例

通过对上海近30年的气候因子汇总分析，结合对上 海世博公园主要绿化树种生长状况调查和年度生物量计算，通 过典型相关性分析发现，极端高低温、强风和暴雨等5个气候 因子对树木的生长产生了不同程度的影响，有些因子严重阻碍 了树木的正常生长，成为障碍因子。经过10年的绿化实践验 证，上海世博公园对骨干树种的选择，以乡土树种为主，群落 结构较为稳定，且气候障碍因子对乡土树种的影响较小。在引 种外来树种时，采用气候相似植物区系法，结合植物耐寒、耐 热带图，把种源地划分为2个气候带和3个植物区系，并确定了 最南引种线，成功引种了红花槭等20种观花色叶乔木树种。     

Uncovering the global network of economic policy uncertainty

This study uncovers the static and dynamic network of economic policy uncertainty (EPU) across 17 developed and emerging economies. We build a centrality network using the minimal spanning tree (MST) as well as a dependency network using partial correlations. Results from the MST show that EPU exhibits some degree of geographical connections with EPUs in seven countries in the sample directly linked to the US EPU. Evidence from dynamic time-varying MST reveals that the nature and dominance of the EPU network have changed significantly over time. Further, the US and German EPUs dominate a close-knit global policy uncertainty network with the highest net (To and From) transmitter of information flow in the dependency network. Greece, Russia, and Brazil are the top three net receivers of information in the global network of EPU. The policy implication of these results relates to the renewed and ongoing international debate on policy coordination.     

新疆林木种苗产业的市场结构、企业行为与市场绩效

市场结构和行为对市场绩效的影响机制是解释产业发展的重要前因。通过实地调研,分析新疆林木种苗产业组织市场结构-市场行为-市场绩效内在规律。结果表明,新疆林木种苗产业市场结构属于垄断竞争型市场结构;相当数量企业生产能力效率较低;市场种苗产业的生产能力利用率不高,市场绩效低下。基于结论,提出从优化市场结构,调整市场行为两个方面进行产业政策调整,进而提高市场绩效。     

How credible is the North Korean threat?

We perform event analysis on particular episodes of tension in the Korean peninsula between 2000 and 2008, and investigate the effect of the events on South Korean financial markets (stock markets, bond yield spreads and the exchange rate) given that South Korea would be the first affected by a military aggression from North Korea. Surprisingly, in nearly all cases, these events, which have often been dramatized in the world media, have no significant impact on either of these variables or only a very small one. We also find no significant impact of events on listed firms that would a priori be likely to suffer from increased tension between the two Koreas. Since financial markets often contain better predictions than expert opinions or surveys, these results strongly suggest that the North Korean threat is non‐credible.     

提升算法对传统车险索赔频率建模模型的改进——基于我国五省交强险保单数据

广义线性模型作为非寿险定价的经典模型,在非寿险定价中得到了广泛的应用。近年来,以提升算法为代表的机器学习算法在保险领域取得了很好的效果,为保险产品定价提供了一种新的选择。本文将提升算法思想分别融入到回归树模型和广义线性模型(GLM)中去,用得到的新模型对我国车险索赔频率进行预测建模分析,并与传统的回归树模型和GLM进行比较。结果表明,加入提升算法后传统车险索赔频率建模模型的效果得到了很大的改善,并且在不存在过拟合的前提下,随着模型深度和迭代次数的增加,模型的效果也在不断优化。