Tales from tails: On the empirical distributions of forecasting errors and their implication to risk

When evaluating the performances of time series extrapolation methods, both researchers and practitioners typically focus on the average or median performance according to some specific error metric, such as the absolute error or the absolute percentage error. However, from a risk-assessment point of view, it is far more important to evaluate the distributions of such errors, and especially their tails. For instance, a lack of normality and symmetry in error distributions can have significant implications for decision making, such as in stock control. Moreover, frequently these distributions can only be constructed empirically, as they may be the result of a computationally-intensive non-parametric approach, such as an artificial neural network. This study proposes an approach for evaluating the empirical distributions of forecasting methods and uses it to assess eleven popular time series extrapolation approaches across two different datasets (M3 and ForeDeCk). The results highlight some very interesting tales from the tails.     

基于个性化的江西省乡村旅游空间分布及评价

［目的］通过对个性化的江西省乡村旅游区的空间分布进行研究，并对个性化的红色旅游资源进行评价，以期对乡村旅游的发展提供新的思考路径，建立具有个性化的乡村旅游体系。［方法］运用GIS102操作平台对江西省119个红色乡村旅游区的空间分布情况进行研究，通过计算最临近点指数、地理集中指数和核密度计算分析其空间分布特征。以资源要素价值、开发价值和社会效益组成评价层，下分14个指标，对江西省红色旅游资源进行评价研究。［结果］(1)江西省红色旅游区分布类型为集聚型，分布不均衡； (2)在评价准则层中，旅游资源要素价值权重最大，为0647 9，其次为社会效应，权重为0229 9，开发条件权重最低，为0122 2； (3)指标层权重排名前三位的依次为资源完整性、教育性和组织管理，权重值分别为0162 0,0116 5和0111 7。［结论］江西省乡村红色旅游区数量较多，但整体呈集聚型分布特点； 旅游资源要素价值权重最高，且整体资源禀赋较强，社会带动效应明显，具有极强的开发价值。     

Where to donate: The geographical distribution of corporate philanthropy in China

An emerging body of literature has demonstrated that corporate philanthropy can be an important part of a company’s business strategy. However, we know relatively little about how companies allocate philanthropic resources to achieve their strategic targets. Using geographical distribution data on corporate philanthropy in China from 2009 to 2016, we provide robust evidence of companies’ revenue-driven regional favoritism. Specifically, companies donate more to regions where they obtain revenue than to other regions. Further evidence suggests that this revenue-driven regional favoritism may have both reputational and political motivations. Further analysis suggests that China’s targeted poverty alleviation policy has compromised revenue-driven regional favoritism while increasing the amount of money donated to poor regions. Overall, we enrich understanding of decision-making on corporate philanthropy. We also demonstrate that companies can use the geographical distribution of corporate philanthropy strategically to obtain consumer and government favor in regions where they operate. The results also provide evidence at the micro company level of the effect of China’s implementation of a targeted poverty alleviation policy.     

河南省传统村落空间分布特征及影响因素研究

[目的]分析河南省传统村落的空间分布特征及其影响因素,以期为中原地区传统村落的建设发展提供指导。[方法]文章通过谷歌地理信息系统及Arc GIS10. 2软件对河南省124个国家级传统村落的空间分布类型、分布格局、分布均衡型及影响因素进行分析,采用最邻近距离法、核密度估计法及地理集中程度等方法揭示其空间分布特征及其形成的影响因素。[结果]最邻近距离法分析R=0. 628,小于1,分布类型为凝聚型。核密度分析中,整体空间分布呈现3个核心区域,平顶山东北区域,豫西北沿省边界呈带状分布及豫南信阳南部,空间分布受地理、经济和文化等因素影响。[结论]河南省传统村落的空间分布属凝聚型不均衡分布。从地级市层面上分析,主要集中在平顶山东部、信阳南部和三门峡地区;从分区层面上,以豫中较多,豫北、豫西和豫南其次,豫东基本空白。形成原因与地理高程、社会经济和历史事件有关。交通不便、经济相对发达或相对落后、历史事件少发的区域,传统村落保存较为完整。     

Forecasting dynamic return distributions based on ordered binary choice

We present a simple approach to the forecasting of conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regressions that imposes a connection on sign predictability across different quantiles. The model forecasts the future conditional probability distributions of returns quite precisely when using a past indicator and a past volatility proxy as predictors. The direct benefits of the model are revealed in an empirical application to the 29 most liquid U.S. stocks. The forecast probability distribution is translated to significant economic gains in a simple trading strategy. Our approach can also be useful in many other applications in which conditional distribution forecasts are desired.     

Hyperbolic normal stochastic volatility model

For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR) model. Using two generalized Bougerol's identities in the literature, the study shows that our model has a closed-form Monte Carlo simulation scheme and that the transition probability for one special case follows Johnson's distribution—a popular heavy-tailed distribution originally proposed without stochastic process. It is argued that the distribution serves as an analytically superior alternative to the normal SABR model because the two distributions are empirically similar.     

山西省乡村休闲旅游地空间分布特征及影响因素研究

［目的］通过对山西省乡村休闲旅游地的空间分布特征及影响因素进行研究，旨在为山西省的乡村旅游发展提供合理的参考建议。［方法］选取山西省213处国家级和省级乡村旅游示范点为研究对象，运用最临近点指数对其空间分布类型进行判别，并运用地理集中指数和地理联系率对其分布均衡程度和地理联系程度进行考量，通过核密度图进一步分析其空间分布指向，在此基础上对影响因素进行分析。［结果］山西省乡村休闲旅游地空间分布呈集聚分布的特点，且与经济规模和人口密度在空间上的均衡、配合程度较高。［结论］（1）山西省乡村休闲旅游地包括以太原和晋中为主的中部密集区和以临汾、运城、晋城为主的南部密集区，且都以各地级市为中心向周边扩展，大多数示范点分布于城郊地区； （2）经济发展、人口密度、资源禀赋、区位因素和社会因素是影响山西省乡村休闲旅游地分布的主要因素，其中农业科技类、农事体验类和特色村镇类多分布于经济和人口密度较高的地区。     

LT码新型度分布及其在电力线通信中的应用

Luby变换(Luby Transform,LT)码作为信道编码应用于电力线通信(Power Line Communication,PLC)，可实现电信号的可靠传输。度分布对LT码编译码性能的影响至关重要。为了得到更优的度分布，首先调整二进制指数分布(Binary Exponential Distribution,BED)中的度数比例，获得一种译码性能更优的改进的二进制指数分布(Improved BED,IBED)。然后，根据IBED在冗余度较小时译码成功率高，而冗余度增大后鲁棒孤子分布(Robust Soliton Distribution,RSD)的译码性能表现更佳的特点，通过求和归一化的方式将IBED与RSD两种度分布的优势进行有机结合，提出一种新型二进制鲁棒孤子分布(Binary RSD,BRSD)。仿真结果表明，与其他方法及传统的RSD相比，采用新度分布进行LT编码，可明显降低译码开销，并节约编译码耗时。将新型度分布应用于基于LT码的PLC系统中，能有效地抑制PLC信道中各种噪声对电信号的干扰，并提高通信效率。     

平顶山市休闲农业不同区域的发展潜力评价

[目的]对平顶山市休闲农业的空间分布特征及其发展潜力进行分析和评价,以期为平顶山市休闲农业的可持续发展提供参考和借鉴。[方法]文章对平顶山市休闲农业空间布局分区论述,并采用层次分析法构建平顶山市休闲农业发展潜力指标评价体系,确定指标权重,然后根据各指标的游客和当地农民的打分值与权重值加权计算不同区域的发展潜力指数并比较发展潜力大小。[结果]根据区域位置和地理环境以及休闲农业发展速度,将平顶山市休闲农业划分为北部山区休闲农业区、东部城乡休闲农业区、南部现代休闲农业区和西部傍水休闲农业区4个区域,各区域发展特点突出。对各指标权重值与打分值的加权求和计算得到的不同区域发展潜力指数看出,西部傍水休闲农业区的发展潜力最大,其次为北部山区休闲农业区,再者是南部现代休闲农业区,东部城郊休闲农业区的发展潜力最小。[结论]平顶山市休闲农业发展前景广阔,具有可持续发展的巨大潜力。由于地理区位和交通基础设施建设及环境条件和农业基础的差异,平顶山市的休闲农业可分为东西南北4个发展区域,其中西部傍水休闲农业区和北部山区休闲农业区具有较大的发展潜力,平顶山市可将其作为重点发展对象,重点打造水岸和山村休闲农业游,借助发展优势突出区域特色。