使用粒子群算法解决期权定价模型参数校准问题——以heston模型为例

期权定价模型的参数校准问题是一个常见的难题,以heston 模型为例,定价时需要估计6 个参数,参数估计问题实质上是高维非线性规划问题,由于估参函数的性质不好,一般的估参方法常常失效。使用粒子群（PSO）智能算法可以改善该模型的参数校准问题,因为粒子群算法具有内在随机性,因此参数估计中的局部极小值问题可以被较好地解决。使用2017 年12 月20 日的香港恒生指数期权作为估计样本,并对2017 年12 月25 日的期权进行样本外预测,数值结果表明使用heston 模型对期权进行定价并配合粒子群算法估计参数具有良好的定价效果。     

Decline and variability in brand loyalty

In this paper, we examine the over-time behavior of brand loyalty for a large set of brands drawn from 21 consumer packaged goods categories. Using the brand-loyalty operationalization of Colombo and Morrison (1989), the following conclusions are obtained. First, little support is found for the often-heard contention that brand loyalty is gradually declining over time. Second, while the short-run variability around a brand's mean loyalty level is not negligible, no evidence is found that this variability has systematically increased over time, and it can be reduced considerably through a simple smoothing procedure. Finally, the brand-loyalty pattern for market-share leaders is found to be more stable than for other brands. The study findings were robust to variation in the time interval used to construct the switching matrices, and to different treatments of multiple purchases.     

昆山花桥梦世界飞天影院单层球面网壳结构整体稳定性分析

对于球形单层网壳结构进行考虑初始缺陷的几何非线性的有限元分析即荷载-位移全过程分析。     

富水粉细砂地层隧道综合降水设计与施工技术

本文通过对实例进行分析论述,解决了围岩受施工扰动和水长期浸润后开挖时不稳定问题,保证了隧道结构和施工安全,为同等或类似地质条件下的地下工程研究及施工提供借鉴和参考。     

Coalition formation in general apex games under monotonic power indices

An apex game consists of one apex player and a set of minor players. We identify two key properties of apex games and use them to introduce the class of general apex games. We derive players' preferences over winning coalitions by applying strongly monotonic power indices on such a game and all its subgames and investigate whether there are core stable coalitions in the induced hedonic coalition formation game. Besides several general results, in particular, we develop conditions on the game for the Shapley–Shubik index, the Banzhaf index, and the normalized Banzhaf index.     

Temporal stability of preferences and willingness to pay for natural areas in choice experiments: A test–retest

The main objective of this paper is to test the temporal stability of stated preferences and willingness to pay (WTP) values from a Choice Experiment (CE) in a test–retest. The same group of participants was asked the same choice tasks in an internet-based CE, conducted twice with a time interval of one year without interviewer interference. We examine choice consistency at individual choice task level and transferability of the underlying indirect utility function and associated WTP values. The results show that choices are consistent in 57 percent of the choice occasions. Comparison of the choice models over time shows that the estimated preference and scale parameters are significantly different, suggesting that choice behaviour changed between the two surveys. Differences between marginal WTP estimates for individual choice attributes are statistically significant only at the 10 percent level. However, we show that this can result in significantly different WTP values for policy scenarios. The instability of estimated mean WTP values for different policy scenarios asks for caution when including WTP values in cost-benefit analysis.     

Impact of short selling activity on market dynamics: Evidence from an emerging market

With unique daily short sale data of Borsa Istanbul (stock exchange of Turkey), we investigate the dynamic relationship between short selling activity and volatility, liquidity and market return from January 2005 to December 2012 using a VAR(p)-cDCC-FIEGARCH(1,d,1) approach. Our findings suggest that short sellers are contrarian traders and contribute to efficient stock market in Turkey. We also show that increased short selling activity is associated with higher liquidity and decreased volatility. However this relation weakens during the financial turmoil of 2008. Our results indicate that any ban on short sales may be detrimental for financial stability and market quality in Turkey.     

The tortoise and the hare: the impact of employment instability on firm performance

The main objective of this study is to assess the influence of employment instability on firm performance in a sample of publicly traded firms. Competing theoretical arguments are considered with regard to likely outcomes associated with employment instability. A large sample of cross‐sectional time‐series data is then analysed using generalised estimating equations (GEE) regression techniques. Results indicate that employment instability is negatively associated with firm performance, although the relationship is also demonstrated to be quadratic (an inverse U‐shaped relationship). This suggests that the main relationship varies depending upon the level of employment instability. Industry characteristics are also examined as moderators of this main effect. The results suggest a disordinal interaction effect for industry differentiation, where employment instability is negatively associated with firm performance for firms in highly differentiated industries and positively associated in less differentiated industries.     

Bank ownership type and temporal evolution of long‐term bank funding in the period 2005–2017

This study uses a large panel dataset of Western European banks to examine the determinants of bank funding stability. Banks are divided into three categories by bank ownership type; the ownership types in this study are commercial banks, cooperative banks and savings banks. Three sources of stable bank funding are investigated: customer deposits, equity, and long‐term liabilities. Furthermore, the sum of these funding components is used as a proxy variable for a bank's total available stable funding (ASF). A special focus is on the temporal evolution of these funding types. The regression results show that commercial banks’ funding became much more stable in the period 2005–2017. However, that funding remains, on average, less stable than does cooperative and savings banks’ funding. In addition, funding stability has remained at the pre‐crisis level in cooperative and savings banks, despite a steep dip in cooperative banks’ ASF during the sovereign debt crisis. Furthermore, banks substantially decreased financing from long‐term liabilities after the financial crisis, replacing it with customer deposits and equity.     

土地产权稳定能促进农户绿色生产行为吗？——以广东省确权颁证与农户采纳测土配方施肥技术为例证

土地产权趋于稳定将强化农户的剩余控制权和剩余索取权，进而激励农户改进农业生产行为，但这种激励具有情景依赖性：由于农户进行农业生产经营的能力和目的不同，并不是所有的农户都会因此而改进农业生产行为。采用2018年广东省“千村调研”数据，分析确权颁证对农户采纳测土配方施肥技术的影响，结果表明：农地确权颁证虽然赋予农户实现农地价值的剩余权，但能否促进农户采纳测土配方施肥技术还取决于农户自身的获益能力和收益本身的效用。如果农户缺乏实现农业生产超额利润的能力（低收入农户），即使土地产权趋向稳定，也难以产生采纳测土配方施肥技术的动力；如果实现农地价值的最优方式是“他用”而非“自用”，即使采纳测土配方施肥技术会带来农业生产超额利润，农户也不会积极采纳；如果农户具有实现农业超额利润的能力（高收入农户）和预期（以农业为主业的农户），则确权颁证会促进其采纳测土配方施肥技术。农地确权颁证对农户绿色生产行为的促进有着情景依赖性，因而，在农地确权颁证的同时要完善农地流转制度，通过土地产权稳定和流转稳定的双重激励更有效地促进农业生产经营主体积极施行绿色生产行为。