Research on a stock-matching trading strategy based on bi-objective optimization

In recent years, with strict domestic financial supervision and other policy-oriented factors, some products are becoming increasingly restricted, including nonstandard products, bank-guaranteed wealth management products, and other products that can provide investors with a more stable income. Pairs trading, a type of stable strategy that has proved efficient in many financial markets worldwide, has become the focus of investors. Based on the traditional Gatev–Goetzmann–Rouwenhorst (GGR, Gatev et al., 2006) strategy, this paper proposes a stock-matching strategy based on bi-objective quadratic programming with quadratic constraints (BQQ) model. Under the condition of ensuring a long-term equilibrium between pairedstock prices, the volatility of stock spreads is increased as much as possible, improving the profitability of the strategy. To verify the effectiveness of the strategy, we use the natural logs of the daily stock market indices in Shanghai. The GGR model and the BQQ model proposed in this paper are back-tested and compared. The results show that the BQQ model can achieve a higher rate of returns.     

论大型商贸企业的组织创新与战略联盟

连锁经营和战略联盟是西方发达国家大型商贸企业继百货公司组织形式之后,对商品零售企业组织结构进行的两次最近创新.正是由于这些组织创新,才形成了美国今天的沃尔玛(WalMart)、购物城(ShopCo)、美国电脑(CompUSA)、德国的阿尔迪(Aldi)、英国的特斯科(Tesco)等全国性和跨国性零售巨头.     

体育明星代言的传播风险与应对策略

2008年8月18日11时55分，刘翔因伤退出奥运会男子110米栏比赛，他的意外离开不仅令错愕与惋惜瞬间在北京鸟巢内的9万名观众间弥漫开来，而且还震惊了数十家刘翔的代言公司包括耐克、可口可乐、安利、交通银行、联想、中国移动等。刘翔作为国内外企业一掷千金的奥运营销的最后王牌，却在现场演绎了一个英雄式人物的突然转身，让等待爆发的赞助企业在一片嘘声中，     

长寿风险、投资组合与退休决策

本文在一个考虑预期寿命趋势性延长的生命周期理论框架下探讨了人力财富、投资组合和退休决策之间的互动关系,结果显示,提高风险资产的持有份额和推迟退休年龄是人们应对长寿风险的理性策略;投资组合通过影响总财富从而对退休决策起着关键作用,而人力财富不仅可以通过总财富效应影响退休决策,还可发挥其作为不利冲击"缓冲器"的作用来影响投资组合;反之,退休决策作为劳动供给灵活性的体现也会影响人力财富的大小和投资组合策略。最后本文根据长寿风险与投资策略和退休决策的关系提出了现实的政策建议。     

当前企业财务风险管理策略分析

财务管理,是现代企业发展和经营的必要环节.经济发展的市场化,导致了企业发展存在一定的财务风险,社会主义建设新时期,采用有效的应对措施,规避企业财务的风险,是当前企业管理的重要基点.     

Half-day trading and spillovers

This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional correlation (DCC) and asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models to calculate the time-varying correlations of these two markets and examine the return and volatility spillover effects between these two markets. The empirical results show that there are only unidirectional return spillovers from the U.S. stock market to the Chinese stock market. The U.S. stock market has a consistently positive spillover to China’s next day’s morning trading, but its impact on China’s next day’s afternoon trading appears to be insignificant. This finding implies that information in the U.S. stock market impacts the performance of the Chinese stock market differently in distinct semi-day trading. Moreover, with respect to the volatility, there are significant bidirectional spillover effects between these two markets.     

当前企业财务风险管理策略分析

财务管理,是现代企业发展和经营的必要环节.经济发展的市场化,导致了企业发展存在一定的财务风险,社会主义建设新时期,采用有效的应对措施,规避企业财务的风险,是当前企业管理的重要基点.     

Technical analysis and computer trading

The efforts of the central banks of Western industrial countries to stabilize exchange rates following the Louvre Agreement demonstrated yet again how difficult it can be to influence events in the foreign exchange markets. What factors are currently affecting exchange rates? What significance attaches to technical analysis in this context?     

轨道交通与商圈

轨道交通与商圈主要有四个方面的内容,一个是轨道交通对商圈的推动作用,以及上海目前轨道交通与商圈的互动情况,以及未来的规划以及国际的介绍.     

国际贸易风险规避策略探讨

随着我国经济的快速发展,越来越多的国内企业与国际市场接轨,但机会与挑战并存,在国际贸易中还存在不少风险.文章剖析了我国企业面临的主要国际贸易风险,并从五个方面探讨了国际贸易风险的规避策略.     

国际贸易风险规避策略探讨

随着我国经济的快速发展,越来越多的国内企业与国际市场接轨,但机会与挑战并存,在国际贸易中还存在不少风险.文章剖析了我国企业面临的主要国际贸易风险,并从五个方面探讨了国际贸易风险的规避策略.     

Non-preferential trading clubs

This paper examines the welfare implications of non-discriminatory tariff reforms by a subset of countries, which we term a non-preferential trading club. We show that there exist coordinated tariff reforms, accompanied by appropriate income transfers between the member countries, that unambiguously increase the welfare of these countries while leaving the welfare of non-members unaltered. In terms of economic policy implications, our results show that there exist regional, MFN-consistent arrangements that lead to Pareto improvements in world welfare.     

Insider trading revisited

A recent article in this Journal argued that insider trading is an unethical practice leading to an inefficiently functioning market. The debate on this topic has primarily pitted ethical defenses of prohibition against economic arguments extolling its allowance. In addition to being incomplete, this approach ignores other unwanted economic effects of prohibition itself and unethical implications of its existence. This article shows that Adam Smith's free market concept, when properly interpreted, provides all the incentive structure necessary for an efficient and ethical marketplace even when insider trading is permitted. Deryl W. Martin has presented his research at several regional and national conferences, and has published in the Journal of Economics and Business, the Journal of Strategic and Financial Decisions, The Moneypaper, and several proceedings and newspapers. He is currently Assistant Professor of Finance at Tennessee Technological University in Cookeville, TN.Jeffrey H. Peterson is a doctoral candidate in finance at the University of Alabama. He also has presented his research at several regional and national meetings, and is currently Instructor of Finance at St. Bonaventure University in Olean, NY.     

Robust irreversible investment strategy with ambiguity to jump and diffusion risk

This paper constructs a robust and irreversible investment rule applicable to a series of adjacent models. The project value follows a jump-diffusion process and the investor exhibits complete ambiguity aversion or partial ambiguity aversion to the diffusion, jump amplitude, and jump frequency components. The impact of ambiguity aversion with respect to different components on the optimal investment strategy is examined. The investment decision is mainly driven by ambiguity aversion to the jump amplitude rather than frequency, and an increase in jump intensity leads to the greater importance of ambiguity aversion to jumps. We further show that ambiguity aversion regarding jumps plays a dominant role in determining the investment boundary for low volatility values, and the influence of ambiguity aversion to the diffusion part gradually outweighs that of ambiguity aversion to jumps as volatility grows.     

Currency trading and international financial instability

During the past year, global capital markets have experienced an unprecedented series of financial turmoils. Asian contagion, Russia's default and the collapse of the US hedge fund Long Term Capital Management (LTCM) are the low points of this development. As recent events in Latin America and elsewhere indicate, there is no prospect that markets worldwide will lastingly calm down soon. There is an abundance of proposals and suggestions on how the system should be stabilised. The most popular among them include the control of capital flows and hedge-fund activities. The following article draws attention to another element of financial instability which at times triggers, at times fuels, a crisis: expectation-driven foreign exchange transactions.     

Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions

We analyze the influence of the Chinese lunar calendar and superstitions on holiday preferences using theories on time and mood to identify investor sentiment. Trading interruptions caused by Thursday holidays negative significantly influence investor sentiment for trust companies and individual investors. Trading detachment derived from cultural holidays in June positive significantly influences investor sentiment for dealers and individual investors. Trust companies and the market exhibit significantly positive sentiments toward winter holidays. The stock exchange indicates negative and positive sentiments toward winter holidays and holidays in January. Cultural holidays and superstition in Taiwan indicate strong support for holiday preferences in Asia.