Hedging futures performance with denoising and noise-assisted strategies

Noise processing is very important to improve hedging effectiveness. However, the existing methods are mainly considered from the view of denoising strategy, and the research on noise-assisted strategy is limited. In this paper, a framework that includes both denoising and noise-assisted strategies is proposed to comprehensively analyze the impact of noise proceeding on hedging effectiveness. In detail, the EMD technology is utilized to decompose the futures and spot original returns. Then, the decomposition terms are stepwise removed or added in the opposite way to obtain the denoised and noise-assisted returns. Finally, under the minimum-CVaR framework, the dynamic hedged portfolios based on original and processed returns are constructed to test the hedging effectiveness. Based on the daily prices of CSI300, S&P500, WTI crude oil, and gold futures contract which range from February 9, 2007, to January 10, 2020, the empirical results indicate that both denoising and noise-assisted hedging strategies can decrease CVaR compare with using original return. Furthermore, denoising or adding high-intensity noise has better hedging performance than low-intensity noise, adding uncorrelated noise performs better than adding correlated noise Robustness results by changing confidence level validate the above conclusions.     

PU合成革剥离试验中试样制备对结果的影响评估

为了确保PU合成革剥离测试的准确性,对在制样过程中可能影响试验结果的因素进行了分析。研究结果表明,粘合基材、取样方向对试验结果有一定影响,而干燥温度的影响可忽略不计。至于试样的空气调节及试验环境条件,主要是控制好试验环境温度,而对湿度的要求一般不受限制。     

Exceptional Convergence of the Sample Variance

The case is investigated when Hoeffding's one sample U–statistic theorem for the sample variance S² is not applicable. It is shown that this occurs only when the parent distribution is the two–point distribution with jumps of equal magnitude. For this exceptional case the standardised S² is shown to converge in distribution to (1 – V )√2, where V has chi–square distribution with one degree of freedom.     

Convergence on the Market?

The economics of public choice indicates that in political systems with two main parties their policies tend to converge. Professor Josef Molsberger, of the University of Tübingen, reviews the convergence between the German Christian and Social Democrats and reflects on the prospects for convergence in the UK.     

对一般公认会计原则与国际财务报告准则趋同的研究

基于在美国上市的外国公司披露的由国际财务报告准则(IFRS)向一般公认会计原则(GAAP)调整的财务数据资料,通过单样本均值检验和回归分析对美国GAAP与IFRS之间的差异进行的实证研究,结果表明,按照IFRS和美国GAAP核算的净利润存在显著的差异,造成这种差异的原因主要是IFRS和GAAP在企业合并、无形资产、借款费用的资本化、金融工具、收入确认、养老金和退休后福利、税收、不动产等方面的会计处理不同。     

谈三网合一的可行性

随着经济、社会以及科学技术的发展,传统的电信网、有线电视网和计算机网各自为王的状况,成为羁绊信息产业发展的障碍,使得三网合一成为历史的必然和现实的需求。文章简述了信息革命时代发展史,分析了三网的现状,并针对三网合一的可行性及前景提出自己的见解。     

Dynamics of Trade Integration and Technological Convergence

The issue of the impact of trade on economic performance and labour markets has been intensively discussed in recent literature on trade liberalization and globalization, where the debate was mainly about identifying the relative impact of trade and technology. The bulk of the existing literature in this area employs, almost without exception, a static Heckscher-Ohlin framework that seems not to be a suitable tool for analysing the ongoing dynamics. This paper presents a dynamic multi-sectoral framework with heterogenous labour to explore the issue of trade liberalization and sectoral catching-up in productivity levels. The model is basically an input-output framework with Schumpeterian features; the latter are modelled as the impact of transitory rents that result from uneven productivity growth and technological catching-up upon the price and quantity systems of the trading economies. Relative productivity and wage rate dynamics across sectors determine the comparative costs and the dynamics of trade specialization. In the Appendix, the equilibrium solutions of the model are derived.     

高职院校专本衔接管理模式探讨

专本衔接在发展的过程当中会在很多方面都遇到不少的问题。本文就高职院校专本衔接管理模式进行探讨旨在提高高职院校的办学质量和学生的知识水平。     

会计准则国际趋同研究

本文从会计准则产生渊源的研究视角入手,分析了会计准则趋同的历史法律根源,探讨了当今世界会计准则体系向国际会计准则趋同方向发展的现象。同时结合我国实际,从经济学角度对新会计准则国际趋同进行了分析,并研究了国际会计准则尝试与我国新准则的趋同,认为路径与选择是在维护本国利益基础之上的必然抉择。     

论会计趋同化与差异性

经济全球化和国际资本市场的持续发展,迫切需要会计信息可比性的提高,会计全球趋同遂成为跨国上市和发行证券及其监管的必然要求。会计趋同首先是形式趋同,即准则层面的趋同。会计形式趋同能否带来实质趋同,即会计实务的一致和会计信息的可比?移植的国际财务报告准则(IFRS)及与国际趋同的国家会计准则是否能够得到有效、一致的执行?特别是国际金融危机的爆发,引发了新一轮国家保护主义思潮。受到金融危机重创的国家,其企业在执行国际趋同的准则中极可能存在操纵行为,从而在一定程度上消减准则趋同的效果。为此,本文探讨了会计趋同化以及与之密切相关的差异性问题,并对本领域的研究及进展予以简要回顾,以期提起准则趋同下会计差异性的认识。     

Convergence of Prices and Rates of Inflation*

We consider how unit‐root and stationarity tests can be used to study the convergence of prices and rates of inflation. We show how the joint use of these tests in levels and first differences allows the researcher to distinguish between series that are converging and series that have already converged, and we set out a strategy to establish whether convergence occurs in relative prices or just in rates of inflation. Special attention is paid to the issue of whether a mean should be extracted in carrying out tests in first differences and whether there is an advantage to adopting a (Dickey–Fuller) unit‐root test based on deviations from the last observation. The asymptotic distribution of this last test statistic is given and Monte Carlo simulation experiments show that the test yields considerable power gains for highly persistent autoregressive processes with ‘relatively large’ initial conditions. The tests are applied to the monthly series of the consumer price index in the Italian regional capitals over the period 1970–2003.     

“双证书”衔接研究综述

双证书衔接是国内外职业技术教育领域一个颇具研究价值的问题。文章对国内高等职业教育与职业资格认证衔接和军队士官院校教育与职业资格认证衔接两方面的相关研究作了综述。     

Convergence of information,random variables and noise

Random variables such as state-dependent prices often convey information while entering directly into a decision environment. To understand the convergence properties of behavior based on such random variables, the function mapping any random variable to the information it generates is examined. With respect to convergence in probability of random variables, the information map is continuous with respect to pointwise convergence of information only at completely revealing random variables. Continuity holds when the information map is restricted to any subset of random variables to which the same smooth independent term has been added. Relationships between convergence in distribution of perturbed random variables and convergence in distribution of conditional expectations are also studied.     

经济全球化和会计准则的国际趋同

世界经济的发展早已打破国界,经济已走向全球化。面对世界经济的急速变化,会计作为一种通用的商业语言,始终处于一个动态的、不断发展的过程中,最终走向了会计准则的国际趋同。2005年,欧盟27个成员国、澳大利亚、新西兰、俄罗斯等国约有7000家上市公司均遵循IFRSs编制财务报表。国际会计准则制定机构在2009年进行了改组,世界上越来越多的国家采用了国际财务报告准则(IFRSs)。2010年,IFRSs和美国GAAP之间的主要差异基本消失。我国财政部于2006年2月发布了39项企业会计准则,2010年又发布了《中国企业会计准则与国际财务报告准则持续趋同路线图》,中国会计准则也与IFRSs基本趋同。     

论会计准则国际化趋同的影响

市场经济已经发展了几百年,与其共同发展的会计惯例已经趋于成熟定型,而且是否运用国际会计惯例是一个国家进入世界经济市场的通行证,我国已经不再是个封闭的国家,它需要国际大市场,需要国际经济体系的接纳,因而积极寻求与国际会计惯例的协调,已经成为中国会计人的自觉行动。     

中国经济发展的地区差距与随机收敛检验

研究目标：测度中国经济发展地区差距并识别随机收敛俱乐部。研究方法：基于DMSP/OLS夜间灯光数据,利用Dagum基尼系数及分解方法测度中国经济发展的空间非均衡程度,并通过面板单位根检验对地区内经济发展收敛俱乐部进行识别。研究发现：中国总体地区差距主要来源于地区间差距,而不同地区间交叉重叠的影响极小。东部地区的河北、江苏、浙江、福建等省份,中部地区的河南、湖北、湖南等省份,西部地区的广西、重庆、四川、贵州等省份,它们的经济发展存在向局部均值随机收敛的趋势。研究创新：基于夜间灯光数据重新审视了中国经济发展的地区差距与随机收敛特征。研究价值：揭示出中国总体地区差距的主要来源,并进一步识别出各地区内经济发展收敛俱乐部。     

Combining PSO cluster and nonlinear mapping algorithm to perform clustering performance analysis: take the enterprise financial alarming as example

Algorithm by simulating biological intelligence concept with application in the optimization issue is still in the emergent stage. Among them, Particle Swarm Optimization Algorithm is a concept and method that has group intelligence. Using the exploring and development feature of particle swarm, the best solution of the entire domain is searched in the question space. However, Clustering Analysis has an objective to plan the data set according to certain principle into several sub-sets. Due to the practicability of Clustering Analysis, many scholars propose different clustering algorithms to be used by the researchers. Therefore, in this article, Particle Swarm Optimization Algorithm is adopted to self-write Clustering Analysis program. Then Fuzzy Sammon Mapping nonlinear mapping algorithm is associated to perform clustering performance and classificaton capability assessment. From the test result of test data of enterprise’s financial alarming, it can be seen that Particle Swarm Clustering Analysis can obtain good clustering performance, and good classification capability can be obtained too.     

产业结构趋同成因的博弈分析

本文应用博弈论的分析方法,建立一个解释产业结构趋同成因的理论模型,分析地区产业结构趋同的原因以及地区利益障碍和产业协调政策的重要性。通过分析我们认为,消除地区利益在产业结构调整中的障碍作用,关键是能否在尽快完成体制创新和制度创新的基础上,建立有效的地区利益协调机制,并在此基础上提出相应的政策建议。     

科技期刊融合出版道路实践探索

科技期刊已成为世界科学中心的一个重要组成部分,科技期刊发展水平是表征一个国家科研实力的重要标识.随着各种新兴出版模式的兴起,以及读者群体阅读习惯的不断改变,为顺应时代发展,科技期刊的出版模式也逐渐向着融合出版的方向衍变.本文通过介绍科技期刊经历的四个不同发展时期,以及现阶段科技发展对于科技期刊的具体要求,对科技期刊融合...