VIX term structure and VIX futures pricing with realized volatility

Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed-form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high-frequency data, the proposed model provides superior pricing performance compared with the classic Heston–Nandi GARCH model under a variance-dependent pricing kernel, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods.     

金正恩时代的朝鲜经济体制转型研究

采用转型政治经济学的理论框架,分析金正恩时代的经济改革可以发现,朝鲜在经济战略、价格、市场、产权和经营权、对外经济、金融、财税等领域采取了一系列改革措施,日益呈现出计划经济向市场经济过渡的转型特征。金正恩的经济改革不是经济管理方式的浅层变化,而是经济体制的转型。朝鲜经济体制转型虽取得一定成果,但仍面临着国际制裁、国内制度建设滞后等约束条件,迫切需要在无核化问题上继续前进和进一步的改革。朝鲜经济体制转型有利于推动朝核问题解决和东北亚地区合作进程,各国应据此制定针对性的对朝政策。.     

Tobacco retail licences and state formation in early modern England and Wales

This article addresses one under‐studied aspect of Charles I's finances during his Personal Rule: the licensing of tobacco retailers. While it was ultimately a failed project, the tobacco retail licence project was fiscally successful before the transformative events of the 1640s triggered its demise. The project enabled tobacco retail licensees to establish commercial outlets for the marketing of tobacco throughout England and Wales, and cooperation with pre‐existing officeholders contributed to the apprehension of unlicensed retailers. Ultimately, the geographic breadth of tobacco licences translated into much‐needed royal revenue which, when added to other projects and patents, contributed to the king's financial survival. The evidence presented here suggests that we may want to rethink some of our assumptions for how the process of state formation worked and that earlier seventeenth‐century ‘prototypes’ of taxation were more fiscally successful than previously recognized.     

知识型员工双重社会网络对企业创新绩效作用机制研究

基于企业基础资源观和组织学习理论，从知识型员工个人和组织社会网络两个方面构建知识型员工双重社会网络影响企业创新绩效的理论模型，分析知识共享、组织学习及资源整合在员工双重社会网络对企业创新绩效影响机制中的作用。结果表明：知识型员工双重社会网络对科技型企业创新绩效的作用路径有3条，资源获取与整合、知识共享与学习及员工动态创新能力分别在其中发挥中介作用；在不同类型组织文化环境中，知识型员工双重社会网络对企业创新绩效的作用特征、作用重点以及作用机制存在显著差异，内部整合维度主要通过知识共享和组织学习影响企业创新绩效，外部适应维度主要通过隐性知识传播和资源整合影响企业创新绩效。     

Further Mining the Predictability of Moving Averages: Evidence from the US Stock Market

Most studies on the predictability of moving average (MA) technical analysis use the discrete (buy/sell) trading recommendations. However, it is possibly incomplete or unreliable to explore the predictability of MA by only employing its generated trading signals. To further explore the forecastability of MA, we study its measurable impact on the stock market returns by using a conventional predictive regression framework. Our empirical study on the US stock market with respect to more detailed price information finds, (i) that the proposed predictor, MADP (MA based on daily prices) shows significant predictability in‐ and out‐of‐sample, and significantly outperforms the historical average (HA) benchmark as well as the MA based on monthly prices, (ii) that the predictability of MADP centers on the short‐term lags (within the most recent 10 days) and disappears when lags are beyond 20 days, and (iii) that the economic evaluation of the portfolios based on trading strategies confirms the superior performance of MADP with short‐term lags against the benchmark even though considering transaction costs.     

Tracking influent inorganic suspended solids through wastewater treatment plants.

From an experimental and theoretical investigation of the continuity of influent inorganic suspended solids (ISS) along the links connecting the primary settling tank (PST), fully aerobic or N removal activated sludge (AS) and anaerobic and aerobic sludge digestion unit operations, it was found that the influent wastewater (fixed) ISS concentration is conserved through primary sludge anaerobic digestion, activated sludge and aerobic digestion unit operations. However, the measured ISS flux at different stages through a series of wastewater treatment plant (WWTP) unit operations is not equal to the influent ISS flux, because the ordinary heterotrophic organisms (OHO) biomass contributes to the ISS flux by differing amounts depending on the active fraction of the VSS solids at that stage.     

Bench- and pilot-scale sludge electrodewatering in a diaphragm filter press.

Electrodewatering is a technique in which pressure dewatering is combined with electrokinetic effects to realize an improved solid/liquid separation and hence increased filter cake dry matter contents. In order to be energy efficient, it is shown that sludge should be dewatered by pressure dewatering to a high extent prior to electric field application, and a sufficient contact time for the electric field must be guaranteed. In order to realize these goals, a bench- and pilot-scale diaphragm filter press suited for electrodewatering were constructed for treatment of sewage and other types of sludges. It was shown that electrodewatering of sludge is a feasible technique, especially for biological sludge types. Other types of sludge are less suited for electrodewatering because of the restricted improvements that can be realized in cake dry matter content and the high electric energy consumption. Furthermore, it was shown in pilot-scale tests that the use of a diaphragm filter press with electrodewatering facilities was very well suited to deliver dry filter cakes of sewage sludge at a moderate energy consumption. Depending on local market prices for investment, operating and sludge disposal costs, this technology may therefore lead to important savings in the sludge management process.     

张峰水库溢洪道体型优化设计

本文对已设计的张峰水库溢洪道进行了模型试验,根据对试验结果分析,认为原方案设计存在一些问题,并针对问题进行了优化设计。通过对修改方案模型试验结果分析,得出修改方案改进了原方案中存在的不足,优化合理,是可以采用的。     

"7·15"洪灾的反思及防洪救灾对策

4号强热带风暴“碧利斯”造成突如其来的特大暴雨,降雨范围广,强度大,总量多,时间长,在宜章创下了之最,而且在湖南省也是罕见的。文章对“7·15”特大洪灾雨水情、灾情、抢险救灾存在的问题进行了分析和反思,并提出了防汛抢险的措施和对策。     

Design of a retention tank: comparison of stormwater quality models with various levels of complexity.

Stormwater quality simulation models are useful tools for the design and management of sewer systems. Modelling results are highly sensitive to experimental data used for calibration. This sensitivity is examined for three modelling approaches of various complexities (site mean concentration approach, event mean concentration approach and build-up, washoff and transport modelling approach) applied to a typical case study (design of a dry detention tank), accounting for the variability of calibration data and their effect on simulation results. Calibrated models with different calibration data sets were used to simulate 3 years of rainfall with different retention tank specific volumes. Annual pollutant load interception efficiencies were determined. Simulations results revealed (i) that there is no advantage in using the EMC model compared to the SMC model and (ii) that the BWT model resulted in higher design ratios than those given by the SMC/hydraulic approach. For both EMC and BWT models, using an increasing number n of events for calibration leads to narrower confidence intervals for the design ratios. It is crucial for design ratios to account for successive storm events in chronological order and to account for the maximum allowable flow to be transferred to the downstream WWTP.