Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence

This paper analyses the unbiasedness hypothesis between spot and forward volatility, using both the actual and the continuous path of realised volatility, and focusing on long-memory properties. For this purpose, we use daily realised volatility with jumps for the USD/EUR exchange rate negotiated in the FX market and employ fractional integration and cointegration techniques. Both series have long-range dependence, and so does the error correction term of their long-run relationship. Hence, deviations from equilibrium are highly persistent, and the effects of shocks affecting the long-run relationship dissipate very slowly. While for long-term contracts, there is some empirical evidence that the forward volatility unbiasedness hypothesis does not hold – and, thus, that forward implied volatility is a systematically downward-biased predictor of future spot volatility – for short-term contracts, the evidence is mixed.     

A variation of the Azéma martingale and drawdown options

In this paper, we derive a variation of the Azéma martingale using two approaches—a direct probabilistic method and another by projecting the Kennedy martingale onto the filtration generated by the drawdown duration. This martingale links the time elapsed since the last maximum of the Brownian motion with the maximum process itself. We derive explicit formulas for the joint densities of , which are the first time the drawdown period hits a prespecified duration, the value of the Brownian motion, and the maximum up to this time. We use the results to price a new type of drawdown option, which takes into account both dimensions of drawdown risk—the magnitude and the duration.     

英汉虚构位移结构分析

虚构位移表达是对静态场景的一种动态表征形式。在虚构位移结构中,位移词用来描述并不发生实际运动的静态实体,在语言表层凸显静态实体的某种物理运动。利用Langacker认知语法中的射体(trajector)、路标(landm ark)来分析虚构位移的语言结构特点,可以发现隐现在语言结构中的观察者或其视线发生了位移,其中观察者采用顺序扫描来建构语义内容。     

The length of stay of tourists in Madagascar

Survival models are a type of analysis that investigate the length of stay of tourists in certain tourist destinations. This study analyzes the length of stay of tourists in Madagascar. A duration model is used to analyze the length of stay based on a questionnaire to ascertain the significant characteristics influencing the length of stay of these tourists. Policy implications are derived to improve the understanding and management of the length of stay of tourists.     

Eye movements on restaurant menus: A revisitation on gaze motion and consumer scanpaths

Menu designers have based design tactics on roughly applied psychological foundations. In particular, attention and memory-based design placement strategies are founded upon assumptions which necessitate a clear idea of consumer eye movement sequences across restaurant menus. The aim of this paper is twofold. First, a review of academic and practitioner literature is presented to frame the current discussion on gaze motion patterns as applied to restaurant menus. Second, the results of an eye-tracker study are presented as an empirical and more quantitatively analyzed replication of past restaurant gaze-motion studies. Results offer an average menu scanpath, show that observed consumer scanpaths differ from those anecdotally espoused by industry, and suggest traditional menu “sweet spots” may not exist.     

基于卡尔曼滤波的三星时差运动目标定位技术

针对三星时差无源定位体制的特点,研究空中运动目标辐射源定位技术。在匀 速直线运动目标模型下,通过改变地球方程参数,利用牛顿迭代算法给出目标的瞬时初始定 位点,并在此基础上利用不敏卡尔曼滤波对运动目标进行跟踪定位。仿真验证表明 ,利用三星时差测量体制和相关滤波算法,可以有效实现空中运动目标的跟踪定位,精度优 于5 km;同时在精确初始值的引导下,滤波算法收敛速度更快,定位精度更高,航迹更 为连续。     

Shrinkage estimation of Kelly portfolios

Although the Kelly portfolio is theoretically optimal in maximizing the long-term log-growth rate, in practice this is not always so. In this paper, we first show that the sample plug-in estimator of the Kelly portfolio weights is actually biased, and we then propose an unbiased estimator as an alternative. We further derive a shrinkage estimator under the objective of minimizing the expected growth loss of the actual growth relative to the true growth. An explicit formula for the shrinkage coefficient is established. Statistical properties for the shrinkage coefficient are studied through extensive Monte Carlo simulations, and conditions for obtaining accurate estimates for the shrinkage coefficient are also discussed. The effectiveness of the proposed unbiased and shrinkage Kelly portfolios in reducing the expected growth loss are validated by various simulation studies. It is found that our proposed shrinkage Kelly portfolio has superior performances in growth loss reduction, followed by the unbiased Kelly portfolio, and the sample plug-in Kelly portfolio. The advantages of our proposed unbiased and shrinkage Kelly portfolios for long-term investments are additionally confirmed by stock investment in the U.S. market.     

Testing for a break in the persistence in yield spreads of EMU government bonds

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the debt crisis in the euro area. We find clear indications for non-stationary behavior after the breakpoints and empirical evidence for positive excess kurtosis and GARCH-effects when persistence increases.     

直辖以来重庆城市化动力实证分析

城市化发展的动力可以划分为利益动力、产业发展动力和其他动力。为采取有针对性的措施提高重庆城市化水平,需要对推动该地区城市化发展的各种动力进行分析。应用灰色关联方法分析重庆直辖以来各城市化动力在其城市化发展中的作用大小,结果表明,城乡间存在的经济利益势差是其城市化最主要的动力,区外的拉力作用强于区内产业发展的拉力作用,农村推力作用显著,而非经济利益动力,特别是教育环境的吸引也起一定作用。应健全重庆全城市居民收入增长的长效机制,积极引导农村劳动力由外流向内化转变,同时还要加快农村发展和强化城市公共设施和公共服务的供应能力。     

运动模糊图像色调自适应矫正图像增强算法

本文研究了运动模糊图像增强算法问题。针对手持摄像头、手机等手持设备进行拍照的过程中,抖动所造成图像模糊问题,给出了一种运算简便、适用于手机等手持设备应用的图像快速增强和恢复的算法。