Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York

Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China–backed stocks that are cross–listed on exchanges in Hong Kong and New York. Results analyzing the dual–listed stocks indicate significant mutual feedback of information between domestic (Hong Kong) and offshore (New York) markets in terms of pricing and volatility. Stocks listed on the domestic market appear to play a more significant role of information transmission in the pricing process, whereas stocks listed on the offshore market play a bigger role in volatility spillover.     

精馏过程的节能和优化设计的探讨

精馏过程的节能,对于减少能源消耗,降低生产成本和保护环境具有十分重要的意义.在精馏过程中可以采用最适宜回流比操作和最佳进料状态,使用中间冷凝器和中间再沸器,高效精馏、热泵精馏.合理安排多组分物料分离流程,直接利用过程热量及开发应用高效换热器等措施.本文从最佳回流比R的选择、进料温度及进料状态的确定等方面,详细的分析了在精馏塔的设计过程中,如何实现设计的优化问题,以实现节能降耗.     

The impacts of Hong Kong’s Currency Board reforms on the interbank market

Among the economies with a Currency Board System (CBS), Hong Kong (HK) is probably the one with the largest and most developed financial sector, as well as the highest capital mobility. Hence, studying HK’s CBS is not only crucial to HK, but also important for the understanding of the modern CBS. This paper outlines the major monetary reforms in HK since the late 1980s. The impacts of these reforms and the 1997–1998 Asian Financial Crisis are then examined empirically. We focus on the differentials between the US and HK interbank interest rates. We assume the conditional-mean equation follows an autoregressive process and the conditional-variance equation follows a generalized autoregressive conditional heteroscedasticity process. This model captures the time-varying level and volatility of the differential. In light of the empirical results we provide an assessment of the reforms in HK.     

Backtesting Value-at-Risk: A Duration-Based Approach

Financial risk model evaluation or backtesting is a key partof the internal model's approach to market risk management aslaid out by the Basle Committee on Banking Supervision. However,existing backtesting methods have relatively low power in realisticsmall sample settings. Our contribution is the exploration ofnew tools for backtesting based on the duration of days betweenthe violations of the Value-at-Risk. Our Monte Carlo resultsshow that in realistic situations, the new duration-based testshave considerably better power properties than the previouslysuggested tests.     

工程建设质量控制中的特殊过程确认

ISO9001质量管理体系中对特殊过程及特殊过程确认作了具体规定,本文就特殊过程及特殊过程确认的概念、特点、内容、方法作了分析,结合其对工程建设中质量控制的指导意义,分析说明了在监理工作中进行质量控制的具体做法。     

Formal business process engineering based on graph grammars

Designing and managing a company's specific landscape and its business processes has been identified as a great challenge for several years. Business processes are highly dynamic and distributed and can only rarely be planned, modeled and analyzed completely. For a computer-aided business process system, which supports the designing and managing process, first of all a powerful uniform formalism is necessary, where all necessary knowledge concerning company's and its processes can be represented. In this paper we will concentrate on the introduction of such a formal methodology to describe business processes, company organization structures and information technology structures in one uniform formalism. The ideas we use are mainly based on methods from graph grammars, process management, Artificial Intelligence and business process (re)engineering.     

建立计算机管理系统 提高机车检修质量

山海关机务段针对传统质量管理手段和机车检修方法存在管理方法落后、检测手段落后和考核机制滞后等弊端,建立机车检修质量计算机管理系统。该系统具有收集处理检修质量信息,提供质量分析、定责、考核依据,强化配件检修质量及检修质量控制等功能,促进了机车质量稳步提高,为旅客列车安全正点运行提供了有力保障,为运输畅通和增运增收发挥了重要作用。     

多道系统中进程同步检测的讨论

多道程序设计中，进程之间出现同步问题可通过信号灯的不同设置来解决，即用P信号灯和V信号灯的对应关系来检测其正确与否。     

政府预算过程中的多方利益博弈

本文通过探讨目标各异的多种角色参与的预算过程 ,指出预算过程是一种博弈过程 ,在此过程中代表各方利益的参与者为取得支出优先权展开竞争。本文主要对各支出部门之间、政府预算部门与支出部门之间、政府与公众之间以及中央与地方之间在预算决策中的竞争博弈行为进行分析 ,提出完善预算制度的政策建议。     

THE SQUARED ORNSTEIN-UHLENBECK MARKET

We study a complete market containing J assets, each asset contributing to the production of a single commodity at a rate that is a solution to the squared Ornstein-Uhlenbeck (Cox-Ingersoll-Ross) SDE. The assets are owned by K agents with CRRA utility functions, who follow feasible consumption/investment regimes so as to maximize their expected time-additive utility from consumption. We compute the equilibrium for this economy and determine the state-price density process from market clearing. Reducing to a single (representative) agent, and exploiting the relation between the squared-OU and squared-Bessel SDEs, we obtain closed-form expressions for the values of bonds, assets, and options on the total asset value. Typical model parameters are estimated by fitting bond price data, and we use these parameters to price the assets and options numerically. Implications for the total asset price itself as a diffusion are discussed. We also estimate implied volatility surfaces for options and bond yields.