噪声、跳跃与高频价格波动——基于门限预平均实现波动的分析

高频数据中的噪声和价格跳跃使得波动的估计缺乏一致性,本文提出用门限预平均实现波动的方法估计同时存在市场微观结构噪声和价格跳跃时高频价格波动,该方法是资产价格实际波动的一致估计,并有最优的收敛速度。模拟发现,门限预平均实现波动和常用的高频波动估计方法相比,有更小的均方误差。中国证券市场的实证分析表明,门限预平均实现波动能减少波动预测误差,得到更为精确的风险管理价值。     

股指期货对A股波动性的影响

鉴于GARCH模型适合研究金融时间序列的方差随时间变化的情况,笔者采用该模型研究股指期货的推出能否减少股票市场的波动性。本文选取股指期货推出前后一年的沪深300指数的日收盘价作为原始数据,通过建立GARCH模型就股指期货对股票市场波动性的影响进行了实证研究,结果显示,股指期货的引入在一定程度上降低了我国股票现货市场的波动性,但不显著。     

外贸企业虚拟经营的模式选择

处于新的国际市场环境下,传统的专业外贸公司面临极大的挑战。虚拟经营方式的出现,为外贸企业的生存和发展开创了一种全新的经营理念。在外贸企业"非中介化"的趋势下,外贸企业的虚拟经营具有现实的理论意义和指导意义。通过研究外贸企业虚拟经营的选择模式,使外贸企业的虚拟经营从理论回到实践,增强了该理论的操作性。     

开市前议价期流动性形成的理论分析

股市开市前议价期存在于世界一些主要证券交易所。投资者可以在这段时间内自由地、无成本地提交、修改或者撤销不受限制的交易指令。在信息不对称和流动性提供者参与市场必须支付成本的假设下,我们构建一个简单模型,考察了存在和术存在开市前议价期两种市场机制下的流动性形成情况。定义了这个模型的均衡解,证明了开市前议价期提高了市场流动性和社会福利。     

A behavioural model of investor sentiment in limit order markets

By incorporating behavioural sentiment in a model of a limit order market, we show that behavioural sentiment not only helps to replicate most of the stylized facts in limit order markets simultaneously, but it also plays a unique role in explaining those stylized facts that cannot be explained by noise trading, such as fat tails in the return distribution, long memory in the trading volume, an increasing and non-linear relationship between trade imbalance and mid-price returns, as well as the diagonal effect, or event clustering, in order submission types. The results show that behavioural sentiment is an important driving force behind many of the well-documented stylized facts in limit order markets.     

Local environmental quality and life-satisfaction in Germany

Hitherto the task of valuing differences in environmental quality arising from air pollution and noise nuisance has been carried out mainly by using the hedonic price technique. This paper proposes a different approach to derive information on individual preferences for local environmental quality. It analyses data drawn from the German socio-economic panel in an attempt to explain differences in self-reported levels of well-being in terms of environmental quality. Mindful of existing research a large number of other explanatory variables are included to control for socio-demographic differences, economic circumstances as well as neighbourhood characteristics. Differences in local air quality and noise levels are measured by how much an individual feels affected by air pollution or noise exposure in their residential area. The evidence suggests that even when controlling for a range of other factors higher local air pollution and noise levels significantly diminish subjective well-being. But interestingly differences in perceived air and noise pollution are not capitalised into differences in house prices.     

Reputational cheap talk with misunderstanding

We consider a cheap talk game with a sender who has a reputational concern for an ability to predict a state of the world correctly, and where receivers may misunderstand the message sent. When communication between the sender and each receiver is private, we identify an equilibrium in which the sender only discloses the least noisy information. Hence, what determines the amount of information revealed is not the absolute noise level of communication, but the extent to which the noise level may vary. The resulting threshold in transmission noise for which information is revealed may differ across receivers, but is unrelated to the quality of the information channel. When information transmission has to be public, a race to the bottom results: the cut-off level for noise of transmitted information now drops to the lowest cut-off level for any receiver in the audience.     

When environmental indicators are not neutral: Assessing aircraft noise assessment in Europe

This paper brings the lessons of critical thinking of environmental indicators to transport studies. To demonstrate the extent to which these indicators are not neutral, the case study focuses on airport noise indicators imposed by both the European Union and Flanders, Belgium, as they are applied to Brussels Airport's operations. Three directions have been considered. First, we unveil the spatial mismatch between protests and official noise contours that are supposed to reflect overall annoyanceand sleep disturbance. Then we highlight the high sensitivity of the mandatory noise indicators (L_den, L_night and dose-effect function) to both their definition and the thresholds considered. Second, we review the legislative process at the time the EU and Flanders adopted their regulation on noise assessment. It appears both the nature of the indicators and thresholds have been the subject of debate by EU Ministers and MPs, while Flanders has imposed a dose-effect function that is arguably outdated and unusable in specific cases. Finally, we discuss the results through the lens of the authoritative power of official noise indicators and related maps, which many journalists and scholars take for granted. All this contributes to the construction of distorted knowledge of noise issues and calls for a re-evaluation of the EU's and Flanders' noise indicators.     

双反馈晶振和石英谐振器低噪声性能的进一步研究

本文进一步探讨了有关双反馈晶振低噪声性能的问题,着重分析了石英谐振器静电容C_0对双反馈晶振电路Q倍增固子、石英谐振器Q值及净噪特性的影响。为验证上述C_0的影响,也对不同C_0的石英谱振器的相噪特性进行了测量并得到了与分析一致的结果。     

Day trading and stock price volatility

When an investor buys and sells the same stock on the same day, he is said to have made a day trade. Using the trading records of Finnish traders, this paper examines whether day trading is related to volatility of stock prices. I find a strong positive time-series relation between the number of day trades by individual investors and intraday volatility among heavily day traded stocks. This effect is robust after controlling for a previously documented volume–volatility relation. The result suggests that the joint hypothesis of price pressure and volatility induced day trading dominates the liquidity effects of day trading.