Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process

This paper studies the performance of pairs trading strategy under a specific spread model. Based on the empirical evidence of mean reversion and jumps in the spread between pairs of stocks, we assume that the spread follows a Lévy-driven Ornstein–Uhlenbeck process with two-sided jumps. To evaluate the performance of a pairs trading strategy, we propose the expected return per unit time as the value function of the strategy. Significantly different from the current related works, we incorporate an excess jump component into the calculation of return and time cost. Further, we obtain the analytic expression of strategy value function, where we solve out the probabilities of crossing thresholds via the Laplace transform of first passage time of the Lévy-driven Ornstein–Uhlenbeck process in one-sided and two-sided exit problems. Through numerical illustrations, we calculate the value function and optimal thresholds for a spread model with symmetric jumps, reveal the non-negligible contribution of incorporating the excess jumps into the value function, and analyze the impact of model parameters on the strategy performance.     

On pricing barrier control in a regime-switching regulated market

We study a pricing barrier control problem in a regime-switching regulated market. In doing so, we analyze a class of one-dimensional reflected regime-switching diffusion processes. Such diffusion models arise as the key approximating processes in a regulated financial market system with the presence of regime changes. Our main goal is to determine optimal pricing barriers as solutions of long-run average mean–variance optimization problems. More precisely, the optimal barrier, if exists, will be to maximize the long-run average expected return (i.e. steady-state mean) subject to a selected level of long-run average risk (i.e. steady-state variance).     

管理层缘何频繁发起并购：过度自信抑或私利

上市公司管理层频繁发起的并购是出于其过度自信还是私利驱动?依据行为经济学和委托代理等基本理论,文章选取2008-2011年发生并购事件的上市公司为研究样本,利用Logit回归模型和负二项回归模型,将管理层过度自信的心理偏差和追求个人收益的自利动机纳入同一框架进行研究。研究结果表明,尽管发生并购事件的上市公司中管理层过度自信的心理状态普遍存在,但管理层发起频繁并购的动机更多的是出于其对个人私利的追求;而在上市公司频繁并购的诱因中,管理层的过度自信具有\"杠杆效应\",即:管理层过度自信的心理状态会增强其为了谋取货币薪酬和在职消费等个人私利最大化而实施高频率并购活动的意愿。研究发现为公司连续并购的动因理论做出了增量贡献,也利于丰富基于中国制度背景的并购相关研究议题的经验证据。     

浅谈长跑运动员专项训练应注重的“四部曲”

随着田径运动的迅速发展和运动水平的不断提高,人们对田径运动的认识不断加深。本文采用文献资料法对长跑运动员专项训练中注意动作实效性、步长与步频、高原训练、心理素质的四个方面进行进行浅析。     

基于“已实现”高阶矩的动态组合投资分析

为度量高阶矩风险的时变特征,将高频"已实现"二阶矩扩展到"已实现"高阶矩,给出一元及多元"已实现"高阶矩的计算方法;基于效用函数的Taylor展开解决了动态资产配置问题;将"已实现"高阶矩风险测度应用于动态组合投资分析中,推导出带有高阶矩风险的动态投资组合策略,弥补了传统组合投资理论没有考虑高阶矩风险和静态处理问题两大缺陷。选取中国股市的高频金融时间序列进行实证,结果显示高阶矩风险存在波动聚集性,动态组合投资效果优于静态组合投资效果。     

Optimal fiscal policy in a small open economy with limited commitment

We introduce limited commitment into a standard optimal fiscal policy model in small open economies. We consider the problem of a benevolent government that signs a risk-sharing contract with the rest of the world, and that has to choose optimally distortionary taxes on labor income, domestic debt and international transfers. Both the home country and the rest of the world may have limited commitment, which means that they can leave the contract if they find it convenient. The contract is designed so that, at any point in time, neither party has incentives to exit. We define a small open emerging economy as an economy where the limited commitment problem is active in equilibrium. Conversely, a small open developed economy is an economy in which the commitment problem is not active. Our model is able to rationalize some stylized facts about fiscal policy in emerging economies: i) the volatility of tax revenues over GDP is higher in emerging economies than in developed ones; ii) fiscal policy is procyclical in emerging economies; iii) emerging economies may “graduate” from procyclical fiscal policy and adopt countercyclical policies in the long run.     

基于PID和PWM技术的直流电机控制

阐述了单片机通过PID和PWM技术实现对角度传感器的控制过程和编程要点．给出了系统的组成框图,分析了单片机实现PWM控制技术的设计方法和PID算法原理．并给出了由PWM信号驱动直流电机的一般设计方法。