An event study of price movements following realized jumps

Price jumps are mostly related to investor reactions to unexpected extreme news. We perform an event study of price movements after jumps to analyse if investors’ reactions are affected by psychological biases. We employ recent non-parametric methods based on intraday returns to separate large price movements that are related to unexpected news from those merely caused by periods of high volatility. In general, we find evidence for irrational pricing, which can be associated with investors’ optimistic behavior in a bull market and the pessimism prevailing in a bear market. Furthermore, our analysis confirms the conjecture that small firms are more subject to speculative trading than large firms.     

Statistical arbitrage in the US equities market

We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or regressing stock returns on sector Exchange Traded Funds (ETFs). In both cases, the idiosyncratic returns are modelled as mean-reverting processes, which leads naturally to ‘contrarian’ strategies. We construct, back-test and compare market-neutral PCA- and ETF-based strategies applied to the broad universe of US equities. After accounting for transaction costs, PCA-based strategies have an average annual Sharpe ratio of 1.44 over the period 1997 to 2007, with stronger performances prior to 2003. During 2003–2007, the average Sharpe ratio of PCA-based strategies was only 0.9. ETF-based strategies had a Sharpe ratio of 1.1 from 1997 to 2007, experiencing a similar degradation since 2002. We also propose signals that account for trading volume, observing significant improvement in performance in the case of ETF-based signals. ETF-strategies with volume information achieved a Sharpe ratio of 1.51 from 2003 to 2007. The paper also relates the performance of mean-reversion statistical arbitrage strategies with the stock market cycle. In particular, we study in detail the performance of the strategies during the liquidity crisis of the summer of 2007, following Khandani and Lo [Social Science Research Network (SSRN) working paper, 2007].     

土地市场中开发商行贿可能的定量判断

采用probit回归模型、线性回归模型以及引入工具变量的robust检验,对土地市场中开发商行贿的可能进行定量判断,研究发现:1.开发商行贿与其支付能力和拒绝能力的强弱分不开,支付能力与拒绝能力的组合,伴随着开发商对成本——收益的理性权衡,从而出现行贿的概率变化和程度变化;2.开发商行贿植根于土地市场政府管制的特定环境,政府管制使开发商行贿成为必然,而且管制的范围、官员自由裁量权的大小左右着贿金的金额和开发商的未来收益。     

货币政策冲击的收入分配效应研究

货币政策对居民收入分配的影响正目益受到研究者和决策者的关注。本文通过运用一个包含城乡居民两类家庭的DSGE模型,以我国2001-2012年含有131个变量的宏观数据为样本,进行FAVAR实证检验。研究结果表明,价格型的货币政策冲击对城乡居民收入的影响并不明显,城乡居民收入对价格型的货币政策冲击反应具有不确定性;数量型的货币政策对城乡居民收入的冲击效应较为明显,数量型量化宽松货币政策有助于拉动城镇居民的收入增长,但对农村居民收入会产生抑制作用。     

养老金投资监管模式分析比较

养老金投资监管可分为谨慎人规则（Prudent Person Rule）和数量限制监管（Quantitative Portfolio Regulation,or Draconian Regulation）两种模式,两种监管模式的不同特点主要体现在监管理念和侧重点不同、实践中的适应性和灵活性不同及其赖以生存的规制环境不同等方面。谨慎人规则是行为导向的监管,体现“效率监管”理念,及对受托人行为的规范。数量限制监管体现“安全监管”理念,监管执行简便、易于操作。从各国实践来看,监管模式的选择取决于其赖以存在的规制环境,包括法制环境、资本市场、养老金治理结构、投资监管体系、监督报告、信息披露制度等。为实现养老金安全、收益的平衡,大多数国家的监管模式体现出一种混合状态,即兼具谨慎人规则与数量限制监管的特点。     

美国现行宽松货币政策对世界物价的影响——基于不同经济体通货膨胀表现的分析

美国2007年年底开始大幅下调利率,2009年以来又采取了量化宽松的货币政策。与此同时,世界各国,尤其是新兴市场和发展中经济体发生了严重的通货膨胀。虽然美国的宽松货币政策确实提高了2008年以来的通货膨胀率,但是却不能解释新兴市场和发展中经济的通货膨胀普遍高于发达经济体的事实。高通胀的原因仍然在于各国国内的高货币供给。     

乙醇贮罐区事故后果定量模拟分析

通过对乙醇罐区的危险特性进行分析,指出乙醇的事故后果主要为池火灾、蒸气云爆炸、沸腾液体扩展为蒸气爆炸;给出了乙醇事故后果的定量模拟分析的数学模型,同时进行了实例模拟,对指导乙醇贮罐区的总体布局、贮罐区安全设计、贮罐区危险性分析及事故预防措施均有一定参考价值。     

壮族旅游村寨干栏式民居建筑变化定量研究——以龙胜平安壮寨为例

干栏式民居是壮族的传统居住形式,是壮文化研究的重要组成部分,随着旅游开发,壮族的干栏式民居建筑发生了很大的变化。以龙胜平安壮寨为例,通过田野调查获得第一手资料,同时运用SPSS16.0对数据进行统计分析得出平安壮寨干栏式民居建筑因子的变化程度、影响因子的差异性影响以及总体变化程度,同时结合熵权理论对影响因子的权重进行熵定,得出的结论与通过SPSS16.0软件得出结论一致：平安壮寨干栏式民居建筑的功能用途变化程度最大,开发商对平安壮寨干栏式民居建筑影响最大。     

Coupling index and stocks

In this paper, we are interested in continuous-time models in which the index level induces feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the index plus an idiosyncratic part. We show that, when the number of stocks in the index is large, this model may be approximated by a local volatility model for the index and a stochastic volatility model for each stock with volatility driven by the index. This result is useful from a calibration perspective: it suggests that one should first calibrate the local volatility of the index and then calibrate the dynamics of each stock. We explain how to do so in the limiting simplified model and in the original model.     

中国服务贸易发展之定量分析

服务贸易在国民经济中的重要性日益加强.从中国服务贸易的总体情况看,根据对中国服务贸易出口的国别进行的统计分析,服务贸易提供方式的不同与我国具体情况有着密切关系.