A two-factor model for the electricity forward market

This paper provides a two-factor model for electricity futures that captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor model of Clewlow and Strickland to a two-factor model and modifies it to make it applicable to the electricity market. We will particularly deal with the existence of delivery periods in the underlying futures. Additionally, the model is calibrated to options on electricity futures and its performance for practical application is discussed.     

电信需求因素分析

经济发展水平、城镇化进程,以及国家的产业政策等都会对电信发展产生重要影响。本文结合相关统计数据,运用计量经济学方法,对影响我国电信需求的各主要因素进行定量分析。     

Tourism destination competitiveness: a quantitative approach

Recently, researchers have suggested an approach to tourism destination competitiveness that goes beyond conventional destination attributes to include, in addition, generic business factors of competitiveness. Despite its apparent promise, there appears to have been little applied research building on this combined approach. This paper is designed to address this gap. Factors pertaining to the competitiveness of both the destination's attractions and its tourism industry were used to construct an instrument that was used to survey tourism practitioners in Hong Kong. Respondents were asked to rate the factors for both importance and relative competitiveness, in a method consistent with importance performance analysis (IPA). The results were analysed and discussed by reference to the IPA Grid. The paper concludes that the study has developed a promising research methodology that offers a quantitative, theoretically informed empirical analysis that will be able to provide a basis for managerial and policy decisions in the tourism industry.     

美国量化宽松货币政策影响及中国对策

随着金融危机的不断蔓延和影响的逐渐深化,美国在采取第一轮和第二轮量化宽松货币政策失效后,还可能采取第三轮量化宽松货币政策来稳定和刺激经济。此种极端货币政策引发多米诺骨牌效应,并将对中国经济产生深远影响。对此,文章从量化宽松货币政策产生的机理出发,在着重分析美国量化宽松货币政策对中国经济可能造成影响的基础上,提出中国所应采取的应对策略,以减缓量化宽松货币政策对中国经济可能产生的不利影响。     

国内农业信息化研究的文献计量分析

本文从文献计量的角度对我国农业信息化建设情况进行分析。通过对1978-2010年的文献统计分析,划分了我国农业信息化发展大致经历的三个阶段,列举出主要的研究人员和前20位的研究机构。最后利用2005-2010年的核心期刊文献对农业信息化领域研究热点进行分析。     

基于定量分析的杭州市城市居住空间分异研究

居住空间结构的合理程度,不仅影响城市居民的生活质量,而且影响整个城市效率的实现。居住空间变化的实质是社会结构的变化在居住空间上的表现。本文以问卷调查的方式,收集整理了杭州市内具有一定规模住宅片区的信息资料,运用SPSS统计分析软件对这些住宅片区的信息进行了统计分析及聚类分析,将杭州市居住空间分成主城区老式小区、经济适用房住区、城区中高档小区、新区中高档小区和新区中低档小区等五类。分别阐述了这五类居住空间的分布范围和特点,揭示正在不断演化的城市居住空间分异现象,并归纳总结不同阶层区划化居住的特征,思考城市摆脱居住空间分异负功能的对策。     

Towards a flexible online mixed method design with a feedback loop

The notion of mixed methods design relates to the research studies that combine qualitative and quantitative approaches. However, most of these studies are tailored to specific research problem in a particular study and are typically limited to a fixed sequence of qualitative and quantitative approaches (e.g. qualitative interviews followed by a survey or vice-versa). This limitation historically arises from time, cost and logistic restrictions. As an alternative, we develop an general extension of fixed mixed method design by introducing a flexible feedback-loop so that several phases can be combined in a flexible order. In practice, such designs are now increasingly feasible within an information-communication technology environment, where online respondents are readily available for immediate participation. An online experiment combining interactive series of web surveys and in-depth web interviews was performed to compare this approach with standard two-phase designs involving mixed methods. The costs, timing, quality of finiding and experiences of researchers were systematically evaluated. In summary, the proposed approach proved to be very beneficial.     

美国量化宽松政策对新兴经济体股票市场价格的影响

2008年金融危机后美国采取量化宽松货币政策造成大量流动性进入新兴经济体股票市场。通过建立面板VAR模型,运用脉冲响应函数和方差分解技术分析了美国货币供应M1、股票市场以及联邦基金利率透过汇率、利率和预期方式对新兴经济体股票市场价格指数产生的影响。结果表明,美国量化宽松货币政策对新兴经济体股票市场价格具有正向溢出效应,利率渠道影响效果显著。     

Japanese Banks’ monitoring activities and the performance of borrower firms: 1981–1996

We construct an index measure that quantitatively describes the monitoring activities of Japanese banks. Using micro data on Japanese banks and borrower firms, we examine the effects of bank monitoring on the profitability of borrower firms. We find significant positive effects in the periods 1986–1991 and 1992–1996, although there is no significant effect in the period 1981–1985. We also examine how banks’ monitoring affects borrowers. The results show that the positive effects of banks’ monitoring on borrowers’ profitability are mostly caused by screening effects, not performance-improving effects.

Detection of false investment strategies using unsupervised learning methods

In this paper we address the problem of selection bias under multiple testing in the context of investment strategies. We introduce an unsupervised learning algorithm that determines the number of effectively uncorrelated trials carried out in the context of a discovery. This estimate is critical for computing the familywise false positive probability, and for filtering out false investment strategies.