河南旅游资源的价值定量评价研究

运用2003年河南省旅游资源普查数据,采取多种定量方法对河南单体旅游资源的价值、代表性旅游资源的价值、不同类型旅游资源的价值、旅游资源价值的空间分布进行了系统评价,发现:河南整体水平较高,开展精品旅游的资源基础非常优厚;从代表性资源的价值分布上看,河南自然类和人文类旅游资源价值也都较高,但相对其数量,人文类资源的开发则显不足;空间分布上,河南高品质的旅游资源主要集中于洛阳、郑州、焦作、平顶山和新乡等地区.     

日本量化宽松政策的影响及对中国的启示

自2012年9月份以来,美联储、欧洲央行以及日本银行（中央银行）纷纷推出量化宽松政策,其间日本银行在9月19日、10月30日和12月20日,四个月内连续三次推出量化宽松政策,这在日本历史上实属罕见。日本银行是在2001年初最早使用这一非传统金融政策的中央银行,中国与日本经贸往来密切,日本银行的量化宽松政策必将对我国经济和金融政策带来一定的影响,如何直面和应对,是摆在我们面前刻不容缓的课题。     

Markov models for commodity futures: theory and practice

The objective of this paper is to develop a generic, yet practical, framework for the construction of Markov models for commodity derivatives. We aim for sufficient richness to permit applications to a broad variety of commodity markets, including those that are characterized by seasonality and by spikes in the spot process. In the first, largely theoretical, part of the paper we derive a series of useful results concerning the low-dimensional Markov representation of the dynamics of an entire term structure of futures prices. Extending previous results in the literature, we cover jump-diffusive models with stochastic volatility as well as several classes of regime-switching models. To demonstrate the process of building models for a specific commodity market, the second part of the paper applies a selection of our theoretical results to the exercise of constructing and calibrating derivatives trading models for USD natural gas. Special attention is paid to the incorporation of empirical seasonality effects in futures prices, in implied volatilities and their ‘smile’, and in correlations between futures contracts of different maturities. European option pricing in our proposed gas model is closed form and of the same complexity as the Black–Scholes formula.     

美国量化宽松货币政策对中国短期资本流动的影响分析

在分析美国三轮量化宽松货币政策发展情况及金融危机期间我国短期资本流入状况基础上,对美国量化宽松货币政策对我国短期资本流动的影响进行实证分析,结果发现:美国利率的变化对我国短期资本流动具有短期推动作用,但长期内趋于平衡;美国直接量化的货币政策会造成我国短期资本大量流入。     

Asset-Liability-Matrix Analysis Derived from the Flow-of-Funds Accounts: The Bank of Japan's Quantitative Monetary Policy Examined

The first purpose of this paper is to present the compilation procedure of the Asset- Liability-Matrix (ALM) from the Flow-of-Funds (FOF) accounts in the balance sheet format that is widely available in IMF member countries. The introduction of ALM into the framework of FOF analysis enables us to utilize the affluent assets of input-output analysis, notably the concept of Leontief inverse. The second purpose of this article is to demonstrate the application of ALM to the examination of the quantitative monetary policy introduced by the Bank of Japan (BOJ) in March 2001. It can be said, as a conclusion, that there was a tactical error in the quantitative monetary policy adopted by BOJ in terms of the combination of money market operations. We believe that the ALM framework of FOF analysis is a powerful and practical device to fulfil this kind of examination.     

A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

Vanilla (standard European) options are actively traded on many underlying asset classes, such as equities, commodities and foreign exchange (FX). The market quotes for these options are typically used by exotic options traders to calibrate the parameters of the (risk-neutral) stochastic process for the underlying asset. Barrier options, of many different types, are also widely traded in all these markets but one important feature of the FX options markets is that barrier options, especially double-no-touch (DNT) options, are now so actively traded that they are no longer considered, in any way, exotic options. Instead, traders would, in principle, like to use them as instruments to which they can calibrate their model. The desirability of doing this has been highlighted by talks at practitioner conferences but, to our best knowledge (at least within the realm of the published literature), there have been no models which are specifically designed to cater for this. In this paper, we introduce such a model. It allows for calibration in a two-stage process. The first stage fits to DNT options (or other types of double barrier options). The second stage fits to vanilla options. The key to this is to assume that the dynamics of the spot FX rate are of one type before the first exit time from a ‘corridor’ region but are allowed to be of a different type after the first exit time. The model allows for jumps (either finite activity or infinite activity) and also for stochastic volatility. Hence, not only can it give a good fit to the market prices of options, it can also allow for realistic dynamics of the underlying FX rate and realistic future volatility smiles and skews. En route, we significantly extend existing results in the literature by providing closed-form (up to Laplace inversion) expressions for the prices of several types of barrier options as well as results related to the distribution of first passage times and of the ‘overshoot’.     

中小投资者头寸规模的量化控制

通过对头寸规模量化控制相关理论进行梳理，认为头寸规模量化控制的步骤与方法包含初始头寸规模的确定、头寸规模的调整；头寸规模的确定涉及到的相关参数主要有风险倍数、获胜概率、止损幅度、个股只数，交易频率等，运用的策略有构建交易系统、制定交易计划、在失败中学习等。     

Customer satisfaction study via a latent segment model

The aim of this study is to apply a new conceptual model, and a new technique as an approach to the modelling of customers’ satisfaction, and to develop an overall satisfaction index (OSI). This study evaluates customers’ satisfaction of a certain public organization service, and argues that in order to estimate the global customers’ satisfaction measure we must appeal to methodologies recognizing that satisfaction must be understood as a latent variable, quantified through multiple indicators. Thus, it is natural that we consider the latent segment models (LSM) approach to proceed to the evaluation of customer's service satisfaction. As a result of these models estimation, we selected a three latent segment model, that is to say, the latent variable customer satisfaction has three classes: segment 1, with 50.4 percent of the customers, that represents “The Very Satisfied”, for those to whom everything is very well in the organization service; a segment 2, with 33.4 percent of the customers, representative of the “The Well Satisfied”, not totally satisfied with the quality of the organization, and a segment 3, with 16.2 percent of the customers, “Satisfaction Demanders”, thinking that organizational quality can be improved. Finally, we developed an overall satisfaction index which is important to show how the company as a whole is performing.     

Designing foresight studies for Nanoscience and Nanotechnology (NST) future developments

Nanoscience and Nanotechnology (NST) is widely considered as one of the most promising areas of scientific and technological development for future decades. As a consequence, almost every country in the world has chosen to invest significantly in this area. This choice, however, is only a first step in the investment decision process, given that almost any scientific discipline can be taken at the scale of a nanometre. In this paper, it is argued that foresight studies to decide where to invest in the nanotechnology area should be designed in a different way from what is normally done. Nanotechnology, in fact, has specific characteristics that should be taken into account when evaluating its expected impacts and potentialities.     

乡村经济精英功能向度分析——陕西关中两村调查

本文通过对农户的问卷调查和访谈,了解到当前西部农村经济精英在乡村社会政治经济发展过程的功能表现,即经济精英在乡村社会究竟发挥怎样的作用。采用量化的分析可以使我们对经济精英的功能向度有更为直观的认识。