人口学领域的定量研究过程与方法

通过实例剖析,介绍了社会科学研究领域定量分析的研究过程和方法。科学研究是具有明确目的的、对事物之间关系严谨、缜密的探索;它具有整体性,通过系统的程序和过程,在理论的指导下进行。科学研究必须有好的研究问题、理论设计、可以信赖的数据、正确的模型和分析方法、客观的分析结果展示。掌握正确的研究过程和方法将会产生高质量的研究成果。     

The Regressive Recovery: Distribution,Inequality and State Power in Britain's Post-Crisis Political Economy

This article interrogates the underlying mechanisms at the heart of Britain's post-crisis political economy. We argue that the contemporary economic recovery has been characterised by a dynamic of ‘regressive redistribution’: a socially regressive dynamic of state-led economic restructuring that has worked through two axes at the centre of the recovery. The first axis, a monetary policy framework centred upon Quantitative Easing, has driven asset-price inflation to the benefit of the wealthiest asset holders. The second axis centres upon the politics of regressive labour market restructuring which has provoked widespread wage deflation. In combination, these two axes have been central to defining the contours of the Britain's post-crisis political economy paradigm: characterised by rising asset wealth for the few, and falling living standards alongside increasing economic insecurity for wage earners. The opportunity to change path from the trends of deepening inequality that defined the pre-crisis era has not been taken. Instead, the prevailing policy paradigm of the post-crisis period – discursively unified and sustained by David Cameron's government – has intensified the regressively redistributive dynamics at the core of the neo-liberal project. Ultimately, this is likely to further entrench structural weaknesses in Britain's economy in the years ahead.     

美联储加速退出量化宽松货币政策的影响及对我国的启示

受2013年6月美联储表态将逐步退出量化宽松货币政策的行为及其预期的影响,全球金融市场发生了剧烈地动荡,而美联储退出量化宽松货币政策的步伐却并未由此止步.这不仅会作用于美国的经济增长路径,同时也必将会使得以中国为代表的新兴市场经济体国家遭受美联储退出量化宽松货币政策的外溢性风险.文章就当前美联储退出QE预期及步伐加速的背景下,分析了美联储退出QE对全球经济的影响,以及从实体经济传导和金融市场传导层面探讨了对我国经济的影响,并认为美联储退出QE对我国而言既是一种挑战,也是一种机遇,并最终提出了以“保持稳定”为目标的防范美联储退出量化宽松货币政策溢出风险的对策建议.     

征地留用地安置模式适用范围的定量评价与实证研究

留用地安置模式是20世纪80年代以来,全国各地相继使用的土地征用的安置模式.但留用地安置模式有其特有的适用条件的,不能简单复制.论文的研究目的就是通过定量评价的方式确定留用地安置的适用范围,为各地实施留用地安置模式给出一定的参考.论文就湖南省实施情况的调研结果,采用特尔菲法,对适用条件进行了评价,井以湖南省为例,就不同区域的适宜性进行评价.结果表明留用地安置模式只在城市规划稳定、经济发展水平较高,房地产市场成熟,土地需求较为旺盛的地区实施.     

Optimal high-frequency trading with limit and market orders

We propose a framework for studying optimal market-making policies in a limit order book (LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov chain. We consider a small agent who continuously submits limit buy/sell orders at best bid/ask quotes, and may also set limit orders at best bid (resp. ask) plus (resp. minus) a tick for obtaining execution order priority, which is a crucial issue in high-frequency trading. The agent faces an execution risk since her limit orders are executed only when they meet counterpart market orders. She is also subject to inventory risk due to price volatility when holding the risky asset. The agent can then also choose to trade with market orders, and therefore obtain immediate execution, but at a less favorable price. The objective of the market maker is to maximize her expected utility from revenue over a short-term horizon by a trade-off between limit and market orders, while controlling her inventory position. This is formulated as a mixed regime switching regular/impulse control problem that we characterize in terms of a quasi-variational system by dynamic programming methods. Calibration procedures are derived for estimating the transition matrix and intensity parameters for the spread and for Cox processes modelling the execution of limit orders. We provide an explicit backward splitting scheme for solving the problem and show how it can be reduced to a system of simple equations involving only the inventory and spread variables. Several computational tests are performed both on simulated and real data, and illustrate the impact and profit when considering execution priority in limit orders and market orders.     

农业技术进步源泉及其定量分析

农业技术进步是农业经济增长的源泉。本研究从分析农业技术进步的表现形式入手,通过引入层次分析法,对各种类型的技术进步的作用大小进行了具体计算和分析,最后给出了一些政策性的建议。     

电子产品研制过程的可靠性管理

为建立闭环式可靠性管理,本文从如何确定可靠性参数和指标开始,对如何进行可靠性预计、如何确定定时截尾可靠性鉴定试验方案{T,C}和开展软件可靠性定量评估等方面进行了讨论。     

Exploitative and exploratory innovations in emerging economies: The role of realized absorptive capacity and learning intent

This paper investigates the mediating effect of learning intent in transforming local suppliers’ potential absorptive capacity into realized absorptive capacity and its impact on exploitative and exploratory innovation. Using survey data from 155 auto parts manufacturers in Pakistan, we find that local firms’ realized absorptive capacity enables them to develop both exploitative and exploratory innovations. The findings further suggest that local suppliers’ learning intent mediates the relationship between potential and realized absorptive capacity which in turn lead to both types of innovation. In the context of the emerging economy of Pakistan, local suppliers’ absorptive capacity is found to be critically important in spurring exploitative and exploratory innovation, but learning intent enables realized absorptive capacity and thus in conjunction with realized absorptive capacity supports innovation. Consequently, there would be a strong case for policy intervention to assist emerging economy firms in building their absorptive capacity and strengthening their learning intent as a route for promoting innovation and improving their value added position in the global value chains of multinational enterprises.     

Mechanics of good trade execution in the framework of linear temporary market impact

We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to the actual realisation of the traded asset price path over the trading period; this is paramount in volatile regimes, where price trajectories can considerably deviate from their expected value. Remarkably, however, the implementation of our strategies does not require the full specification of an SDE evolution for the traded asset price, making them robust across different models. Moreover, rather than minimising the expected trading cost, good trade execution strategies minimise trading costs in a pathwise sense, a point of view not yet considered in the literature. The mathematical apparatus for such a pathwise minimisation hinges on certain random Young differential equations that correspond to the Euler–Lagrange equations of the classical Calculus of Variations. These Young differential equations characterise our good trade execution strategies in terms of an initial value problem that allows for easy implementations.     

VIX futures term structure and the expectations hypothesis

Tests of the expectations hypothesis reveal that the slope of the VIX futures term structure predicts the direction but not the magnitude of the evolution of the short-end of the curve, but predicts neither the direction nor the magnitude of short-term changes in the long-end of the curve. Relative value seeking spread trades, constructed to exploit such violations, deliver excess returns with annualized Sharpe ratios equal or greater than those of volatility-writing strategies deployed by VIX ETN's for a majority of the 32 spread trade combinations tested. I demonstrate that profits from beta-neutral variations of the spread trades, which are not compensation for taking on equity downside risk by design, are propagated by inflows of capital into VIX futures markets, after controlling for factors that measure changes in the availability of hedge fund capital, risk appetite, and momentum. At the heart of profits, and by extension the term structure anomalies, is a disproportionally elevated basis propagated by long VIX demand that enters the futures market through ETN channels.