Intraday pairs trading strategies on high frequency data: the case of oil companies

This paper introduces novel ‘doubly mean-reverting’ processes based on conditional modelling of model spreads between pairs of stocks. Intraday trading strategies using high frequency data are proposed based on the model. This model framework and the strategies are designed to capture ‘local’ market inefficiencies that are elusive for traditional pairs trading strategies with daily data. Results from real data back-testing for two periods show remarkable returns, even accounting for transaction costs, with annualized Sharpe ratios of 3.9 and 7.2 over the periods June 2013–April 2015 and 2008, respectively. By choosing the particular sector of oil companies, we also confirm the observation that the commodity price is the main driver of the share prices of commodity-producing companies at times of spikes in the related commodity market.     

量化宽松货币政策的理论、实践与影响

全球金融危机已使全球经济陷入衰退,为应对危机各国央行不断降息。随着短期利率接近于零,美、日、英等主要国家的央行转而求助于"量化宽松货币政策",即通过购买长期国债等方式向经济注入巨量的流动性。全球大规模采取量化宽松政策在历史上尚属首次,对世界经济和中国经济都将产生难以估量的影响,对此有必要进行深入的分析。为此,本文在对量化宽松货币政策的理论基础进行分析的基础上,进一步研究了日本量化宽松政策实践的经验与教训及其影响,并提出相应的政策建议。     

2012年优秀青年科学基金女性获得者特征状况计量分析

以2012年优秀青年科学基金女性获得者为研究样本,通过对其当选年龄、工作地域、工作单位、留学状况、所在学部等要素进行计量研究,归纳、总结了该群体特征状况,并以此为基础对新时代中国女性科学家群体进行了深入剖析。     

甘肃省城市化与生态环境耦合的量化分析

通过构建城市化综合指数和生态环境综合指数的指标体系,利用协调发展度模型,对甘肃省1990-2006年城市化与生态环境耦合演化的趋势进行量化分析。结果表明:甘肃省城市化指数和生态环境指数都呈线性增长,协调发展度指数也呈现一种线形的上升趋势。从城市化综合指数和生态环境综合指数曲线看出,2003年以前城市化发展滞后于生态环境建设,导致甘肃城市化与生态环境耦合协调一直以中低度协调为主。当城市化发展到一定阶段,生态环境也会有所改善,两者的耦合关系才会逐渐增强。     

国际创新创业研究热点与趋势可视化分析

基于Web of Science数据库,借助知识图谱分析软件CiteSpace V,对国际四大顶级创业期刊近10年（2007-2016年）文献进行统计研究。运用共引、共词分析的突现值及图谱研究等方法,对创新创业领域的前沿热点、演化路径、研究趋势等进行分析,发现创新创业研究发文数量呈逐年增长趋势;从地域及机构分布来看,美国、英国、加拿大为创新创业研究高产国家;高产研究机构主要分布在美国、加拿大等国的大学和科研院所,机构前10名中美国占70%;高产作者分别是Shepherd DA、Wright M、Chrisman JJ、Webb JW、Baron RA等,他们大部分分布在高产机构中。研究热点由较为关注企业绩效、企业家才能、创新、洞察力等对创新创业发展的影响,逐渐转变为关注新经济背景下涌现的中小企业、新生企业的合法进入、机会识别等方面。     

中国知识产权政策的演变(1985-2009)——一个量化的视角

随着我国对自主创新能力的重视程度不断提高,政府先后出台了多项知识产权政策,这对我国加强知识产权保护以及促进技术创新起到了一定的作用,但是也存在着许多问题。通过建立知识产权政策的量化标准,对1985年以来我国颁布的知识产权政策进行分析,描绘了我国知识产权政策的演变规律。     

Modelling bonds and credit default swaps using a structural model with contagion

This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default swap spreads and corporate bond yields. The credit dependence structure is influenced by both a longer-term correlation structure as well as by the possibility of default contagion. In this way, the model is able to generate a diverse range of shapes for the term structure of credit spreads using realistic values for input parameters.     

Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models

This article explores the relationships between several forecasts for the volatility built from multi-scale linear ARCH processes, and linear market models for the forward variance. This shows that the structures of the forecast equations are identical, but with different dependencies on the forecast horizon. The process equations for the forward variance are induced by the process equations for an ARCH model, but postulated in a market model. In the ARCH case, they are different from the usual diffusive type. The conceptual differences between both approaches and their implication for volatility forecasts are analysed. The volatility forecast is compared with the realized volatility (the volatility that will occur between date t and t + ΔT), and the implied volatility (corresponding to an at-the-money option with expiry at t + ΔT). For the ARCH forecasts, the parameters are set a priori. An empirical analysis across multiple time horizons ΔT shows that a forecast provided by an I-GARCH(1) process (one time scale) does not capture correctly the dynamics of the realized volatility. An I-GARCH(2) process (two time scales, similar to GARCH(1,1)) is better, while a long-memory LM-ARCH process (multiple time scales) replicates correctly the dynamics of the implied and realized volatilities and delivers consistently good forecasts for the realized volatility.     

Cycles,determinism and persistence in agent-based games and financial time-series: part II

The present article constitutes part II of a series of two reports in which we study the decomposition of synthetic and real financial time-series into a superposition of weighted Hamiltonian cycles on graphs. Part II further analyses the cycle-decomposition method introduced in part I for the Minority Game (MG), the Majority Game (MAJG) and the Dollar Game ($G), in order to gain insight into the ‘illusion of control’ that certain of these games demonstrate, i.e. the fact that the strategies outperform the agents that deploy them. We also illustrate both numerical and analytical methods for extracting cycles from a given time-series and apply the method to a number of different real-world data sets, in conjunction with an analysis of persistence.     

Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging

This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. We assume that the S-hedge is dynamic while the Y-hedge is static. Using the indifference pricing approach, we derive a Hamilton–Jacobi–Bellman equation for the value function. We solve this equation analytically (in quadrature) using an asymptotic expansion around the limit of perfect correlation between assets Y and Z. While in this paper we apply our framework to an incomplete market version of Merton’s credit-equity model, the same approach can be used for other asset classes (equity, commodity, FX, etc.), e.g. for pricing and hedging options with illiquid strikes or illiquid exotic options.