Forecasting gold volatility with geopolitical risk indices

This paper tries to forecast gold volatility with multiple country-specific (GPR) indices and compares the role of combined prediction models and dimension reduction methods regarding the improvement of gold volatility prediction accuracy. For this purpose, GARCH-MIDAS model’s several extensions are used. We find firstly that most country-specific GPR indices have driving effects on gold volatility, and it makes sense to take forecast information from multiple country-specific GPR indices into account when forecasting gold volatility. The out-of-sample empirical results also indicate that the dimension reduction methods yield better predictions compared to the combined prediction models. In addition, dimension reduction technologies have excellent forecasting performance mainly during low gold volatility periods. Finally, our empirical findings are robust after changing the evaluation method, model settings, in-sample length and gold market.     

Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market

This study examines the Chinese implied volatility index (iVIX) to determine whether jump information from the index is useful for volatility forecasting of the Shanghai Stock Exchange 50ETF. Specifically, we consider the jump sizes and intensities of the 50ETF and iVIX as well as cojumps. The findings show that both the jump size and intensity of the 50ETF can improve the forecasting accuracy of the 50ETF volatility. Moreover, we find that the jump size and intensity of the iVIX provide no significant predictive ability in any forecasting horizon. The cojump intensity of the 50ETF and iVIX is a powerful predictor for volatility forecasting of the 50ETF in all forecasting horizons, and the cojump size is helpful for forecasting in short forecasting horizon. In addition, for a one-day forecasting horizon, the iVIX jump size in the cojump is more predictive of future volatility than that of the 50ETF when simultaneous jumps occur. Our empirical results are robust and consistent. This work provides new insights into predicting asset volatility with greater accuracy.     

基于城市轨道交通网络的广告营销站点选择研究

城市轨道交通网络背景下的广告营销已成为一种流行的产品推广方式，快速、准确筛选出传播范围广、影响力高的站点，运营方和投资商对其投入大量广告可以产生较高的宣传力度和回报收益。影响力最大化的提出，为解决站点筛选提供了一种新的思路，首先提出一种融合节点结构信息和网络拓扑结构信息的网络表示学习模型，并将其用于学习网络节点的特征向量；进一步将网络节点的特征向量输入聚类算法中有效筛选候选种子集，同时结合贪婪策略从候选种子集中筛选出种子节点集合，进而有效提升网络节点影响力最大化问题求解效果。以武汉地铁网络为例进行验证，结果表明所提方法在传播范围上优于现有的影响力最大化方法，筛选高影响力站点具备合理性。