Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

This paper investigates not only the question of whether there is exchange rate pass‐through (ERPT) but also the extent to which the pass‐through is asymmetric or state‐dependent in the BRICS countries. Using monthly data from 1999:M1 to 2019:M12 and non‐linear smooth transition vector autoregressive (STVAR) model, our results provide evidence of period‐specific ERPT between the upper and lower regime periods, governed by the selected transition variables. The results further suggest that the pass‐through of exchange rate is higher when the economy is experiencing large appreciations and expansions as well as large depreciations and recessions. Theimplication for these findings is that ERPT is strongly affected by the state of the economy.     

面向新闻领域的中文实体关系抽取

随着互联网技术的快速发展,人们能够及时地获取大量的新闻文本信息,如何从新闻中自动获取关键信息,把新闻中具有价值的信息转化为结构化数据,从而快速有效地获取有用的知识已是迫切需求。实体关系抽取是获取关键信息的方法之一,但目前关于中文的实体关系抽取工作较少。针对基于长短时记忆网络的中文实体识别模型难于提取长距离的依存关系特征和句法特征问题,提出利用双向树形长短时记忆神经网络提取依存句法树的结构特征。在提取的特征的基础上,使用条件随机场判断实体的类别和边界,并在实体识别模型中加入注意力机制提高模型的性能。在《人民日报》数据集和ACE 2005语料库上训练模型,验证了模型的有效性。     

Sharing the value‐at‐risk under distributional ambiguity

This paper considers the problem of risk sharing, where a coalition of homogeneous agents, each bearing a random cost, aggregates their costs, and shares the value‐at‐risk of such a risky position. Due to limited distributional information in practice, the joint distribution of agents' random costs is difficult to acquire. The coalition, being aware of the distributional ambiguity, thus evaluates the worst‐case value‐at‐risk within a commonly agreed ambiguity set of the possible joint distributions. Through the lens of cooperative game theory, we show that this coalitional worst‐case value‐at‐risk is subadditive for the popular ambiguity sets in the distributionally robust optimization literature that are based on (i) convex moments or (ii) Wasserstein distance to some reference distributions. In addition, we propose easy‐to‐compute core allocation schemes to share the worst‐case value‐at‐risk. Our results can be readily extended to sharing the worst‐case conditional value‐at‐risk under distributional ambiguity.     

外部经济冲击对我国进出口贸易的影响——基于新兴市场经济体的研究

本文从贸易和金融渠道对我国受到其他新兴经济体的外部冲击的可能性进行了评估,并借助GVAR(Global Vector Auto-Regressive)模型方法,考虑了世界各国的交互影响来分析新兴市场国家的宏观经济波动对中国进出口产生的影响。研究发现,区域内的新兴经济市场对我国影响更为显著,韩国、印度、中国香港发生宏观经济波动时对我国进出口贸易可能造成较大的影响。基本上,中国对外贸易对韩国遭受冲击后的反应快且大,但受影响时间较短,人民币汇率波动在应对外部冲击时发挥了一定作用。中国和印度贸易合作关系大于竞争关系。     

基于组合模型的江苏省居民用电量预测分析

研究利用时间序列基本分析方法ARIMA模型分析法、指数平滑ETS模型和神经网络自回归模型对江苏省居民每月用电量进行数据分析、处理、拟合、检验及预测,以2004年1月至2017年12月用电计量数据作为分析样本,使用R软件对该时间序列进行建模。对给出的数据建立ARIMA模型、ETS模型和NNAR神经网络自回归模型,接着利用MAE、RMSE、MAPE三个评价指标来衡量模型的优良度。尝试通过组合模型对2018年江苏省居民12个月的用电量进行预测,与实际值进行对比验证,发现权重模型的误差最小,选择作为最终预测模型。最后得出结论,组合模型的预测效果要优于非组合模型。     

高波动股市下的条件相关与风险分散效果

在一般化误差分配假设下,利用风险值估计的方法分别求出台湾地区股票市场牛市与熊市的条件相关系数,以检验风险分散的效益。实证研究发现:在高波动期间,股市类股指数的条件相关性及非系统风险皆显著小于平常时期,显示股市的联动性及非系统风险在高波动期间会较低,此与过去文献的发现相反。然而,不论在高波动期间还是在平常期间,股市的联动性都偏高,投资者或基金经理人应该尽可能运用国际多角化的投资,以提高风险分散的效益。     

Generalized densities of order statistics

Let X ₁, ... , X _n be independent identically distributed random variables with distribution F . We derive expressions for generalized joint 'densities' of order statistics of X ₁, ... , X _n , for arbitrary distributions F , in terms of Radon–Nikodym derivatives with respect to product measures based on F . We then give formulae for conditional distributions of order statistics and use them to derive results concerning Markov properties of order statistics, formulae for distributions of trimmed sums, and other useful representations. Our approach leads to simple and natural expressions which appear not to have been given before.     

A Conditional Role-Involved Purpose-Based Access Control Model

This paper presents a conditional role-involved purpose-based access control (CPAC) model, where users dynamically activate conditional roles in accordance with the context attributes. Based on conditional role, access permissions are assigned that represent what can be accessed for what purpose to roles under certain conditions. On the other hand, conditional purpose is applied along with allowed purpose and prohibited purpose in the model. It allows users using some data for certain purpose with conditions (for instance, Tony agrees that his income information can be used for marketing purposes by removing his name). The structure of a CPAC model is defined and investigated. Access purpose is verified in a dynamic behavior, based on user attributes, context attributes, and authorization policies. Intended purposes are dynamically associated with the requested data object during the access decision. An algorithm is developed to achieve the compliance computation between access purposes and intended purposes and is illustrated with role-based access control (RBAC). Access purpose authorization and authentication in the model are studied with the hierarchical purpose structure. The model separates authorization of access purpose from access decision that improves the flexibility of private data control.     

Investor Sentiment and Stock Market Volatility: Evidence from India

In this article, the authors probe the role of irrational investor sentiment in the determination of Indian stock market volatility. The authors developed a new irrational aggregate sentiment index (IASI) to examine the issue. The conditional volatility is extracted from the nonlinear univariate models for the market indices and the IASI. The vector autoregression (VAR) is carried out to analyze the relationship between the volatility of irrational aggregate sentiment index and stock market volatility. The authors find a unidirectional causality from sentiment to stock market volatility, and their findings highlight the significance of sentiment in explaining the stock market volatility in India.     

并联式TBCC发动机排气系统性能数值模拟

针对一个并联式涡轮基组合循环(Turbine Based Combined Cycle, TBCC)发动机排气系统的气动方案,对其在整个飞行包线范围内典型工作点上的流场进行了数值模拟研究,获得了飞行包线范围内排气系统相应的推力系数、升力、俯仰力矩随飞行马赫数的变化关系。计算结果显示,在整个飞行包线范围内,排气系统的轴向推力系数随着飞行马赫数先减小后增大,在跨声速飞行时降到最低 Ma=0.9,涡喷不加力时为0.562,加力时0.662),在设计点附近达到最大;升力和俯仰力矩性能在亚声速及跨声速飞行时较差,在超声速飞行时随着飞行马赫数增加逐渐好转。表明排气系统在跨声速飞行范围内工作时应采取措施以改善其性能。 