Chaotic Exchange Rate Dynamics Redux

This article generalizes the results shown in De Grauwe, Dewachter, and Embrechts (1993) in a more sophisticated framework. In their model, the speculative dynamics resulting from the interaction between chartists and fundamentalists are incorporated into a Dornbusch-style model to generate a chaotic nominal exchange rate. Here the model of Obstfeld and Rogoff (1995, 1996) replaces the Dornbusch model, and chaotic solutions are still shown to be possible for sensible parameter values.     

Self-quantification and the datapreneurial consumer identity

ABSTRACT

This study delivers a clearer understanding of the constitution of the datapreneurial consumer, the role of the market in that construction, and the implications for consumer identity projects in the age of Big Data and an increasingly data- and surveillance-driven society. The study uses a theoretical framework of the “quantified self” (QS) to examine consumers (re)building creditworthiness. In the context of a major online credit-user forum, it employs creative-nonfiction methodology to protect forum-member privacy. To the literature on creditworthiness, the study contributes a process model of the construction of the datapreneurial credit consumer identity. To the QS literature, it offers insight into how consumers may embrace quantification and self-tracking, even in areas where they are nudged or pushed into it. To the sociology of quantification literature, it adds empirics to explain how consumers may embrace market-provided self-quantification resources in attempts to liberate themselves from the structural control of that very quantification.     

ALGORITHMIC METHODS FOR SINGLE SERVER SYSTEMS WITH REPEATED ATTEMPTS

In many practical situations customers applying for service and finding the server busy will not join a queue, but make a new attempt to enter service after some time. In this paper we study single server systems with repeated attempts both for infinite-source input and finite-source input where the service times are general and the reattempt times are exponential. Numerically stable recursion schemes are derived by which the time-average and customer-average steady-state probabilities can be effectively computed.     

基于混沌理论的民用航空运输系统突发事件应对研究

首先介绍了混沌学的基本概念,并举例说明民航运输系统在突发事件时所发生的混沌现象;其次运用混沌学理论对民航运输系统的突发事件的发生机理进行了分析;最后,提出了民航改进大面积航班延误、避免混沌现象发生的措施。     

思维进化算法在估计瞬时单位线参数中的应用

文章结合思维进化算法（Mind Evolutionary Computation,MEC）,采用加权残差绝对值和最小准则对瞬时单位线模型参数进行估计,实例表明使用此方法率定的参数还原的径流过程与实测径流过程拟合优于其他方法。     

Front‐Running Scalping Strategies and Market Manipulation: Why Does High‐Frequency Trading Need Stricter Regulation?

Regulators continue to debate whether high‐frequency trading (HFT) is beneficial to market quality. Using Strongly Typed Genetic Programming (STGP) trading algorithm, we develop several artificial stock markets populated with HFT scalpers and strategic informed traders. We simulate real‐life trading in the millisecond time frame by applying STGP to real‐time and historical data from Apple, Exxon Mobil, and Google. We observe that HFT scalpers front‐run the order flow, resulting in damage to market quality and long‐term investors. To mitigate these negative implications, we propose batch auctions every 30 milliseconds of trading.     

An Active Asset Management Investment Process for Drawdown-Averse Investors

The contribution of this article is to present an investment process that allows the asset manager to limit risk exposure to macro-factors – including expectations on correlation dynamics – whilst allowing for selective exposure to risk factors using factor-portfolios that emulate the risk and return profile of market micro-factors. The design of the process provides the ability to explicitely limit risk exposures to macro-factors based on forward-looking narratives allowing the investor to reflect – in the resulting active allocation – expectations of financial or systemic crises by, say, restricting the overall exposure to the credit macro-factor that includes the risk factor exposures (micro-level) arising, for example, from corporate and supranational spreads whilst simultaneously increasing the exposure to flight-to-safety macro-factors under a local or global crisis. This process is better suited to drawdown-averse investors that are willing to forgo some upside in order to effectively limit significant portfolio losses from crises, systemic or otherwise. In order to improve the optimization over the rugged solution space resulting from superimposing macro-factors' risk envelopes on the factor-portfolios' tracking error allocation, a genetic-algorithm-based optimization is proposed. Copyright © 2015 John Wiley & Sons, Ltd.     

Spatial clustering of time series via mixture of autoregressions models and Markov random fields

Time series data arise in many medical and biological imaging scenarios. In such images, a time series is obtained at each of a large number of spatially dependent data units. It is interesting to organize these data into model‐based clusters. A two‐stage procedure is proposed. In stage 1, a mixture of autoregressions (MoAR) model is used to marginally cluster the data. The MoAR model is fitted using maximum marginal likelihood (MMaL) estimation via a minorization–maximization (MM) algorithm. In stage 2, a Markov random field (MRF) model induces a spatial structure onto the stage 1 clustering. The MRF model is fitted using maximum pseudolikelihood (MPL) estimation via an MM algorithm. Both the MMaL and MPL estimators are proved to be consistent. Numerical properties are established for both MM algorithms. A simulation study demonstrates the performance of the two‐stage procedure. An application to the segmentation of a zebrafish brain calcium image is presented.     

Efficient and accurate quadratic approximation methods for pricing Asian strike options

This study is on valuing Asian strike options and presents efficient and accurate quadratic approximation methods that work extremely well, both with regard to the volatility of a wide range of underlying assets, and longer average time windows. We demonstrate that most of the well-known quadratic approximation methods used in the literature for pricing Asian strike options are special cases of our model, with the numerical results demonstrating that our method significantly outperforms the other quadratic approximation methods examined here. Using our method for the calculation of hundreds of Asian strike options, the pricing errors (in terms of the root mean square errors) are reasonably small. Compared with the Monte Carlo benchmark method, our method is shown to be rapid and accurate. We further extend our method to the valuing of quanto forward-starting Asian strike options, with the pricing accuracy of these options being largely the same as the pricing of plain vanilla Asian strike options.     

基于CMX264的蜂窝电话语音保密系统设计与实现

在介绍分割频带语音加密芯片CMX264的基础上，提出了一种基于该芯片的动态语音加密系统的实际应用方案。系统采用微处理器对CMX264的密钥选择和工作状态进行控制及显示，通过CMX264集成的REXO接口与蜂窝移动电话相连接，实现了对蜂窝移动电话的语音加密。