Predicting stock realized variance based on an asymmetric robust regression approach

This paper introduces an asymmetric robust weighted least squares (ARLS) approach to improve the forecasting performance of the heterogeneous autoregressive model for realized volatility. The ARLS approach down-weights extreme observations to limit the bad influence of outliers on the estimated parameters. Compared with existing robust regression methods, our model further takes into account the asymmetry of outliers using a class of kernel functions. Out-of-sample results show the ARLS approach can generate more accurate forecasts of the S&P 500 index realized volatility in the statistical and economic senses. The model that considers the asymmetry of outliers gains superior performance among various robust regression competitors. The forecasting improvements also hold in other international stock markets. More importantly, the source of the predictive ability of the ARLS model comes from the less biased and more efficient parameter estimation.     

贸易摩擦中关税冲击的动态影响

在中美贸易摩擦背景下，建立国际前沿的异质性动态宏观一般均衡模型，对两国贸易摩擦机制和政策效果进行模拟分析，研究发现，（1）不同于传统的同质性模型，考虑到资产调整成本和价格粘性的异质性模型的模拟结果显示，增加关税会在短期降低两国的消费，提高劳动力供给，造成总需求萎缩。（2）贸易摩擦的加征关税会提高富人的财富水平，降低穷人资产，扩大贫富差距，不利于共同富裕推进。（3）扩张性的货币政策虽然能扩大流动性但是对优化财富分布结构、刺激企业生产和带领经济走出贸易摩擦困境的效果有限；（4）相比于货币政策，企业生产力的提高能在总供给和总需求两个方向上提振经济，优化异质性家户的财富分布，推动经济供给侧和需求侧改革。因此，政府在科研技术方面对企业的财政和政策支持是走出贸易摩擦困境，实现经济高质量发展的最有效手段。     

特种飞机综合化任务系统PHM设计与实现

任务系统是特种飞机能力的关键因素，对其开展故障预测诊断及健康管理技术(Prognostic and Health Management，PHM)的研究是一项重要课题。目前任务系统综合化程度不断提高，故障诊断难度不断加大。结合任务系统的使用场景以及综合化系统的结构特点，对PHM系统的层次结构、基础资源要素、功能要素、综合诊断、状态策略、故障管理等环节开展了全面设计与实现。设计结果表明，PHM系统在故障诊断准确性、降低飞机再次出动执行任务的间隔时间、缩短地面维修时间方面均具有明显优势。     

资源异质性投入对基础教育绩效的均衡作用分析——基于区域结构视角

教育公平对促进经济增长实现共同富裕具有至关重要的积极作用，而教育资源均等配置有利于实现教育公平，站在区域空间结构视角：（1）基于教育资源投入产出的教育绩效在省域间具有异质性，由北向南表现低值到高值，高值在中南部半环状分布；（2）各省市教育绩效中心性程度不同，呈现明显的空间聚类特征，经济文化枢纽省市有显著示范效应，东南部主要向中西部溢出，北部地区主要接收溢出；（3）影响因素关联性回归表明影响力度为财政资源>物质资源>人力资源，其中，个人教育事业费优于公用部分，信息化建设强于基础设施建设，高层次师资好于基础性师资，且教育资源分板块区域异质性回归显示存在显著性差异。     

Belief aggregation for representative agent models

Representative agent models pin down equilibrium asset prices of an underlying heterogeneous agents economy through the utility maximization problem of a representative agent evaluated at aggregate endowment levels. This paper considers a complete markets asset exchange economy in which all economic agents are expected utility maximizers who share the same risk preferences but may have heterogeneous endowments and beliefs. For arbitrary well-behaved Bernoulli utility functions we derive belief aggregation formulas that characterize the beliefs of an expected utility maximizing representative agent.     

Stock market,credit market,and heterogeneous innovations

The relative importance of credit market development and stock market development in boosting innovation remains a long-standing debate issue. In this study, we document how different types of financial markets development affect heterogeneous innovations. Using a broad sample across 42 developed and emerging economies and a generalized difference-in-differences identification strategy, we find that stock market development leads to significantly higher substantive innovation, especially in young and small firms, but has negative impact on incremental innovation. Conversely, credit market development promotes incremental innovation, especially in mature and large firms, but has negative impact on substantive innovation. Further analyses indicate that stronger shareholder protection enhances the positive impact of stock market on substantive innovation, while stronger creditor rights enhance the promoting effect of credit market on incremental innovation, and even turn the negative impact of credit market on substantive innovation into positive. Our paper provides new insights into the heterogeneous effects of credit market and equity markets on the real economy.     

衍生品交易盈亏披露会影响瞬时股价吗？——基于2020年A股上市公司的分析

对2020年A股上市公司披露信息中含衍生品交易盈亏信息的数据进行多期双重差分分析，发现衍生品信息无论利好还是利空，皆存在显著负面的公告溢价。衍生品披露当日瞬时股价、3～5个交易日窗口期的累计异常收益率显著下跌，且衍生品信息不会显著影响该股票长期价值。细分披露类型发现，定期披露的衍生品信息导致的瞬时股价波动较小，且具有更显著的公告盈余漂移。     

阵列处理器中改进几乎空白子帧算法的并行化实现

两层异构网络中出现的小区间干扰协调是当前异构网络干扰问题研究的热点。针对软件实现增强小区调度几乎空白子帧(ABS)的干扰方案存在处理数据量大、速度慢的缺点，基于可重构阵列结构提出了一种动态ABS干扰协调的并行化硬件实现方案。该算法在增强小区内根据用户数动态分配ABS比例，以改善小区边缘用户的信道容量，通过流水线的方式使用多个轻核处理元(PE)实现并行计算以提高运算效率。测试结果表明，使用12个PE同时调度实现算法的映射，运行1 983个周期，其性能比单个PE提升77.03%，该算法的并行计算能力得到显著提升，宏基站用户的吞吐量可以达到4.76 Mbit/s。     

无线传感器网络UDHR协议的设计与实现

针对无线传感器网络(WSN)数据流的特点,提出一种WSN上下行路由异构的协议(UDHR),上下行路由可采用不同的算法,适合于时间驱动、事件驱动以及查询的数据收集模式.利用OMNeT++平台对UDHR协议进行建模仿真,结果表明该协议开销小、扩展性好、健壮稳定.并且在自主开发的Testbed平台上实现了该路由协议,利用该平台可实时观察整个WSN网络拓扑变化、网络开销、监测每个节点能量消耗以及数据收集等情况.