非线性优化问题与资源影子价格分析

首先,对条件极值问题中资源的影子价格进行了讨论,根据数学规划的Kuhn-Tucker条件,得出条件极值问题中的影子价格也表现为边际利润(拉格朗日乘子)。然后,讨论一般非线性规划问题中资源的影子价格和影子成本,并用证券投资组合优化模型为案例对收益率的边际成本(风险)进行分析。     

Skew Brownian Motion and Pricing European Options

Abstract

The volatility smile and systematic mispricing of the Black–Scholes option pricing model are the typical motivation for examining stochastic processes other than geometric Brownian motion to describe the underlying stock price. In this paper a new stochastic process is presented, which is a special case of the skew-Brownian motion of Itô and McKean. The process in question is the sum of a standard Brownian motion and an independent reflecting Brownian motion that is similar in construction to the stochastic representation of a skew-normal random variable. This stochastic process is taken in its exponential form to price European options. The derived option price nests the Black–Scholes equation as a special case and is flexible enough to accommodate stochastic volatility as well as stochastic skewness.     

通货膨胀的门槛效应与中国经济增长

迄今为止,通货膨胀与经济增长之间关系仍然是一个争而未决的难题。文章通过建立一个旨在说明通货膨胀与经济增长之间关系的非线性面板门限回归模型,并以通货膨胀变化率作为门限变量以及利用我国1985-2011年的省际面板数据进行实证检验发现：通货膨胀变化率小于门限变量0.0800时,通货膨胀可以促进经济增长,当通货膨胀变化率位于门限变量0.520与0.0800之间时,通货膨胀对经济增长的正向拉动作用最为明显;然而当通货膨胀变化率高于较大的第二个门限值时,通货膨胀则与经济增长负相关。因此,文章认为控制通货膨胀的相对增长速度与其绝对水平同样重要。     

The effects of learning and signaling on money demand: With an application to heterodox inflation stabilization programs

This paper develops a nonlinear vector autoregression of inflation and money growth subject to changes in regime. The regimes are fully characterized by the mean and variance of inflation and are conjectured to be the result of alternative government policies. Agents are unable to observe directly whether government actions are indeed consistent with the inflation rate targeted as part of a stabilization program. However, as part of their money demand decision, agents construct probability inferences regarding the regime. Government announcements are assumed to provide agents with additional, possibly truthful information regarding the regime.  This specification is estimated using data from the Israeli and Argentine high-inflation periods. Results indicate that the successful stabilization program implemented in Israel in July 1985 was more credible than either the earlier Israeli attempt in November 1984 or the Argentine programs. Government's signaling might simplify the agents' inference problem and increase the speed of their learning but, under certain conditions, it might also increase inflation volatility. Welfare gains from a temporary increase in real balances might be high enough to induce agents to raise their money demand in the short-term even if they are uncertain about the nature of government policy and the eventual outcome of the stabilization attempt. Statistically, the model restrictions cannot be rejected at the 1% significance level. First version received: August 1998/Final version received: January 1999     

基于GARCH类模型的人民币汇率非线性依赖关系研究

利用三类不同结构的基本 GARCH 类模型对四个不同时间跨度上人民币汇率序列进行拟合和效度检验;并进一步结合窗口检验程序,借助相关性 C 统计量和双相关 H 统计量对实证对象的 GARCH 类非线性结构的稳定性及 GARCH 类模型中有关非线性相关的基本假设进行检验。结果表明,人民币汇率系统是一个典型的非线性动态复杂系统,人民币汇率序列中的 GARCH 类非线性结构表现出了非持续和瞬时性的特点。     

BP神经网络在帆板控制系统中角度非线性校正的应用研究

针对帆板控制系统中角度的非线性误差问题,提出用BP神经网络算法对角度进行非线性校正。构建了BP神经网络模型,利用Matlab对该网络进行训练,训练结果表明该系统具有良好的收敛性。和未校正的结果进行对比,实验结果表明该网络能够有效的补偿角度传感器的非线性误差,提高了帆板控制系统的性能。     

Avoiding Mis-estimation of the CES Function: Unit Matters

ABSTRACT

We demonstrate that unit errors of measurement will lead to significant biases in estimating the constant elasticity of substitution (CES) function. Monte-Carlo simulations show that estimation results tend to reach Cobb–Douglas (CD) functions or extreme values if units of input variables are incorrectly used. To avoid this problem, we suggest adding an overall efficiency parameter and a unit correction parameter which is similar to biased technological change parameter when estimating CES functions. Any unit error of measurement can be captured by these two parameters while allowing researchers to get unbiased estimation results of other parameters.     

Asymmetric effects of exchange rate changes on the demand for money in China

In order to account for currency substitution, the majority of recent studies relating to the specification of the demand for money include the exchange rate as another determinant of the demand for money. However, those who have estimated the demand for money in China have been unable to find any significant effects of exchange rate changes on the demand for money by the Chinese. We show that this is due to the assumption that exchange rate changes have symmetric effects. Once depreciations are separated from appreciations of the yuan, those exchange rate changes are shown to have significant effects on the demand for money in China, but in an asymmetric manner.     

学习迁移理论在《非线性编辑》教学中的应用

学习和迁移是不可分割的心理现象。教师在教学活动中要应用学习迁移理论合理安排好课程顺序、授课内容，最大限度发挥学习的正迁移，克服避免学习的负迁移。在《非线性编辑》课程教学中，教师要根据课程特点做好课程计划，合理安排课程时间，理论教学与实践教学紧密结合，引导学生有效学习。     

超越线性转型的乡村复兴——基于南京市高淳区两个典型村庄的比较

基于新时期中国乡村发展的问题与背景,学术界提出了"乡村复兴"的概念,这是从传统"乡村转型"概念的发展提升。乡村复兴强调彰显乡村发展自身的规律,注重当代城乡关系下对乡村独特社会、文化等价值的挖掘。方法上是依托城镇化的系统力量来促进和实现乡村自给与繁荣,从而在日渐趋稳、趋缓的城镇化态势下给乡村发展带来真正和长久的裨益。基于这样的价值立场,本文通过南京市高淳区武家嘴村、大山村两个典型村庄的比较研究,试图从乡村经济、空间、文化等方面对乡村复兴这一深刻内涵进行实证演绎。文章认为,中国乡村复兴的主体路径应该遵循的是一个超越以往"乡村工业化"、"乡村城镇化"的非线性转型过程。