损失模型的风险比较及其应用

在金融、经济和管理等领域经常需要比较不同的风险。相对于常用的VaR和TVaR等风险度量方法而言,基于随机序的风险比较更具全局性。本文首先在损失金额和损失次数模型下,讨论了基于止损序的风险比较问题;然后讨论了保费原理对风险序的保持情况;最后应用累积赔付额数据对本文的理论模型进行了实证检验。     

Position-Dependent order effects on the prediction of consumer preferences in repeated choice experiments

Using stated choice data collected by experimental design with repeated choice tasks, this study developed an approach to quantify the position-dependent order effects on the prediction of preferences and marginal willingness to pay for product attributes. Results showed that repeated choice tasks allow learning to occur. Models with order effect adjustments showed significant improvements in goodness of fit. Attribute-specific polynomial trends showed the best fit among all models, which could possibly be explained by respondents’ familiarity and sensitivity to different product attributes. Repeated-choice experiments have a good potential to capture consumer preferences more accurately than the single-choice design. But order effects need to be taken into account for preferences and market prediction.     

Financing preferences: evidence from the Korean market

We investigate the financing decisions of Korean firms during the period of 1996–2015. Korean firms follow a matching strategy for funding their cash needs. Cash inflows from investing activities are the primary source of funding for capital expenditures, and cash inflows from financing activities are the major means of covering cash outflows from financing activities. We also find that Korean firms’ financing practice of handling cash deficits can be described by the pecking order model modified and augmented by cash flow variables. Cash inflows from investing activities account for the major portion of financing to make up for cash deficits, followed by short- and long-term debt, and then equity financing.     

Predicting a flash crash in the yen/dollar foreign exchange market

I examine whether the volume-synchronized probability of informed trading (VPIN) can predict a flash crash in the yen/dollar foreign exchange market. The results show that VPIN using bulk volume classification predicted a recent event. However, VPIN using order flows, which are the amount of the ask-side transaction minus those of bid-side, does not.     

企业价值网低碳共生演化的序参量控制机理研究——“后危机时代”工业发展模式转型研究

每一次经济危机都会带来产业结构的大调整,并诱发工业发展模式的大转型。本文基于协同学的研究视角,选取了企业价值网作为研究对象,研究在后危机时代企业价值网实现低碳共生演化的序参量控制机理,进一步揭示企业价值网微观运行机理,为企业及政府在后危机时代实现企业价值网的低碳共生演化和低碳发展模式转型提供决策理论依据。     

浅析大规模定制模式基本运作过程

介绍了大规模定制概念与分类;分析了大规模定制的基本运作过程,建立基本运作过程模型;借鉴大规模定制模式分类的思想,把产品生命周期和订单客户分离点的思想相结合,将大规模定制运作过程划分为三个阶段,并对每一个阶段的主要活动进行了分析。     

欧盟气候政策的利益导向及对中国的启示

自20世纪90年代以来,欧盟一直是全球气候谈判的主导者,其低碳技术领先全球,将世界各国尤其是美国、中国等排放大国纳入其主导的全球气候谈判体系符合欧盟三大布局主导下的核心战略目标.全球气候谈判的焦灼,迫使欧盟通过欧盟—拉美峰会、非加太—欧盟联合大会等平台,拉拢利益合作伙伴,以增加其主导气候谈判走向的砝码.欧盟气候政策的转变,削弱了气候谈判中以中国为代表的发展中国家谈判阵营的力量,使中国日益面临谈判伙伴减少,乃至被孤立的风险,增加了未来的谈判压力和难度.为此,中国要加紧对欧盟气候外交长期战略布局的研究,密切关注欧盟今后的气候外交政策动向,制定长期气候外交政策战略,同时加紧国内低碳转型的速度与力度.     

基于啄序理论的上市公司资本结构优化

由于我国资本市场的不完善,以及国企改制造成的股权高度集中、内部人控制问题,导致我国上市公司出现股权融资偏好.要通过解决股权分置,大力发展债券市场,加强股权融资的法律监督,积极构建有效的并购市场等措施,优化上市公司的资本结构.     

Applying hedging strategies to estimate model risk and provision calculation

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence for the following. (1) Brokers are very heterogeneous in liquidity provision—some appear to be primarily liquidity providers while others are primarily liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of other brokers. In contrast, brokers are only weakly influenced by the impact of their own previous orders. (3) The total impact of market orders is the result of a subtle compensation between the same broker pushing the price in one direction and the liquidity provision of other brokers pushing it in the opposite direction. These results enforce the picture of market dynamics being the result of the competition between heterogeneous participants, interacting to form a complex market ecology.     

The role of birth order in child labour and schooling

Does when a child was born relative to his or her siblings affect whether the child attends school or participates in child labour? We investigate this question by estimating the causal effect of birth order on the probabilities of school attendance and child labour participation. To address the potential endogeneity of family size, we use instrumental variable approach where the proportion of boys in the family is used to instrument family size. Using a longitudinal household survey data from Ethiopia, we estimate unobserved effects bivariate probit instrumental variable model of school attendance and child labour choices. The results suggest that the probability of child labour participation decreases with birth order, but we find no evidence that suggests birth order affects the probability of school attendance. However, among children who are going to school, hours spent studying increases with birth order. Results from complementary time-use analysis reveal that there is no birth order effect on hours spent on household chore. However, hours spent on school increases with birth order, where the increase in hours spent on school seems to come from a decrease in hours spent on market work.