Investment Horizon and Repo in the Over‐the‐Counter Market

This paper presents a three‐period model featuring a short‐term investor in the over‐the‐counter bond market. A short‐term investor stores cash because of a need to pay cash at some future date. If a short‐term investor buys bonds, then a deadline for retrieving cash lowers the resale price of bonds for the investor through bilateral bargaining in the bond market. Ex‐ante, this hold‐up problem explains the use of a repo by a short‐term investor, the existence of a haircut, and the vulnerability of a repo market to counterparty risk. This result holds without any uncertainty about bond returns or asymmetric information.     

以协同论指导京津冀协同创新

京津冀协同创新是党中央提出的区域发展的新战略思想。这一战略构想是有其科学基础的,最重要的就是系统论的分支协同论。根据协同论,京津冀区域协同创新首先要解决地域系统最不稳定的因素——严重缺水、重度污染、经常断流的海河问题。系统分析京津冀在海河流域协同创新的木桶短板——水资源短缺这一"令人揪心的问题",利用京津冀各方比较优势协调不同诉求,使地区水资源配置达到有序动平衡,共同修复海河水生态系统。     

Mean Reversion in the Short Horizon Returns of UK Portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.     

一种新的快速视频图像边缘检测算法

一般常用的边缘检测算法计算量较大，对细小边缘检测效果较差，不适合实时边缘检测系统。针对这一问题，本文提出一种连续分割的快速边缘检测算法：从相互垂直两方向分割梯度图像，提取截面曲线极大值获得图像边缘，使用形态学梯度，检测出细小的图像边缘。实验结果表明此算法较Canny等经典算法减少了计算量，提高了边缘检测精度。     

网络计量学在网络计量应用中的欠缺

本文通过网络计量学的应用领域分析，提出了网络计量学发展中所面临的问题和局限。     

European Momentum Strategies,Information Diffusion,and Investor Conservatism

In this paper we conduct an out‐of‐sample test of two behavioural theories that have been proposed to explain momentum in stock returns. We test the gradual‐information‐diffusion model of Hong and Stein (1999) and the investor conservatism bias model of Barberis et al. (1998) in a sample of 13 European stock markets during the period 1988 to 2001. These two models predict that momentum comes from the (i) gradual dissemination of firm‐specific information and (ii) investors’ failure to update their beliefs sufficiently when they observe new public information. The findings of this study are consistent with the predictions of the behavioural models of Hong and Stein's (1999) and Barberis et al. (1998) . The evidence shows that momentum is the result of the gradual diffusion of private information and investors’ psychological conservatism reflected on the systematic errors they make in forming earnings expectations by not updating them adequately relative to their prior beliefs and by undervaluing the statistical weight of new information.     

Inflation and growth in South Africa

This paper studies the relationship between inflation and growthin South Africa. Two main issues are addressed: do tests ofthe South African data support the findings of cross-sectionstudies that inflation has a negative effect on growth overthe longer term? and, can higher growth be gained at the costof higher inflation in the short run? The findings are thatinflation drags down growth in South Africa over the longerterm, and that, in the short run, growth above its trend requiresaccelerating inflation. Thus, for growth to be pulled substantiallyabove its present low trend, inflation targeting in South Africawould have to be abandoned. However, this would be counterproductiveover the longer term, once the negative relationship betweeninflation and growth manifests itself.     

PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging short sterling options. Using high‐frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging short sterling options positions using short sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model. Copyright © 2012 John Wiley & Sons, Ltd.     

用户生成内容使用与满足对品牌态度的影响研究——以音视频类用户生成内容为例

以媒体使用与满足理论和信息加工理论为研究基础,采集网络中的客观数据,通过内容分析法量化数据,利用多元线性回归和阶层回归验证理论模型。研究发现:音视频类用户生成内容的内部特征正向影响消费者对内容的使用和满足;音视频类用户生成内容的创作者声誉外部特征正向影响消费者对内容的使用与满足,而内容的推荐性未对消费者选择产生作用;音视频内容的使用与满足则直接影响消费者品牌态度的形成;内容的使用与满足在音视频类用户生成内容与消费者品牌态度之间起中介作用。     

一种井口压装防喷装置的设计

一种井口压装防喷装置,在井口压裂过程中,用于投放油管堵塞器以堵住油管,防止井喷。其结构包括上下旋塞阀和升高短节。当钻井产生井喷时,保证旋塞阀的上下两端压力平衡,使旋塞阀可以轻松打开,升高短节内的油管堵塞器即能自动下降密封。