Spread component costs and stock trading characteristics in the Spanish Stock Exchange. Two flexible fractional response models

This paper investigates relationships between the spread component costs (adverse selection, order processing and inventory costs) and stock trading characteristics in the Spanish Stock Exchange (SSE), taking into account the random nature of these costs. First, we analyse the statistical properties of estimated spread components in the market, which are obtained by using two statistical models to decompose the bid–ask spread. We then propose a fractional response regression model based on two flexible cross-sectional probability density functions with covariates which accommodate certain aspects of the empirical estimates, such as skewness and bounded distribution. Our model has two main advantages: (i) it can be implemented easily in a maximum likelihood framework; (ii) in contrast to linear regression models, it provides a useful estimate of the statistical significance of the parameters, and predicts costs not only at the conditional mean but also by using quantiles of the estimated conditional distribution. The empirical results corroborate the presence of statistically significant large order processing costs and smaller adverse selection and inventory costs in the SSE. These spread components have a skewed empirical distribution and the proposed fractional regression models represent the behaviour of these costs reasonably well, surpassing the linear regression model in various specification tests.     

CNN混沌扩频通信系统的性能研究

本文把细胞神经网络（CNN）理论应用于混沌扩频通信系统（CSSS），研究了细胞神经网络实现脉冲式混沌同步的可行性，指出能否同步与同步脉冲的能量有关，而且用CNN产生了性能优良的二值和多值随机码，并对系统的抗多址和多径干扰的性能进行了研究。通信系统的仿真实验表明，CNN能够很好地应用于扩频通信系统。     

STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK

This survey reviews the growing literature on pairs trading frameworks, i.e., relative-value arbitrage strategies involving two or more securities. Research is categorized into five groups: The distance approach uses nonparametric distance metrics to identify pairs trading opportunities. The cointegration approach relies on formal cointegration testing to unveil stationary spread time series. The time-series approach focuses on finding optimal trading rules for mean-reverting spreads. The stochastic control approach aims at identifying optimal portfolio holdings in the legs of a pairs trade relative to other available securities. The category “other approaches” contains further relevant pairs trading frameworks with only a limited set of supporting literature. Finally, pairs trading profitability is reviewed in the light of market frictions. Drawing from a large set of research consisting of over 100 references, an in-depth assessment of each approach is performed, ultimately revealing strengths and weaknesses relevant for further research and for implementation.     

一种适于卫星定位与通信系统的扩频ALOHA信道模型

随着人们对通信需求的不断增长，带来了如何有效地利用频率问题，同时也产生了越来越多的多址技术。本文将扩频技术与随机ＡＬＯＨＡ通信方式相结合，提出了一种适于卫星定位与通信系统的扩频ＡＬＯＨＡ信道模型。并对此信道的信道利用率进行了计算，得到了好的结果。全文还对定位与通信构成一体化系统的可实现性做了详细描述。最后，简单介绍了双星定位及通信系统的定位原理。     

基于最小生成树理论的空间结构分解模型

现有空间结构分解模型存在测算结果不唯一及不满足传递性两大问题。本文提出了一种基于最小生成树理论的空间结构分解模型,在保证多个地区间比较传递性的同时,减小了结构分解模型测算结果不唯一性对模型应用的影响。基于我国地区投入产出表,本文以ICT产业区位商比较的五变量结构分解为例,示范了如何定义帕式—拉式偏离指数(PLS),建立了基于PLS指数的最小生成树,并将结论应用于空间结构分解,对该模型的有效性进行了验证。     

扩频系统中PN码平方律捕获检测性能的闭合形式统计分析

对于任何一种扩频PN码捕获系统来说,捕获性能在很大程度上取决于检测概率P_D和虚警概率P_(fao)在常用的平方律PN码捕获检测器中,P_D和P_(fa)的准确值可由相关器输出信号的概率密度函数(pdf)来估计.这篇文章提出用一种抽样数据方法来导出pdf.结果发现,对于码同步时,pdf是非中心X平方(Chi-square)分布,然而,对于码非同步时,pdf是中心X平方分布.利用这些分布,用广义的Q函数导出了P_D和P_(fa)的闭合表达式.这些结果对研究扩展频谱的工程师在系统设计中调整各种临界参数是非常有用的.     

我国商业银行利差容忍度测度

文章假定我国商业银行贷款实际利率等于市场利率,模拟存款利率上限放开情境,选择2005年到2010年作为研究区间,对我国10家商业银行的利差容忍度进行测度。结果显示,2005年到2010年,随着我国商业银行,尤其是国有大型商业银行,经营效率的不断提高,对利差缩小的容忍能力显著增强,并且中型规模商业银行对利率市场化改革过程中利差缩小的容忍能力普遍强于国有大型商业银行,国有大型商业银行强于小型股份制银行。     

上证180指数流动性效应的实证研究

本文从实证的角度探讨了上证180指数创立事件对其成份股流动性的影响以及进一步改善的方法。上证180指数的成立事件一方面促进了成份股价差水平和交易信息对称程度的改善,另一方面又促使交易深度水平和交易活跃性的降低。这些流动性效应是由于机构投资者对180成份股偏好所造成的:机构投资者增加了180成份股的需求同时减少了供给,就导致了交易深度和活跃性的降低;机构投资者作为相对知情交易者,它们的偏好增加了市场的需求竞争程度,从而降低了交易者之间的信息不对称程度以及改善了市场价差水平。根据国外的经验,ETF可以有效地增强市场交易深度,因此本文建议创立上证180指数ETF弥补180指数对深度方面的负面影响。     

技术创新扩散动力机制及测度研究

本文基于技术创新扩散传播和驱动的双重视角下研究技术创新扩散的动力机制。首先,围绕创新主体和创新客体基于技术创新扩散方式的视角提出了技术创新扩散传播机制,并应用Bass模型对其传播机制进行测度;围绕创新主体、创新客体和创新中介基于技术创新扩散驱动要素的视角提出了技术创新扩散的驱动机制,并应用空间计量模型对其驱动机制进行测度。其次,运用2001-2018年中国五类城市(288个地级以上城市)的ICT数据对其创新扩散传播机制和驱动机制进行实证分析。结果表明：Bass模型能够有效测度五类城市ICT创新扩散的传播机制,且五类城市之间存在显著差异;面板数据固定效应动态SAR模型能够更全面测度五类城市ICT创新扩散驱动机制,时间、空间和时空滞后效应驱动显著,同时从宏观、中观和微观等视角测度并分析了对五类城市的驱动效果,得出一系列有价值的研究结论。     

Estimation of the effective bid-ask spread on high frequency Danish bond data

In this paper the effective bid-ask spread is estimated using 12 high frequency Danish bond samples. A clear-cut MA(1)-model for the mean of the return series, and a GARCH(1,1)-model for the variance, are found. Basically, Roll's model is used, but three different methods of calculating the first-order autocovariance are suggested. Each of these in turn produces three possible ways of estimating the effective bid-ask spread. First, Roll's original autocovariance estimate is used. Second, the autocovariance is calculating using the parameters of an estimated MA(1) model. Third, the autocovariance is obtained from the parameters of a joint MA(1)-GARCH(1,1) model. By means of bootstrapping the standard error of the bid-ask spread estimates are found. It is shown that the gain in efficiency, measured by the relative difference in the standard error of the estimates, is 29% when going from method one to method two, but only 1% when going from method two to method three. These results indicate that the extra gain in efficiency obtained by taking account of the MA(1) structure of the data is noteworthy, but the gain when incorporating the GARCH-effects is negligible.