Finance models as metaphors

Quantitative models in the social science of finance such as the Capital Asset Pricing Model (CAPM) and the Black-Scholes Option Pricing Model (OPM) are metaphors. They cannot be applied literally, but do provide us with figurative knowledge—an epistemologically meaningful form that might legitimately be called a “useful framework,” as the CAPM is commonly referred to in textbooks. This paper describes the scientific value of metaphors and discusses why the OPM ought to be seen as one and what this might mean. As a result of finance research and the development of what has been called “modern finance theory,” of which the CAPM and OPM are important parts, we can certainly understand financial relationships much better, but that “understanding” is quite different from what our research methods imply that it is.     

基于系统控制机制的动态物流联盟建模研究

在阐述物流系统建模技术研究的基础上，提出基于系统控制机制的动态物流联盟建模思路，核心思想是采用合理的控制方式，使具有不同优化目标的决策过程间实现最大程度的一致性。为此建立了基于整子控制机制的动态物流联盟模型的总体架构，并建议采用递阶控制机制协调子系统内部的过程联系。     

成都独角兽岛启动区景观设计LIM实

通过介绍成都独角兽岛启动区的设计和施工建造过程, 结合项目实际情况,有选择性地在风景园林设计的不同阶段,利 用相对的数字化信息模型技术来阐述和分析设计行业信息模型在 风景园林空间设计上的项目管理、设计技术、合作对接、质量把 控及施工建造等方面的实践经验。以此为例,探讨在行业中的实 践现状和发展风景园林信息模型(LIM)的必要性。     

中国多区域社会保障均衡的政策模拟

本文在介绍社会保障研究和多区域CGE进展的基础上,提出将社会保障研究从传统的单区域局部均衡框架推进至多区域一般均衡的研究框架,并构建了一个中国多区域社会保障可计算一般均衡模型(Multi-Regional,MReCGE-C),该模型对居民根据城乡属性和年龄结构进行了分组,放松了要素流动的限制,使劳动力和资本可以同时跨区域流动,并设计了一种基于居民终生效用的区域均衡机制,通过区域变量可以调控和测度区域差距。最后利用MReCGE-C模型针对中国社会保障政策下的两种典型方案进行了模拟。     

What can we learn from the history of gasoline crack spreads?: Long memory,structural breaks and modeling implications

In this paper, we investigate the long-range auto-correlations of crack spreads using a nonparametric method, named detrended moving average (MF-DMA). We find that the auto-correlations display multiscaling behaviors and are dominated by the anti-persistence (mean-reversion) in the long-term. Moreover, the auto-correlations are multifractal, indicating that various small and large fluctuations display different scaling behaviors. Using a technique of rolling windows, we find that some extreme events can drive the degree of anti-persistence and the multifractality (complexity) to rise up. In other words, these events have negative impacts on market efficiency. However, the effects of these events are not alike. We also detect long-range auto-correlations in crack spread volatilities and find a strong persistent behavior and multifractality. Finally, we discuss the modeling implications of the findings on long-range auto-correlated patterns. Our results indicate that ARFIMA-GARCH models can capture the major dynamics of large fluctuations. For small fluctuations, they are misspecified. Interestingly, we find that the strong long-range auto-correlated behaviors do not imply that ARFIMA model which takes long memory into account can outperform random walk model in the sense of out-of-sample prediction. The major reason may be that market complexity exploited in this paper causes the low predictability of ARFIMA model.     

地区经济收敛实证研究方法评述

收敛假说和世界范围内地区经济增长差距持续存在的反差,使得国内外许多学者采用各种分析方法研究国家或地区经济增长的收敛性,相关文献非常丰富。本文试图通过对纷繁文献的总结和梳理,对研究地区经济收敛的四种实证研究方法(横截面回归分析法、时间序列分析法、分布动态法及统计指标法)进行比较分析,介绍相关实证研究方法的最新进展,为我国地区经济增长收敛性的进一步深入研究提供借鉴和参考。     

Learning elemental structures and dynamic processes in technological systems: a cognitive framework

An important objective of science and technology education is the development of pupils’ capacity for systems thinking. While in science education the term system relates mainly to structures and phenomena in the natural world, technology education focuses on systems designed to fulfill people’s needs and desires: examples include systems to control the local environment, or the position or motion of objects. Despite the centrality of the system concept to technology and technology education, issues relating to the teaching and learning of systems within the technology curriculum have been little addressed. This paper explores some elemental structures common to technological feedback control systems, and highlights the relationships between the structural nature and the dynamic behavior of these systems. It is argued that the study of systems and control concepts in technology has the potential to promote higher learning skills such as interdisciplinary thinking and modeling, and an instructional framework for achieving this goal is proposed. Questions and research issues on the fostering of systems thinking in technology education are identified.     

The Adam Smith Award Address, 2004

Much of what Adam Smith said in 1776 remains fresh today—particularly on the trade-off between guns and butter. It is safe to say, however, that he did not antic- ipate macroeconometric modeling for forecasting and policy analysis. From its beginnings in the 1940s, the standards and the needs of users of forecasts are becoming ever more demanding as the information flow becomes more bountiful. We have evolved from reliance on annual data to the availability of high-frequency data and the challenges of integrating the two into reliable, timely forecasting models. In extending modeling efforts to transition and newly developing countries, I have been pleasantly surprised at the availability of important data, making possible not only models for individual countries but for linking them to understand the impacts of global phenomena such as oil shocks and financial crises. In many of these countries, however, time series are short—making efficient use of high-frequency data even more important. Another promising area of investigation is integration of input-output and flow-of-funds analysis with income and product accounts for more realistic treatment of such issues as technological change and interest rates.JEL Classification C5     

Forecasting recreation demand in the upper Savannah River Basin

Saunders, Paul R., Herman F. Senter, and James P. Jarvis, Forecasting Recreation Demand in the Upper Savannah River Basin. Annals of Tourism Research 1981, VIII(2):236–256. The Upper Savannah River Basin in Georgia and South Carolina, USA, offers opportunities for a variety of recreation activities. Four major reservoirs, and a fifth one under construction, are available for recreation use. Most users live within 80 to 160 kilometers of the two principal reservoirs, Hartwell Lake and Clark Hill Lake. A recreation demand model was developed for these two reservoirs and the soon to be completed Russell Lake, basing total demand on projected population and participation rates for fourteen selected activities. Total demand, consisting of met and unmet demand, was predicted for 1976, 1980, 1990, 2000 and 2010. The model is a relatively simple tool which can be used by state, local, and regional planners to predict both demand for facilities, and the supply of facilities needed to meet future demand.     

A new approach to modelling sigmoidal curves

Growth and diffusion phenomena have become of great interest to investigators in many disciplines, such as Biology, Demography, Economy, Agriculture, etc. These processes are generally analyzed by means of growth curves. As, in nature, it is not possible for any variable to continue growing indefinitely, we can consider any growth process to have an upper limit or saturation level. Thus, should a model represent a growth phenomenon, it will be described by a sigmoidal or S-shaped curve. There are a wide variety of growth models in general and specific literature. Of these, the logistic model is without doubt one of the most studied in practice, as well as some modifications of it, including recent investigations directed to the decomposition of a growth curve into various logistic components [Technol. Forecast. Soc. Change 47 (1994) 89; Technol. Forecast. Soc. Change 61 (1999) 247.]. In all the cases above, the adopted approach includes fitting the trend curve to the data by means of a well-known estimation procedure, such as least squares. We suggest a somewhat different approach, which consists of expressing the model through its differential equation and searching for a functional specification for the variable representing growth rate. Two series have been chosen from the recent literature in order to illustrate the methodology presented.