市场前景F预测

本文综合运用马尔可夫链及 F概率的知识 ,对产品在市场上的销售状况进行 F预测 ,为经营者科学地进行市场前景决策提供可靠的依据     

A derivatives trading recommendation system: The mid‐curve calendar spread case

Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work is aimed to develop a trading recommendation system, and to apply this system to the so‐called Mid‐Curve Calendar Spread (MCCS) trade. To suggest that such approach is feasible, we used a list of 35 different types of MCCSs; a total of 11 predictive and 4 benchmark models. Our results suggest that linear regression with l1‐regularisation (Lasso) compared favourably to other approaches from a predictive and interpretability point of views.     

行业因素对综合预警模型的判别效果的影响研究--以基于主成分分析的Logit模型为例

以2010～2012年期间我国沪深A股因财务困境陷入ST的公司和按照1∶2比例配比的正常公司作为研究对象,并根据行业特点对样本进行划分。同时,选取能够反映企业盈利能力、股东获利能力、现金流量能力、营运能力、发展能力、偿债能力的30个财务指标,在主成分分析的基础上构建各年度的Logit模型,对各行业的违约概率和判别准确度分别进行分析。结果表明,不同行业的违约概率和判别准确度均存在显著差异且存在共性特征。     

对加入WTO后"以市场换技术"的思考

“以市场换技术”是20世纪80年代中后期以来我国吸引外国直接投资的重要目标之一。本文首先简要回顾了中国在加入WTO前的“以市场换技术”战略,在此基础上,分析了在加入WTO后“以市场换技术”的政策环境和外资在华行为的变化以及国际产业发展呈现出的新趋势,最后对如何促进“以市场换技术”提出了若干建议。     

刍议基差在期货交易中的运用与地位

本文首先通过分析不同期货品种基差的构成及基差正负所表现的市场意义揭示基差的内涵;然后根据对各种具体期货交易模式的分析归纳出对期货交易创新具有指导意义的基差原理和基差思想;最后指出,基差作为重要的分析工具,基差原理和基差思想作为重要的交易理念,在期货交易中具有重要地位。     

违约损失率问题初探

巴塞尔新资本协议强调内部评级法在风险管理和资本监管中的重要作用。内部评级法的关键在于对违约率及其相关因素的测量,其中违约概率(PD)和违约损失率(LGD)是内部评级法的核心变量。对国际上关于LGD的表现及影响因素的讨论进行了总结与分析,并重点对LGD与PD之间的关系进行了介绍。     

Venture capital trusts and the expiration of IPO lock-up provisions

Venture capital trusts (VCTs) were introduced to provide private equity capital for small expanding companies and to promote innovation. Investors in initial public offerings are rewarded with tax relief on the cost of lock-up provisions to stabilize the market. This paper examines the market reaction and trading activity around the expiration of lock-up provisions of 148 VCTs listed on the London Stock Exchange from 1995 to 2006. Downward-sloping demand curve theory suggests that an increased supply of VCT shares at the expiry date could shift their value to a new equilibrium at a lower price. Supporting this prediction, we document evidence of negative abnormal returns as well as permanent increases in the price discount relative to net asset value and trading volumes at and around the expiries of the required holding periods of VCTs. In addition, less negative abnormal returns, lower abnormal discounts and lower abnormal trading volumes are associated with VCTs that invest in AIM-listed companies due to lower information asymmetry, that experience lower prior performance due to a less pronounced disposition effect, and that are subject to a shorter lock-up horizon or are offering more generous tax benefits.     

Measuring the liquidity part of volume

Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on a structural definition of liquidity frictions arising from the theoretical framework of Grossman and Miller (1988), which explains how liquidity shocks affect the way in which information is incorporated into daily trading characteristics. In addition, we propose an econometric setup exploiting the volatility–volume relationship to filter the liquidity portion of volume and infer the presence of liquidity frictions using daily data. Finally, based on FTSE 100 stocks, we show that the extended MDH model proposed here outperforms that of Andersen (1996) and that the liquidity frictions are priced in the cross-section of stock returns.     

Informed trading around earnings and mutual fund alphas

We examine whether informed trading around earnings announcements drives mutual fund performance. The measure is motivated by prior studies arguing that a mutual fund is skilled if it buys stocks with subsequent high earnings announcement returns. We find that this measure predicts future mutual fund returns. On average, after adjusting for Carhart’s four risk factors, the top decile of mutual funds outperforms the bottom decile by 44 basis points per quarter. By decomposing fund alphas into two components in their relations to earnings, we find that this measure is only associated with earnings-related fund alphas. This measure can also be used to predict stock returns at future earnings announcements.     

素质教育与应试教育的经济学分析

在现代教育中,作为以卓越为目标追求的学校,将个人素质或学习能力作为招收学生的一个决定性因素.考试是个人素质与学习能力考核的替代性安排,这种制度安排既节约交易费用,同时又产生社会资源浪费.资源浪费的表现形式体现为提高考试分数,而不是在提高素质上加大投入,即应试教育的产生和壮大.学校招生制度的变革能够在一定程度上减少这种浪费.