Signed Central Moments of Integer Random Variables with Decreasing Density

Signed central α-moments of integer valued rv with decreasing density are considered. These are all positive if α≥3/2. We state sharp universal bounds on α depending only on the expectation of the random variable. For special cases the bounds are also evaluated numerically.     

A bivariate Poisson count data model using conditional probabilities

The applied econometrics of bivariate count data predominantly focus on a bivariate Poisson density with a correlation structure that is very restrictive. The main limitation is that this bivariate distribution excludes zero and negative correlation. This paper introduces a new model which allows for a more flexible correlation structure. To this end the joint density is decomposed by means of the multiplication rule in marginal and conditional densities. Simulation experiments and an application of the model to recreational data are presented.     

Estimating Systematic Risk Using Time Varying Distributions

This article proposes a dynamic vector GARCH model for the estimation of time-varying betas. The model allows the conditional variances and the conditional covariance between individual portfolio returns and market portfolio returns to respond asymmetrically to past innovations depending on their sign. Covariances tend to be higher during market declines. There is substantial time variation in betas but the evidence on beta asymmetry is mixed. Specifically, in 50% of the cases betas are higher during market declines and for the remaining 50% the opposite is true. A time series analysis of estimated time varying betas reveals that they follow stationary mean-reverting processes. The average degree of persistence is approximately four days. It is also found that the static market model overstates non-market or, unsystematic risk by more than 10%. On the basis of an array of diagnostics it is confirmed that the vector GARCH model provides a richer framework for the analysis of the dynamics of systematic risk.     

Condorcet's Jury Theorem and the reliability of majority voting

The effect on the Jury Theorem of dependency among votes is discussed. Condorcet's original model and theorem depend crucially on the assumption of independence and the applicability of the binomial distribution. Two simple extensions of the binomial distribution are used to illustrate the effects of dependency on the quality of group decision making. With the correlated binomial model, it is possible to isolate the effect of pairwise dependency. In the presence of fairly strong pairwise dependency, we are not even guaranteed the natural property of monotonicity with respect to voters. A Pólya-Eggenberger model illustrates the effect of contagion on group competence. A special case of the beta-binomial distribution is used to demonstrate that, even in the presence of synergetic group effects, we are not guaranteed infallible decisions from a very large group. Consequences for an epistemic theory of democracy are indicated.     

滩海陆岸进海路及平台的质量控制

结合在垦东12区块进海路及海油陆采平台工程的质量检验，阐述了滩海陆岸设施建造施工检验阶段各质量要点。指出．滩海陆岸设施主体工程的质量控制归根到底是原材料和施工工序的质量控制。     

Construction of D-optimal s 1 × s 2 × s 3 factorial designs using graph theory

In this paper, the maximum determinant of the associated 0-1 matrix in D-Optimal saturated main effect plans for 3× s_2 × s_3 factorials, is derived by the use of Graph theory and Combinatorics. The present work is related to a problem suggested by Chatterjee and Narasimhan (2002). Using the theoretical results, we also give the designs for s₃≥s₂ + 1. This research was supported by the State Scholarships Foundation of Greece.     

构建稳价安民长效机制的思考

稳价安民长效机制是指围绕稳价格、保民生,运用经济、法律和必要行政手段对价格总水平波动进行直接或间接干预的制度体系及其运作方式。构建稳价安民长效机制是经济健康发展的必然选择、抑制通货膨胀的客观需要、深化价格改革的重要条件、保民生促和谐的现实要求、克服市场失灵的有效措施。构建稳价安民长效机制应做好发展生产,增加供给;规范流通,减少环节;建立储备,调节市场;加强监测,引导预期;依法监管,维护秩序;实施救助,保障民生等工作。     

员工反生产行为组织控制的演化博弈分析

基于演化博弈理论和员工反生产行为组织控制的行为博弈演化过程,构建企业与员工共同参与的演化博弈模型.博弈的复制动态方程表明:员工选择显性反生产行为的比例、员工因选择反生产行为所获得的额外收益、企业对员工的反生产行为进行监管所投入的成本,企业观测到员工选择反生产行为时所作出的处罚都将对博弈均衡的结果产生影响.对此,应加强人力资源管理,加大组织支持力度,建立有效的控制机制.     

Anomalies in the Foundations of Ridge Regression

Errors persist in ridge regression, its foundations, and its usage, as set forth in Hoerl & Kennard (1970) and elsewhere. Ridge estimators need not be minimizing, nor a prospective ridge parameter be admissible. Conventional estimators are not LaGrange's solutions constrained to fixed lengths, as claimed, since such solutions are singular. Of a massive literature on estimation, prediction, cross–validation, choice of ridge parameter, and related issues, little emanates from constrained optimization to include inequality constraints. The problem traces to a misapplication of LaGrange's Principle, unrecognized singularities, and misplaced links between constraints and ridge parameters. Alternative principles, based on condition numbers, are seen to validate both conventional ridge and surrogate ridge regression to be defined. Numerical studies illustrate that ridge regression as practiced often exhibits pathologies it is intended to redress.     

HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS

The short‐time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In this work, a novel second‐order approximation for at‐the‐money (ATM) option prices is derived for a large class of exponential Lévy models with or without Brownian component. The results hereafter shed new light on the connection between both the volatility of the continuous component and the jump parameters and the behavior of ATM option prices near expiration. In the presence of a Brownian component, the second‐order term, in time‐t, is of the form , with d₂ only depending on Y, the degree of jump activity, on σ, the volatility of the continuous component, and on an additional parameter controlling the intensity of the “small” jumps (regardless of their signs). This extends the well‐known result that the leading first‐order term is . In contrast, under a pure‐jump model, the dependence on Y and on the separate intensities of negative and positive small jumps are already reflected in the leading term, which is of the form . The second‐order term is shown to be of the form and, therefore, its order of decay turns out to be independent of Y. The asymptotic behavior of the corresponding Black–Scholes implied volatilities is also addressed. Our method of proof is based on an integral representation of the option price involving the tail probability of the log‐return process under the share measure and a suitable change of probability measure under which the pure‐jump component of the log‐return process becomes a Y‐stable process. Our approach is sufficiently general to cover a wide class of Lévy processes, which satisfy the latter property and whose Lévy density can be closely approximated by a stable density near the origin. Our numerical results show that the first‐order term typically exhibits rather poor performance and that the second‐order term can significantly improve the approximation's accuracy, particularly in the absence of a Brownian component.