Does default point vary with firm size?

This article aims to improve the predictive ability of KMV model by distinguishing firm size. The evidence suggests that default point would vary with firm size. Using the method of particle swarm optimization, we obtain the optimal default point separately for large firms and small firms. Several statistical tests such as the model confidence set methodology show that our relatively tractable model is more likely to have the strongest predictive ability.     

Dynamic time series momentum of cryptocurrencies

This paper examines the momentum effect for twenty cryptocurrencies compared to the US stock market. For this purpose, we implement a dynamic modeling approach to define and test momentum periods that follow a formation period for interday and various intraday price levels. We find evidence that large proportions of the asset classes’ formation periods are followed by momentum periods, strongly supporting the momentum effect. In particular cryptocurrencies have significantly larger and longer momentum periods in all frequencies which we attribute to the lower derivability of their intrinsic value leading to a higher degree of noise traders in the market. A momentum trading strategy based on the identical approach outperforms a buy-hold strategy for both asset classes, while only cryptocurrencies have higher risk-adjusted returns and lower downside risks than a passive investment. We also find critical price levels during structural elements of the momentum period where the volatility shortly but intensively increases and consequently initiates a price impulse in the direction of the momentum.     

基于激光点云的高墩垂直度偏差分析方法

现代桥梁工程中高墩桥梁屡见不鲜,桥墩垂直度已成为评定桥墩施工质量的重要指标之一.以新疆某特大桥项目为依托,针对高墩垂直度检测结果实用性低的问题,提出一种采用三维激光扫描技术对高墩垂直度进行非接触测量分析的方法.利用三维激光扫描仪快速获取高墩结构全局点云信息,对桥墩点云进行拼接、降噪等预处理,采用编程算法实现了桥墩节段中心点和垂直度偏差的计算,并得到了垂直度偏差变化规律图.最后将该方法与传统方法进行对比.结果表明:利用三维激光扫描技术对高墩进行快速测量,能够获取桥墩中心轴线的三维空间线型,精确分析并定位最大偏差位置,显著提高垂直度测量结果的实用性,具有良好的工程应用前景,并为后续研究桥墩垂直度问题提供了新思路.     

ALICE: Composite leading indicators for euro area inflation cycles

This paper develops Area-wide Leading Inflation CyclE (ALICE) indicators with the aim to provide early signals for turning points in the euro area headline and core inflation cycles. The headline (core) ALICE leads the reference cycle by three (four) months and the lead times extend to five (nine) months based on longer-leading series. Both ALICE indicators signalled turning points in the inflation cycles ex post and also performed well in a simulated real-time exercise. Moreover, in particular the headline ALICE also appeared to be useful for quantitative forecasting of the direction and level of inflation.     

Self serving reference points in double auctions

We present a novel approach for modelling self serving bias by way of reference dependence. Bias is modelled as a systematic individual level deviation of the endogenous reference point from the expected price of a good in a two person k-double auction. We find that bias decreases the efficiency of the model, and that efficiency is decreasing in both the level of bias and reference dependence.     

Data driven rank test for the change point problem

Data driven test procedure for detection of change is introduced and its properties are studied. The new solution is max-type statistic related to data-driven rank tests for two-sample subproblems. Simulations show that the new test possesses high and stable power. The test is consistent at essentially any alternative. Asymptotic null distribution of the test is derived. The work of the first two authors has been partially supported by the grants GAČR 201/06/0186 and MSM 02160839.     

大规模突发事件应急物资调度中的车辆路径问题

研究了n台应急车辆将应急物资从应急服务中心如机场、火车站运送到m个应急需求点,最后返回到应急服务中心的车辆路径问题,并以所花费的总时间最短且各辆车花费时间尽可能均衡为目标建立了模型,给出了改进的"最近搜索法",并用算例验证了模型的有效性。     

Promoting entry of high-quality workers through US immigration policy

We examine how US immigrants would be affected by applying a simple point system for admission, as Canada does. Since US immigration policy emphasizes family reunification, immigrants have lower education and earnings than natives, with unauthorized immigrants’ education below legal ones. Using American Community Survey data, and Center for Migration Studies data, which allows us to distinguish legal from unauthorized immigrants, we examine the effects of requiring immigrants to meet 2 of 3 conditions: (1) a high school or college degree, (2) being less than 40 years old and (3) working in a professional occupation, while admitting the same numbers of immigrants. This policy changes the source countries of immigrants and there are large positive effects on immigrant earnings. Immigrants’ use of government transfer programs is reduced to below natives and income inequality falls. Finally, with existing policy, immigrant earnings growth is not enough to overtake natives given immigrants’ entering earnings disadvantage. With this point system, immigrants start at a higher level and surpass natives relatively quickly.     

基于价值工程的客户订单分离点定位冲突消解

提出了一种基于价值工程理论和多目标决策算法的即时顾客化定制(IC)下客户订单分离点(CODP)定位冲突消解方法。首先分析了最优CODP定位涉及的利益相关方,从成本、定制化程度和时间等方面研究了CODP定位的影响因素;然后基于价值工程理论,提出了IC生产模式下顾客价值的表达式,将顾客价值的功能因素数量化,综合运用价值指数法和求解多目标决策问题的优化算法,构造CODP定位冲突消解问题的优化算法,并给出该算法的具体实现步骤;最后应用该算法对某企业的典型案例问题进行求解,表明了该算法的有效性。