Nonlinear integration of London and Amsterdam stock markets in the 1700s

The financial markets in London and Amsterdam were some of the first to develop. Using threshold autoregressive models, we use data on two commonly traded stocks in these cities to show that the joint behaviour of the prices is consistent with the theory of arbitrage in the presence of transportation costs. The results suggest that prices converged more quickly as the price difference between the two markets increased. We also show that the threshold estimates are consistent between assets and across time. These results provide some of the earliest evidence of nonlinear mean reversion in asset prices in geographically separate financial markets.     

浅谈岩溶区公路路基稳定性的区间模糊评判分析

岩溶区公路路基稳定性研究的方法很多,本文采用区间模糊评判方法结合路基稳定性的特征对岩溶区公路的路基进行全面的分析,通过隶属度和权向量等方法的评判分析出适合岩溶区公路路基稳定性发展的方法,找出最终的测试结果和最终的使用方法。该方法使得岩溶区公路路基稳定性的评判更合理,更具有操作性。     

Nonlinear dynamics in economics and finance and unit root testing

The recent financial crisis exposed the inability of traditional theoretical and empirical models to parsimoniously capture the rich dynamics of the economic environment. This has stimulated the interest of both academics and practitioners in the development and application of more sophisticated models. By allowing for the presence of nonlinearities, complex dynamics, multiple equilibria, structural breaks and spurious trends, these latter models resemble more closely the properties of economic and financial time series. In this article, we illustrate the flexibility of a family of econometric models, namely the exponential smooth transition autoregressive (ESTAR), to encompass several of the above characteristics. We then re-assess the power of the ESTAR unit root test developed by Kapetanios, Shin and Snell ((2003) Kapetanios, G., Shin, Y. and Snell, A. 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2): 359–79. (doi:10.1016/S0304-4076(02)00202-6)[Crossref], [Web of Science ®] , [Google Scholar]) in the presence of nuisance parameters typically encountered in the literature and compare its performance with that of the augmented Dickey-Fuller and the Enders and Granger ((1998) Enders, W. and Granger, C. W.J. 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3): 304–11. [Taylor & Francis Online], [Web of Science ®] , [Google Scholar]) tests. Our results show the lack of dominance of any particular test and that the power is not independent to priors about the nuisance parameters. Finally, we examine several asset price deviations from fundamentals and one hyper-inflation series and find contradictory results between the nonlinear fitted models and unit root tests. The findings highlight that new testing procedures with higher power are desirable in order to shed light on the behavior of financial and economic series.     

Finding Bayesian Optimal Designs for Nonlinear Models: A Semidefinite Programming‐Based Approach

This paper uses semidefinite programming (SDP) to construct Bayesian optimal design for nonlinear regression models. The setup here extends the formulation of the optimal designs problem as an SDP problem from linear to nonlinear models. Gaussian quadrature formulas (GQF) are used to compute the expectation in the Bayesian design criterion, such as D‐, A‐ or E‐optimality. As an illustrative example, we demonstrate the approach using the power‐logistic model and compare results in the literature. Additionally, we investigate how the optimal design is impacted by different discretising schemes for the design space, different amounts of uncertainty in the parameter values, different choices of GQF and different prior distributions for the vector of model parameters, including normal priors with and without correlated components. Further applications to find Bayesian D‐optimal designs with two regressors for a logistic model and a two‐variable generalised linear model with a gamma distributed response are discussed, and some limitations of our approach are noted.     

Superpave13混合料级配与构造深度关系

在某条高速Superpave13混合料施工过程中现场随机抽取试样,通过抽提试验确定混合料的级配。在混合料铺筑完成后次日现场取芯分析路面压实度,同时采用铺砂法确定路面构造深度(TD),采用多元非线性回归法分析构造深度与级配关系,并在路面通车半年、一年后对路面构造深度进行测试,分析构造深度随时间衰变规律。通过分析得知在施工过程中路面压实度满足要求的情况下,级配与构造深度有着很好的相关性。同一公路不同路段,由于交通量的差异,导致构造深衰变规律有一定的差异,在排除交通轴载对构造深度的影响因素后,构造深度随时间有着很好的相关性。     

Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints

The paper estimates a large‐scale mixed‐frequency dynamic factor model for the euro area, using monthly series along with gross domestic product (GDP) and its main components, obtained from the quarterly national accounts (NA). The latter define broad measures of real economic activity (such as GDP and its decomposition by expenditure type and by branch of activity) that we are willing to include in the factor model, in order to improve its coverage of the economy and thus the representativeness of the factors. The main problem with their inclusion is not one of model consistency, but rather of data availability and timeliness, as the NA series are quarterly and are available with a large publication lag. Our model is a traditional dynamic factor model formulated at the monthly frequency in terms of the stationary representation of the variables, which however becomes nonlinear when the observational constraints are taken into account. These are of two kinds: nonlinear temporal aggregation constraints, due to the fact that the model is formulated in terms of the unobserved monthly logarithmic changes, but we observe only the sum of the monthly levels within a quarter, and nonlinear cross‐sectional constraints, since GDP and its main components are linked by the NA identities, but the series are expressed in chained volumes. The paper provides an exact treatment of the observational constraints and proposes iterative algorithms for estimating the parameters of the factor model and for signal extraction, thereby producing nowcasts of monthly GDP and its main components, as well as measures of their reliability.     

混沌学视角下的民族语言文化

混沌学为民族语言文化的研究提供了理论依据。本文针对传统语言学研究的不足,依据混沌学的特点,阐述了自己的混沌框架和模型,最终希望民族语言文化在混沌状态下能够得以延续并健康发展。     

Optimal traffic calming: A mixed-integer bi-level programming model for locating sidewalks and crosswalks in a multimodal transportation network to maximize pedestrians’ safety and network usability

We study the effect that installing sidewalks and crosswalks, as traffic calming facilities, has on the safety and usability of a transportation network with automobile, public transit and walking as modes of transportation. A mathematical programming model is proposed for this problem whose objective is to minimize the safety hazard for pedestrians and the total transportation cost of the network. We utilize a customized greedy heuristic and a simulated annealing algorithm for solving the problem. The computational results indicate that installing sidewalks and crosswalks at proper locations can reduce the overall transportation cost and improve pedestrians’ safety.