中国金融资产收益率与宏观经济相关性研究

基于Lamont设立的经济跟踪指标组合体系,选择1997年5月至2006年11月的数据构建了股市各项资产收益率与宏观经济指标之间的多元OLS回归模型(ETP)、向量自回归模型(VAR)、协整检验和向量误差修正模型(VEC),全面考察了我国股市资产收益率与宏观经济变量之间的互动关系。研究发现,OLS模型与VAR模型中资产收益率的回归系数大多不显著,虽然宏观变量和金融资产收益率存在长期均衡关系,但是这种均衡关系非常松散和不明朗。     

一种改进的不完全指数复制方法

本文在考虑交易成本和投资组合动态调整的基础上,建立混合整数线性规划模型,引入内核搜索分析框架进行近似求解,并利用沪深300进行实证研究。研究发现,一是相比于基本内核搜索法,增强型内核搜索法仅在基准指数成分股数量很大时才会较大幅度提高求解质量;二是考虑投资组合动态调整的模型不仅更稳健,而且跟踪的继承性和保持性更好,尤其适用于单边市场;三是过度刻画现实交易特征一定程度上会降低不完全指数复制模型的复制和预测效果。     

一种机载地面侦察雷达多机动目标跟踪方法

加拿大经济学家巴伯(C.L.Barber)提出的有效保护率概念是对整个产业征税后实际保护程度的一个有效分析工具。但一些不符合现实的假设条件限制了有效保护理论的适用范围。一些著作也就这方面的问题作过探讨,本文在综合一些学者观点的基础上逐步放宽了其所假设的限制条件,使这一理论更加完善,更具现实指导意义。并在此基础上对中国关税结构的优化问题进行简要的分析。     

一种增强型指数追踪模型设计及应用

研究目标：构建了可以调节追踪误差和超额收益的增强型指数追踪模型,并给出了广义最小角度回归算法（GLARS）,用以计算调节参数作用下模型解的折中路径。研究方法：通过模拟数据和五组世界主要股票市场指数的历史数据,对本文提出的模型和算法与同类模型和算法进行了性能比较;同时追踪上证50指数构建若干稀疏且稳定的资产组合模型,通过信息比率等指标对投资组合进行评价。研究发现：本文构建的模型可用以构造权衡追踪效果和超额收益,且稀疏的资产组合,GLARS算法相对传统预设参数的算法具有良好的求解能力和计算速度。研究创新：引入调节参数平衡追踪效果和超额收益,并针对中国股票市场的特点,在增强型指数追踪模型施加非负约束;GLARS算法可遍历所有折中意义下的最优解。研究价值：本文提出的增强型指数追踪模型在国内具有较强适用性,在保证资产稀疏性的前提下可以得到超额收益,同时丰富了目前投资组合中的方法论研究。     

话题识别与跟踪技术发展研究

话题识别与跟踪以大规模新闻流为研究对象,通过监控新闻报道描述的话题,发现新的用户感兴趣的信息并将涉及某个话题的新闻报道组织起来以某种方式呈现给用户。本文首先介绍话题识别与跟踪的主要任务、相关概念和评价方法,然后对话题识别国内外研究现状进行详细论述,最后对话题识别的发展趋势和未来的研究方向进行分析。     

上证50ETF及其对证券市场的影响

本文讨论了上证50ETF在我国证券市场的运作状况和对市场的影响。ETF是交易所交易基金 的简称,作为上世纪90年代以来金融市场的创新,其在国际市场上发展迅速。2005年2月23日,我国证券 市场上第一个ETF产品正式上市交易,本文介绍了这一产品的基本情况和交易状况,并从折溢价水平、跟踪 偏离度等方面分析了上证50ETF的运作质量,并通过研究其对市场指数的引导作用以及相关股票的流动性 变化分析这一产品对证券市场的影响。论文最后总结了上证ETF存在的不足,并分析其原因。     

On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking

In this paper, we propose a new methology for Index Tracking (IT) by means of cointegration which provides some significant improvements on that field. As the quality of the tracking portfolio (TP) depends highly on the stock selection procedure, we propose picking the stocks using a model selection technique based on optimizing the cointegration level of the TP and the benchmark index instead of selecting, as in previous papers the assets by ad hoc decisions. To illustrate an empirical application of these techniques we use daily closing prices in the Dow Jones Industrial Average (DJIA) index over two different periods; one period which goes from 1 January 1990 to 31 December 2001 previously used by other authors, and the bear and a turmoil period, which goes from January 2007 to May 2012, inside the current financial crisis. Using only five assets we are able to successfully track the DJIA index and our results improve the IT technique based on cointegration that chooses stocks with maximum capitalization level. We also have compared our results with a more traditional procedure based on correlation and again our results reveal superiority. The empirical illustration not only has been focused on the TP itself, but has also been extended to tracking the index with an added profitability of 5, 10, 15 or 20% and to long-short strategies, producing profitable results.     

The desegregating effect of school tracking

This paper makes the following point: “detracking” schools, that is preventing them from allocating students to classes according to their ability, may lead to an increase in income residential segregation. It does so in a simple model where households care about the school peer group of their children. If ability and income are positively correlated, tracking implies that some high income households face the choice of either living in the areas where most of the other high income households live and having their child assigned to the low track, or instead living in lower income neighbourhoods where their child would be in the high track. Under mild conditions, tracking leads to an equilibrium with partial income desegregation where perfect income segregation would be the only stable outcome without tracking.     

跟踪与数据中继卫星Ku频段的同频干扰分析

本文主要就中国入世后物流业面临的压力和问题,借鉴欧美国家政府推动其物流业发展的有效举措,从宏观上阐述政府促进中国物流业发展的方略:设置专门的物流管理机构,构建统一的大市场;政府政策扶持物流业,推进中国物流现代化进程;鼓励支持物流教育与研究,培养现代化物流急需人才。     

Combining GPS & survey data improves understanding of visitor behaviour

Visitor tracking is frequently used in tourism planning for large sites, but is far less common at individual attractions, despite a body of literature examining the detrimental impact of crowding on visitor experience. This study used handheld geographic positioning system (GPS) units to track 931 groups of visitors around a single tourist attraction to determine where they went and how long they dwelt at particular locations. The tracking data were combined with survey data to discover whether different types of visitors behaved differently when exploring the attraction. The majority of visitors followed similar routes revealing a strong ‘main path inertia’ with over half missing exhibits away from the perceived main route. Different group types varied in how long they dwelt at different locations and in how long they spent at the attraction altogether.