Measuring tourism destinations using mobile tracking data

We develop a methodology for measuring visitor flows to destinations using space-time tracking data. Based on a review of the literature on this topic we propose that a tourism destination has five dimensions – spatial, temporal, compositional, social and dynamic – that can be measured using space-time tracking data. We analyse three of these dimensions, namely the spatial, temporal and compositional, using the mobile positioning data of foreign visitors in Estonia from 2011 to 2013. Results show that smaller destination areas can be differentiated inside the whole country by the geographical, temporal and compositional parameters of the visits. These findings demonstrate applications of “BIG” data in destination management. A monitoring tool based on this methodology and data is currently being used by the Estonian Tourist Board.     

靶场发射初始段雷达精密跟踪技术

航天战略地靶发射初始段测量除了产生必要的跟踪监视信息以外，更重要的任务是获取安控信息源，文章从靶场的雷达环境出发，说明常规跟踪雷达不能实现对复杂背景下的载体（星箭，导弹等）跟踪，经分析研究，提出了ＭＴＴ（Ｍｏｖｉｎｇ－Ｔａｒｇｅｔ－Ｔｒａｃｋｉｎｇ）技术的概念，实验室计算机仿真和工程样机在靶场跟踪的数据分析，说明ＭＴＴ雷达是实现初始段精密跟踪测量的一种有效手段。     

Delegated asset management,investment mandates,and capital immobility

This paper develops a model to explain the widely used investment mandates in the institutional asset management industry based on two insights: first, giving a manager more investment flexibility weakens the link between fund performance and his effort in the designated market, and thus increases agency cost. Second, the presence of outside assets with negatively skewed returns can further increase the agency cost if the manager is incentivized to pursue outside opportunities. These effects motivate narrow mandates and tight tracking error constraints to most fund managers except those with exceptional talents. Our model sheds light on capital immobility and market segmentation that are widely observed in financial markets, and highlights important effects of negatively skewed risk on institutional incentive structures.     

Portfolio frontiers with restrictions to tracking error volatility and value at risk

Asset managers are often given the task of restricting their activity by keeping both the value at risk (VaR) and the tracking error volatility (TEV) under control. However, these constraints may be impossible to satisfy simultaneously because VaR is independent of the benchmark portfolio. The management of these restrictions is likely to affect portfolio performance and produces a wide variety of scenarios in the risk-return space. The aim of this paper is to analyse various interactions between portfolio frontiers when risk managers impose joint restrictions upon TEV and VaR. Specifically, we provide analytical solutions for all the intersections and we propose simple numerical methods when such solutions are not available. Finally, we introduce a new portfolio frontier.     

Dominant tracking signals

The objective of this research is to find the best methods of automatically monitoring an exponentially smoothed forecast. Three conclusions are drawn. First, previously used performance measures are inadequate. As a consequence, currently available control limits can give false alarm rates that are substantially different than advertised. Second, two commonly used tracking signals can be substantially improved by choice of smoothing parameters. Finally, when measured by the new criteria proposed in this paper, the smoothed error tracking signal is substantially better than the unweighted sum of errors (CUSUM) method.     

基于支持向量机的金融市场指数追踪技术研究

本文研究了指数型基金管理和指数套利中最核心的指数追踪问题。依据结构风险最小化思想,建立了基于支持向量机的指数追踪模型,并利用OR-Library中的测试数据之恒生指数历史数据进行了实证检验。数据结果表明本文提出的新方法能够提高样本外的追踪效果,同时也说明该方法具有良好的鲁棒性,从而具有较高的理论和实用价值。     

上证50ETF的跟踪误差实证研究

本文基于上证50ETF2005—2007年的日交易数据集从实证角度计量其对目标指数即上证50指数的跟踪误差变化及波动特征,并深入探讨跟踪误差变化及波动的成因,进而对我国交易所交易基金产品（ETF）及未来的指数产品设计和市场制度安排提出建议。     

Tracking performance of VIX futures ETPs

We find that, at the daily level, none of the VIX futures Exchange-Traded Products (ETPs) track their intrinsic values perfectly, although the tracking improves at the weekly and monthly frequency. We show that all products tracking deviations are driven by mainly driven by limits to arbitrage, measured by market conditions, liquidity and transaction costs. Exchange-Traded Funds’ (ETFs’) deviations are more significantly related to fund flows, which shows authorized participants taking advantage of arbitrage opportunities by creating/redeeming ETF units. The Exchange-Traded Notes (ETNs) do not have this mechanism, creation and redemption is reliant on the issuers and delayed, so their deviations are less related to flows.     

Rebuilding the limit order book: sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants’ future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world’s most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges.     

新校区建设全过程跟踪审计思考

新校区建设成为令人瞩目的亮点,但对于动辄数千万上亿、甚至十亿的巨额建设资金,以及如何适应紧迫的发展需要,如何建设好新校区,成为高校管理层重点关注的焦点.基于以上的原因,本文主要从新校区开展建设全过程跟踪审计的必要性、基本保障措施、审计的工作重点等方面阐述了对新校区建设全过程跟踪审计的思考.