Modelling the Currency Forward Risk Premium: A New Perspective

In this paper we seek to develop a new approach to the time series analysis of foreign exchange risk premia. We do so by assuming a geometric Brownian process for the spot exchange rate and expressing the no-arbitrage spot-forward price relationship under the historical probability measure. We are thereby able to obtain a stochastic differential equation system linking the spot exchange rate, the forward exchange rate and the risk premium (modelled directly as a mean-reverting diffusion process) which we estimate using Kalman filtering techniques. We are able to use observations at a range of frequencies since the framework we set up does not involve overlapping observations. The model is then applied to the French Franc/USD, DEM/USD, GBP/USD, and Japanese Yen/USD exchange rates from 1 January 1990 to 31 December 1998. For all currencies we find evidence that the forward risk premium is stationary and exhibits substantial positive time variation.     

Competitive market equilibrium under asymmetric information

This paper studies the existence of a competitive market equilibrium under asymmetric information. There are two agents involved in the trading of the risky assets: an “informed” trader and an “ordinary” trader. The market is competitive and the ordinary agent can infer the insider information from the price dynamics of the risky assets. The insider information is considered to be the total supply of the risky assets. The definition of market equilibrium is based on the law of supply-demand as described by a rational expectations equilibrium of the Grossman and Stiglitz (Am Econ Rev 70:393–408, 1980) model. We show that equilibrium can be attained by linear dynamics of an admissible price process of the risky assets for a given linear supply dynamics.      

宽带信号数字信道化及跨信道重构侦测技术

针对在无源探测大带宽信号的过程中会产生跨信道失真问题,提出了一种跨信道可重构的信道化方法。首先经过均匀滤波器组粗滤波,再引入检测时间自适应的双门限能量检测机制,对粗滤波信号进行跨信道判决,之后对各个跨信道信号分别进行可重构信道化设计,从而恢复出原始信号。与传统的数字信道化方法相比,该算法能够更新能量检测门限对跨信道信号进行实时判决,对跨信道信号的重构准确率高于98.3%,实现了对跨子信道带宽信号的近似无失真重构。Matlab仿真结果验证了算法的有效性。     

基于多相滤波的宽带数字接收机二次变频设计

分析了基于多相滤波结构的宽带侦察接收机中频数字信号下变频处理方法。在简要说明多相滤波结构的基础上,介绍了基于多相滤波结构的数字下变频实现方法,重点分析了一种二次变频结构,该结构可以极大简化接收机设计,且具有很大的灵活性。最后通过Simulink仿真验证了该结构的合理性和正确性。     

Estimating the structural credit risk model when equity prices are contaminated by trading noises

The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models developed by Duan [Duan, J.-C., 1994. Maximum likelihood estimation using price data of the derivative contract. Mathematical Finance 4, 155–167] is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function based on the observed equity prices can only be evaluated via some nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the structural credit risk model of Merton [Merton, R.C., 1974. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance 29, 449–470]. We implement the method on the Dow Jones 30 firms and on 100 randomly selected firms, and find that ignoring trading noises can lead to significantly over-estimating the firm’s asset volatility. The estimated magnitude of trading noise is in line with the direction that a firm’s liquidity will predict based on three common liquidity proxies. A simulation study is then conducted to ascertain the performance of the estimation method.     

Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain

We consider a multi-stock market model where prices satisfy a stochastic differential equation with instantaneous rates of return modeled as a continuous time Markov chain with finitely many states. Partial observation means that only the prices are observable. For the investors objective of maximizing the expected utility of the terminal wealth we derive an explicit representation of the optimal trading strategy in terms of the unnormalized filter of the drift process, using HMM filtering results and Malliavin calculus. The optimal strategy can be determined numerically and parameters can be estimated using the EM algorithm. The results are applied to historical prices.Received: March 2004, Mathematics Subject Classification (2000): 91B28, 60G44JEL Classification: G11Supported by NSERC under research grant 88051 and NCE grant 30354.     

Emotions Matter: Sentiment and Momentum in Foreign Exchange

The author introduces news sentiment as a variable that can explain and predict subsequent changes in the USD/EUR exchange rate and therefore close a gap in the foreign exchange literature. By applying the concept of frequency filtering from the domain of electrical engineering, the author shows an innovative way of filtering for noise not only in news sentiment, but also in price momentum. The author finds that news sentiment is not correlated to price momentum, and that trading strategies based on news sentiment achieve around twice as high information ratios (up to 0.9) than with trading strategies based on price momentum.     

我国食品行业波动特征与周期划分

根据增长型经济波动定义,本文利用基于增长率变化的时间序列数据,描述了我国食品行业结构、价格、固定资产净值、产值、增加值、利润等指标的波动变化过程,发现我国食品行业不仅存在波动,而且波动的频率和波动幅度都要明显于我国GDP的波动。通过H-P滤波法对食品行业产出进行趋势成分和波动成分的分解,结果表明我国食品行业从1980-2009年出现过8个波动周期,且外部冲击因素增加,波动幅度加强。     

卫星认知无线通信中频谱感知算法比较

以实现卫星认知无线通信中频谱空穴探测为目的,列举并比较了目前用于频谱感知的 六种算法。根据各个算法的自身特点指出其应用场合,分别分析了它们的优缺点,通过计算 机仿真给出了能量检测、匹配滤波和压缩感知的检测性能,并指出压缩感知对硬件复杂度的 要求最小,适合卫星认知无线通信。