Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model

This paper compares the empirical performances of statistical projection models with those of the Black–Scholes (adapted to account for skew) and the GARCH option pricing models. Empirical analysis on S&P500 index options shows that the out-of-sample pricing and projected trading performances of the semi-parametric and nonparametric projection models are substantially better than more traditional models. Results further indicate that econometric models based on nonlinear projections of observable inputs perform better than models based on OLS projections, consistent with the notion that the true unobservable option pricing model is inherently a nonlinear function of its inputs. The econometric option models presented in this paper should prove useful and complement mainstream mathematical modeling methods in both research and practice.     

概率度量空间中压缩型映象不动点定理的一个推广

本文揭示了《不动点理论及应用》的第九章中节(2)型与第(4)型压缩映象的本质区别;并在此基础上给出了一个定理,它是《不动点定理及应用》中定理9、3、6定理与9、3、10的推广。     

Identifying and mapping the tourists⿿ perception of cultural ecosystem services: A case study from an Alpine region

Landscapes provide an array of services to society, from the provision of food and material, to the provision of cultural ecosystem services such as recreation, aesthetics or spirituality. Studies on cultural ecosystem services, however, remain rare and little is known about the spatial localisation of these services. In this study, we adopt and test a framework to identify and map the provision of cultural ecosystem services as perceived by tourists in an Alpine region, i.e. the region of South Tyrol in Italy. A photo-based questionnaire survey is combined with cartographical representations of landscape types to elicit hot and coldspot areas of cultural ecosystem service provision. We statistically test for influences of the land use type and the respondents' socio-demographic background on the tourists' perception of these services. The results show that different spatial patterns emerge for each of the investigated cultural ecosystem services depending on the distribution and extent of the landscape types to which they are related. In particular traditionally managed landscapes, small in extent and mainly scattered over large areas between 1000 and 2200 m a.s.l., are hotspot areas of aesthetic beauty, leisure activities and spirituality. In contrast, intensively managed landscapes, mainly located in the lowland plains of the study site, are considered to be more important for the provision of cultural heritage values. While the results suggest that land use type exerts the strongest influence upon tourists' perception, factors such as the respondents' perceived importance of the services, their gender, cultural background, environmental engagement and experience with the landscape play a significant but subordinate role. We conclude that the spatially explicit information about the provision of cultural ecosystem services can serve as a helpful basis for the design and further implementation of land use policies that acknowledge the high touristic value of traditionally used landscapes in mountain regions.     

The failure of agri-environment measures to promote and conserve grassland biodiversity in Slovenia

The effectiveness of four grassland-specific agri-environment measures (AEM), implemented in the frame of the European Agricultural Fund for Rural Development (EAFRD) in the period 2007–2013 in Slovenia was studied. We questioned whether the measures – “extensive grassland maintenance”; “preservation of special grassland habitats”; “preservation of grassland habitats for butterflies” and “bird conservation in humid extensive meadows in Natura 2000 sites” did genuinely support the conservation (maintenance or improvement) of high nature value (HNV) grasslands in Slovenia. The HNV grasslands were defined on the basis of national fine-resolution field mapping of habitat types. Two main outcomes emerged: AEM did not reach the vast majority of HNV grasslands in Slovenia (only 3%); the proportion of HNV grassland area included in AEM was negligibly low (1). Moreover, even this very limited interest in AEM did not target only grasslands of HNV, but any permanent grasslands regardless of their conservation value: forty-one percent (41%) of the grassland areas included in the AEM were actually non-HNV grasslands (2). The absence of pre-selection criteria for grasslands along with an absence of monitoring of the effectiveness and efficiency of the measures and low interest in the subsidies among farmers, led to almost complete failure of the AEM to promote and conserve species-rich extensive grasslands in Slovenia between 2007 and 2013. Even with some minor differences, the same concept was maintained for the currently running EAFRD 2014–2020, which raises serious concern.     

Adoption of volunteered geographic information into the formal land administration system in Kenya

Individualization of tenure through title registration programmes introduced in many African countries after independence with the promise of security of tenure and increased agricultural productivity has, instead, had the opposite effect. Informal land arrangements continue to emerge as a result of the slow pace of land adjudication (formalization) and updating of land information systems. The trend towards computerization of land information systems has only put focus on already existing formal land tenure arrangements, leaving out the informal social tenure arrangements. As a result, there are now many efforts worldwide motivated by the introduction of the Social Tenure Domain Model (STDM), and freely-available and easy-to-use technology tools to identify, document and map land in support of informal land administration arrangements. Actions are made towards the use of community-generated information to support land administration. Using theories from the interplay between formal and informal institutions, this paper discusses the potential outcomes in adopting Volunteered Geographic Information (VGI) in land administration in Kenya. Two case studies are presented that demonstrate the complementary-accommodating, versus the substitutive-competing approaches. These are then compared with the formal land adjudication process in Kenya. It is established that because of the direct involvement of the national mapping agency in land adjudication where VGI is utilized, the outcome is a case of formal adoption of VGI, while in the other case, where there is little or no involvement by the national mapping agency, the outcome is more of competition and substitution. The latter is an example in which the VGI is used just like any other information to inform policy making, rather than taking it as the authoritative source. We argue that since informality is – and will always be – part and parcel of land administration in many African countries as a result of ingrained social relations and power structures, adopting crowdsourced land information into existing formal land administration systems should consider the particular land administration process, satisfying innate demands and requirements, thus re-engineered to accommodate VGI.     

Unravelling the complexity of collective mental models: A method for developing and analysing scenarios in multi-organisational contexts

In multi-organisational contexts, scenario building has been used to engage stakeholders in a critical discussion on issues of mutual importance, and to gain their support with regards to possible future responses. A review of existing literature suggests that much has been written regarding the process of scenario development and the benefits of the process, but the detailed analysis of scenario building outcomes, which encompass a large number of issues and their complex interconnections, has not been made explicit for studying and enhancing understanding of a complex societal problem. This paper presents a systematic method for analysing such complex outcomes in order to facilitate reflective thinking on important issues within the wider context for policy development. The method was employed in a series of participative scenario development workshops, which yielded several causal maps around the theme of construction industry skills. A collective map merging the individual subject-specific causal maps was created to help provide a more holistic overview of the pertinent issues surrounding the construction skills debate. The analysis of this collective map promotes a better understanding of the issue in the wider context, the consequence of possible future events and actions, and of the pre-requisition required for certain events/desired outcomes to take place. The main benefit that could be derived from the method is the opportunity to help facilitate and encourage debate and discussion amongst key stakeholders regarding scenario theme, in this case skills improvement within construction. Due to its flexibility and adaptability, the method could potentially be applied to other areas requiring longer range planning and which contain multiple stakeholder perspectives.     

基于生态系统服务空间流的洪涝调节 服务需求制图与生态空间优先级识别

中国快速城市化地区面临严重洪涝风险和洪涝调节 服务供需空间的分离。为识别在满足洪涝调节服务需求方面重 要性高的生态空间以纳入保护的优先级,提出了一种在生态空 间中绘制洪涝调节服务需求的新技术：基于生态系统服务空间 流,利用流量、流边界、流方向、分配原则及其修正因子4个 多维指标,表征将服务需求从建设空间向生态空间分配与投射 过程的关键环节。结果显示：面积大、人口密度高的建设空间 存在高需求流量;借助水文空间流,服务需求由建设空间被分 配至同一集水区内具有洪涝调节能力的生态空间中;被投射为 高服务需求的生态空间大多规模较大或紧邻高需求的建成空 间。通过控制流量、扩展流区域、增加流方向和提升生态空间 服务供应能力,能有效调控投射于生态空间内的洪涝调节服务 高需求。     

利用数据缓存技术提升系统性能的探讨

Web在线系统在服务器物理性能无法提升的前提下,如何采用合适的系统架构和优化算法是广大系统开发人员努力的方向。本文探讨了如何利用J2EE中的MMF技术,利用设计的价制度优化算法提升系统性能,并利用LoadRunner软件进行了效果验证。     

基于CiteSpace的应急物流研究知识图谱分析

文章利用CNKI软件,对2000~2020年公开发表在核心合集数据库中以主题词为“城市应急”或含主题词为“应急物流”的文献进行可视化分析,最终以科学知识图谱的形式展示了应急物流研究的研究主体、学科分布、文献共被引和研究热点等情况。通过研究分析表明:2003~2012年间,国内应急物流的研究出现繁荣期,在该时间段内发文量最多,文献影响力最高,主要是以应急物资管理及配送路径作为切入点;而国际应急物流研究中emergency response的研究处于最核心的位置,侧重于模型优化、启发式算法以及救援管理等角度的研究。总体而言,国际上注重多学科交叉和微观尺度,关于应急物流的研究应用性更强。     

A Tutorial on Reversible Jump MCMC with a View toward Applications in QTL-mapping

A tutorial derivation of the reversible jump Markov chain Monte Carlo (MCMC) algorithm is given. Various examples illustrate how reversible jump MCMC is a general framework for Metropolis-Hastings algorithms where the proposal and the target distribution may have densities on spaces of varying dimension. It is finally discussed how reversible jump MCMC can be applied in genetics to compute the posterior distribution of the number, locations, effects, and genotypes of putative quantitative trait loci.