Performance of information criteria for selection of Hawkes process models of financial data

We test three common information criteria (IC) for selecting the order of a Hawkes process with an intensity kernel that can be expressed as a mixture of exponential terms. These processes find application in high-frequency financial data modelling. The information criteria are Akaike’s information criterion, the Bayesian information criterion and the Hannan–Quinn criterion. Since we work with simulated data, we are able to measure the performance of model selection by the success rate of the IC in selecting the model that was used to generate the data. In particular, we are interested in the relation between correct model selection and underlying sample size. The analysis includes realistic sample sizes and parameter sets from recent literature where parameters were estimated using empirical financial intra-day data. We compare our results to theoretical predictions and similar empirical findings on the asymptotic distribution of model selection for consistent and inconsistent IC.     

塔吊基础设计的计算方法

通过ANSYS三维分析和VB配筋程序得到每一荷载组合的两个方向最大配筋,做为正方形塔吊基础配筋,并用VB优化程序进行优化,使得塔吊基础设计满足各种荷载的一般组合下地基承载力、抗弯、抗倾覆、抗冲切等多项要求。     

增值税会计核算处理的探索与实践

增值税的会计核算是会计处理中的重要事项,本文通过增值税会计核算存在的问题和解决总是的方法与措施的探讨,对增值税的会计核算有一些借鉴作用。     

浅议核算型会计向管理型会计的转化

当前"管理会计"已为企业管理者所接受,管理会计的一些方法也正在为会计工作所应用,但管理会计的完善发展仍受着制约。本文拟对核算型会计向管理型会计转化的问题作一些探讨。     

Optimal allocation of measurements in a linear calibration process

A problem of allocation of measurements for a linear calibration process is considered in this article. It is assumed that a total of N measurements are made some of which may be measurements on two distinct standards, while the remaining measurements are on m different unknown specimens. We discuss allocation of the N measurements for the two standards and m unknown specimens based on A-optimality criterion, which is applied to asymptotic variances of maximum likelihood estimators for the true values of unknown specimens. It can be shown that the optimal allocation depends on the true values of unknown specimens. Hence, the user may resort to locally or Bayesian A-optimal measurement designs. Some practical solution is presented. Furthermore, the impact of prior on the allocation is also discussed.     

The transition to an oil contraction economy

A normative analysis of the problem of optimal extraction of a nonrenewable resource is considered. The economy depends on the essential nonrenewable resource and the rate of the resource extraction is increasing over time. At some point the government gradually switches to a sustainable (in sense of non-decreasing consumption over time) pattern of the resource extraction. Different approaches are offered for the construction of the paths of switching to decreasing resource use. Some seemingly attractive short-run policies of switching to decreasing extraction can run counter to long-run criteria. If we consider the maximin principle, applied to the negative shock on the output percent change, as the short-run criterion, then the optimal transition path can be consistent with the long-run government goals. It is shown analytically and numerically that there are values of parameters for the transition paths of extraction that consumption along these paths is asymptotically constant or infinitely growing. A new approach to the Rawlsian maximin criterion which allows for growth of consumption is offered.     

Subtle price discrimination and surplus extraction under uncertainty

This paper provides a solution to Proebsting’s Paradox, an argument that appears to show that the investment rule known as the Kelly criterion can lead a decision maker to invest a higher fraction of his wealth the more unfavorable the odds he faces are and, as a consequence, risk an arbitrarily high proportion of his wealth on the outcome of a single event. The paper shows that a large class of investment criteria, including ‘fractional Kelly’, also suffer from the same shortcoming and adapts ideas from the literature on price discrimination and surplus extraction to explain why this is so. The paper also presents a new criterion, dubbed the doubly conservative criterion, that is immune to the problem identified above. Immunity stems from the investor’s attitudes toward capital preservation and from him becoming rapidly pessimistic about his chances of winning the better odds he is offered.     

GB 10345.5—89中白酒总酯计算方法的分析与探讨

对ＧＢ１０３４５．５－８０中白酒总酯的计算公式存在的问题，从理论上进行分析，并加以修正。     

Alpha-robust mean-variance reinsurance-investment strategy

Inspired by the α-maxmin expected utility, we propose a new class of mean-variance criterion, called α-maxmin mean-variance criterion, and apply it to the reinsurance-investment problem. Our model allows the insurer to have different levels of ambiguity aversion (rather than only consider the extremely ambiguity-averse attitude as in the literature). The insurer can purchase proportional reinsurance and also invest the surplus in a financial market consisting of a risk-free asset and a risky asset, whose dynamics is correlated with the insurance surplus. Closed-form equilibrium reinsurance-investment strategy is derived by solving the extended Hamilton–Jacobi–Bellman equation. Our results show that the equilibrium reinsurance strategy is always more conservative if the insurer is more ambiguity-averse. When the dependence between insurance and financial risks are weak, the equilibrium investment strategy is also more conservative if the insurer is more ambiguity-averse. However, in order to diversify the portfolio, a more ambiguity-averse insurer may adopt a more aggressive investment strategy if the insurance market is very ambiguous. For an ambiguity-neutral insurer, the investment strategy is identical to the non-robust investment strategy.     

以控辩平衡的视角谈我国刑事诉讼证明责任的分配

证明责任被称为是＂诉讼的脊梁＂,证明责任的分配在我国刑事诉讼中,由于＂无罪推定＂和＂谁主张,谁举证＂原则被简单处理,谁是证明责任的主体,什么是证明责任的对象,证明责任在刑事诉讼中如何分配,各证明主体承担证明责任的证明标准又是什么,这些问题法律都没有明确的规定,导致我国刑事诉讼中证明责任分配混乱。这种混乱也使我国原本就力量悬殊的控辩双方差距更大。通过理清证明责任的相关问题和分配证明责任来平衡控辩双方的力量对比。首先在总结英美法系和大陆法系证明责任概念的基础上界定我国证明责任的概念,然后分析控辩双方的证明责任,重点分析两者的证明责任对象和证明标准,最后探讨法官在证明过程中的地位和在平衡控辩双方力量中的作用。