两种碳排放权交易制度的会计确认问题比较研究

“总量与交易机制”与“基准与信用机制”是两种主要的碳排放权交易制度。通过分析这两种制度的特征发现,虽然两种制度的设计目的都是为了促进碳减排,但实现减排的方式存在很大差异。正是这种特性导致了两种制度会计确认问题的“同与异”。论文深入比较了两种碳排放权交易制度的会计确认问题,以期为我国碳排放权交易会计准则的制定提供理论参考。     

Contracts for dummies? The performance of investors in contracts for difference

Investors widely use contracts for difference (CFDs) to leverage and short sell underlying financial assets. We investigate the after cost performance of investors in Australian Securities Exchange listed share CFDs, and find that market order CFD trades earn small positive returns at the daily horizon, with negative returns reported for one month to one year horizons due to financing costs. Market orders also net sell positions, which suggests that investors use CFDs for shorting opportunities. Overall, we find that liquidity demanders in CFDs obtain favourable execution, which is inconsistent with the view that CFDs are used by naive individuals.     

循环神经网络自适应有源噪声对消研究

介绍了一种新颖的非线性逢适应滤波器－－循环神经网络自适应滤波器。由于这种循环神经等效于非线性ＩＩＲ滤波器，具有学习非线性函数到任意的精度及自适应能力，这种滤波器优于线性滤波器，能够适应各种噪声环境。本文将该滤波器用于有源噪声对消，仿真结果表明了这种循环神经网络自适应有源噪声对消系统具有良好的抗噪声性能。     

中国的机构投资者的预测能力研究

从2001年4月20日开始,中央电视台<中国证券>栏目每天早晨报道我国70家大券商关于当天股票市场涨跌情况的预测.通过对这些预测的研究,本文发现中国机构投资者的预测能力不强.他们的预测大都基于市场前一天的盈亏,近乎于正反馈反应.此外,本文还发现股市下跌对机构投资者的预测的影响比股市上涨大.本文认为,中国机构投资者预测能力不强的主要原因可能是缺乏经验.     

Robust anomalies? A close look at accrual‐based trading strategy returns

The last 40 years have seen an extensive literature documenting so‐called anomalies in major capital markets. Evidence of ‘abnormal’ returns associated with trading strategies based on readily observable phenomena such as accounting‐based data involves experimental design choices that can be expected to influence the results. We show how evidence of an accrual anomaly in Australia is sensitive to research design specifications such as the choice of proxy for total accruals; the definition of abnormal returns (i.e. the return generating model); the impact of data trimming as a response to exceptionally large returns; and the choice between value and equal weighting of returns. We show that research design choices do matter and help reconcile conflicting prior evidence of any accrual anomaly in Australia. More broadly, our results suggest the need for caution in drawing inferences from trading strategy tests which claim to identify anomalies.     

Entrepreneurial enterprise and ‘image’ in the nineteenth-century trading firm: Shaping the legal environment for business

Jardine Matheson & Company, a 200-year-old Hong Kong trading company that began as a house of agency, has evolved to become a contemporary Asian multinational. This article focuses on the entrepreneurial ambition of founders William Jardine and James Matheson, the importance of reputation both to legitimacy and the survival and growth of the firm, with emphasis on the role played by the founders in shaping the legal environment for trade with China. The study uses Edith Penrose's Theory of the Growth of the Firm as a principal interpretive framework and draws its evidence from the founders' original letters and a previously unexamined resource, the free trade treatise of James Matheson called Present Position and Prospects of the British Trade with China.     

Very fast money: High-frequency trading on the NASDAQ

This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high.     

Optimal high-frequency trading with limit and market orders

We propose a framework for studying optimal market-making policies in a limit order book (LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov chain. We consider a small agent who continuously submits limit buy/sell orders at best bid/ask quotes, and may also set limit orders at best bid (resp. ask) plus (resp. minus) a tick for obtaining execution order priority, which is a crucial issue in high-frequency trading. The agent faces an execution risk since her limit orders are executed only when they meet counterpart market orders. She is also subject to inventory risk due to price volatility when holding the risky asset. The agent can then also choose to trade with market orders, and therefore obtain immediate execution, but at a less favorable price. The objective of the market maker is to maximize her expected utility from revenue over a short-term horizon by a trade-off between limit and market orders, while controlling her inventory position. This is formulated as a mixed regime switching regular/impulse control problem that we characterize in terms of a quasi-variational system by dynamic programming methods. Calibration procedures are derived for estimating the transition matrix and intensity parameters for the spread and for Cox processes modelling the execution of limit orders. We provide an explicit backward splitting scheme for solving the problem and show how it can be reduced to a system of simple equations involving only the inventory and spread variables. Several computational tests are performed both on simulated and real data, and illustrate the impact and profit when considering execution priority in limit orders and market orders.     

对制定外贸出口产业政策的方针、原则和重点的探讨

<正> 所谓产业政策,是指政府对产业的均衡及其发展所采取的政策。产业政策是以产业结构的高层次化和合理化为基本目标,这说明产业结构政策在产业政策体系中处于核心地位。出口产业政策涉及生产出口商品的这部分产业。一国的外贸政策取决于该国的出口产业政策,也就是说,外贸政策的制定,必须与出口产业政策互相保持协调和一致;而出口产业结构和贸易结构的确定又必须首先考虑国际市场需求结构的变化。从二次大战后日本、南朝鲜等国家和地区对出口商品结构及其     

S波段高稳锁相振荡源研究

本文阐述了用数字锁相的方法完成Ｓ波段频率源，分析了锁相环的频谱特性；并对输出信号进行了测试，其相位噪声指标￡（１０ｋＨｚ）〈－９３ｄＢｃ／Ｈｚ，杂散抑制〈－６５ｄＢｃ，输出功率大于１０ｍＷ。