Glamour and Value Strategies on the Tokyo Stock Exchange

This paper evaluates the performance of glamour and value strategies and tests the extrapolation model for the Japanese equity market. In general, value stocks outperform glamour stocks by between 6 and 12 percent per annum for the five years after portfolio formation. Evidence from past, future and expected growth provides strong support for the story developed in Lakonishok, Shleifer and Vishny (1994). It is difficult to attribute the value premia to the difference, if any, in risk factors. In addition, the book-to-market premium is much closer to an arbitrage opportunity than the size premium.     

A review and validation of overall survival extrapolation in health technology assessments of cancer immunotherapy by the National Institute for Health and Care Excellence: how did the initial best estimate compare to trial data subsequently made available?

Background: Validation of overall survival (OS) extrapolations of immune-checkpoint inhibitors (ICIs) during the National Institute for Health and Care Excellence (NICE) Single Technology Assessment (STA) process is limited due to data still maturing at the time of submission. Inaccurate extrapolation may lead to inappropriate decision-making. The availability of more mature trial data facilitates a retrospective analysis of the plausibility and validity of initial extrapolations. This study compares these extrapolations to subsequently available longer-term data.

Methods: A systematic search of completed NICE appraisals of ICIs from March 2000 to December 2017 was performed. A targeted search was also undertaken to procure published OS data from the pivotal clinical trials for each identified STA made available post-submission to NICE. Initial Kaplan-Meier curves and associated extrapolations from NICE documentation were extracted to compare the accuracy of OS projections versus the most mature data.

Results: The review identified 11 STAs, of which 10 provided OS data upon submission to NICE. The extrapolations undertaken considered parametric or piecewise survival models. Additional data cut-offs provided a mean of 18 months of OS beyond the end of the original data. Initial extrapolations typically under-estimated OS from the most mature data cut-off by 0.4–2.7%, depending on the choice of assessment method and use of the manufacturer- or ERG-preferred extrapolation.

Conclusion: Long-term extrapolation of OS is required for NICE STAs based on initial immature OS data. The results of this study demonstrate that the initial OS extrapolations employed by manufacturers and ERGs generally predicted OS reasonably well when compared to more mature data (when available), although on average they appeared to underestimate OS. This review and validation shows that, while the choice of OS extrapolation is uncertain, the methods adopted are generally aligned with later-published follow-up data and appear appropriate for informing HTA decisions.     

基于飞机降落信息的ADS-B数据跟踪算法

在空中交通管制（ATC）领域,广域监视系统中的ADS-B接收机在飞机飞行方向改变时 ,由于其收星的数量减少导致数据率变低,并且在飞机降落过程中丢点严重。结合ADS-B数 据的特点,采用两个模型分别表示飞机的匀速运动和匀加速运动状态,利用三点速度方向预 测修正对地速度,并引入飞机降落的先验模型,实现在广域监视中对飞机的有效跟踪。 真实数据验证了该方法可有效提高数据率和改善飞机降落过程中的跟踪效果。     

趋势外推与ARMA组合的能源需求预测模型

能源需求预测是制定能源规划的重要组成部分.鉴于能源需求系统的复杂性和非线性特征,文章结合我国能源需求的历史数据,首先用趋势外推预测建立了单项预测模型,并对趋势外推预测的优缺点进行了分析;然后运用趋势外推与ARMA组合模型对趋势外推模型中的非趋势分量即残差序列进行分析,得到趋势外推与ARMA组合模型的预测结果;最后通过比较得出趋势外推与ARMA组合模型的预测结果不仅准确性高、而且稳定性好这一结论.这对于我国能源需求预测有着重要的理论意义和现实意义.     

环保背景下制造业上市公司投资效率分析——来自京津冀地区的数据

以2011~2012年在国内 A 股市场上市的130家京津冀地区现代制造业上市公司为样本,通过Richardson 模型对样本投资效率进行评分,并用内容分析法对企业环境信息披露程度评分,以此研究京津冀地区现代制造业上市公司环境信息披露对企业投资效率的影响。研究结果显示：环境信息披露程度评分与公司投资效率评分存在正相关关系,但相关系数较低,这表明企业环境信息披露行为对企业投资效率影响较小,且不会使得企业投资效率降低。     

American option valuation under stochastic interest rates

By applying Ho, Stapleton and Subrahmanyam's (1997, hereafter HSS) generalised Geske–Johnson (1984, hereafter GJ) method, this paper provides analytic solutions for the valuation and hedging of American options in a stochastic interest rate economy. The proposed method simplifies HSS's three-dimensional solution to a one-dimensional solution. The simulations verify that the proposed method is more efficient and accurate than the HSS (1997) method. We illustrate how the price, the delta, and the rho of an American option vary between the stochastic and non-stochastic interest rate models. The magnitude of this effect depends on the moneyness of the option, interest rates, volatilities of the underlying asset price and the bond price, as well as the correlation between them. This revised version was published online in June 2006 with corrections to the Cover Date.     

Use of mathematical models in automotive transportation policy analysis: A case study

Mathematical models are used widely in automotive transportation policy analysis. The limitations, benefits, and uses of a case-study model, the Sweeney Passenger Car Gasoline Demand Model, were examined. It was found that because of users' lack of awareness of the model's characteristics, the model has sometimes been misused, although the misuse appears to have had no major negative policy impact. However, the model use has had some impact on major automotive/energy policy decisions of the 1970s. Involvement by the model author in applications of the model contributed to effective use of the model in the policy process.     

Achieving smooth asymptotics for the prices of European options in binomial trees

A new binomial approximation to the Black–Scholes model is introduced. It is shown that, for digital options and vanilla European call and put options, a complete asymptotic expansion of the error in powers of n ^?1 exists. This is the first binomial tree for which an asymptotic expansion has been shown to exist.     

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

The rough Bergomi (rBergomi) model, introduced recently in Bayer et al. [Pricing under rough volatility. Quant. Finance, 2016, 16(6), 887–904], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three parameters, and yet remarkably fits empirical implied volatility surfaces. In the absence of analytical European option pricing methods for the model, and due to the non-Markovian nature of the fractional driver, the prevalent option is to use the Monte Carlo (MC) simulation for pricing. Despite recent advances in the MC method in this context, pricing under the rBergomi model is still a time-consuming task. To overcome this issue, we have designed a novel, hierarchical approach, based on: (i) adaptive sparse grids quadrature (ASGQ), and (ii) quasi-Monte Carlo (QMC). Both techniques are coupled with a Brownian bridge construction and a Richardson extrapolation on the weak error. By uncovering the available regularity, our hierarchical methods demonstrate substantial computational gains with respect to the standard MC method. They reach a sufficiently small relative error tolerance in the price estimates across different parameter constellations, even for very small values of the Hurst parameter. Our work opens a new research direction in this field, i.e. to investigate the performance of methods other than Monte Carlo for pricing and calibrating under the rBergomi model.     

The notion of technological limits: An aid to technological forecasting

One approach to technological forecasting involves trend extrapolation. The trends extrapolated are usually performance or structural parameters of artefacts. Forecasters are able to extrapolate better if they can visualize limits beyond which these trends cannot proceed. If the capabilities of artefacts fall short of their ultimate constraints much scope exists for technological development. If these capabilities lie near their limits, less potential exists. This article explores the possibility of creating a standard chart of technological limits as an aid to technological forecasters. A taxonomy of limits is suggested based on an existing taxonomy of technological trends. The article discusses some of these limits and points out which are well documented and which require further research.