Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies

This paper provides an investigation into the spillover effects of exchange rate returns and volatility for developed and emerging market currencies, using data from 1997 to 2011. The results suggest that spillovers in exchange rate returns have increased steadily over time, in moderate reaction to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) react more strongly to economic events, and this transmission has remained at a relatively high level since the global financial crisis. Furthermore, over the course of time, global shocks would appear to account for a larger proportion of aggregate exchange rate volatility (and the relative importance of domestic shocks has declined). The paper also considers whether the increase in volatility spillover is due to sudden shocks, or whether it is due to changes in the stochastic trend of the underlying volatility process. The results suggests that in most cases, this increase is due to sudden shocks, however, in certain instances country‐specific events may perpetuate changes to the trend of the underlying volatility spillover.     

Out-of-sample density forecasts with affine jump diffusion models

We conduct out-of-sample density forecast evaluations of the affine jump diffusion models for the S&P 500 stock index and its options’ contracts. We also examine the time-series consistency between the model-implied spot volatilities using options & returns and only returns. In particular, we focus on the role of the time-varying jump risk premia. Particle filters are used to estimate the model-implied spot volatilities. We also propose the beta transformation approach for recursive parameter updating. Our empirical analysis shows that the inconsistencies between options & returns and only returns are resolved by the introduction of the time-varying jump risk premia. For density forecasts, the time-varying jump risk premia models dominate the other models in terms of likelihood criteria. We also find that for medium-term horizons, the beta transformation can weaken the systematic effect of misspecified AJD models using options & returns.     

Small seeds for grand challenges—Exploring disregarded seeds of change in a foresight process for RTI policy

The recent turn in research, technology and innovation (RTI) policy towards challenge-led strategies is posing new demands to Foresight methodology. RTI Foresight practitioners need to complement their well developed set of technology oriented methods with equally sophisticated approaches tackling societal aspects of innovation. In this paper we aim to make a contribution to this requirement. Building on user innovation theory we argue that demand oriented RTI Foresight needs to systematically integrate voices and hypotheses from the fringes of the innovation system. In order to develop a sound approach for this we set out from well established Foresight theory on “weak signals” and “cognitive biases”. Adopting a constructivist stance towards such signals leads us to the need to set up a socially robust, diverse discourse on “seeds of change hypotheses”. We then outline a practical implementation of such a discourse in the context of the recent Foresight process of the Federal Ministry of Education and Research (BMBF) in Germany. We describe and discuss the experience of this Foresight process and suggest avenues for further development of the approach.     

基于电网谐波的低通滤波器的设计

从实际应用的要求出发,以IIR数字滤波器的基本理论为依据,按照层次化、模块化、参数化的设计思路,采用VHDL硬件描述语言和原理图2种设计技术进行了IIR低通滤波器的硬件设计,并在制作的实验电路中进行了实际滤波效果测试,测试结果表明该IIR低通滤波器具有很好的滤波效果,验证了设计的正确性。     

多相滤波数字信道化的FPGA实现

以多相滤波为基础,结合均匀滤波器组,采用50％ 重叠的子信道划分,提出了一种数字信道化实现方法,解决了高速实时处理与FPGA处理速度 之间的矛盾,克服了信道化接收机的接收盲区。基于FPGA,提出了短波宽带数字信道化的设 计思路和实现方法。仿真结果表明,该设计有较强的实用性和通用性。     

GP algorithm versus hybrid and mixed neural networks

In the current paper, we present an integrated genetic programming (GP) environment called java GP modelling. The java GP modelling environment is an implementation of the steady-state GP algorithm. This algorithm evolves tree-based structures that represent models of inputs and outputs. The motivation of this paper is to compare the GP algorithm with neural network (NN) architectures when applied to the task of forecasting and trading the ASE 20 Greek Index (using autoregressive terms as inputs). This is done by benchmarking the forecasting performance of the GP algorithm and six different autoregressive moving average model (ARMA) NN combination designs representing a Hybrid, Mixed Higher Order Neural Network (HONN), a Hybrid, Mixed Recurrent Neural Network (RNN), a Hybrid, Mixed classic Multilayer Perceptron with some traditional techniques, either statistical such as a an ARMA or technical such as a moving average convergence/divergence model, and a naïve trading strategy. More specifically, the trading performance of all models is investigated in a forecast and trading simulation on ASE 20 time-series closing prices over the period 2001–2008, using the last one and a half years for out-of-sample testing. We use the ASE 20 daily series as many financial institutions are ready to trade at this level, and it is therefore possible to leave orders with a bank for business to be transacted on that basis. As it turns out, the GP model does remarkably well and outperforms all other models in a simple trading simulation exercise. This is also the case when more sophisticated trading strategies using confirmation filters and leverage are applied, as the GP model still produces better results and outperforms all other NN and traditional statistical models in terms of annualized return.     

星载AIS信号的带通采样与恢复

针对卫星接收机对模拟器件性能要求较高的问题,提出直接对接收到的射频信号进行采样,将模拟信号转换成数字信号,后续处理用软件模块实现的方法。同时结合自动识别系统（AIS）本身两个载波频率接近以及带宽较窄的特点,根据Nyquist带通抽样定理实现以较低速率采样来获取船舶状态信息,研究了一种星载AIS信号全数字解调方法和信息检测恢复技术。首先介绍了带通采样原理,其次详细研究了多用户AIS信号采样频率的确定、两个频道信号分离方法以及单通道信号如何下变频为基带信号,其中基带信号检测采用简化的基于Viterbi的非相干检测方法,最后结合AIS协议进行信号的恢复,并通过示波器采集实际船台发送的AIS信号进行了实验,验证了该过程的正确性。     

Efficient learning via simulation: A marginalized resample-move approach

In state–space models, parameter learning is practically difficult and is still an open issue. This paper proposes an efficient simulation-based parameter learning method. First, the approach breaks up the interdependence of the hidden states and the static parameters by marginalizing out the states using a particle filter. Second, it applies a Bayesian resample-move approach to this marginalized system. The methodology is generic and needs little design effort. Different from batch estimation methods, it provides posterior quantities necessary for full sequential inference and recursive model monitoring. The algorithm is implemented both on simulated data in a linear Gaussian model for illustration and comparison and on real data in a Lévy jump stochastic volatility model and a structural credit risk model.     

The politics of environmental market instruments: Coalition building and knowledge filtering in the regulation of forest certificates trading in Brazil

Market instruments for environmental governance have a foundation in an economic theorythat claims to be universal and atemporal, but their materialization in practice always takes place in specific socioeconomic and political contexts. The Brazilian trade in forest certificates (CRA) is a new market instrument that allows farmers that have deforested illegally prior to 2008 to become compliant by acquiring certificates from other farmers that conserve a forest area beyond legal requirements. Even though the CRA market has been praised as an innovative environmental policy, it is still unclear whether it will be implemented even after more than two decades of political debate, congressional approval of legislation and substantial investments in new supporting systems. This research paper aims to analyze the materialization of this market by reconstructing how policy participants form advocacy coalitions (i.e. environmental protection, market viability and agricultural consolidation) to advance their interests. Our results show that advocacy coalitions filter (i.e. absorb, reject or transform) new ideas, experiences and knowledge in order to influence the regulations for forest certificate trading. In doing so, they often combine positions, form new alliances and merge with other advocacy coalitions in accordance with the interests of their constituents. These fluid allegiances within and between coalitions explain why market materialization remains ambiguous and unlikely to become operational in the near future.     

汽车三滤超声波清洗机及其控制系统

为解决汽车三滤清洗困难及减少浪费和污染 ,本文提出用超声波技术清洗汽车三滤 ,介绍了超声波三滤清洗机的工作原理和工艺流程 ,并对其进行了总体设计和自动控制系统设计