Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

Crowdsourcing-based semantic relation recognition for natural language questions over RDF data

ABSTRACT

Natural language query systems over RDF data need to rely on the semantic relations in query. First, we propose the new crowdsourcing model that used to produce semantic relations dataset. The model not only inherits completeness of the iterative model and accuracy of the parallel model, but also saves human resources. Second, we mine the rules of semantic relation recognition from the correlations between dependency structures and semantic relations. Third, we propose an algorithm of semantic relation recognition for natural language query over RDF data, and experiments demonstrate that it can recognize more semantic relations than existing methods.     

中国国有企业改革：经验、困境与出路*

作为国有企业产权改革主要模式，“混合所有制”改革是否有助于确保国有资产保值增值，是否有助于推动中国经济可持续发展等问题仍存在探讨空间。本文基于对于改革开放以来中国国有企业改革的成就和教训的考察，指出“混合所有制”可以作为竞争性部门国有企业改革的一个过渡形式；对于垄断央企的改革应该充分借鉴国际上自然垄断行业的改革经验，打破行政垄断，推动竞争性框架建立，并切实实现从“管企业”逐步调整为“管资本”，通过改革实现国有资产的保值增值，并为经济创造新的增长点。     

天然水资源价值评估的能值方法及应用

本文从水资源的自然属性出发，提出了采用能值(Emergy)理论与方法研究天然水资源价值的新思路。论述了环境与自然资源定价的能值价值理论；根据水文循环与天然水资源基本特性，给出了水资源生成与能量转换的概念模型；从水的化学能角度提出了天然水资源价值的能值评估方法，包括理论方法与简化方法；并以我国南方某沿海县域为例进行了实际应用。实例表明，基于能值价值理论的天然水资源价值定量评估方法具有可行性。     

西气东输对南水北调穿黄隧洞影响动力分析计算

西气东输管线距离南水北调工程穿黄河隧道的最近距离:河漫滩仅150 m,主河槽仅205 m.输气管线在运行过程中,存在着因误操作、管道腐蚀、自然灾害或人为破坏等因素引发事故发生爆炸的可能.对深泓区穿黄隧洞地下部分在天然气爆炸冲击波作用下的安全性进行动力分析计算,认为西气东输管道破裂引起的天然气爆炸,不会对南水北调输水隧洞产生破坏影响.     

流域泥沙的资源化及其实现途径

本文以自然资源的概念和属性为基础，研究了流域泥沙的离散性、吸附性、可搬运性等属性，以及水沙不可分性、水沙不协调性、水沙时空分布不均匀性、水沙产生异源等特征。认为流域泥沙具有自然资源的有效性、可控性和稀缺性等属性，指出流域泥沙具有资源性，是一种特殊的自然资源。当流域泥沙在满足技术和社会等一定条件下，是可以资源化的。提出了实现流域泥沙资源化的目标和途径，其途径主要包括填海造陆、改良土壤和引洪淤灌、淤临淤背和作为建筑材料等。     

Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market

In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated. Due to market imperfections, one of these markets may reflect information faster. The use of high-frequency data and the choice for a small unit time interval to measure these lead-lag relations comes at the cost of some or many missing observations, causing traditional estimators to either under- or overestimate covariances and correlations. We use a new estimator to estimate lead-lag relationships between the cash AEX index, options and futures. We find that futures returns lead both options and cash index returns by approximately 10 minutes. The relationship between options and the cash market is not completely unidirectional.     

各向异性厚板固有频率的精确解

该文抛弃薄板理论的位移和应力假设，利用矩阵分析和三维弹性动力学理论，导出四边简支各向异性厚板的固有频率方程。该方法可推广应用于各向异性层合板动力分析。     

Influences of land use/cover on water quality in the upper and middle reaches of River Njoro, Kenya

Data from 10 sampling sites along the River Njoro are used to examine the contribution of nutrients from upstream land uses draining each of the sampling sites. The data also are used to assess whether both the proportion of land uses and the size of the subwatersheds account for the variability in water quality in the River Njoro watershed. Geographical Information System analysis was used to determine the spatial distribution of land‐cover types and subwatersheds contributing run‐off to the sampling sites in the River Njoro. Standard Digital Elevation Model‐based routines were used to establish the watershed area contributing run‐off to each sampling site. Water and sediment samples were collected for chemical analysis, and the nutrient levels were related to the upstream land‐use types and the size of the subwatersheds. The mid‐stream portion of the River Njoro (near Egerton University) accounts for the highest nutrient contributions. The percentage contribution is magnified by additions from industrial, human settlements and agricultural land uses around the University. There is a significant decrease in nutrient levels downstream, however, indicating natural purification as the river flows through an area of large‐scale farming with intense, well‐preserved riparian and in‐stream vegetation. Steep slopes of the land upstream of Egerton University enhance erosion and nutrient losses from those subwatersheds. Mixed small‐scale agricultural and bare lands contribute over 55% of the phosphorus load to the upper and mid‐reaches of the River Njoro. The size of the subwatershed accounts for about 53% of the variability in the soluble phosphorus in the river. The land‐use subwatershed proportions are important for characterizing and modelling water quality in the River Njoro watershed. Upland land uses are as important as near‐stream land uses. We suggest that conservation of intact riparian corridor along the river and its tributaries contributes significantly to natural purification processes and recovery of the ecological integrity of the River Njoro ecosystem.