A股市场统计套利风险实证分析

基于转移模型,收集中国A股市场开展融资融券业务的900只股票和15只ETF的数据,采用log t检验和俱乐部收敛检验研究A股市场属于同一行业的融资融券标的股票价格以及融资融券标的ETF价格之间的收敛关系及其动态变化,分析A股市场统计套利的风险,研究发现基于股票所属行业构建套利组合具有较大风险,融资融券的双向交易机制尚未充分发挥,市场有效程度不足,但统计套利在中国市场仍具有可行性。实证结果表明,从整个行业看,融资融券标的股票之间不存在持续、稳定的收敛关系,但同一行业内某些个股之间存在不稳定的俱乐部收敛关系;融资融券标的分阶段扩容增加统计套利的风险,也增加统计套利的机会,扩容之后绝大部分行业个股整体收敛关系消失,但俱乐部数量增加,俱乐部收敛检验可以为选择套利资产组合提供依据;考虑新增标的在内,ETF整体在样本期间内具有稳定的收敛关系,更适合作为套利资产组合。样本外检验证实了前述结果。研究结论为对冲基金进行统计套利风险分析提供经验证据,并为选择套利资产组合提供方法。     

团队成员学习目标导向离散化与团队创造力研究

以来自38家企业、79个团队的主管与下属配对的428套样本,基于社会共享认知和信息决策视角,构建一个有中介的调节模型,探讨团队成员学习目标导向离散化影响团队创造力的中介机制及其边界条件.研究结果表明,团队成员学习目标导向离散化抑制团队创造力,团队学习行为在团队成员学习目标导向离散化与团队创造力之间发挥中介作用;共享团队愿景显著减缓团队成员学习目标导向离散化对团队学习行为的负向作用;团队成员学习目标导向离散化通过团队学习行为对团队创造力产生负向影响.     

战略变革对企业绩效的影响:基于货币政策的调节作用

本文基于资源基础理论,从业务层面资源配置五个维度的变动描绘企业业务层面战略变革幅度与方向,实证分析了战略变革幅度、方向以及幅度与方向的综合作用对企业绩效的影响,在此基础上以货币政策环境为调节变量,分析了货币政策宽松或紧缩环境对战略变革与绩效关系的调节作用。实证结果表明,战略变革幅度与企业绩效间存在显著倒N型关系,而战略变革方向调整与企业绩效间存在显著倒U型关系,幅度与方向同方向变动时有助于企业绩效的提高;宽松的货币政策环境会弱化战略变革幅度与企业绩效间的倒N型关系,反之,紧缩的货币政策环境会强化二者的关系;货币政策对于战略变革方向与企业绩效间的关系则不存在显著的调节作用。     

盐酸度洛西汀联合盐酸乙哌立松治疗慢性紧张型头痛的临床研究

目的:评价盐酸度洛西汀联合盐酸乙哌立松治疗慢性紧张型头痛的疗效。方法:收集神经内科门诊及住院就诊的符合慢性紧张型头痛诊断标准的患者220例,依据汉密尔顿抑郁量表(HAMD17)、汉密尔顿焦虑量表(HAMA14)评价患者的情感障碍状态,将其分为A组(不伴焦虑抑郁组,124例)和B组(伴焦虑抑郁组,96例),A、B组再各自随机分为治疗组(A1组62例,B1组48例)和对照组(A2组62例,B2组48例);对照组单用盐酸乙哌立松治疗,治疗组在此基础上加用盐酸度洛西汀。分别于治疗前与治疗2周末、4周末、8周末统计患者头痛发作次数、持续时间、头痛程度;B组(伴焦虑抑郁)患者同时采用HAMD17、HAMA14评价患者的抑郁、焦虑程度。结果:治疗后,A、B两组中治疗组患者的头痛发作次数、头痛持续时间、头痛程度与对照组比较,差异有统计学意义(P<0.05);治疗2周末、4周末、8周末,B组(伴焦虑抑郁)患者的HAMD、HAMA评分与对照组比较,差异有统计学意义(P<0.01);治疗后A、B两组患者中,治疗组的总有效率与对照组比较,差异有统计学意义(P<0.05);两组患者均未见明显不良反应发生。结论:盐酸度洛西汀联合乙哌立松治疗伴或不伴焦虑、抑郁的慢性紧张型头痛患者的疗效较好、安全性高。     

Efficient accuracy evaluation for multi-modal sensed data

Data accuracy is an important aspect in sensed data quality. Thus one necessary task for data quality management is to evaluate the accuracy of sensed data. However, to our best knowledge, neither measure nor effective methods for the accuracy evaluation are proposed for multi-typed sensed data. To address the problem for accuracy evaluation, we propose a systematic method. With MSE, a parameter to measure the accuracy in statistics, we design the accuracy evaluation framework for multi-modal data. Within this framework, we classify data types into three categories and develop accuracy evaluation algorithms for each category in cases of in presence and absence of true values. Extensive experimental results show the efficiency and effectiveness of our proposed framework and algorithms.     

A short-term trend prediction model of topic over Sina Weibo dataset

Microblog has become a popular social network service. It provides a new communication platform for information acquisition, sharing and spreading. In addition to presenting daily-life reports from users, microblog also reports unexpected events, which get broad attention. How to forecast such unexpected events as early as possible? In this paper, we propose a short-term trend prediction model of topics in Sina Weibo, the most popular microblog service in China. Based on real microblog data, we first analyze which Weibo data attributes have influence on the spreading of topics, and then build a topic spreading model. Further, we develop a model of short-term trend prediction of topics. With dataset from Weibo, we test our algorithm and analyze the experimental data which shows that the proposed model can give a short-term trend prediction of Weibo topic.     

An Evaluation of the Capacity-building Effects of Participatory GIS (PGIS) for Public Participation in Land Use Planning

Spatial participatory methods called ‘participatory GIS’ (PGIS) are intended to improve public participation for land use planning. An internet PGIS was implemented in Perlis, Malaysia, to examine the public capacity-building effects of PGIS. Two delivery modes (facilitated and self-administered) were evaluated. We found that PGIS significantly enhanced perceived public knowledge about place and land use planning while increasing spatial technology skills, regardless of implementation mode. The results indicate that PGIS can increase public capacity for participating in land use planning, an important finding for developing countries with historically low levels of public participation and low public awareness and knowledge of planning.     

基于再制造的多周期闭环营销投入及定价策略

针对再制造产品市场化艰难和缺少旧件来源的问题，结合"互联网+"战略提出了促进旧件回收与再制造零部件销售的闭环营销体系；闭环的营销投入可以同时发挥回收努力效应（增加单周期合格旧件回收量）和多周期广告效应（提升消费者对品牌的长期绿色认知度），建立了多周期的闭环营销投入水平决策和产品差异定价模型并得到了最优决策；结合我国汽车零部件市场的现状，针对无闭环营销、初级闭环营销、闭环营销策略升级三种模式展开算例分析和对比。研究表明：闭环营销可以显著提高供应链总收益，营销策略的升级应考虑到回收努力效应和多周期广告效应的匹配，针对长生命周期的产品，闭环营销策略应经常调整。本研究结论有助于进一步完善再制造闭环供应链及营销理论基础。