股票收益率的次指数分布拟合

股票收益率等金融时间序列具有重尾特征,因而不适于用正态分布来描述,次指数分布族S是一类重尾分布族,能够很好的处理具有偏态、重尾特征的金融时间序列,本文对上证指数的收益率进行了次指数分布拟合,并给出了在险价值(VaR)的估计。     

基于分形市场假说的金融时间序列的分形特征的解析

证券收益率序列中普遍存在分形特征,但其形成原因却鲜为人知.本文根据分形市场假说构建了博弈模型,对证券收益率序列中分形特征的形成原因进行了解.结果表明,分形市场假说是证券收益率序列具有分形特征的充分条件.     

大偏差方法在投资组合中的应用

本文研究了离散时间下,风险资产价格增长率独立同分布,投资决策依赖于前一时刻的风险资产价格变动情况下的最优投资组合.利用大偏差方法,证明了这种情形下时均对数收益率的大偏差原理成立,定理不需要收益率序列有界的假设.具体给出了最优投资组合的计算方法,并且利用MATLAB进行了实例计算.     

基于HULM的可转换债券和股票收益率研究

首先对我国可转债市场与A股之间的相关关系进行了检验.结果显示可转债市场指数先于股票市场指数.其次使用HULM(Hidden-Unit Logistic Model)对可转换债券指数的时间序列数据进行了分类拟合和预测.通过在每个时间节点设置多个随机隐藏单元,算法能够很好地刻画时间序列中的隐藏结构并能以较高的准确度对可转换债券指数的走势进行拟合,这将为可转债收益率和股市的收益率研究提供一种全新的视角.     

基于GARCH模型的波罗的海干散货运价指数预测

为准确地把握波罗的海干散货运价指数(BDI)的变化趋势,选用一阶对数差分方法,对近期BDI日收益率序列的基本统计量特征进行了分析,验证了BDI日收益率序列的"尖峰厚尾"及波动的集聚性等特征,并进一步运用GARCH(1,1)模型,分析了其波动的持续性和滞后性.在此基础上,基于GARCH模型构造了预测的方法步骤,经优化调整滞后期对BDI日收益率进行了预测,最后,通过将BDI对数日收益率序列还原为指数序列,对BDI进行了预测,实证分析结果验证了模型及方法的适用性和有效性.     

基于GARCH模型的波罗的海干散货运价指数预测北大核心

为准确地把握波罗的海干散货运价指数(BDI)的变化趋势,选用一阶对数差分方法,对近期BDI日收益率序列的基本统计量特征进行了分析,验证了BDI日收益率序列的"尖峰厚尾"及波动的集聚性等特征,并进一步运用GARCH(1,1)模型,分析了其波动的持续性和滞后性.在此基础上,基于GARCH模型构造了预测的方法步骤,经优化调整滞后期对BDI日收益率进行了预测,最后,通过将BDI对数日收益率序列还原为指数序列,对BDI进行了预测,实证分析结果验证了模型及方法的适用性和有效性.     

证券组合的Markov链模型

本文将证券价格时间序列分解成趋势变动序列和 Markov链 ,建立了证券组合的 Markov链模型 ,应用 Markov链理论对此模型进行了分析 ,给出了充分大的一个时间内的收益率 ,风险和切点组合的计算公式     

沪深股市大盘指数收益率分布尾部的实证研究

通过H ill估计的改进方法对上证综合指数和深圳成分指数的收益率分布的尾部指数进行了参数估计,用χ2检验验证了指数的稳定性及其置信区间.在此基础上提出用尾部指数估计尾概率,达到风险控制的目的.实证研究表明,沪深大盘指数收益率分布具有肥尾的特征,但并不服从无限方差分布.     

基于Black-Litterman框架的资产配置策略研究

本文基于Black-Litterman框架提出了中国股票市场投资中行业间资产配置的策略。因为宏观经济指标对于股票收益率有一定的解释能力,本文通过宏观经济变量对收益率序列建模并且用GJR-GARCH模型捕捉资产收益率变化的特征,得出的预测资产收益率及其方差作为Black-Litterman框架下的输入。最后通过实证结果表明,基于这种策略构建的投资组合收益率在一定条件下会优于基于市场均衡权重或者传统Markowitz框架下的投资策略。     

深证成指周收益率波动性的实证研究

利用GARCH模型,对深圳成分指数的周收益率波动性进行了实证研究。以深证成指周收盘数据建立了GARCH模型,利用估计出的GARCH模型得到深证成指周收益率序列的条件方差的估计值,预测出深证成指周收益率序列未来若干期的条件方差。结果表明,深证成指周收益率序列的波动性可以用GARCH模型进行很好的拟合。     

Qualitative Analysis of Bifurcating Solutions in the Lengyel-Epstein Model

One of the most fundamental problems in theoretical biology is to explain the mechanisms by which patterns and forms are created in the＇living world. In his seminal paper ＂The Chemical Basis of Morphogenesis＂, Turing showed that a system of coupled reaction-diffusion equations can be used to describe patterns and forms in biological systems. However, the first experimental evidence to the Turing patterns was observed by De Kepper and her associates（1990） on the CIMA reaction in an open unstirred reactor, almost 40 years after Turing＇s prediction. Lengyel and Epstein characterized this famous experiment using a system of reaction-diffusion equations. The Lengyel-Epstein model is in the form as follows     

RECENT PROGRESS ON SPHERICAL HARMONIC APPROXIMATION MADE BY BNU RESEARCH GROUP ——In memory of Professor Sun Yongsheng

As early as in 1990, Professor Sun Yongsheng, suggested his students at Beijing Normal University to consider research problems on the unit sphere. Under his guidance and encouragement his students started the research on spherical harmonic analysis and approximation. In this paper, we incompletely introduce the main achievements in this area obtained by our group and relative researchers during recent 5 years （2001-2005）. The main topics are： convergence of Cesaro summability, a.e. and strong summability of Fourier-Laplace series; smoothness and K-functionals; Kolmogorov and linear widths.     

(0,1 ;0)-INTERPOLATION ON INFINITE INTERVAL (-∞, +∞)

In this paper, we study the explicit representation and convergence of (0, 1; 0)-interpolation on infinite interval, which means to determine a polynomial of degree ≤ 3n - 2 when the function values are prescribed at two set of points namely the zeros of Hn(x) and H′n(x) and the first derivatives at the zeros of H′n(x).     

On a class of self-similar processes with stationary increments in higher order Wiener chaoses

We study a class of self-similar processes with stationary increments belonging to higher order Wiener chaoses which are similar to Hermite processes. We obtain an almost sure wavelet-like expansion of these processes. This allows us to compute the pointwise and local Hölder regularity of sample paths and to analyse their behaviour at infinity. We also provide some results on the Hausdorff dimension of the range and graphs of multidimensional anisotropic self-similar processes with stationary increments defined by multiple Wiener–Itô integrals.     

On a class of Riemann surfaces

It is considered the class of Riemann surfaces with dimT1 = 0, where T1 is a subclass of exact harmonic forms which is one of the factors in the orthogonal decomposition of the spaceΩH of harmonic forms of the surface, namely The surfaces in the class OHD and the class of planar surfaces satisfy dimT1 = 0. A.Pfluger posed the question whether there might exist other surfaces outside those two classes. Here it is shown that in the case of finite genus g, we should look for a surface S with dimT1 = 0 among the surfaces of the form Sg\K , where Sg is a closed surface of genus g and K a compact set of positive harmonic measure with perfect components and very irregular boundary.     

A REPRESENTATION FORMULA RELATED TO SCHR(O)DINGER OPERATORS

Schr(o)dinger operator is a central subject in the mathematical study of quantum mechanics.Consider the Schrodinger operator H = -△ V on R, where △ = d2/dx2 and the potential function V is real valued. In Fourier analysis, it is well-known that a square integrable function admits an expansion with exponentials as eigenfunctions of -△. A natural conjecture is that an L2 function admits a similar expansion in terms of "eigenfunctions" of H, a perturbation of the Laplacian (see [7], Ch. Ⅺ and the notes), under certain condition on V.     

Journal of the Operations Research Society of China Special issue on Operations Research in Healthcare Management

正Guest Editors:Hong Chen,Shanghai Jiao Tong University,Shanghai,China Guohua Wan,Shanghai Jiao Tong University,Shanghai,China David Yao,Columbia University,New York,USA Scope:Healthcare delivery worldwide has been fraught with high cost,low efficiency and poor quality of patient care service.For the field of operations research(OR),healthcare offers some of the biggest challenges as well as best opportunities in     

ANALYSIS IN THEORY AND APPLICATIONS Vol. 30, 2014 CONTENTS

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Boundedness for commutators of multipliers on Hardy type spaces

In this paper, we study the commutators generalized by multipliers and a BMO function. Under some assumptions, we establish its boundedness properties from certain atomic Hardy space Hb^p（R^n） into the Lebesgue space L^p with p 〈 1.