考虑企业风险感知的R&D网络风险传播建模与仿真

考虑企业风险感知的基础上，借鉴传染病模型(SIS)思想，将企业状态分为未发生风险有感知、未发生风险无感知和发生风险有感知3种。在此基础上构建了R&D网络风险传播的模型，并进行了数理解析与仿真分析。结果表明：R&D网络风险传播存在稳定状态下的解，即风险传播阈值，该阈值是由企业的风险感知、风险恢复率以及企业间的合作紧密程度决定；考虑风险感知的R&D网络比未考虑风险感知的研发网络具有更高的鲁棒性；随着企业风险恢复概率的不断增大，风险在R&D网络的传播范围越小；企业的风险感知对风险传播速度与传播范围均具有负向影响。该研究成果对于提高R&D网络的抗风险能力具有重要意义。     

基于融资约束的投资时机与债务规模

研究了融资约束模式下的中小企业投资时机和融资规模。利用风险中性定价方法给出了公司债券、股权、公司价值和担保成本定价的显式解；确定了投资时机与债务规模的函数关系；解释了担保换股权融资模式的优势。数值分析结果表明：投资触发水平随融资规模先减后增呈U型变化；被担保的公司价值大于股权融资的公司价值。随着风险的增大，两价值之差越来越小。比较静态分析也表明，担保换股权使得公司价值增加，投资被加速。     

颠覆性技术促进产业转型升级的趋势与实践路径

新时代以来,中国社会的主要矛盾发生重大转变,产业结构的转型升级对于满足人民日益增长的美好生活需要、实现平衡充分的发展尤为重要。在中国共产党第十九次全国代表大会上,习近平总书记指出我国经济已由高速增长阶段发展到高质量发展阶段,正处在转变发展方式、优化经济结构、转换增长动力的攻关期,产业的结构形态处于动态的、不断调整和优化之中。而颠覆性技术的研发应用,能够针对产业发展的"阿喀琉斯之踵",迅速改变一些产业行业现状,形成新的范式,进而升级产业链促进产业信息化和数据化、升级价值链促进产业融合化和规模化、升级创新链推动产业品质化高端化,对促进产业的转型升级有重要意义。     

Forecasting of electricity price through a functional prediction of sale and purchase curves

This work proposes a new approach for the prediction of the electricity price based on forecasting aggregated purchase and sale curves. The basic idea is to model the hourly purchase and the sale curves, to predict them and to find the intersection of the predicted curves in order to obtain the predicted equilibrium market price and volume. Modeling and forecasting of purchase and sale curves is performed by means of functional data analysis methods. More specifically, parametric (FAR) and nonparametric (NPFAR) functional autoregressive models are considered and compared to some benchmarks. An appealing feature of the functional approach is that, unlike other methods, it provides insights into the sale and purchase mechanism connected with the price and demand formation process and can therefore be used for the optimization of bidding strategies. An application to the Italian electricity market (IPEX) is also provided, showing that NPFAR models lead to a statistically significant improvement in the forecasting accuracy.     

Forecasting of dependence,market, and investment risks of a global index portfolio

This paper undertakes an in-sample and rolling-window comparative analysis of dependence, market, and portfolio investment risks on a 10-year global index portfolio of developed, emerging, and commodity markets. We draw our empirical results by fitting vine copulas (e.g., r-vines, c-vines, d-vines), IGARCH(1,1) RiskMetrics value-at-risk (VaR), and portfolio optimization methods based on risk measures such as the variance, conditional value-at-risk, conditional drawdown-at-risk, minimizing regret (Minimax), and mean absolute deviation. The empirical results indicate that all international indices tend to correlate strongly in the negative tail of the return distribution; however, emerging markets, relative to developed and commodity markets, exhibit greater dependence, market, and portfolio investment risks. The portfolio optimization shows a clear preference towards the gold commodity for investment, while Japan and Canada are found to have the highest and lowest market risk, respectively. The vine copula analysis identifies symmetry in the dependence dynamics of the global index portfolio modeled. Large VaR diversification benefits are produced at the 95% and 99% confidence levels by the modeled international index portfolio. The empirical results may appeal to international portfolio investors and risk managers for advanced portfolio management, hedging, and risk forecasting.     

中国与“一带一路”沿线部分国家的经济关系动态分析

GTAP(Global Trade Analysis Project)模型综合考虑了资本总量、资本流动、人口因素、国民生产总值等多项指标,可以用于各相关国的经济发展和经济合作互动关系分析.选用GTAP模型,分析了中国与一带一路沿线部分国家的经济互动关系.在西亚地区选择了沙特阿拉伯、以色列、伊朗、阿曼、阿联酋、科威特、伊拉克共7国,分别在降低关税20%和降低关税50%两种假设条件下展开实证分析.实证结果显示:在关税分别降低20%和50%两种假设条件下,中国和西亚诸国的GDP都有一定程度增加,各国之间进出口规模都有一定程度的扩大,这表明"一带一路"倡议对于沿线各国的经济发展和合作互动具有明显的促进作用.     

基于多模态融合技术的用户画像方法

针对当前用户画像工作中各模态信息不能被充分利用的问题, 提出一种跨模态学习思想, 设计一种基于多模态融合的用户画像模型。首先利用 Stacking集成方法, 融合多种跨模态学习联合表示网络, 对相应的模型组合进行学习, 然后引入注意力机制, 使得模型能够学习不同模态的表示对预测结果的贡献差异性。改进后的模型具有精心设计的网络结构和目标函数, 能够生成一个由特征级融合和决策级融合组成的联合特征表示, 从而可以合并不同模态的相关特征。在真实数据集上的实验结果表明, 所提模型优于当前最好的基线方法。     

伊陕斜坡东南部延长组页岩气地球化学特征分析

鄂尔多斯盆地陆相页岩气勘探潜力巨大,但对于陆相页岩气成因类型的研究相对滞后,限制了对页岩气的进一步勘探和开发。通过综合化学组分分析和碳、氢同位素分析的手段对伊陕斜坡东南部延长组页岩气和原油伴生气的地球化学特征及成因进行研究。研究结果表明延长组页岩气(生产气和真空解吸气)和原油伴生气都以烷烃类气体为主,其中甲烷含量都小于95%,非烃气体含量比较低。页岩解吸气中,非烃气体比例相对较高,且氧气含量异常高,这与解吸装置密封性不好或者装置本身残留空气清除不彻底有关。页岩气和原油伴生气的甲烷含量低、干燥系数(C_1/C_(1~5))主要集中在0.6~0.9之间、C_2/C_3都小于3,δ~(13)C_1值分布于-52.0‰~-44.9‰之间、δ~(13)C_2值都小于-29‰,δ~(13)C_3值都小于-25.5‰和δD_1都小于-150‰,指示研究区页岩气和原油伴生气以陆相环境热成因的热解湿气(油型气)为主。页岩气和原油伴生气样品有相对高的正庚烷含量和正构烷烃(nC_(5-7))含量,δ~(13)C_2值分布于-41.1‰~-31.1‰之间,说明延长组页岩气与原油伴生气都属于偏腐泥型天然气。此外,延长组页岩气和原油伴生气碳同位素系列基本都属正碳同位素系列,且δ~(13)C_1与δ~(13)C_2值,δ~(13)C_2值与δ~(13)C_3值有较好的正相关关系,这也表明页岩气和原油伴生气具有相同或相似的母质来源。