Does a lot help a lot? Forecasting stock returns with pooling strategies in a data‐rich environment

A variety of recent studies provide a skeptical view on the predictability of stock returns. Empirical evidence shows that most prediction models suffer from a loss of information, model uncertainty, and structural instability by relying on low‐dimensional information sets. In this study, we evaluate the predictive ability of various lately refined forecasting strategies, which handle these issues by incorporating information from many potential predictor variables simultaneously. We investigate whether forecasting strategies that (i) combine information and (ii) combine individual forecasts are useful to predict US stock returns, that is, the market excess return, size, value, and the momentum premium. Our results show that methods combining information have remarkable in‐sample predictive ability. However, the out‐of‐sample performance suffers from highly volatile forecast errors. Forecast combinations face a better bias–efficiency trade‐off, yielding a consistently superior forecast performance for the market excess return and the size premium even after the 1970s.     

双辊薄带连铸低碳微合金钢的铸态组织

采用双辊薄带连铸技术制备了低碳微合金钢薄带，利用OM，SEM和TEM对铸态凝固组织、室温组织、析出及位错进行观察和分析.结果表明:低碳微合金钢铸带的凝固组织中二次枝晶间距约为12~15μm，相对于传统厚板坯和薄板坯连铸，铸带组织得到了明显细化.铸带的原奥氏体晶粒尺寸比较粗大，约为250~410μm，其组织由魏氏铁素体、珠光体和不规则铁素体组成.铸带组织中存在纳米级TiC析出和短棒状的渗碳体.TiC析出没有被薄带连铸的凝固过程及二次冷却过程明显抑制.铸带组织由于铸轧力及二次冷却速率不均匀导致大量位错的产生.     

The futility of decision making research

We have each spent more than 50 years doing research that has had little impact. Even more lamentable is that our field, judgment and decision making (JDM), has on the whole had little impact during that span. We attribute that failure to the use of methodologies that emphasize testing models rather than looking for differences in behavior. The “cognitive revolution” led the field astray, toward the goal of studying model fit rather than comparing observable results. With modeling as the goal, experimentation was stultified. Simple tasks became dominant. Although a poor metaphor for real decision making, the gambling paradigm has lasted forever because the inputs to the decision are known to the researcher and thus easily modeled.     

过站航班地面保障流程效能评估

为了感知过站航班地面保障流程运行状况和优化机场协同决策信息系统,研究了单航班条件下的保障流程效能评估问题。通过系统分析地面保障流程,得到各场景的效能评估指标。结合评估指标的大小、重要性及聚散状态3个维度,构建了流程效能评估指标体系。设计了一种基于雷达图周长-面积的过站航班地面保障流程动态效能评估方法,并结合实际运行数据开展仿真验证。研究表明,流程效能评估结果整体上直观描述了保障流程效能的动态变化。通过客观性对比和敏感性分析可知，结果一定程度反映了过站航班离港属性,为航班推出控制提供依据。     

Spatial dependence model with feature difference

This paper presents a new spatial dependence model with an adjustment of feature difference. The model accounts for the spatial autocorrelation in both the outcome variables and residuals. The feature difference adjustment in the model helps to emphasize feature changes across neighboring units, while suppressing unobserved covariates that are present in the same neighborhood. The prediction at a given unit incorporates components that depend on the differences between the values of its main features and those of its neighboring units. In contrast to conventional spatial regression models, our model does not require a comprehensive list of global covariates necessary to estimate the outcome variable at the unit, as common macro-level covariates are differenced away in the regression analysis. Using the real estate market data in Hong Kong, we applied Gibbs sampling to determine the posterior distribution of each model parameter. The result of our empirical analysis confirms that the adjustment of feature difference with an inclusion of the spatial error autocorrelation produces better out-of-sample prediction performance than other conventional spatial dependence models. In addition, our empirical analysis can identify components with more significant contributions.     

Forecasting under model uncertainty: Non-homogeneous hidden Markov models with Pòlya-Gamma data augmentation

We consider finite state-space non-homogeneous hidden Markov models for forecasting univariate time series. Given a set of predictors, the time series are modeled via predictive regressions with state-dependent coefficients and time-varying transition probabilities that depend on the predictors via a logistic/multinomial function. In a hidden Markov setting, inference for logistic regression coefficients becomes complicated and in some cases impossible due to convergence issues. In this paper, we aim to address this problem utilizing the recently proposed Pólya-Gamma latent variable scheme. Also, we allow for model uncertainty regarding the predictors that affect the series both linearly — in the mean — and non-linearly — in the transition matrix. Predictor selection and inference on the model parameters are based on an automatic Markov chain Monte Carlo scheme with reversible jump steps. Hence the proposed methodology can be used as a black box for predicting time series. Using simulation experiments, we illustrate the performance of our algorithm in various setups, in terms of mixing properties, model selection and predictive ability. An empirical study on realized volatility data shows that our methodology gives improved forecasts compared to benchmark models.     

结合时间序列分解和神经网络的河流溶解氧预测

为克服小流域数据资料少,河流溶解氧的非平稳特性及动态变化造成的预测困难,提出结合具有自适应噪声的完整集成经验模态分解(CEEMDAN)和Elman动态神经网络的预测方法.使用CEEMDAN方法对原始溶解氧时序数据进行平稳化处理及降噪,提取溶解氧随时间变化的波动特征、周期特征,以及长期趋势,通过计算样本熵(SE)值,将相似的特征序列合并,以减小误差累积,对合并后的新序列分别采用布谷鸟搜索(CS)算法优化的Elman模型进行预测,将各预测值叠加,得到最终预测结果.实验结果表明:CEEMDAN-SE-CS-Elman方法平均绝对误差(E_MA)为0.14;平均绝对百分误差(E_MPA)为2.07%;均方根误差(E_RMS)为0.24;可决系数(R²)达到0.951 6,精度较其他时间序列预测模型有所提高.     

现代西欧对术语学传统思想的质疑和新的思想突破

维斯特创立的普通术语学思想在20世纪70年代基本形成后,在30年中稳步前进。自21世纪以来,欧洲对术语学的讨论忽然变得热烈,产生了一些"颠覆性"的质疑。文章介绍了欧洲术语学传统思想的承继者们如何应对这些质疑,以及"现代术语学革新派"突破性的理论思想贡献,并浅析未来的术语学理论发展的趋势和远景。     

带搬运时间的批量生产制造系统生产作业计划方法

为给考虑搬运时间的批量生产制造系统中的同类型工件制定生产作业计划,对批量工件的加工与搬运时间、搬运车辆调度和工件移动方式决策等问题进行深入研究.构建同类型批量工件在不同移动方式中的加工与搬运时间模型并设计相应的计算流程图.建立基于生产周期和搬运车辆总投入数量两个决策目标的工件移动方式决策模型.研究结果表明:本研究可有效选择工件移动方式,可为考虑搬运时间的同类型批量工件制定精确的生产作业计划,并可对搬运车辆进行合理调度.     

大数据科学的认知和数学基础引论

 大数据不仅在科学、工程与计算智能中有着广泛的应用，而且在人类感知、估计、量化、记忆和推理的认知机制中发挥着基础性作用。通过对大数据科学理论的基础研究，提出一组大数据系统的一般原理和分析方法。为了从形式上解释大数据的起源和本质，探讨大数据的认知基础及其数学模型，严格地引出了根植于科学、工程和社会各个领域的大数据的一般模式。研究发现大数据不再是传统实域上的纯数，而是一个前所未有的新型数学结构，称为递归类型化超结构（RTHS）。这一大数据系统的基本拓扑特性揭示了大数据工程的复杂性及其操作与处理的全新认知、理论挑战，以及可选解决方案。