中国股市正反馈交易涨强不对称的定价能力

中国市场存在显著的正反馈交易,且追涨程度远超过杀跌程度.这种现象本文称之为正反馈交易的涨强不对称.本文旨在研究这种涨强不对称是否具有定价能力.本文在Fama-French三因子模型的基础上构建了反转因子、正反馈因子和涨强不对称因子,对2010年以前上市的全部A股从1998年1月至2016年10月的数据进行实证检验.本文发现,涨强不对称因子的表现显著区别于正反馈因子和反转因子;尽管单一来看正反馈因子、反转因子和涨强不对称因子都有一定的定价能力,但在多因子模型中正反馈因子和反转因子的定价能力很弱,只有涨强不对称因子有显著的定价效果;且这种定价能力不是因为追涨、杀跌、流动性溢价或投资者情绪造成的.总之,涨强不对称是一个有别于传统因子的新定价因子,且其定价能力可能源于市场补偿非理性投机带来的风险.     

Modeling Default Dependence with the Mixture of Calendar Time and Business Time

Evaluating default correlation between securities in a portfolio is very important for credit derivatives pricing and risk management. Under the framework of the structural model proposed by Black and Cox, we assume that the asset values of companies are driven by Brownian motions in the worlds of the calendar time and the business time; they then could evolve continuously or by leap. We build the dynamic default correlations using the time-varying correlated Brownian motions in these processes. The sensitivity of default correlations to the key parameters is explored in the paper by numerical examples, and we apply the model to risk management as well. Because default times are unpredictable in the proposed model, the defaults might occur suddenly. Independent defaults and complete correlated defaults can be described in the model as well.     

UV-2450紫外可见分光光度计的维护与常见故障分析

仪器设备在高校教学科研中有着非常重要的作用。仪器设备的日常维护与保养,是保证设备正常运行的一种重要手段,有利于延长仪器设备的使用寿命,提高实验室的综合效益。因此,了解仪器设备及其日常的一些注意事项显得格外重要。总结了UV-2450紫外可见分光光度计的维护与保养方法,特别是常见故障排除的心得与经验,旨在为更好的使用UV-2450紫外可见分光光度计提供参考。     

两种针叶类珍稀植物扦插繁殖技术研究

以针叶类珍稀植物粗榧和南方红豆杉的半木质化硬枝为试验材料,对其扦插繁殖技术进行了研究。结果表明:生根剂GGR对粗榧和南方红豆杉均适用,其扦插效果优于IBA;扦插基质选腐殖土为宜,生根效果优于珍珠岩;生根剂浓度以100 mg/L为宜,粗榧插穗经GGR 100 mg/L处理后在腐殖土中生根率达到了75.68%,红豆杉插穗经GGR 100 mg/L处理后在腐殖土中生根率达到了77.55%。     

Effect of Zn addition on microstructure and mechanical properties of an Al–Mg–Si alloy

In the present work, an Al–0.66Mg–0.85Si–0.2Cu alloy with Zn addition was investigated by electron back scattering diffraction(EBSD), high resolution electron microscopy(HREM), tensile and Erichsen tests. The mechanical properties of the alloy after pre-aging met the standards of sheet forming. After paint baking, the yield strength of the alloy was improved apparently. GP(Ⅱ) zones and η’phases were formed during aging process due to Zn addition. With the precipitation of GP zones, β″ phases, GP(Ⅱ) zones and η’phases, the alloys displayed excellent mechanical properties.     

《大数据百科全书》术语特点及收录与处理原则

大数据发展日新月异,新的应用需求和实践问题层出不穷,社会各界越来越重视大数据的基础研究。百科全书作为知识门类的概述性著作,是开展和推动基础研究的重要载体。作为大数据知识传播的工具,《大数据百科全书》不仅要有实用与新颖兼备的知识内容,并且还应具备准确严谨与通畅易懂的专业化语言文字表达。其中,术语是《大数据百科全书》不可或缺的有机组成部分,文章总结大数据领域的术语特点,并以此提出《大数据百科全书》术语方面的收录和处理原则。     

《遗传学》实验教学与创新能力提高的探索与实践

遗传学是生命科学域的重要基础学科。为适应生命科学的发展,实施创新教育,培养创新人才与卓越人才,《遗传学》实验的教学内容和教学模式必须与时俱进进行改革。随着农业院校培养方案的改革,结合西北农林科技大学创新人才培养的目标和要求,文中在教学内容、教学方法、教学手段、教学过程等方面开展了一系列教学改革的研究与实践,对进一步深化遗传学实验教学改革具有重要意义。     

Liquidity dynamics around intraday price jumps in Chinese stock market

Using 4128 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, this paper investigates the liquidity dynamics around price jumps in Chinese market. Some interesting empirical results are obtained and the corresponding explanations are given. The frequency of positive jumps is quite higher than that of negative jumps. The trading volumes and average trade sizes are all in a high level around positive jumps. The relatively low liquidities around negative jumps show that negative jumps may be generated and enlarged by poor liquidity provision. The price reversal after price jumps is significant, and price reversal lasts longer after positive jumps. Moreover, the size and direction of jumps are significantly correlated with the returns and trades in the post-jump trading time. These findings are believed to be associated with the high proportion of retail investors and their herding behavior for price trend chasing.     

美国人重拾家庭影院梦

在美国富裕群体中,家庭影院的普及率较高.金融危机迫使美国人暂时放弃这一爱好.如今,随着美国经济逐渐复苏,家庭影院又一次受到追捧.不过,在家里享受极致观影体验的花费确实不菲.