考虑碳配额回购融资的再制造企业生产决策

以资金约束的再制造企业为研究对象，分析了碳配额回购融资下的再制造生产决策问题。分别建立了资金约束下有无碳配额回购融资的再制造生产决策模型，利用Kuhn-Tucker条件得到了不同情形下的最优解，并对两种情形下的最优解进行了比较；通过算例分析初始生产资金、消费者偏好和碳配额回购量对最优产量和利润的影响。研究表明：当初始生产资金较低时，再制造企业选择碳配额回购融资会提高新品产量和总产量；若消费者对再制造品的偏好较高，采取碳配额回购融资提高再制造企业的利润；随着碳配额回购量的提高，再制造企业的利润先提高后降低。另外，存在唯一的最优碳配额回购量使得利润最大。     

我国股票市场行业间波动溢出效应研究——基于改进的EMD去噪方法

针对我国股市噪声交易能量较大、行业指数同步性较高的特点,提出改进的EMD(empirical mode decomposition,经验模态分解)去噪方法对行业数据进行处理,进而采用BEKK-GARCH模型分析金融危机前、金融危机期间、金融危机后三个阶段行业间波动溢出效应.研究表明,在降低股价同步性方面,改进的EMD去噪方法效果更佳;行业间波动溢出效应在金融危机期间显著上升,金融危机后回落;较之金融危机前,金融危机后传统制造业受产业链上游的波动溢出效应有所降低、受科研的波动溢出效应有增强的趋势.     

Short‐term salmon price forecasting

This study establishes a benchmark for short‐term salmon price forecasting. The weekly spot price of Norwegian farmed Atlantic salmon is predicted 1–5 weeks ahead using data from 2007 to 2014. Sixteen alternative forecasting methods are considered, ranging from classical time series models to customized machine learning techniques to salmon futures prices. The best predictions are delivered by k‐nearest neighbors method for 1 week ahead; vector error correction model estimated using elastic net regularization for 2 and 3 weeks ahead; and futures prices for 4 and 5 weeks ahead. While the nominal gains in forecast accuracy over a naïve benchmark are small, the economic value of the forecasts is considerable. Using a simple trading strategy for timing the sales based on price forecasts could increase the net profit of a salmon farmer by around 7%.     

高校财务宣传工作的创新与发展

重视和加强财务宣传是新形势下做好高校财务管理工作的重要环节。强化财务宣传意识、明确财务宣传目标、丰富财务宣传内容、创新财务宣传方式，是实现高校财务宣传工作创新与发展的有效路径。     

金融系统压力:指数化测度及其溢出效应研究

2008年全球金融危机的爆发及其冲击促使监管者更多的关注全球金融市场的关联网络特征及金融风险在各金融市场间的传导机制.本文基于全球向量自回归模型(GVAR),从关联网络的视角构建了金融压力溢出效应模型,考察信贷市场、资本市场、外汇市场、债券市场和货币市场等五个金融子市场压力在不同国家和市场间的传导及其动态演变.研究结果表明,美国是全球金融市场中金融压力主要溢出者;发达经济体主要通过其资本市场和货币市场影响我国的信贷市场、资本市场和外汇市场,而新兴经济体金融压力则主要影响我国的债券市场和货币市场.资本市场和货币市场是不同国家和金融子市场间金融压力传染的重要路径.2014年以来国际金融市场压力对我国金融市场的影响远高于金融危机时期,且资本市场和外汇市场所受影响更为显著.     

政府市场规制对企业绿色技术创新决策与绩效的影响

政府市场型规制较高的创新要素配置效率决定了其在促进企业绿色技术创新的优势.为此,对比分析了无市场规制+集中决策(情景1)、无市场规制+独立决策(情景2)、价格型规制+集中决策(情景3)、价格型规制+独立决策(情景4)、竞争型规制决策(情景5)下企业市场最优定价策略和绿色技术创新水平,并计算出了每种情形下的系统废弃物排放量、系统经济效益和系统消费者剩余.借助数值模拟的方法,分析了不同决策情景下,各外生变量对企业绿色技术创新努力水平与创新绩效的敏感性.研究结果表明,市场规制对企业绿色技术创新水平的影响同规制类型和博弈决策类型有关.集中决策情形下,系统废弃物排放量和消费者剩余会降低,系统经济收益增多;在市场规制下,系统经济收益和消费者剩余会升高;在集中决策下,市场规制会降低废弃物排放量,在独立决策下,市场规制会增加系统废弃物排放量,但是无论什么决策类型下,随着市场规制的引入,废弃物排放强度都是处于下降趋势;在竞争型规制决策情景下,系统废弃物排放量和系统经济效益均实现了最小化,但是社会福利达到了最大化.上述分析对于政府进一步优化市场化规制工具也有一定的借鉴意义.     

Incorporating textual and management factors into financial distress prediction: A comparative study of machine learning methods

Financial distress prediction (FDP) has been widely considered as a promising approach to reducing financial losses. While financial information comprises the traditional factors involved in FDP, nonfinancial factors have also been examined in recent studies. In light of this, the purpose of this study is to explore the integrated factors and multiple models that can improve the predictive performance of FDP models. This study proposes an FDP framework to reveal the financial distress features of listed Chinese companies, incorporating financial, management, and textual factors, and evaluating the prediction performance of multiple models in different time spans. To develop this framework, this study employs the wrapper-based feature selection method to extract valuable features, and then constructs multiple single classifiers, ensemble classifiers, and deep learning models in order to predict financial distress. The experiment results indicate that management and textual factors can supplement traditional financial factors in FDP, especially textual ones. This study also discovers that integrated factors collected 4 years prior to the predicted benchmark year enable a more accurate prediction, and the ensemble classifiers and deep learning models developed can achieve satisfactory FDP performance. This study makes a novel contribution as it expands the predictive factors of financial distress and provides new findings that can have important implications for providing early warning signals of financial risk.     

On the Difficulty of Measuring Forecasting Skill in Financial Markets

The use of correlation between forecasts and actual returns is commonplace in the literature, often used as a measurement of investors' skill. A prominent application of this is the concept of the information coefficient (IC). Not only can the IC be used as a tool to rate analysts and fund managers but it also represents an important parameter in the asset allocation and portfolio construction process. Nevertheless, a theoretical understanding of it has typically been limited to the partial equilibrium context where the investing activities of each agent have no effect on other market participants. In this paper we show that this can be an undesirable oversimplification and we demonstrate plausible circumstances in which conventional empirical measurements of IC can be highly misleading. We suggest that improved understanding of IC in a general equilibrium setting can lead to refined portfolio decision making ex ante and more informative analysis of performance ex post. Copyright © 2015 John Wiley & Sons, Ltd.     

数据挖掘在检测农业补贴中欺诈行为的应用——基于异常检测与神经网络模型

随着国家对农业发展扶持力度的不断加大,农业补贴申请资金得到提高的同时,其种类也在逐渐扩充.因此,如何检测农业补贴申请中的欺诈行为是一项值得关注的研究课题.通过对clementine 12.0中的案例数据分别构建异常检测和神经网络模型,对农业补贴申请记录中的欺诈行为进行检测,并借助clementine12.0的可视化实验平台直观、有效地观察检测结果.实验结果表明:提出的方法可以明显地提高检测欺诈行为的效率及准确率,具有一定的启发和借鉴意义.     

山东省金融发展对城乡收入差距作用的实证研究

通过构建动态面板数据模型对山东省金融发展与城乡收入差距之间的作用关系进行了分析,并采用广义矩法对模型参数进行估计,得到结论:在所有影响因素的联合作用下,山东省金融发展效率起到了扩大城乡收入差距的作用,而金融发展规模对城乡收入差距具有显著抑制作用.其中,金融发展效率的影响强于金融发展规模.另外,产业结构的升级对城乡收入差距具有扩大作用,开放程度的提升对城乡收入差距具有明显的抑制作用,社会保障支出也起到了缩小城乡收入差距的作用.最后,城乡收入差距自身具有显著的滞后效应.