Google Trends and the forecasting performance of exchange rate models

In this paper, we use Google Trends data for exchange rate forecasting in the context of a broad literature review that ties the exchange rate movements with macroeconomic fundamentals. The sample covers 11 OECD countries’ exchange rates for the period from January 2004 to June 2014. In out‐of‐sample forecasting of monthly returns on exchange rates, our findings indicate that the Google Trends search query data do a better job than the structural models in predicting the true direction of changes in nominal exchange rates. We also observed that Google Trends‐based forecasts are better at picking up the direction of the changes in the monthly nominal exchange rates after the Great Recession era (2008–2009). Based on the Clark and West inference procedure of equal predictive accuracy testing, we found that the relative performance of Google Trends‐based exchange rate predictions against the null of a random walk model is no worse than the purchasing power parity model. On the other hand, although the monetary model fundamentals could beat the random walk null only in one out of 11 currency pairs, with Google Trends predictors we found evidence of better performance for five currency pairs. We believe that these findings necessitate further research in this area to investigate the extravalue one can get from Google search query data.     

Robust model rankings of forecasting performance

This paper investigates robust model rankings in out‐of‐sample, short‐horizon forecasting. We provide strong evidence that rolling window averaging consistently produces robust model rankings while improving the forecasting performance of both individual models and model averaging. The rolling window averaging outperforms the (ex post) “optimal” window forecasts in more than 50% of the times across all rolling windows.     

外汇欧式期权在市场不完备下的对冲误差分析

本文研究了外汇欧式期权的对冲误差问题,针对典型的静态和动态Delta对冲策略,在对冲过程不连续和利率平价公式不成立的市场不完备情形下,给出了即期对冲和远期对冲的对冲误差公式,从而能够更准确地衡量实际对冲组合产生的风险.在研究Delta对冲策略过程中,本文提出了一个包含摩擦系数ε的外汇远期汇率模型,并通过分析即期对冲和远期对冲的差异,给出了最优对冲方式的判别条件.该判别条件依赖于摩擦系数ε,做市商仅通过对摩擦系数ε实时的监控,便可以选择最优的风险对冲方式,从而提高了对冲效率.本文提出的对冲误差的具体解析式和最优对冲方式的判别条件为外汇期权对冲及其风险管理提供了理论依据.实证结果表明,本文提出的期望收益差与实际对冲组合的收益差基本一致,从而验证了判别条件的合理性.     

基于共价有机框架的仿生光动力学治疗试剂的构建

共价有机框架（COF）是一类新兴的多孔有机聚合物，因其具有较大的比表面积、有序的孔道结构以及良好的生物相容性，已成为具有潜力的纳米药物载体.制备了基于COF纳米颗粒的仿生纳米复合物，负载光敏剂孟加拉玫瑰红（RB），并包裹癌细胞膜（CMV）对该复合物进行仿生修饰.结果表明：制备的COF/RB@CMV纳米复合物具有良好的生物兼容性，能够被肿瘤细胞有效摄取，并在光照激活条件下产生对细胞具有高毒性的活性氧化物（ROS），进而起到了杀伤肿瘤细胞的作用.提出了一种新的基于COF的仿生纳米平台用作光动力学治疗（PDT）试剂.     

及时性自适应高维经济基本面建模与汇率预测分析

在人民币国际化不断推进,人民币汇率双向波动加强的背景下,构建具有优良预测能力的汇率预测模型愈发重要.参数模型对汇率预测的能力不仅取决于模型设定是否正确,还取决于模型能够同时:一方面能否迅速探测模型参数的结构性变化以使用最佳信息估计模型参数,另一方面能否及时识别模型解释变量以使用最佳解释变量对汇率进行预测.本文构建了自适应变元算法.该算法不仅能实时检测模型参数的结构性变化,探测参数的最大化同质区间,同时还能对变量进行及时识别以选择最佳模型解释变量,提高模型的预测能力.在样本外向前3至24个月的汇率预测中,自适应变元算法能显著超越随机游走,马尔可夫机制转换模型,误差修正模型,实时最优窗算法,多元自适应可变窗算法与其他经济基本面模型包括:弹性货币模型,购买力平价模型,利率平价模型,泰勒规则模型,偏移泰勒规则模型.变量选择结果显示,自"811"汇改以后,经济基本面因素决定了人民币汇率走势.中国与其他发达经济体包括欧元区,英国与日本的经济基本面同样能够决定美元兑人民币汇率走向.另外,自"811"汇改之后,人民币汇率预期相比于"811"汇改之前更易受到外部冲击的影响,合理的人民币汇率预期监管依然需要依赖于实行有管理的浮动汇率制度,防止汇率风险.     

高性能膜分离材料、膜过程强化关键技术及装备的研制与应用

针对影响和制约膜分离技术大规模推广应用的关键材料与技术瓶颈,中国科学院过程工程研究所"生化工程介质与设备"创新团队经过多年自主创新,在高性能分离膜材料、膜过程强化关键技术和高效膜分离装备等方面取得了系列科研成果,部分成果在调味品、水处理、中药等行业实现了产业化应用,创造了显著的经济效益和社会效益,为提高我国膜工业研发与应用水平,缩短我国膜分离行业与国外先进水平之间的差距,促进膜分离技术的大规模工业化应用做出了贡献。     

Key technologies for polymer electrolyte membrane fuel cell systems fueled impure hydrogen

Hydrogen energy and polymer electrolyte membrane (PEM) fuel cells become concerned issues in recent years. Nevertheless, the construction of hydrogen refueling infrastructure and hydrogen storage and transportation constrains the commercial development of fuel cells. In this review, sources, production, storage, transportation, and purification methods of hydrogen are extensively reviewed and compared. The advantages of utilizing industrial by-product hydrogen and steam reforming gas in PEM fuel cell systems are analyzed. Using industrial wasted hydrogen can significantly reduce the cost of hydrogen. Also, it is indicated that the onboard hydrogen generation by steam methanol reforming can solve the difficulties of efficient storage and transportation of gaseous hydrogen, which means that methanol has great potential to be a convenient carrier of hydrogen. The effects of impurities contained in the reformate gas are generally introduced. After the methanol steam reforming and pretreatment purification processes, the reformate gas can be fed to PEM fuel cells. Thus, a fuel cell system integrated with onboard hydrogen production and impure hydrogen treatment subsystems is introduced, and key technologies therein for pretreatment purification and in-situ poisoning mitigation methods are reviewed. Finally, suggestions are proposed for further studies.     

Janus few layered graphene with asymmetric wettability as anti-flooding cathode supports in proton exchange membrane fuel cells

Water balance in cathode catalyst layer (CCL) is crucial for proton exchange membrane fuel cells (PEMFCs). Herein, we report a novel strategy to develop a Janus few layered graphene particles (FLGP) with asymmetric wettability by varying the carbon precursors in the chemical vapor deposition (CVD) process. Using the Janus FLGP supported Pt with asymmetric wettability as the cathode of a PEMFC, a peak power density of 632 mW cm⁻² was achieved, which was about two-folds of the hydrophobic FLGP and three-folds of hydrophilic FLGP based cathode, respectively. The enhanced performance could be ascribed to the well-constructed three-phase boundary in an anti-flooding cathode, leading to enlarged electrochemical active surface area and facilitated mass transfer. This work may provide new clues for improving water management in PEMFCs.     

大鼠鞘内给药方法比较及改进

目的通过实验对比研究,介绍一种损伤少、稳定可靠、可持续性给药的鞘内给药方法。方法大鼠72只随机分为6组:4组手术处理组(经枕寰膜置管组、经枕寰膜置管+微型渗透泵组、经腰椎椎间孔置管组、经腰椎椎间孔置管+微型渗透泵组)和2组假手术对照组(经枕寰膜置管假手术组、经腰椎椎间孔置管假手术组)。置管组导管游离端固定于皮肤。观察术后大鼠体质量、致瘫、致死、脱管等一般状态,同时检测手术前后转棒持续时间、机械刺激缩足反射阈值及热刺激缩足反射潜伏期行为学变化。结果经枕寰膜置管大鼠近50%致死、致瘫、一般状态不良(体质量严重下降、口鼻炎性分泌物)。经枕寰膜置管+微型渗透泵组大鼠情况类似。经腰椎椎间孔置管组大鼠未见致死、致瘫及体质量下降,但1/3发生脱管。腰椎椎间孔置管+微型渗透泵组大鼠未见致死、致瘫及体质量下降,全部未脱管。经枕寰膜置管可致大鼠转棒运动能力显著低于术前和对照组,其热刺激缩足反射潜伏期和机械刺激缩足反射阈值均显著低于术前和对照组。经腰椎椎间孔置管对大鼠转棒运动能力和基础痛阈均无明显影响,与对照组和术前自身比较差异均无显著性。结论经腰椎椎间孔置管结合微型渗透泵方法是鞘内给药损伤少、稳定可靠的最佳方法。     

Exchange rate forecasting and the performance of currency portfolios

We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates: the euro versus the US dollar, the British pound, and the Japanese yen. We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single currencies and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, two trading strategies, mean squared error‐based composite forecasts, and different forecast horizons. Our results indicate that there are clear benefits of integrating exchange rate forecasts from state‐of‐the‐art econometric models in currency portfolios. These benefits vary across investor preferences and prediction horizons but are rather similar across trading strategies.