基于GARCH模型的上证指数实证分析

在对GARCH模型进行探究的基础上,针对上证指数收益率的波动特征进行GARCH建模,最后通过对所得模型结果的分析得出了我国股市与其他发达国家的股市具有一些共同的地方,即我国的上证指数收益率序列具有显著的异方差特征,且收益率波动的大小与其自身过去的波动大小有非常明显的关系,因此说我国的大盘指数也可以采用GARCH模型来进行拟合和解释。     

基于时变ARMA-EGARCH-Copula模型的投资者情绪与股市收益动态相关结构分析

基于上证市场2011年7月~2017年3月数据,选取流通市值加权换手率、市场融资余额变化率、市场融券余额变化率、涨跌比、基金指数收益率等五项指标对投资者情绪进行测度,并通过时变ARMA-EGARCH-Copula模型实证分析了投资者情绪与市场收益率之间的动态相关关系。分析结果表明,样本期内,上证指数收益率和投资者情绪都存在明显的波动集聚性和持续性;投资者情绪与指数收益率之间总体正相关,但时变性较大。总体上,市场正常波动时两者相关系数与指数收益率大小呈负相关关系,而市场异常波动时,暴跌阶段负相关性有所强化,暴涨阶段负相关性有所弱化。本研究有助于金融监管部门适当引导投资者行为,以减少市场非正常波动,促进金融市场正常发展。     

基于GARCH类模型和BP神经网络的量价关系实证研究

作者以量价关系相关理论为基础,使用EGARCH模型和BP神经网络对中国股市的量价关系进行了实证研究.EGARCH模型的参数估计结果显示加入交易量的模型更优.然后作者得到了上证指数的如下量价关系特征:非预期成交量与股市波动性之间存在较强的正相关关系且我国股市收益率的波动存在明显的"杠杆效应".因而加入交易量的BP模型具有更小的均方误差.     

股市波动的周内效应研究

收益与风险共存，以往对股市的周内效应研究仅集中在收益率上，对股市的另一特征波动性的周内效应进行了实证研究。应用无条件波动的修正Levene检验和条件波动的GARCH模型，研究了上证综合指数，结果显示我国股市存在显的星期一高波动现象，利用混合分布模型对此现象进行了解释，周末信息的积累对星期一交易的影响可能是其高波动的原因。     

TARCH-M模型在上证指数波动率的实证分析

本文应用TARCH-M模型,并且引入迭代累计平方和(ICSS)法则对上证指数进行波动时段进行划分,针对不同波动时段分析其上证指数日收益率上涨和下跌对上海股票市场非对称的影响特点.结果表明,上海股市在1997年以前,收益率的上涨比下跌对股市造成的影响更大,即与通常定义的“杠杆效应”相反;而在1997年以后,其“杠杆效应”才显著.此外,收益率和波动性在后两阶段出现明显的正相关关系,说明了投资者正从以前盲目投资逐渐转变为理性投资,上海股市已日趋成为一个成熟的市场.     

股票月收益实际波动率的实证研究

阐述了实际波动率的理论背景，以及国外在实际波动率研究方面已得出的一些基本结论．对深沪股市随机抽取的30只股票数据进行了实证检验，得出对数实际月波动率序列的分布与正态分布无差异、月收益率经月实际波动率标准化后的序列的分布与正态分布无差异的结论．利用月实际波动率对广义自回归条件异方差类模型的波动率模拟效果进行了检验，发现该模型的波动率度量精度略胜一筹，但也只能解释一小部分收益率的变动．     

对上海股票市场波动性的ARCH研究

在分析上海股市收益波动特征的基础上，利用多种形式的ARCH类模型对上海股市日收益率的波动进行了实证分析，结果表明上海股市具有较为明显的ARCH效应．     

投资者情绪与股市收益率的非对称相关性分析

采用主成分分析的方法,把原始的投资者情绪变量构建成投资者情绪指标体系,运用VARBVGJR-GARCH-BEKK模型探讨投资者情绪和股市收益率之间的非对称相关性。实证分析结果表明:投资者情绪与股市收益率之间存在双向的均值溢出效应;股市收益率与投资者情绪间存在显著的双向波动溢出效应,任何一个变量的波动信息都会传递到另外一个变量中,对另一变量的波动产生影响;投资者情绪受到自身滞后的负冲击比受到自身滞后的正冲击产生更大的波动;投资者情绪的正面冲击会加大股市收益率的波动。     

基于SWARM的模拟股市及其特征性事实

根据复杂经济系统思想,建立一个基于主体的股市模型,并利用SWARM平台进行系统仿真.对仿真结果的统计分析表明,收益率序列呈现波动聚集、尖峰肥尾和长期记忆等股市普遍存在的特征性事实.模型揭示了股市运行的内在机制,给股市特征性事实一个合理的解释.     

基于单侧风险态度的资本资产定价模型及其实证研究

针对代表性投资者对于下跌风险和上升风险的不同态度,推导了基于“熊市”和“牛市”的单期资产定价模型,并运用中国股市数据进行了实证.结果表明:分别与“熊市”和“牛市”对应的β-和β 比传统的β对于证券的截面收益率具有更强的解释能力;β-和β 分别与截面收益率正相关和负相关;公司特征因子对于截面收益率也有一定的解释能力.     

Markedness and its Interpretation in Language Use

Language markedness is a common phenomenon in languages, and is reflected from hearing, vision and sense, i.e. the variation in the three aspects such as phonology, morphology and semantics. This paper focuses on the interpretation of markedness in language use following the three perspectives, i.e. pragmatic interpretation, psychological interpretation and cognitive interpretation, with an aim to define the function of markedness.     

Features of Women's language

Language is a means of verbal communication. People use language to communicate with each other. In the society, no two speakers are exactly alike in the way of speaking. Some differences are due to age, gender, statue and personality. Above all, gender is one of the obvious reasons. The writer of this paper tries to describe the features of women＇s language from these perspectives： pronunciation, intonation, diction, subjects, grammar and discourse. From the discussion of the features of women＇s language, more attention should be paid to language use in social context. What＇s more, the linguistic phenomena in a speaking community can be understood more thoroughly.     

低渗透非均质砂岩油藏启动压力梯度研究

理论推导与室内实验相结合,建立了低渗透非均质砂岩油藏启动压力梯度确定方法。首先借助油藏流场与电场相似的原理,推导了非均质砂岩油藏启动压力梯度计算公式。其次基于稳定流实验方法,建立了非均质砂岩油藏启动压力梯度测试方法。结果表明:低渗透非均质砂岩油藏的启动压力梯度确定遵循两个等效原则。平面非均质油藏的启动压力梯度等于各级渗透率段的启动压力梯度关于长度的加权平均;纵向非均质油藏的启动压力梯度等于各渗透率层的启动压力梯度关于渗透率与渗流面积乘积的加权平均。研究成果可用于有效指导低渗透非均质砂岩油藏的合理井距确定,促进该类油藏的高效开发。     

On Tragic Consciousness In The Works By Ernest Hemingway

As an American modern novelist who were famous in the literary world, Hemingway was not a person who always followed the trend but a sharp observer. At the same time, he was a tragedy maestro, he paid great attention on existence, fate and end-result. The dramatis personae's tragedy of his works was an extreme limit by all means tragedy on the meaning of fearless challenge that failed. The beauty of tragedy was not produced on the destruction of life, but now this kind of value was in the impact activity. They performed for the reader about the tragedy on challenging for the limit and the death.     

Achieving Unusual States of Matter Under High Pressure

正The periodicity of the elements and the non-reactivity of the inner-shell electrons are two related principles of chemistry,rooted in the atomic shell structure.Within compounds,Group I elements,for example,invariably assume the+1 oxidation state,and their chemical properties differ completely from those of the p-block elements.These general rules govern our understanding of chemical structures and reactions.Using first principles calcula-     

Exchange-Correlation and Electronic Excitation Energies from Pairing Matrix Fluctuations

We have developed an adiabatic connection to formulate the ground-state exchange-correlation energy in terms of pairing matrix linear fluctuations.This formulation of the exchange-correlation energy opens a new channel for density functional approximations based on the many-body perturbation theory.We illustrate the potential of such approaches with an approximation based on the particle-particle Random Phase Approximation(pp-RPA).This re-     

Density Functional Theory for the Response of Periodic Systems to Electric Fields Based on the Vector Potential Approach

正The electronic and nuclear(structural/vibrational)response of 1D-3D nanoscale systems to electric fields gives rise to a host of optical,mechanical,spectral,etc.properties that are of high theoretical and applied interest.Due to the computational difficulty of treating such large systems it is convenient to model them as infinite and periodic(at least,in first approximation).The fundamental theoretical/computational problem in doing so is that     

On the Thermodynamic Limit for Responses to Static Electromagnetic Fields

For molecular systems,the quantum-mechanical treatment of their responses to static electromagnetic fields usually employs a scalar-potential treatment of the electric field and a vector-potential treatment of the magnetic field.Although the potential for each field separately is associated with the choice of an(unphysical)origin,the precise choice of the origin for the electrostatic field has little consequences for the results.This is different for the     

Call for Papers

<正>"The Journal of Shanghai Normal University:Mathematics"is published by Shanghai Normal University as regular issues of The Journal of Shanghai Normal University each year from 2014 in English.The editors-in-chief of the issues are professors Yuhao Cong and Maoan Han.The Journal of Shanghai Normal University was started in 1958 with     

Journal of Donghua University ( English Edition) Contents of Volume 31

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