项目投资时机及投资概率分析

针对实物期权理论中存在的不足,运用鞅理论分析研究了市场环境下的确定性和不确定性因素对实物资产项目投资决策的影响.首先,通过鞅方法建立了反映投资时机和投资回报临界值之间关系的投资时机模型;然后,使用测度变换评价了项目投资能够被实施的可能性.研究结果表明确定性因素对投资时机和投资回报临界值具有相反作用的影响,不确定性因素则均具有正向作用的影响,且在确定性因素取值较小情况下,不确定性对投资却具有促进作用.     

一维双极粘滞量子流体力学模型解的存在性

研究了一类一维稳态双极半导体方程的粘滞量子流体力学模型.该模型包含关于粒子浓度和电流密度的连续方程以及电势Poisson方程的耦合方程组,其中含有三阶量子修正项和二阶粘滞项.该问题在有界区间(0,1)中讨论,并通过边界条件的假设将原方程组变形为常见的形式,得到原问题的等价问题.用截断方法将等价问题正则化,并得到正则化问题解的先验估计.利用Leray-Schauder不动点定理证明正则化问题解的存在性,最后通过L∞估计证明正则化问题的解即为原问题的解,从而证明了原双极粘滞量子流体力学模型存在稳态解.     

Cross‐Section Stock Return and Implied Covariance between Jump and Diffusive Volatility

I examine the information content of option‐implied covariance between jumps and diffusive risk in the cross‐sectional variation in future returns. This paper documents that the difference between realized volatility and implied covariance (RV‐ICov) can predict future returns. The results show a significant and negative association of expected return and realized volatility–implied covariance spread in both the portfolio level analysis and cross‐sectional regression study. A trading strategy of buying a portfolio with the lowest RV‐ICov quintile portfolio and selling with the highest one generates positive and significant returns. This RV‐Cov anomaly is robust to controlling for size, book‐to‐market value, liquidity and systematic risk proportion. Copyright © 2015 John Wiley & Sons, Ltd.     

A decision rule to minimize daily capital charges in forecasting value‐at‐risk

Under the Basel II Accord, banks and other authorized deposit‐taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value‐at‐risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realized losses are above the estimated risk. In this paper we analyze the profit‐maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADIs have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor's 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. Copyright © 2009 John Wiley & Sons, Ltd.     

Genome-wide association studies of 14 agronomic traits in rice landraces

Uncovering the genetic basis of agronomic traits in crop landraces that have adapted to various agro-climatic conditions is important to world food security. Here we have identified ～ 3.6 million SNPs by sequencing 517 rice landraces and constructed a high-density haplotype map of the rice genome using a novel data-imputation method. We performed genome-wide association studies (GWAS) for 14 agronomic traits in the population of Oryza sativa indica subspecies. The loci identified through GWAS explained ～ 36% of the phenotypic variance, on average. The peak signals at six loci were tied closely to previously identified genes. This study provides a fundamental resource for rice genetics research and breeding, and demonstrates that an approach integrating second-generation genome sequencing and GWAS can be used as a powerful complementary strategy to classical biparental cross-mapping for dissecting complex traits in rice.     

Testing Interval Forecasts: A GMM‐Based Approach

This paper proposes a new evaluation framework for interval forecasts. Our model‐free test can be used to evaluate interval forecasts and high‐density regions, potentially discontinuous and/or asymmetric. Using a simple J‐statistic, based on the moments defined by the orthonormal polynomials associated with the binomial distribution, this new approach presents many advantages. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypotheses. Third, Monte Carlo simulations show that for realistic sample sizes our GMM test has good small‐sample properties. These results are corroborated by an empirical application on SP500 and Nikkei stock market indexes. It confirms that using this GMM test leads to major consequences for the ex post evaluation of interval forecasts produced by linear versus nonlinear models. Copyright © 2011 John Wiley & Sons, Ltd.     

Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes

We introduce a new strategy for the prediction of linear temporal aggregates; we call it ‘hybrid’ and study its performance using asymptotic theory. This scheme consists of carrying out model parameter estimation with data sampled at the highest available frequency and the subsequent prediction with data and models aggregated according to the forecasting horizon of interest. We develop explicit expressions that approximately quantify the mean square forecasting errors associated with the different prediction schemes and that take into account the estimation error component. These approximate estimates indicate that the hybrid forecasting scheme tends to outperform the so‐called ‘all‐aggregated’ approach and, in some instances, the ‘all‐disaggregated’ strategy that is known to be optimal when model selection and estimation errors are neglected. Unlike other related approximate formulas existing in the literature, those proposed in this paper are totally explicit and require neither assumptions on the second‐order stationarity of the sample nor Monte Carlo simulations for their evaluation. Copyright © 2014 John Wiley & Sons, Ltd.     

Exome sequencing of liver fluke-associated cholangiocarcinoma

Opisthorchis viverrini-related cholangiocarcinoma (CCA), a fatal bile duct cancer, is a major public health concern in areas endemic for this parasite. We report here whole-exome sequencing of eight O. viverrini-related tumors and matched normal tissue. We identified and validated 206 somatic mutations in 187 genes using Sanger sequencing and selected 15 genes for mutation prevalence screening in an additional 46 individuals with CCA (cases). In addition to the known cancer-related genes TP53 (mutated in 44.4% of cases), KRAS (16.7%) and SMAD4 (16.7%), we identified somatic mutations in 10 newly implicated genes in 14.8-3.7% of cases. These included inactivating mutations in MLL3 (in 14.8% of cases), ROBO2 (9.3%), RNF43 (9.3%) and PEG3 (5.6%), and activating mutations in the GNAS oncogene (9.3%). These genes have functions that can be broadly grouped into three biological classes: (i) deactivation of histone modifiers, (ii) activation of G protein signaling and (iii) loss of genome stability. This study provides insight into the mutational landscape contributing to O. viverrini-related CCA.