入世后中国金融期货的发展及其风险控制

简要介绍了我国金融期货的发展历史,分析了加入WTO后我国再次发展金融期货市场的条件,提出了建立和发展我国金融期货市场的战略设想以及控制和防范金融期货风险的措施。     

基于市场诉求的信息关注与认同

对信息关注与认同的含义和表现方式进行了论述,探讨了信息效应的建设原则,阐明了信息注意力就是信息效应的反映和信息价值的认同。     

建立和完善江西省技术市场服务体系初探

由多年从事科技管理方面专业人员,根据自身实际工作经验体会,阐述了江西省技术市场现状及存在问题,并就如何建立和完善江西省技术市场服务体系等问题进行了详实地分析及对比。     

发电市场不同决策规则三寡头博弈模型研究

在三寡头垄断的电力市场中假设生产者分别采用静态预期及有限理性预期规则,建立了一个基于不同决策规则的动态博弈模型.对该模型进行了较详细的理论分析和参数仿真计算,在一定范围内得出了系统出现混沌的参数值,分析了不同参数组合条件下系统表现出来的分岔,混沌和密度周期性等复杂性态.所得结果对于一般寡头电力市场中的生产者制定产量计划具有一定启示作用.     

江汉平原耕地变化的经济损失分析

对江汉平原2000～2003年耕地流失的基本态势及其经济损失进行定量分析,为缓解耕地流失形势、确定耕地流失的经济补偿提供决策依据.估算表明,2000～2003年江汉平原耕地资源净减少28 968.69hm2,耕地流失所带来的经济损失达82.07亿元,年均损失20.52亿元.其中,耕地资源的市场价值损失72.61亿元,占88.47%;目前无法通过市场价格机制体现的非市场价值流失9.46亿元,占11.53%.耕地流失经济损失的货币化计量,是有效解决农地生态补偿机制构建的一个技术难题,为确定农地生态补偿标准、规范人类活动的性质和干扰程度、限制土地的过度开发和优化农地景观格局提供决策依据.图1,表6,参14.     

农产品质量安全市场准入过程中利益相关者的博弈分析

应用博弈论的基本方法,建立了农产品质量安全利益相关者的博弈模型,并对其求解和分析.结果表明,在目前我国农产品信息不对称的条件下,难以实现安全农产品的供给.为确保农产品的消费安全,需要采取政府介入,实施市场准入规制,加强农产品质量安全标准体系的建设,加大惩罚力度等一系列措施.图8,参6.     

房地产市场信息不对称的动态博弈

通过对房地产市场信息不对称的动态博弈关系进行研究,认为目前我国房地产市场中出现问题的根本原因在于信息不对称及诚信缺失,信息不对称使得参与备方的机会主义行为盛行,正常的市场机制难以发挥应有作用.信息不对称前提下一对多的动态博弈模型能够解释目前房地产市场中出现与供求规律不相符的高空置率与高价格并存现象.研究认为,"双高"现象有利于重复博弈的开发商一方,其重要原因是讨价还价双方的信息不对称及地位不对等,使开发商具有充分的激励维持高价并在此过程中获得更多的利润,通过等待可以获得有关置业者更多风险偏好程度的信息,进而在讨价还价过程获得更多收益.信息在买卖双方之间传递的阻隔和不对称是房地产市场的普遍特征,是市场交易关系中所处地位不对等这一客观状况所造成的.为了有效地解决房地产市场的信息不对称问题,保障置业者合法利益,提高房地产市场效率,从政府、开发商和置业者等方面提出了解决房地产市场信息不对称的建议.     

PARX model for football match predictions

We propose an innovative approach to model and predict the outcome of football matches based on the Poisson autoregression with exogenous covariates (PARX) model recently proposed by Agosto, Cavaliere, Kristensen, and Rahbek (Journal of Empirical Finance, 2016, 38(B), 640–663). We show that this methodology is particularly suited to model the goal distribution of a football team and provides a good forecast performance that can be exploited to develop a profitable betting strategy. This paper improves the strand of literature on Poisson‐based models, by proposing a specification able to capture the main characteristics of goal distribution. The betting strategy is based on the idea that the odds proposed by the market do not reflect the true probability of the match because they may also incorporate the betting volumes or strategic price settings in order to exploit betters' biases. The out‐of‐sample performance of the PARX model is better than the reference approach by Dixon and Coles (Applied Statistics, 1997, 46(2), 265–280). We also evaluate our approach in a simple betting strategy, which is applied to English football Premier League data for the 2013–2014, 2014–2015, and 2015–2016 seasons. The results show that the return from the betting strategy is larger than 30% in most of the cases considered and may even exceed 100% if we consider an alternative strategy based on a predetermined threshold, which makes it possible to exploit the inefficiency of the betting market.     

Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions

We perform Bayesian model averaging across different regressions selected from a set of predictors that includes lags of realized volatility, financial and macroeconomic variables. In our model average, we entertain different channels of instability by either incorporating breaks in the regression coefficients of each individual model within our model average, breaks in the conditional error variance, or both. Changes in these parameters are driven by mixture distributions for state innovations (MIA) of linear Gaussian state‐space models. This framework allows us to compare models that assume small and frequent as well as models that assume large but rare changes in the conditional mean and variance parameters. Results using S&P 500 monthly and quarterly realized volatility data from 1960 to 2014 suggest that Bayesian model averaging in combination with breaks in the regression coefficients and the error variance through MIA dynamics generates statistically significantly more accurate forecasts than the benchmark autoregressive model. However, compared to a MIA autoregression with breaks in the regression coefficients and the error variance, we fail to provide any drastic improvements.     

中国海洋碳汇交易市场构建

 分析了发展海洋碳汇市场交易的优劣势,从海洋碳汇交易市场的构建原则、模式选择、发展路径、要素设计、运行机制及保障措施等方面,综合分析探讨了中国海洋碳汇交易市场的构建策略。结果表明：（1）中国海洋碳汇交易市场的构建应采取“市场+政府”的模式,同时市场建设应采取分阶段发展的路径安排;（2）海洋碳汇交易市场建设内容包括市场要素和供求、价格、风险等市场运行机制及支撑机制;（3）为保障海洋碳汇交易市场能够持续、有效地运行,需加强组织领导、完善体制机制,加强顶层设计、完善法律体系,深化科学研究、提高技术水平,注重人才培养、强化智力支持。