基于ESS的银行资金营运风险系统的研究

经理支持系统ESS(Executive Support System),作为企业高层管理人员直接使用的信息系统,利用计算机技术和通信技术,专门用以支持高层管理和决策人员对企业内、外部信息的查询分析,支持高层管理人员的日常管理和战略决策工作。将ESS技术应用到银行业的资金营运风险管理中,改变了银行原资金营运风险管理模式,为银行风险管理提供了一项可行性方案,并取得了良好的效果。     

股票交易量对证券期权价格的影响

用复合Poisson过程描述股票的交易量,据此构造股票价格的随机过程,进而推导出在风险中立条件下,欧式买入期权的价格公式,并对风险中立条件下及风险回避市场中,期权价格的边界问题进行讨论.     

关于Hadamard矩阵结构特点之分析

从具体结构上对Hadamard矩阵作出较为详细的分析,进而得到若干有利于更具体地把握其结构特点的结论.     

"T+0"和"T+1"制度下投资者交易风险对比

从投资者当日(T)投资所面临的交易风险出发,运用数据客观地对比分析了在“T 0”和“T 1”两种交易制度下带给投资者的交易风险,阐明在保护投资者利益方面两种交易制度的优劣性,通过数据分析,认为“T 1”交易制度并不能更好地保护下跌行情中从事股票交易的投资者利益．甚至,在上海证券市场上“T 1”交易制度下的交易令投资者不能及时纠正交易错误,导致投资者的交易风险有扩大趋势．其实,投资者面临的最大交易风险并不是“T 0”和“T 1”这两种交易制度所带来的,而是股票市场的下跌造成的．因此,如果综合考虑我国股票市场的未来发展以及两种交易制度带给投资者的交易风险,实施“T 0”交易制度是可行的．     

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.     

An ensemble of LSTM neural networks for high‐frequency stock market classification

We propose an ensemble of long–short‐term memory (LSTM) neural networks for intraday stock predictions, using a large variety of technical analysis indicators as network inputs. The proposed ensemble operates in an online way, weighting the individual models proportionally to their recent performance, which allows us to deal with possible nonstationarities in an innovative way. The performance of the models is measured by area under the curve of the receiver operating characteristic. We evaluate the predictive power of our model on several US large‐cap stocks and benchmark it against lasso and ridge logistic classifiers. The proposed model is found to perform better than the benchmark models or equally weighted ensembles.     

A Comparison of the Forecasting Ability of Immediate Price Impact Models

As a consequence of recent technological advances and the proliferation of algorithmic and high‐frequency trading, the cost of trading in financial markets has irrevocably changed. One important change, known as price impact, relates to how trading affects prices. Price impact represents the largest cost associated with trading. Forecasting price impact is very important as it can provide estimates of trading profits after costs and also suggest optimal execution strategies. Although several models have recently been developed which may forecast the immediate price impact of individual trades, limited work has been done to compare their relative performance. We provide a comprehensive performance evaluation of these models and test for statistically significant outperformance amongst candidate models using out‐of‐sample forecasts. We find that normalizing price impact by its average value significantly enhances the performance of traditional non‐normalized models as the normalization factor captures some of the dynamics of price impact. Copyright © 2016 John Wiley & Sons, Ltd.     

公共资源交易平台建设与应用系统集成

本文从公共资源交易平台和应用系统集成两个方面入手,就如何在省级政务信息网上搭建一套标准统一、功能完备、性能先进、安全可靠的省级公共资源交易系统软件进行研究。研究目的在于规范交易流程,提高工作效率和监管水平,构筑更加公正、高效、规范、有序、开放的公共资源市场,从制度上防止公共资源交易领域腐败问题的产生。     

考虑大宗交易的均值-方差投资组合优化模型及其分支定界算法

由于大宗交易下边际交易费用递减,因此用线性加凹的函数拟合实际交易费用函数, 建立了均值-方差框架下的组合优化模型并给出了相应的求解算法.通过对恒生指数样本股的实证分析发现:考虑大宗交易的组合有效边缘介于线性交易费用和无交易费用的组合有效边缘之间; 大宗交易稀释了“分散化降低风险”的效应; 大宗交易下交易费用越大, 相对于线性交易费用而言组合集中度越高.     

成对电解法研制葡萄糖酸及山梨醇的文献分析

本文介绍了成对电解葡萄糖，研制葡萄糖酸、葡萄糖酸锌、葡萄糖酸钙及山梨醇的有关文献，指出其各自的优缺点，并将这些文献与我们的工作进行了比较．