信息不对称和信托产品交易机制设计

用信息经济学的相关理论揭示了导致我国现阶段信托产品出现流通困境的根本原因;分析了建立信托产品交易平台需要思考和解决的问题;指出实践中信托公司不论是利用网络信息交易平台还是建立做市商机制都缺少防范合谋的机制,无法有效地解决信托产品交易中的信息不对称问题。通过对具有相同交易者类型的产权交易所进行的完善机制设计,能够降低信托产品交易中存在的信息不对称,是信托产品交易的适应性选择。     

香港恒生指数的波动性分析

利用粗粒化方法建立了香港股票市场的恒生指数和交易量之间关系的复杂网络模型,得到了该网络的一些重要拓扑特性,它们揭示了香港股票市场恒生指数和交易量联合波动的变化规律.通过计算网络的介数指标(BC)和反比参与率,找到网络的重要性节点,这些节点表示的波动模式在股票市场上控制和传递信息方面发挥重要的作用,对我们理解股票市场恒生指数和交易量的联合变化具有重要意义.最后将网络模型与随机网络进行比较,说明香港股票市场的恒生指数和交易量的联合变化具有统计稳定性.     

Modelling and Trading the English and German Stock Markets with Novelty Optimization Techniques

The motivation for this paper was the introduction of novel short‐term models to trade the FTSE 100 and DAX 30 exchange‐traded funds (ETF) indices. There are major contributions in this paper which include the introduction of an input selection criterion when utilizing an expansive universe of inputs, a hybrid combination of partial swarm optimizer (PSO) with radial basis function (RBF) neural networks, the application of a PSO algorithm to a traditional autoregressive moving model (ARMA), the application of a PSO algorithm to a higher‐order neural network and, finally, the introduction of a multi‐objective algorithm to optimize statistical and trading performance when trading an index. All the machine learning‐based methodologies and the conventional models are adapted and optimized to model the index. A PSO algorithm is used to optimize the weights in a traditional RBF neural network, in a higher‐order neural network (HONN) and the AR and MA terms of an ARMA model. In terms of checking the statistical and empirical accuracy of the novel models, we benchmark them with a traditional HONN, with an ARMA, with a moving average convergence/divergence model (MACD) and with a naïve strategy. More specifically, the trading and statistical performance of all models is investigated in a forecast simulation of the FTSE 100 and DAX 30 ETF time series over the period January 2004 to December 2015 using the last 3 years for out‐of‐sample testing. Finally, the empirical and statistical results indicate that the PSO‐RBF model outperforms all other examined models in terms of trading accuracy and profitability, even with mixed inputs and with only autoregressive inputs. Copyright © 2016 John Wiley & Sons, Ltd.     

An assessment of the economic value of non-linear foreign exchange rate forecasts

Recent research suggests that non-linear methods cannot improve the point forecasts of high-frequency exchange rates. These studies have been using standard forecasting criteria such as smallest mean squared error (MSE) and smallest mean absolute error (MAE). It is, however, premature to conclude from this evidence that non-linear forecasts of high-frequency financial returns are economically or statistically insignificant. We prove a proposition which implies that the standard forecasting criteria are not necessarily particularly suited for assessment of the economic value of predictions of non-linear processes where the predicted value and the prediction error may not be independently distributed. Adopting a simple non-linear forecasting procedure to 15 daily exchange rate series we find that although, when compared to simple random walk forecasts, all the non-linear forecasts give a higher MSE and MAE, when applied in a simple trading strategy these forecasts result in a higher mean return. It is also shown that the ranking of portfolio payoffs based on forecasts from a random walk, and linear and non-linear models, is closely related to a non-parametric test of market timing.     

ETFs的特点及其在中国推行的风险

ETFs(交易所买卖基金)在国外是一个成功的基金创新品种，ETFs特殊的运作机制使其在许多方面都具有独特的优势。文章分析了ETFs的特点及其在中国当前环境下推出所存在的风险，对我国现阶段推出ETFs的可行性进行了探讨。     

我国国际服务贸易竞争力的实证分析

论述服务业是国际产业未来发展的重心,与之相对应的服务贸易将成为全球经济竞争的重点。通过服务贸易时间序列的数据对我国国际服务贸易的特征、结构以及竞争力等进行了分析,并针对我国服务贸易存在的服务贸易总量较小、结构不合理、竞争力不强等问题提出几点建议。     

媒体关注与成交量:基于百度媒体指数的研究

本文利用百度指数的煤体指数数据,研究了媒体关注度与个股成交量之间的关系,研究发现:媒体关注度高的交易日中,有较高的成交量;通过对日连续竞价成交总量分解和日连续竞价成交量偏差成因分析,进一步发现在媒体关注度高的交易日中,成交量增加主要是由于少数大规模成交产生的;在媒体关注度高的交易日中,会有较高的收益率和异常收益率,并且在新闻量较高且大规模成交占比较高的交易日中,会有非常高的收益率和异常收益率.     

多目标多周期多阶段逆向物流网络动态联建

针对塑料制品的回收与再利用问题,构建了以最小网络总成本、最低碳交易成本及最小环境影响程度为目标函数的碳交易环境下多目标多周期多阶段政企结合逆向物流网络动态联建模型。并以上海市废旧塑料制品回收为例,采用遗传算法和粒子群算法验证了模型的有效性。结果表明,该模型有助于减少对环境的负面影响、降低系统总成本、优化各阶段的资源输入,为政企结合逆向物流网络联建提供了借鉴。     

Robust trading rule selection and forecasting accuracy

Trading rules performing well on a given data set seldom lead to promising out-of-sample results, a problem which is a consequence of the in-sample data snooping bias. Efforts to justify the selection of trading rules by assessing the out-of-sample performance will not really remedy this predica- ment either, because they are prone to be trapped in what is known as the out-of-sample data-snooping bias. Our approach to curb the data-snooping bias consists of constructing a framework for trading rule selection using a-priori robustness strategies, where robustness is gauged on the basis of time- series bootstrap and multi-objective criteria. This approach focuses thus on building robustness into the process of trading rule selection at an early stage, rather than on an ex-post assessment of trading rule fitness. Intra-day FX market data constitute the empirical basis of the proposed investigations. Trading rules are selected from a wide universe created by evolutionary computation tools. The authors show evidence of the benefit of this approach in terms of indirect forecasting accuracy when investing in FX markets.     

配额初始分配对跨期碳市场效率的影响研究

碳配额初始分配是碳市场建设与运行的关键环节之一.考察配额初始分配对跨期碳市场效率影响,深刻理解初始分配与储存及借贷间的作用机理,有助于充分发挥二者协同作用,提高跨期碳市场效率.本研究构建了考虑配额分配的两期碳市场效率模型,考察了初始分配对无储存和借贷、单独储存及储存借贷混合三种机制下的跨期碳市场效率影响.理论分析和数值模拟结果表明:无储存和借贷机制下的跨期碳市场有效性严格依赖于初始分配,当初始分配有效,跨期碳市场有效,否则无效.当首期初始配额充足时,单独储存机制下的跨期碳市场有效,跨期均衡价格满足Hotelling规则.当首期初始配额不足时,单独储存机制下的跨期碳市场无效,且第一期价格大于第二期贴现价格.储存借贷混合机制下的跨期碳市场配置有效,跨期均衡价格满足Hotelling规则,且其有效性与初始分配无关.