基于内在价值理念的股票长线组合投资实证研究

以内在价值为基础,提出了一个估算内在价值的方法,然后考察了组合投资的收益率,并用随机过程的方法讨论长期组合投资稳健盈利的投资策略问题,证明以内在价值为基准实施低买高卖的投资策略的有效性.     

Software Maintainability Evaluation Based on Quantitive Model

Software maintainability is one of the most important factors of software quality,but it is seriously difficult to evaluate the maintainability. Without evaluation,it is impossible to control. To estimate software maintainability state,parameter system of software was built up and maintainability state was defined into three states.Thought of application on maintainability evaluation based on hidden Markov chain( HMC) and fuzzy inference was presented.Three-state maintainability estimation model was constructed. To testify the feasibility of the model, a real example of software maintenance activity was carried out and the result from the example validated that the results of this study were applicable.     

Short‐Term Stock Price Prediction Based on Limit Order Book Dynamics

Interaction of capital market participants is a complicated dynamic process. A stochastic model is proposed to describe the dynamics to predict short‐term stock price behaviors. Independent compound Poisson processes are introduced to describe the occurrences of market orders, limit orders and cancellations of limit orders, respectively. Based on high‐frequency observations of the limit order book, the maximum empirical likelihood estimator (MELE) is applied to estimate the parameters of the compound Poisson processes. Moreover, an analytical formula is derived to compute the probability distribution of the first‐passage time of a compound Poisson process. Based on this formula, the conditional probability of a price increase and the conditional distribution of the duration until the first change in mid‐price are obtained. A novel approach of short‐term stock price prediction is proposed and this methodology works reasonably well in the data analysis. Copyright © 2016 John Wiley & Sons, Ltd.     

基于马尔可夫毯时序回归模型的房地产板块指数预测

房地产板块是中国股市的核心行业板块，房地产板块股价指数走势的分析有助于对中国股市态势的正确把握. 针对行业板块之间的相关性难以发现和房地产板块股价指数难以有效预测的问题，基于股市行业板块之间指数波动的相关性，利用马尔可夫毯学习算法选择与房地产板块相关的行业板块，通过因果分析避免现行方法中选取相关板块的主观性；进而，利用Granger因果检验从中选择与房地产板块存在时序因果关系的板块，从而构建房地产板块的向量时序回归模型，实现对房地产板块股价指数的有效预测；最后，通过脉冲响应和方差分解对模型进行分析. 对于上证股市所进行的实验比较和实证分析的结果表明，该方法能有效预测房地产板块股价指数的走势.     

基于有奖马尔可夫的大数据实时系统的可靠性评价

大数据时代来临后,传统的数据实时性处理系统已不能满足大数据的实时性处理要求,大数据的实时性处理问题被越来越多的研究人员所关注.目前对大数据实时处理系统的可靠性研究主要集中在建立资源调度模型,提出解决方案等领域,对大数据系统实时性的评价的研究较少.针对这种情况,从大数据实时处理的应用层面上提出了一种定量测量其可靠性的评价方法,此评价方法是在分析大数据系统的评价指标后,利用连续时间有奖马尔可夫相关理论,定量地分析了有关大数据实时处理系统的可靠性.在对模型进行仿真实验之后,确定模型的可行性.     

A classifying procedure for signalling turning points

A Hidden Markov Model (HMM) is used to classify an out‐of‐sample observation vector into either of two regimes. This leads to a procedure for making probability forecasts for changes of regimes in a time series, i.e. for turning points. Instead of estimating past turning points using maximum likelihood, the model is estimated with respect to known past regimes. This makes it possible to perform feature extraction and estimation for different forecasting horizons. The inference aspect is emphasized by including a penalty for a wrong decision in the cost function. The method, here called a ‘Markov Bayesian Classifier (MBC)’, is tested by forecasting turning points in the Swedish and US economies, using leading data. Clear and early turning point signals are obtained, contrasting favourably with earlier HMM studies. Some theoretical arguments for this are given. Copyright © 2004 John Wiley & Sons, Ltd.     

VIX期权定价——基于随机参数的仿射调和稳态模型

考虑VIX时间序列均值回复、尖峰厚尾、有偏、非对称跳与波动率聚类的特征，本文源于日历时间与内在时间的视角，构建了基于随机参数的仿射调和稳态模型.同时应用VIX时序过程的特征函数、等价无穷小与概率论方法，求出期权定价最简表达式.基于该类模型与期权定价方法，可以快速地进行VIX期权定价模型的参数估计与定价预测.较之前沿的带随机参数的跳过程的CIR定价模型与FFT期权定价方法，具有快而精准的特征.较之一般的仿射跳模型，不仅能较好地刻画VIX时序中的尖峰厚尾、有偏与非对称跳等特征，而且具有较好的经济解释与可行性的优势.该研究不仅丰富了衍生品定价理论，也为投资者进行风险规避与衍生品定价提供一些参考.     

两个不同部件并联可修系统的可靠性分析

本文研究了两个不同部件，一个修理工组成的并联系统，在两个部件均不能“修复如新”的情形下，利用几何过程和补充变量法求出了该系统的一些可靠性指标。     

具有乘法噪声的单模激光模型的系统消去程序

用Schner和Haken建立的系统消去法和系统绝热近似法对两种具有乘法噪声的单模激光模型进行研究,分别得出了其Ito形式和Stratonovich形式的序参量方程,并对随机序列z_t~(v)的统计性质进行了计算.最后,定性地分析了Ito形式和Stratonovich形式不等价的原因.     

两参数Feller过程和随机微分方程解的马氏性

证明了一股的(齐次或非齐次)两参数右连续Feller过程的强马氏性,并讨论了随机微分方程■B为D×Ω上布朗单)的解的几种马氏性。