基于消费者监督的弱税市场税收监管

文章研究了消费者索要票据监督市场交易,税务部门给予监督者奖励,对解决弱税市场漏征漏管问题的效应.通过构建包含税收的线性经济模型,论证了消费者积极参与市场监督的必然性,对比了实施监督前后的市场和福利变化.研究发现:如果消费者索要票据的负效用很小,最优税率将有所降低,市场中提供的公共物品增多,经济体整体福利水平上升;同时,消费者监督政策还可以提高税务部门行政效率,实现不同市场消费者效用均等化;由于消费者监督效用损失影响最优参数,因此税务部门应针对行业索票难易性制定不同的征税策略.     

金融市场相关程度与相关模式的研究

分析了几种常用的Copula函数及它们在相关性分析上的应用特点，构建了M—Copula—GARCH模型．运用Copula技术，对上海和深圳股市进行实证研究发现，单个Copula函数只能反映相关性变化的某个方面，而M—Copula函数则更灵活，对金融市场相关性的描述也更全面．运用M—Copula—GARCH模型，可将金融市场之间相关程度和相关模式的研究更好地结合在一起，能够更准确、全面地捕捉到各个时期股市间相关性的变化．正确地反映两个市场之间非对称的相关模式．     

中美棉花期货价格波动特征的比较研究

利用GARCH（1,1）模型和EGARCH（1,1）模型分别对中国和美国棉花期货价格的波动特征进行对比分析。结果表明,从总体看郑州和纽约棉花期货市场都具有价格波动剧烈的特点,郑州棉花期货市场收益波动不具有杠杆效应,证明中国的棉花期货市场还不够成熟。     

股指期货在动态投资组合保险策略中的应用

研究了国内市场推出股指期货之后,动态投资组合保险策略如何运用股指期货来调整组合资产。实证结果表明：投资组合保险策略在引入股指期货之后,一定程度上提高了投资收益率,明显减少了交易成本,而资产波动性并未发生显著变化。此外,在策略操作上,多头市场中应选取较高的风险乘数和较低的保本比例;盘整市场和空头市场中,较低的风险乘数和较高的保本比例将换取更高的收益率。     

我国沪铜期货价格的分形统计

运用分形分布参数估计、函数盒维数以及多重分形分析等方法对我国沪铜期货价格时间序列进行了实证研究.结果表明,沪铜期货价格不服从正态分布,价格之间存在长记忆性,从而对有效市场假说提出了质疑.函数盒维数及多标度分析的结果揭示了期货价格的聚类特征及标度变化,说明用单一分形模型来描述期货价格是不充分的,多重分形分析方法为更好地描述期货价格的变化规律提供了有力的工具.     

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.     

考虑差价合同交易的电力市场均衡模型

基于线性供应函数均衡的方法,考虑发电商具有非零截距边际成本函数,建立了考虑差价合同市场的电力市场均衡模型。理论分析和算例结果表明,电力市场中远期合同市场交易有助于减少发电商利用市场力来操纵市场的行为,从而有利于形成高效的市场均衡电价。     

非完全市场衍生资产定价方法研究

利用单期金融市场模型研究了非完全市场衍生资产定价问题。首先介绍了经典的无套利定价方法,指出了这种方法只适用于完全的金融市场的局限性。然后把无套利定价思想推广到了非完全市场,提出了衍生资产的ε－套利定价方法和区间定价方法。最后通过算例进一步说明经典的套利定价方法是区间定价法和ε－套利定价方法的特殊情况,区间这价方法和ε－套利定价方法是经典的套利定价方法的推广,既适用于完全金融市场,又适用于非完全的金融市场。     

浅析在个人理财中黄金的优势及投资途径

分析了目前国内黄金投资的现状，指出黄金在个人理财中的优势，介绍了我国普通居民投资黄金的4种途径——实物黄金、纸黄金、黄金延迟交收和黄金期货。     

Multi-period Bank Hedging with Interest Rate Futures

In this paper, a model for multi-period bank hedging with interest rate futures is set up. Formulas for the optimal dynamic multi-period bank and static bank hedge ratio are derived. The described model offers the potential benefits of： （1） although these formulas are developed for the case of direct sheet balance multi-period hedging, the framework used is sufficiently flexible so that these formulas can be applied to bank loan or deposit multi-period hedging situations respectively. （2） Periodic modification and updating of the interest rate futures position, as suggested by interest rates, throughout the bank hedging horizons. （3） This paper examines a situation in which the return of loan, the interest rate of deposit and the equity capital of bank, and interest rate futures prices are cointergrated, Multi-period bank hedging formulas are derived under three-dimensional stochastic volatility model. However, empirical research is required for validating this model.