基于连续双正交样条小波的股价指数奇异点检测

针对噪声背景下股价指数曲线给出的一种小波硬阈值消噪和奇异点检测的有效方法,选择双正交样条小波作为基小波,运用小波分析消除信号噪声干扰;结合多尺度分析及奇异点的检测,揭示股价指数信息隐含的背景。     

基于有序Logistic回归模型的北京高校男生有氧能力

为探索北京高校男生有氧能力的影响因素,通过随机抽样法抽取134名18~25岁北京高校男生,空腹抽静脉血测血液指标,用德国MetaMax 3B系统实时监测气体代谢,通过线性递增方案测得VO2max相对值。基于Spearman相关、有序Logistic回归等分析方法进行分析处理。结果表明：北京高校男生有序Logistic回归方程：Ln{P(Y≤1|x)/1-P(Y≤1|x)}=-2.757-0.067*X1-0.025*X2+0.066*X3+0.018*X4-0.009*X5;Ln{P(Y≤2|x)/1-P(Y≤2|x)}=-0.771-0.067*X1-0.025*X2+0.066*X3+0.018*X4-0.009*X5（X1=体重、X2=心率(heart rate, HR)、X3=每搏输出量(stroke volume, SVI)、X4=心室射血时间(ventricular ejection time, VET)、X5=血红蛋白(hemoglobin, HGB)）。回归方程模型系数综合检验步(step)、块(block)、模型(model)检验的P值均小于0.01;拟合优度检验的-2对数似然值(-2LL)为159.374,Cox&SnellR2为0.331,NagelkerkeR2为0.373;预测等级1准确率为45.5%,等级2准确率为100%,等级3准确率为100%,综合为81.8%,说明Logistic回归模型性能良好。Hosmer和Lemeshow检验预测值与观望值无显著性差异（P>0.05）。可见北京高校男生定量负荷心功能、血液指标与有氧能力的多元Logistic回归模型拟合度较好,且HR、SVI、VET、HGB是有氧运动能力的重要预测因素。     

半相依回归系统参数的c-k型改进估计

针对设计矩阵Xi呈病态时的半相依线性回归系统,提出了系统参数iβ的一种c-k型改进估计,并证明了这种估计在均方误差意义下的若干优良性质.     

土的地震液化概率评估模型

基于278个土的地震液化或非液化实测数据,运用二元回归方法推导出两个对数模型.这两个模型将液化概率表示成地震荷载和土阻力参数的函数,以修正的标准贯入锤击数来量度土的抗液化能力.文中将所提出的对数模型与确定性液化判别标准进行了比较,并将模型应用于典型场地的分析.结果表明,所提出的两个对数模型能客观地评价数据中的相关信息,可直接量化基于统计数据的条件液化概率.     

PAM对土壤蒸发的影响分析及其模拟研究

在栽种与不栽种作物的情况下,分别对3种处理的土壤蒸发进行抑制性及差异性分析,并结合气象因子对无作物的土壤累积蒸发量进行多元线性回归分析.结果表明,在无作物的情况下,随着PAM用量的增加,PAM对土壤蒸发抑制效果明显,3种处理两两差异显著,但未达到极显著水平;有作物的情况下,PAM对土壤蒸发抑制效果不明显,但3种处理间的差异性均达到极显著水平.模型的拟合结果表明,3种处理的土壤累积蒸发量均可用多元线性回归模型拟合,且拟合效果较好.图2,表5,参8.     

我国通货膨胀的混合回归和时间序列模型

回归模型的残差项反映了对被解释变量有影响但未列入解释变量的因素所产生的噪音 ,这部分噪音可由时间序列模型进行拟合 .本文对通货膨胀建立了一个混合回归和时间序列模型 ,并将该模型的预测结果与单纯用回归模型的预测结果进行了比较.     

Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?

We study the performance of recently developed linear regression models for interval data when it comes to forecasting the uncertainty surrounding future stock returns. These interval data models use easy‐to‐compute daily return intervals during the modeling, estimation and forecasting stage. They have to stand up to comparable point‐data models of the well‐known capital asset pricing model type—which employ single daily returns based on successive closing prices and might allow for GARCH effects—in a comprehensive out‐of‐sample forecasting competition. The latter comprises roughly 1000 daily observations on all 30 stocks that constitute the DAX, Germany's main stock index, for a period covering both the calm market phase before and the more turbulent times during the recent financial crisis. The interval data models clearly outperform simple random walk benchmarks as well as the point‐data competitors in the great majority of cases. This result does not only hold when one‐day‐ahead forecasts of the conditional variance are considered, but is even more evident when the focus is on forecasting the width or the exact location of the next day's return interval. Regression models based on interval arithmetic thus prove to be a promising alternative to established point‐data volatility forecasting tools. Copyright ©2015 John Wiley & Sons, Ltd.     

The Information Content of Equity Block Trades on the Warsaw Stock Exchange: Conventional and Bootstrap Approaches

This paper focuses on the Polish stock market by analysing the information content of 95 equity block trade transactions executed on shares of companies constituting the WIG20 index. A normalized conventional approach and a bootstrap approach are used to draw inferences. These approaches make use of a multivariate regression model with two explanatory variables: a market return and a dummy variable for the event. Resampling allows construction of an empirical distribution of the normalized test statistic. The outcomes obtained from the application of a normalized conventional approach as well as a bootstrap approach are in line and confirm that equity block trade transactions carry an important signal to investors. Significant abnormal positive (negative) returns are associated with the execution of the equity block trades, the prices of which are higher (lower) than the closing prices 2 days before the execution of the equity block trade transactions. Copyright © 2015 John Wiley & Sons, Ltd.     

Dynamic Latent Class Model Averaging for Online Prediction

We consider the problem of online prediction when it is uncertain what the best prediction model to use is. We develop a method called dynamic latent class model averaging, which combines a state‐space model for the parameters of each of the candidate models of the system with a Markov chain model for the best model. We propose a polychotomous regression model for the transition weights to assume that the probability of a change in time depends on the past through the values of the most recent time periods and spatial correlation among the regions. The evolution of the parameters in each submodel is defined by exponential forgetting. This structure allows the ‘correct’ model to vary over both time and regions. In contrast to existing methods, the proposed model naturally incorporates clustering and prediction analysis in a single unified framework. We develop an efficient Gibbs algorithm for computation, and we demonstrate the value of our framework on simulated experiments and on a real‐world problem: forecasting IBM's corporate revenue. Copyright © 2014 John Wiley & Sons, Ltd.     

指数样条和有理插值在零息票债券定价中的应用

文章介绍了贴现函数的定义,对贴现函数性质进行了研究,综述了逼近它的几种方法;然后,在相关研究的基础上,针对贴现函数性质,引入指数样条和有理插值,提供了一种逼近和计算贴现函数的新方法,并给出一个实例说明方法的有效性。